class: center, middle, inverse, title-slide # IDS 702: Module 8.3 ## Ensemble tree methods ### Dr. Olanrewaju Michael Akande --- ## Bagging - Instead of using one big tree, .hlight[bagging] constructs `\(B\)` classification and regression trees using `\(B\)` bootstrapped datasets. -- - Each tree is grown deep and has high variance, but low bias. -- - Averaging all `\(B\)` trees reduces the variance. -- - Improve accuracy by combining hundreds or even thousands of trees. -- - To predict, + a continuous outcome, drop new `\(X\)` down each tree until getting to terminal leaf. Predicted value of `\(Y\)` is the average of all `\(B\)` predictions across all the trees. -- + a categorical outcome, select the most commonly occurring majority level among the `\(B\)` predictions. --- ## Random forests - The trees in bagging would be correlated since they are all based on the same data (sort of!). -- - .hlight[Random forests] attemps to de-correlate the trees. -- - Random forests also constructs `\(B\)` classification and regression trees using `\(B\)` bootstrapped datasets but only uses a sample of the predictors for each tree. -- - Doing so prevents the same variables from dominating the splitting process across all trees. -- - Both bagging and random forests will not overfit for large `\(B\)`. --- ## Random forests - .hlight[Random forest algorithm]: -- For `\(b = 1, \ldots, B\)`, 1. Take a bootstrap sample of the original data. + Alternatively, can take a sub-sample of the original data of size `\(m < n\)`, where `\(n\)` is the sample size of the collected data. -- 2. Take a sample of `\(q < p\)` predictors, where `\(p\)` is the total number of predictors in the dataset. -- 3. Using only the data in the bootstrapped sample or sub-sample, grow a tree using only the `\(q\)` sampled predictors. Save the tree. -- - For predictions, do the same thing as in bagging. -- - Variable importance measures based on how often a variable is used in splits of the trees. --- ## Random forests vs. parametric regression: benefits - No parametric assumptions. -- - Automatic model selection. -- - Multi-collinearity not problematic. -- - Can handle big data files, since trees are small. -- - In R, use the `randomForest` package. --- ## Random forests vs. parametric regression: limitations - Regression prediction limitations like those for CART. -- - Hard to assess chance error. -- - Little control over the few parameters to tweak if model does not fit the data well. --- ## Boosting - .hlight[Boosting] works like bagging, except that the trees are grown sequentially. -- - Specifically, each tree is grown using information from previously grown trees. -- - After the first tree, the remaining trees are built using residuals as outcomes. -- - The idea is so that boosting can slowly improve the model in areas where it does not perform well. -- - Boosting does not involve bootstrap since each tree is fit on a modified version of the original data set. -- - It can overfit if the number of trees is too large. -- - There are so many boosting methods! This is just one of them. --- ## Boosting - Goal: to construct a function `\(\hat{f}(y|x)\)` to estimate true `\(f(y|x)\)`. -- - .hlight[Boosting algorithm]: -- 1. Fit a decision tree `\(\hat{f}\)` with `\(d\)` splits to the data using `\(Y\)` as the outcome. Compute the residuals. -- 2. For `\(b = 2, \ldots, B\)`, + Fit a decision tree `\(\hat{f}^b\)` with `\(d\)` splits to the data using the residuals as the outcome. + Add this new decision tree into the fitted function: `\(\hat{f} = \hat{f} + \lambda \hat{f}^b\)`. + Compute updated residuals. -- 3. Output the boosted model: `\(\hat{f} = \sum_{b=1}^B \lambda \hat{f}^b\)`. -- - The shrinkage parameter `\(\lambda\)` (often small, e.g. 0.01) controls the rate at which boosting learns. --- ## General advice about tree methods vs parametric regressions - When the goal is prediction and sample sizes are large, tree methods can be effective engines for prediction. -- - When the goal is interpretation of predictors, or when sample sizes are modest, use parametric models with careful model diagnostics. -- - Either way, always remember the data: + What population, if any, are they representative of? + Are the definitions of variables what you wanted? + Are there missing values or data errors to correct? --- ## Arsenic example again - Recall the study measuring the concentrations of arsenic in wells in Bangladesh. -- - We already fit a logistic regression to the data. -- - We will use the same data to compare these models. -- - Research question: predicting why people switch from unsafe wells to safe wells. -- - The data is in the file `arsenic.csv` on Sakai. --- ## Arsenic example again Variable | Description :------------- | :------------ Switch | 1 = if respondent switched to a safe well <br /> 0 = if still using own unsafe well Arsenic | amount of arsenic in well at respondent's home (100s of micro-grams per liter) Dist | distance in meters to the nearest known safe well Assoc | 1 = if any members of household are active in community organizations <br /> 0 = otherwise Educ | years of schooling of the head of household - Treat switch as the response variable and others as predictors. - Move to the R script [here](https://ids-702-f20.github.io/Course-Website/slides/Arsenic_II.R). --- class: center, middle # What's next? ### Well.........nothing! ### You made it to the end of this course. ### Hope you enjoyed the course and that you have learned a lot.