Tree net and_randomforests_2009

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  • January 9, 2012
  • January 9, 2012

Transcript

  • 1. Introduction to Random Forests and Stochastic Gradient Boosting Dan Steinberg Mykhaylo Golovnya [email_address] August, 2009
  • 2. Initial Ideas on Combining Trees
    • Idea that combining good methods could yield promising results was suggested by researchers more than a decade ago
      • In tree-structured analysis, suggestion stems from:
        • Wray Buntine (1991)
        • Kwok and Carter (1990)
        • Heath, Kasif and Salzberg (1993)
    • Notion is that if the trees can somehow get at different aspects of the data, the combination will be “better”
      • Better in this context means more accurate in classification and prediction for future cases
    • The original implementation of CART already included bagging ( B ootstrap A ggregation) and ARCing ( A daptive R esampling and C ombining) approaches to build tree ensembles
  • 3. Past Decade Development
    • The original bagging and boosting approaches relied on sampling with replacement techniques to obtain a new modeling dataset
    • Subsequent approaches focused on refining the sampling machinery or changing the modeling emphasis from the original dependent variable to current model generalized residuals
    • Most important variants (and dates of published articles) are:
      • Bagging (Breiman, 1996, “ B ootstrap Ag gregation”)
      • Boosting (Freund and Schapire, 1995)
      • M ultiple A dditive R egression T rees (Friedman, 1999, aka MART™ or TreeNet™)
      • RandomForests™ (Breiman, 2001)
    • Work continues with major refinements underway (Friedman in collaboration with Salford Systems)
  • 4.
    • Simplest example:
      • Grow a tree on training data
      • Find a way to grow another tree, different from currently available (change something in set up)
      • Repeat many times, say 500 replications
      • Average results or create voting scheme; for example, relate PD to fraction of trees predicting default for a given
    Multi Tree Methods
    • Beauty of the method is that every new tree starts with a complete set of data
    • Any one tree can run out of data, but when that happens we just start again with a new tree and all the data (before sampling)
    Prediction Via Voting
  • 5. Random Forest
    • A random forest is a collection of single trees grown in a special way
    • The overall prediction is determined by voting (in classification) or averaging (in regression)
    • Accuracy is achieved by using a large number of trees
      • The Law of Large Numbers ensures convergence
      • The key to accuracy is low correlation and bias
      • To keep bias and correlation low, trees are grown to maximum depth
      • Using more trees does not lead to overfitting, because each tree is grown independently
    • Correlation is kept low through explicitly introduced randomness
    • RandomForests™ often works well when other methods work poorly
      • The reasons for this are poorly understood
      • Sometimes other methods work well and RandomForests™ doesn’t
  • 6. Randomness is introduced in order to keep correlation low
    • Randomness is introduced in two distinct ways
    • Each tree is grown on a bootstrap sample from the learning set
      • Default bootstrap sample size equals original sample size
      • Smaller bootstrap sample sizes are sometimes useful
    • A number R is specified (square root by default) such that it is noticeably smaller than the total number of available predictors
    • During tree growing phase, at each node only R predictors are randomly selected and tried
    • Randomness also reduces the signal to noise ratio in a single tree
      • A low correlation between trees is more important than a high signal when many trees contribute to forming the model
      • RandomForests™ trees often have very low signal strength, even when the signal strength of the forest is high
  • 7. Important to Keep Correlation Low
    • Averaging many base learners improves the signal to noise ratio dramatically provided that the correlation of errors is kept low
    • Hundreds of base learners are needed for the most noticeable effect
  • 8. Randomness in Split Selection
    • Topic discussed by several Machine Learning researchers
    • Possibilities:
      • Select splitter, split point, or both at random
      • Choose splitter at random from the top K splitters
    • Random Forests: Suppose we have M available predictors
      • Select R eligible splitters at random and let best split node
      • If R =1 this is just random splitter selection
      • If R=M this becomes Brieman’s bagger
      • If R << M then we get Breiman’s Random Forests
        • Breiman suggests R=sqrt( M ) as a good rule of thumb
  • 9. Performance as a Function of R
    • In this experiment, we ran RF with 100 trees on sample data (772x111) using different values for the number of variables R (N Vars) searched at each split
    • Combining trees always improves performance, with the optimal number of sampled predictors already establishing around 11
  • 10. Usage Notes
    • RF does not require an explicit test sample
    • Capable of capturing high-order interactions
    • Both running speed and resources consumed for the most part depends on the row dimension of the data
      • Trees are grown using in as simple as feasible way to keep run times low (no surrogates, no priors, etc.)
    • Classification models produce pseudo-probability scores (percent of votes)
    • Performance-wise is capable of matching the performance of modern boosting techniques, including MART (described later)
    • Naturally allows parallel processing
    • The final model code is usually bulky, voluminous, and impossible to interpret directly
    • Current stable implementations include multinomial classification and least squares regression with an on-going research in the more advanced fields of predictive modeling (survival, choice, etc.)
  • 11. Proximity Matrix – Raw Material for Further Advances
    • RF introduces a novel way to define proximity between two observations:
      • For a dataset of size N define an N x N matrix of proximities
      • Initialize all proximities to zeroes
      • For any given tree, apply the tree to the dataset
      • If case i and case j both end up in the same node, increase proximity Prox i j between i and j by one
      • Accumulate over all trees in RF and normalize by twice the number of trees in RF
    • The resulting matrix provides intrinsic measure of proximity
      • Observations that are “alike” will have proximities close to one
      • The closer the proximity to 0, the more dissimilar cases i and j are
      • The measure is invariant to monotone transformations
      • The measure is clearly defined for any type of independent variables, including categorical
  • 12.
    • Based on proximities one can:
      • Proceed with a well-defined clustering solution
        • Note: the solution is guided by the target variable used in the RF model
      • Detect outliers
        • By computing average proximity between the current observation and all the remaining observations sharing the same class
      • Generate informative data views/projections using scaling coordinates
        • Non-metric multidimensional scaling produces most satisfactory results here
      • Do missing value imputation using current proximities as weights in the nearest neighbor imputation techniques
    • Ongoing work on possible expansion of the above to the unsupervised learning area of data mining
    Post Processing and Interpretation
  • 13. Introduction to Stochastic Gradient Boosting
    • TreeNet (TN) is a new approach to machine learning and function approximation developed by Jerome H. Friedman at Stanford University
      • Co-author of CART® with Breiman, Olshen and Stone
      • Author of MARS®, PRIM, Projection Pursuit, COSA, RuleFit™ and more
    • Also known as Stochastic Gradient Boosting and MART ( Multiple Additive Regression Trees )
    • Naturally supports the following classes of predictive models
      • Regression (continuous target, LS and LAD loss functions)
      • Binary classification (binary target, logistic likelihood loss function)
      • Multinomial classification (multiclass target, multinomial likelihood loss function)
      • Poisson regression (counting target, Poisson likelihood loss function)
      • Exponential survival (positive target with censoring)
      • Proportional hazard Cox survival model
    • TN builds on the notions of committees of experts and boosting but is substantially different in key implementation details
  • 14. Predictive Modeling
    • We are interested in studying the conditional distribution of the dependent variable Y given X in the predictor space
    • We assume that some quantity f can be used to fully or partially describe such distribution
      • In regression problems f is usually the mean or the median
      • In binary classification problems f is the log-odds of Y =1
      • In Cox survival problems f is the scaling factor in the unknown hazard function
    • Thus we want to construct a “nice” function f ( X ) which in turn can be used to study the behavior of y at the given point in the predictor space
      • Function f ( X ) is sometimes referred to as “ response surface ”
    • We need to define how “nice” can be measured
    Model X f
  • 15. Loss Functions
    • In predictive modeling the problem is usually attacked by introducing a well chosen loss function L ( Y , X , f ( X ))
      • In stochastic gradient boosting we need a loss function for which gradients can easily be computed and used to construct good base learners
      • The loss function used on the test data does not need the same properties
    • Practical ways of constructing loss functions
      • Direct interpretation of f ( X i ) as an estimate Y i or a population statistic of the distribution of Y conditional on X
        • Least Squares Loss (LS), f i is an estimate of E( Y| X i )
        • Least Absolute Deviation Loss (LAD), f i is an estimate of median( Y | X i )
        • Huber-M Loss, f i is an estimate of Y i
      • Choosing a conditional distribution for Y | X, defining f ( X ) as a parameter of that distribution and using the negative log-likelihood as the loss function
        • Logistic Loss (conditional Bernoulli, f ( X ) is the half log-odds of Y =1)
        • Poisson Loss (conditional Poisson, f ( X ) is the log(  ))
        • Exponential Loss (conditional Exponential, f ( X ) is the log(  ))
      • More general likelihood functions, for example, multinomial discrete choice, the Cox model
  • 16. Regression and Classification Losses
    • Huber-M regression loss is a reasonable compromise between the classical LS loss and robust LAD loss
    • Logistic log-likelihood based loss strikes the middle ground between the extremely sensitive exponential loss on one side and conventional LS and LAD losses on the other side
  • 17. Practical Estimate
    • In reality, we have a set of N observed pairs ( X i , y i ) from the population, not the entire population
    • Hence, we use sample-based estimates of L ( Y , X , f ( X ))
    • To avoid biased estimates, one usually partitions the data into independent learn and test samples using the latter to compute an unbiased estimate of the population loss
    • In Stochastic gradient boosting the problem is attacked by acting like we are trying to minimize the loss function on the learn sample. But doing so in a slow constrained way
    • This results in a series of models that move closer and closer to the f(X) function that minimizes the loss on the learn sample. Eventually new models become overfit to the learn sample
    • From this sequence the function f ( X ) with the lowest loss on the test sample is chosen
      • By choosing from a fixed set of models overfitting to the test data is avoided
      • Sometimes the loss functions used on the test data and learn data differ
  • 18. Parametric Approach
    • The function f ( X ) is introduced as a known function of a fixed set of unknown parameters
    • The problem then reduces to finding a set of optimal parameter estimates using classical optimization techniques
    • In linear regression and logistic regression: f ( X ) is a linear combination of fixed predictors; the parameters are the intercept and the slope coefficients
    • Major problem: the function and predictors need to be specified beforehand – this can result in a lengthy specification search process by trial and error
      • If this trial-and error-process uses the same data as the final model, that model will be overfit. This is the classical overfitting problem
      • If new data are used to estimate the final model and the model performs poorly, the specification search process must be repeated
    • This approach shows most benefits on small datasets where only simple specifications can be justified, or on datasets where there is strong a priori knowledge of the correct specification
  • 19. Non-parametric Approach
    • Construct f ( X ) using data driven incremental approach
    • Start with a constant, then at each stage adjust the values of f ( X ) by small increments in various regions of data
    • It is important to keep the adjustment rate low – the resulting model will become smoother and be less subject to overfitting
    • Treating f i = f ( X i ) at all individual observed data points as separate parameters, the negative of the gradient points in the direction of change in f ( X ) that results in the steepest reduction of the loss
    • G = { g i = - d R / d f i ; i =1,…, N } .
      • The components of the negative gradient will be called generalized residuals
    • We want to limit the number of currently allowed separate adjustments to a small number M – a natural way to proceed then is to find an orthogonal partition of the X -space into M mutually exclusive regions such that the variance of the residuals within each region is minimized
      • This job is accomplished by building a fixed size M-node regression tree using the generalized residuals as the current target variable
  • 20. TreeNet Process
    • Begin with the sample mean (e.g., logit - for all observations set p=sample share)
    • Add one very small tree as initial model based on gradients
      • For regression and logit, residuals are gradients
      • Could be as small as ONE split generating 2 terminal nodes
      • Typical model will have 3-5 splits in a tree, generating 4-6 terminal nodes
      • Output is a continuous response surface (e.g. log-odds for binary classification)
      • Model is intentionally “weak”
      • Multiply contribution by a learning factor  before adding it to model
      • Model is now: mean +    Tree 1
    • Compute new gradients (residuals)
      • The actual definition of the residual is driven by the type of the loss function
    • Grow second small tree to predict the residuals from the first tree
    • New model is now: mean +    Tree 1 +    Tree 2
    • Repeat iteratively while checking performance on an independent test sample
  • 21. Benefits of TreeNet
    • Built on CART trees and thus
      • immune to outliers
      • selects variables,
      • results invariant with monotone transformations of variables
      • handles missing values automatically
    • Resistant to mislabeled target data
      • In medicine cases are commonly misdiagnosed
      • In business, occasionally non-responders flagged as “responders”
    • Resistant to over training – generalizes very well
    • Can be remarkably accurate with little effort
    • Trains very rapidly; comparable to CART
  • 22.
    • 2009 KDD Cup 2 nd place “Fast Scoring on Large Database”
    • 2007 PAKDD competition: home loans up-sell to credit card owners 2 nd place
      • Model built in half a day using previous year submission as a blueprint
    • 2006 PAKDD competition: customer type discrimination 3 rd place
      • Model built in one day. 1 st place accuracy 81.9% TreeNet Accuracy 81.2%
    • 2005 BI-CUP Sponsored by University of Chile attracted 60 competitors
    • 2004 KDD Cup “Most Accurate”
    • 2003 “Duke University/NCR Teradata CRM modeling competition
      • Most Accurate” and “Best Top Decile Lift” on both in and out of time samples
    • A major financial services company has tested TreeNet across a broad range of targeted marketing and risk models for the past 2 years
      • TreeNet consistently outperforms previous best models (around 10% AUROC)
      • TreeNet models can be built in a fraction of the time previously devoted
      • TreeNet reveals previously undetected predictive power in data
    TN Successes
  • 23.
    • Trees are kept small (2-6 nodes common)
    • Updates are small – can be as small as .01, .001, .0001
    • Use random subsets of the training data in each cycle
      • Never train on all the training data in any one cycle
    • Highly problematic cases are IGNORED
      • If model prediction starts to diverge substantially from observed data, that data will not be used in further updates
    • TN allows very flexible control over interactions:
      • Strictly Additive Models (no interactions allowed)
      • Low level interactions allowed
      • High level interactions allowed
      • Constraints: only specific interactions allowed (TN PRO)
    Key Controls
  • 24.
    • As TN models consist of hundreds or even thousands of trees there is no useful way to represent the model via a display of one or two trees
    • However, the model can be summarized in a variety of ways
      • Partial Dependency Plots : These exhibit the relationship between the target and any predictor – as captured by the model
      • Variable Importance Rankings : These stable rankings give an excellent assessment of the relative importance of predictors
      • ROC and Gains Curves : TN models produce scores that are typically unique fore ach scored record
      • Confusion Matrix : Using an adjustable score threshold this matrix displays the model false positive and false negative rates
    • TreeNet models based on 2-node trees by definition EXCLUDE interactions
      • Model may be highly nonlinear but is by definition strictly additive
      • Every term in the model is based on a single variable (single split)
    • Build TreeNet on a larger tree (default is 6 nodes)
      • Permits up to 5-way interaction but in practice is more like 3-way interaction
    • Can conduct informal likelihood ratio test TN(2-node) versus TN(6-node)
    • Large differences signal important interactions
    Interpreting TN Models
  • 25. Example: Boston Housing
    • The results of running TN on the Boston Housing dataset are shown
    • All of the key insights agree with similar findings by MARS and CART
    Variable Score LSTAT 100.00 |||||||||||||||||||||||||||||||||||||||||| RM 83.71 ||||||||||||||||||||||||||||||||||| DIS 45.45 ||||||||||||||||||| CRIM 31.91 ||||||||||||| NOX 30.69 |||||||||||| AGE 28.62 ||||||||||| PT 22.81 ||||||||| TAX 19.74 ||||||| INDUS 12.19 |||| CHAS 11.93 ||||
  • 26. References
    • Breiman, L., J. Friedman, R. Olshen and C. Stone (1984), Classification and Regression Trees, Pacific Grove: Wadsworth
    • Breiman, L. (1996). Bagging predictors. Machine Learning , 24, 123-140.
    • Hastie, T., Tibshirani, R., and Friedman, J.H (2000). The Elements of Statistical Learning. Springer.
    • Freund, Y. & Schapire, R. E. (1996). Experiments with a new boosting algorithm. In L. Saitta, ed., Machine Learning: Proceedings of the Thirteenth National Conference , Morgan Kaufmann, pp. 148-156.
    • Friedman, J.H. (1999). Stochastic gradient boosting. Stanford: Statistics Department, Stanford University.
    • Friedman, J.H. (1999). Greedy function approximation: a gradient boosting machine. Stanford: Statistics Department, Stanford University.