Standard multiple testing procedures are designed to report a list of discoveries, or suspected false null hypotheses, given the hypotheses' p-values or test scores. Recently there has been a growing interest in enhancing such procedures by combining additional information with the primary p-value or score. In line with this idea, we develop RESET (REScoring via Estimating and Training), which splits the data into a training part and an estimating part so that any semi-supervised learning approach can factor in the available side information while maintaining finite-sample error-rate control. Our practical implementation, RESET Ensemble, selects from an ensemble of classification algorithms so that it is compatible with a range of multiple testing scenarios without the need for the user to select the appropriate one. We apply RESET to both p-value and competition based multiple testing problems and show that RESET is (1) power-wise competitive, (2) fast compared to most tools and (3) able to uniquely achieve finite sample false discovery rate or false discovery exceedance control, depending on the user's preference.

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