1. A method implemented on a computing device for generating an ensemble classifier, comprising: using the computing device to perform the following: input a plurality of previously-trained component classifiers; defining a weight for each of the component classifiers, where the weight determines an amount of influence a component classifier associated with the weight has on a linear combination of the multiple component classifiers; defining the ensemble classifier as a weighted combination of the component classifiers; displaying to a user a real-time visual feedback user interface containing visual information that represents properties of the component classifiers and the ensemble classifier; allowing the user to use the real-time visual feedback user interface to partition an original problem space into a plurality of sub-problems; allowing the user to interactively define different weights on the component classifiers for the original problem space and each of the sub-problems; and displaying an effect that defining different weights has on an overall accuracy of the ensemble classifier in real time on the real-time visual feedback user interface.