LGAug 12, 2022Code
Unifying local and global model explanations by functional decomposition of low dimensional structuresMunir Hiabu, Joseph T. Meyer, Marvin N. Wright
We consider a global representation of a regression or classification function by decomposing it into the sum of main and interaction components of arbitrary order. We propose a new identification constraint that allows for the extraction of interventional SHAP values and partial dependence plots, thereby unifying local and global explanations. With our proposed identification, a feature's partial dependence plot corresponds to the main effect term plus the intercept. The interventional SHAP value of feature $k$ is a weighted sum of the main component and all interaction components that include $k$, with the weights given by the reciprocal of the component's dimension. This brings a new perspective to local explanations such as SHAP values which were previously motivated by game theory only. We show that the decomposition can be used to reduce direct and indirect bias by removing all components that include a protected feature. Lastly, we motivate a new measure of feature importance. In principle, our proposed functional decomposition can be applied to any machine learning model, but exact calculation is only feasible for low-dimensional structures or ensembles of those. We provide an algorithm and efficient implementation for gradient-boosted trees (xgboost) and random planted forest. Conducted experiments suggest that our method provides meaningful explanations and reveals interactions of higher orders. The proposed methods are implemented in an R package, available at \url{https://github.com/PlantedML/glex}.
MLJun 1, 2023
Decomposing Global Feature Effects Based on Feature InteractionsJulia Herbinger, Marvin N. Wright, Thomas Nagler et al.
Global feature effect methods, such as partial dependence plots, provide an intelligible visualization of the expected marginal feature effect. However, such global feature effect methods can be misleading, as they do not represent local feature effects of single observations well when feature interactions are present. We formally introduce generalized additive decomposition of global effects (GADGET), which is a new framework based on recursive partitioning to find interpretable regions in the feature space such that the interaction-related heterogeneity of local feature effects is minimized. We provide a mathematical foundation of the framework and show that it is applicable to the most popular methods to visualize marginal feature effects, namely partial dependence, accumulated local effects, and Shapley additive explanations (SHAP) dependence. Furthermore, we introduce and validate a new permutation-based interaction detection procedure that is applicable to any feature effect method that fits into our proposed framework. We empirically evaluate the theoretical characteristics of the proposed methods based on various feature effect methods in different experimental settings. Moreover, we apply our introduced methodology to three real-world examples to showcase their usefulness.
LGAug 30, 2023
survex: an R package for explaining machine learning survival modelsMikołaj Spytek, Mateusz Krzyziński, Sophie Hanna Langbein et al.
Due to their flexibility and superior performance, machine learning models frequently complement and outperform traditional statistical survival models. However, their widespread adoption is hindered by a lack of user-friendly tools to explain their internal operations and prediction rationales. To tackle this issue, we introduce the survex R package, which provides a cohesive framework for explaining any survival model by applying explainable artificial intelligence techniques. The capabilities of the proposed software encompass understanding and diagnosing survival models, which can lead to their improvement. By revealing insights into the decision-making process, such as variable effects and importances, survex enables the assessment of model reliability and the detection of biases. Thus, transparency and responsibility may be promoted in sensitive areas, such as biomedical research and healthcare applications.
MLMay 19, 2022
Adversarial random forests for density estimation and generative modelingDavid S. Watson, Kristin Blesch, Jan Kapar et al.
We propose methods for density estimation and data synthesis using a novel form of unsupervised random forests. Inspired by generative adversarial networks, we implement a recursive procedure in which trees gradually learn structural properties of the data through alternating rounds of generation and discrimination. The method is provably consistent under minimal assumptions. Unlike classic tree-based alternatives, our approach provides smooth (un)conditional densities and allows for fully synthetic data generation. We achieve comparable or superior performance to state-of-the-art probabilistic circuits and deep learning models on various tabular data benchmarks while executing about two orders of magnitude faster on average. An accompanying $\texttt{R}$ package, $\texttt{arf}$, is available on $\texttt{CRAN}$.
MLOct 6, 2022
Conditional Feature Importance for Mixed DataKristin Blesch, David S. Watson, Marvin N. Wright
Despite the popularity of feature importance (FI) measures in interpretable machine learning, the statistical adequacy of these methods is rarely discussed. From a statistical perspective, a major distinction is between analyzing a variable's importance before and after adjusting for covariates - i.e., between $\textit{marginal}$ and $\textit{conditional}$ measures. Our work draws attention to this rarely acknowledged, yet crucial distinction and showcases its implications. Further, we reveal that for testing conditional FI, only few methods are available and practitioners have hitherto been severely restricted in method application due to mismatching data requirements. Most real-world data exhibits complex feature dependencies and incorporates both continuous and categorical data (mixed data). Both properties are oftentimes neglected by conditional FI measures. To fill this gap, we propose to combine the conditional predictive impact (CPI) framework with sequential knockoff sampling. The CPI enables conditional FI measurement that controls for any feature dependencies by sampling valid knockoffs - hence, generating synthetic data with similar statistical properties - for the data to be analyzed. Sequential knockoffs were deliberately designed to handle mixed data and thus allow us to extend the CPI approach to such datasets. We demonstrate through numerous simulations and a real-world example that our proposed workflow controls type I error, achieves high power and is in line with results given by other conditional FI measures, whereas marginal FI metrics result in misleading interpretations. Our findings highlight the necessity of developing statistically adequate, specialized methods for mixed data.
MLJun 19, 2023
Interpreting Deep Neural Networks with the Package innsightNiklas Koenen, Marvin N. Wright
The R package innsight offers a general toolbox for revealing variable-wise interpretations of deep neural networks' predictions with so-called feature attribution methods. Aside from the unified and user-friendly framework, the package stands out in three ways: It is generally the first R package implementing feature attribution methods for neural networks. Secondly, it operates independently of the deep learning library allowing the interpretation of models from any R package, including keras, torch, neuralnet, and even custom models. Despite its flexibility, innsight benefits internally from the torch package's fast and efficient array calculations, which builds on LibTorch $-$ PyTorch's C++ backend $-$ without a Python dependency. Finally, it offers a variety of visualization tools for tabular, signal, image data or a combination of these. Additionally, the plots can be rendered interactively using the plotly package.
MLFeb 18
Functional Decomposition and Shapley Interactions for Interpreting Survival ModelsSophie Hanna Langbein, Hubert Baniecki, Fabian Fumagalli et al.
Hazard and survival functions are natural, interpretable targets in time-to-event prediction, but their inherent non-additivity fundamentally limits standard additive explanation methods. We introduce Survival Functional Decomposition (SurvFD), a principled approach for analyzing feature interactions in machine learning survival models. By decomposing higher-order effects into time-dependent and time-independent components, SurvFD offers a previously unrecognized perspective on survival explanations, explicitly characterizing when and why additive explanations fail. Building on this theoretical decomposition, we propose SurvSHAP-IQ, which extends Shapley interactions to time-indexed functions, providing a practical estimator for higher-order, time-dependent interactions. Together, SurvFD and SurvSHAP-IQ establish an interaction- and time-aware interpretability approach for survival modeling, with broad applicability across time-to-event prediction tasks.
MLJan 30
GRANITE: A Generalized Regional Framework for Identifying Agreement in Feature-Based ExplanationsJulia Herbinger, Gabriel Laberge, Maximilian Muschalik et al.
Feature-based explanation methods aim to quantify how features influence the model's behavior, either locally or globally, but different methods often disagree, producing conflicting explanations. This disagreement arises primarily from two sources: how feature interactions are handled and how feature dependencies are incorporated. We propose GRANITE, a generalized regional explanation framework that partitions the feature space into regions where interaction and distribution influences are minimized. This approach aligns different explanation methods, yielding more consistent and interpretable explanations. GRANITE unifies existing regional approaches, extends them to feature groups, and introduces a recursive partitioning algorithm to estimate such regions. We demonstrate its effectiveness on real-world datasets, providing a practical tool for consistent and interpretable feature explanations.
MLNov 13, 2023
arfpy: A python package for density estimation and generative modeling with adversarial random forestsKristin Blesch, Marvin N. Wright
This paper introduces $\textit{arfpy}$, a python implementation of Adversarial Random Forests (ARF) (Watson et al., 2023), which is a lightweight procedure for synthesizing new data that resembles some given data. The software $\textit{arfpy}$ equips practitioners with straightforward functionalities for both density estimation and generative modeling. The method is particularly useful for tabular data and its competitive performance is demonstrated in previous literature. As a major advantage over the mostly deep learning based alternatives, $\textit{arfpy}$ combines the method's reduced requirements in tuning efforts and computational resources with a user-friendly python interface. This supplies audiences across scientific fields with software to generate data effortlessly.
39.2LGMar 16
xplainfi: Feature Importance and Statistical Inference for Machine Learning in RLukas Burk, Fiona Katharina Ewald, Giuseppe Casalicchio et al.
We introduce xplainfi, an R package built on top of the mlr3 ecosystem for global, loss-based feature importance methods for machine learning models. Various feature importance methods exist in R, but significant gaps remain, particularly regarding conditional importance methods and associated statistical inference procedures. The package implements permutation feature importance, conditional feature importance, relative feature importance, leave-one-covariate-out, and generalizations thereof, and both marginal and conditional Shapley additive global importance methods. It provides a modular conditional sampling architecture based on Gaussian distributions, adversarial random forests, conditional inference trees, and knockoff-based samplers, which enable conditional importance analysis for continuous and mixed data. Statistical inference is available through multiple approaches, including variance-corrected confidence intervals and the conditional predictive impact framework. We demonstrate that xplainfi produces importance scores consistent with existing implementations across multiple simulation settings and learner types, while offering competitive runtime performance. The package is available on CRAN and provides researchers and practitioners with a comprehensive toolkit for feature importance analysis and model interpretation in R.
MLJun 6, 2024Code
A Large-Scale Neutral Comparison Study of Survival Models on Low-Dimensional DataLukas Burk, John Zobolas, Bernd Bischl et al.
This work presents the first large-scale neutral benchmark experiment focused on single-event, right-censored, low-dimensional survival data. Benchmark experiments are essential in methodological research to scientifically compare new and existing model classes through proper empirical evaluation. Existing benchmarks in the survival literature are smaller in scale regarding the number of used datasets and extent of empirical evaluation. They often lack appropriate tuning or evaluation procedures, while other comparison studies focus on qualitative reviews rather than quantitative comparisons. This comprehensive study aims to fill the gap by neutrally evaluating a broad range of methods and providing generalizable guidelines for practitioners. We benchmark 19 models, ranging from classical statistical approaches to many common machine learning methods, on 34 publicly available datasets. The benchmark tunes models using both a discrimination measure (Harrell's C-index) and a scoring rule (Integrated Survival Brier Score), and evaluates them across six metrics covering discrimination, calibration, and overall predictive performance. Despite superior average ranks in overall predictive performance from individual learners like oblique random survival forests and likelihood-based boosting, and better discrimination rankings from multiple boosting- and tree-based methods as well as parametric survival models, no method significantly outperforms the commonly used Cox proportional hazards model for either tuning measure. We conclude that for predictive purposes in the standard survival analysis setting of low-dimensional, right-censored data, the Cox Proportional Hazards model remains a simple and robust method, sufficient for most practitioners. All code, data, and results are publicly available on GitHub https://github.com/slds-lmu/paper_2023_survival_benchmark
MEJan 28, 2019Code
Testing Conditional Independence in Supervised Learning AlgorithmsDavid S. Watson, Marvin N. Wright
We propose the conditional predictive impact (CPI), a consistent and unbiased estimator of the association between one or several features and a given outcome, conditional on a reduced feature set. Building on the knockoff framework of Candès et al. (2018), we develop a novel testing procedure that works in conjunction with any valid knockoff sampler, supervised learning algorithm, and loss function. The CPI can be efficiently computed for high-dimensional data without any sparsity constraints. We demonstrate convergence criteria for the CPI and develop statistical inference procedures for evaluating its magnitude, significance, and precision. These tests aid in feature and model selection, extending traditional frequentist and Bayesian techniques to general supervised learning tasks. The CPI may also be applied in causal discovery to identify underlying multivariate graph structures. We test our method using various algorithms, including linear regression, neural networks, random forests, and support vector machines. Empirical results show that the CPI compares favorably to alternative variable importance measures and other nonparametric tests of conditional independence on a diverse array of real and simulated datasets. Simulations confirm that our inference procedures successfully control Type I error and achieve nominal coverage probability. Our method has been implemented in an R package, cpi, which can be downloaded from https://github.com/dswatson/cpi.
MLDec 19, 2025
Imputation Uncertainty in Interpretable Machine Learning MethodsPegah Golchian, Marvin N. Wright
In real data, missing values occur frequently, which affects the interpretation with interpretable machine learning (IML) methods. Recent work considers bias and shows that model explanations may differ between imputation methods, while ignoring additional imputation uncertainty and its influence on variance and confidence intervals. We therefore compare the effects of different imputation methods on the confidence interval coverage probabilities of the IML methods permutation feature importance, partial dependence plots and Shapley values. We show that single imputation leads to underestimation of variance and that, in most cases, only multiple imputation is close to nominal coverage.
MLFeb 18
Machine Learning in EpidemiologyMarvin N. Wright, Lukas Burk, Pegah Golchian et al.
In the age of digital epidemiology, epidemiologists are faced by an increasing amount of data of growing complexity and dimensionality. Machine learning is a set of powerful tools that can help to analyze such enormous amounts of data. This chapter lays the methodological foundations for successfully applying machine learning in epidemiology. It covers the principles of supervised and unsupervised learning and discusses the most important machine learning methods. Strategies for model evaluation and hyperparameter optimization are developed and interpretable machine learning is introduced. All these theoretical parts are accompanied by code examples in R, where an example dataset on heart disease is used throughout the chapter.
78.7IVMay 5
Multimodal synthesis of MRI and tabular data with diffusion in a joint latent space via cross-attentionDaniel Mensing, Jan Kapar, Jochen G. Hirsch et al.
We propose a multimodal latent diffusion model that jointly synthesizes volumetric magnetic resonance imaging (MRI) and tabular clinical data within a shared latent space via cross-attention. This approach enables coherent joint representation learning of MRI and tabular modalities for generative modeling. Our model utilizes a variational autoencoder to fuse the two modalities before diffusion-based synthesis, allowing modality-appropriate reconstruction with separate decoders for MRI and tabular data. We evaluated the framework on data from the German National Cohort (NAKO Gesundheitsstudie), comprising over 10,000 participants with MRI scans and clinical tabular features such as age, sex, body measurements, and ethnicity. The generated MRI volumes exhibited anatomical plausibility and body composition consistent with the synthesized tabular attributes. Quantitative evaluation using Fréchet distance and precision-recall metrics confirmed high-fidelity image generation. In the tabular modality, our model outperformed CTGAN across standard evaluation metrics and achieved results comparable to TVAE, demonstrating competitive performance relative to established unimodal baselines. This work is, to our knowledge, the first to demonstrate the feasibility of jointly modeling MRI and mixed-type tabular data in a single latent diffusion framework, offering a proof-of-concept for generating coherent synthetic multimodal patient data and aligning with the broader goal of developing digital twins in healthcare.
MLApr 19, 2024
A Guide to Feature Importance Methods for Scientific InferenceFiona Katharina Ewald, Ludwig Bothmann, Marvin N. Wright et al.
While machine learning (ML) models are increasingly used due to their high predictive power, their use in understanding the data-generating process (DGP) is limited. Understanding the DGP requires insights into feature-target associations, which many ML models cannot directly provide due to their opaque internal mechanisms. Feature importance (FI) methods provide useful insights into the DGP under certain conditions. Since the results of different FI methods have different interpretations, selecting the correct FI method for a concrete use case is crucial and still requires expert knowledge. This paper serves as a comprehensive guide to help understand the different interpretations of global FI methods. Through an extensive review of FI methods and providing new proofs regarding their interpretation, we facilitate a thorough understanding of these methods and formulate concrete recommendations for scientific inference. We conclude by discussing options for FI uncertainty estimation and point to directions for future research aiming at full statistical inference from black-box ML models.
MLApr 17, 2024
Toward Understanding the Disagreement Problem in Neural Network Feature AttributionNiklas Koenen, Marvin N. Wright
In recent years, neural networks have demonstrated their remarkable ability to discern intricate patterns and relationships from raw data. However, understanding the inner workings of these black box models remains challenging, yet crucial for high-stake decisions. Among the prominent approaches for explaining these black boxes are feature attribution methods, which assign relevance or contribution scores to each input variable for a model prediction. Despite the plethora of proposed techniques, ranging from gradient-based to backpropagation-based methods, a significant debate persists about which method to use. Various evaluation metrics have been proposed to assess the trustworthiness or robustness of their results. However, current research highlights disagreement among state-of-the-art methods in their explanations. Our work addresses this confusion by investigating the explanations' fundamental and distributional behavior. Additionally, through a comprehensive simulation study, we illustrate the impact of common scaling and encoding techniques on the explanation quality, assess their efficacy across different effect sizes, and demonstrate the origin of inconsistency in rank-based evaluation metrics.
MLMar 15, 2024
Interpretable Machine Learning for Survival AnalysisSophie Hanna Langbein, Mateusz Krzyziński, Mikołaj Spytek et al.
With the spread and rapid advancement of black box machine learning models, the field of interpretable machine learning (IML) or explainable artificial intelligence (XAI) has become increasingly important over the last decade. This is particularly relevant for survival analysis, where the adoption of IML techniques promotes transparency, accountability and fairness in sensitive areas, such as clinical decision making processes, the development of targeted therapies, interventions or in other medical or healthcare related contexts. More specifically, explainability can uncover a survival model's potential biases and limitations and provide more mathematically sound ways to understand how and which features are influential for prediction or constitute risk factors. However, the lack of readily available IML methods may have deterred medical practitioners and policy makers in public health from leveraging the full potential of machine learning for predicting time-to-event data. We present a comprehensive review of the limited existing amount of work on IML methods for survival analysis within the context of the general IML taxonomy. In addition, we formally detail how commonly used IML methods, such as such as individual conditional expectation (ICE), partial dependence plots (PDP), accumulated local effects (ALE), different feature importance measures or Friedman's H-interaction statistics can be adapted to survival outcomes. An application of several IML methods to real data on data on under-5 year mortality of Ghanaian children from the Demographic and Health Surveys (DHS) Program serves as a tutorial or guide for researchers, on how to utilize the techniques in practice to facilitate understanding of model decisions or predictions.
MLFeb 7, 2025
Gradient-based Explanations for Deep Learning Survival ModelsSophie Hanna Langbein, Niklas Koenen, Marvin N. Wright
Deep learning survival models often outperform classical methods in time-to-event predictions, particularly in personalized medicine, but their "black box" nature hinders broader adoption. We propose a framework for gradient-based explanation methods tailored to survival neural networks, extending their use beyond regression and classification. We analyze the implications of their theoretical assumptions for time-dependent explanations in the survival setting and propose effective visualizations incorporating the temporal dimension. Experiments on synthetic data show that gradient-based methods capture the magnitude and direction of local and global feature effects, including time dependencies. We introduce GradSHAP(t), a gradient-based counterpart to SurvSHAP(t), which outperforms SurvSHAP(t) and SurvLIME in a computational speed vs. accuracy trade-off. Finally, we apply these methods to medical data with multi-modal inputs, revealing relevant tabular features and visual patterns, as well as their temporal dynamics.
LGOct 17, 2024
Fast Estimation of Partial Dependence Functions using TreesJinyang Liu, Tessa Steensgaard, Marvin N. Wright et al.
Many existing interpretation methods are based on Partial Dependence (PD) functions that, for a pre-trained machine learning model, capture how a subset of the features affects the predictions by averaging over the remaining features. Notable methods include Shapley additive explanations (SHAP) which computes feature contributions based on a game theoretical interpretation and PD plots (i.e., 1-dim PD functions) that capture average marginal main effects. Recent work has connected these approaches using a functional decomposition and argues that SHAP values can be misleading since they merge main and interaction effects into a single local effect. However, a major advantage of SHAP compared to other PD-based interpretations has been the availability of fast estimation techniques, such as \texttt{TreeSHAP}. In this paper, we propose a new tree-based estimator, \texttt{FastPD}, which efficiently estimates arbitrary PD functions. We show that \texttt{FastPD} consistently estimates the desired population quantity -- in contrast to path-dependent \texttt{TreeSHAP} which is inconsistent when features are correlated. For moderately deep trees, \texttt{FastPD} improves the complexity of existing methods from quadratic to linear in the number of observations. By estimating PD functions for arbitrary feature subsets, \texttt{FastPD} can be used to extract PD-based interpretations such as SHAP, PD plots and higher-order interaction effects.
MLJan 19, 2025
Conditional Feature Importance with Generative Modeling Using Adversarial Random ForestsKristin Blesch, Niklas Koenen, Jan Kapar et al.
This paper proposes a method for measuring conditional feature importance via generative modeling. In explainable artificial intelligence (XAI), conditional feature importance assesses the impact of a feature on a prediction model's performance given the information of other features. Model-agnostic post hoc methods to do so typically evaluate changes in the predictive performance under on-manifold feature value manipulations. Such procedures require creating feature values that respect conditional feature distributions, which can be challenging in practice. Recent advancements in generative modeling can facilitate this. For tabular data, which may consist of both categorical and continuous features, the adversarial random forest (ARF) stands out as a generative model that can generate on-manifold data points without requiring intensive tuning efforts or computational resources, making it a promising candidate model for subroutines in XAI methods. This paper proposes cARFi (conditional ARF feature importance), a method for measuring conditional feature importance through feature values sampled from ARF-estimated conditional distributions. cARFi requires only little tuning to yield robust importance scores that can flexibly adapt for conditional or marginal notions of feature importance, including straightforward extensions to condition on feature subsets and allows for inferring the significance of feature importances through statistical tests.
QMAug 19, 2025
Can synthetic data reproduce real-world findings in epidemiology? A replication study using tree-based generative AIJan Kapar, Kathrin Günther, Lori Ann Vallis et al.
Generative artificial intelligence for synthetic data generation holds substantial potential to address practical challenges in epidemiology. However, many current methods suffer from limited quality, high computational demands, and complexity for non-experts. Furthermore, common evaluation strategies for synthetic data often fail to directly reflect statistical utility. Against this background, a critical underexplored question is whether synthetic data can reliably reproduce key findings from epidemiological research. We propose the use of adversarial random forests (ARF) as an efficient and convenient method for synthesizing tabular epidemiological data. To evaluate its performance, we replicated statistical analyses from six epidemiological publications and compared original with synthetic results. These publications cover blood pressure, anthropometry, myocardial infarction, accelerometry, loneliness, and diabetes, based on data from the German National Cohort (NAKO Gesundheitsstudie), the Bremen STEMI Registry U45 Study, and the Guelph Family Health Study. Additionally, we assessed the impact of dimensionality and variable complexity on synthesis quality by limiting datasets to variables relevant for individual analyses, including necessary derivations. Across all replicated original studies, results from multiple synthetic data replications consistently aligned with original findings. Even for datasets with relatively low sample size-to-dimensionality ratios, the replication outcomes closely matched the original results across various descriptive and inferential analyses. Reducing dimensionality and pre-deriving variables further enhanced both quality and stability of the results.
MLJul 21, 2025
Missing value imputation with adversarial random forests -- MissARFPegah Golchian, Jan Kapar, David S. Watson et al.
Handling missing values is a common challenge in biostatistical analyses, typically addressed by imputation methods. We propose a novel, fast, and easy-to-use imputation method called missing value imputation with adversarial random forests (MissARF), based on generative machine learning, that provides both single and multiple imputation. MissARF employs adversarial random forest (ARF) for density estimation and data synthesis. To impute a missing value of an observation, we condition on the non-missing values and sample from the estimated conditional distribution generated by ARF. Our experiments demonstrate that MissARF performs comparably to state-of-the-art single and multiple imputation methods in terms of imputation quality and fast runtime with no additional costs for multiple imputation.
MLSep 3, 2021
Relating the Partial Dependence Plot and Permutation Feature Importance to the Data Generating ProcessChristoph Molnar, Timo Freiesleben, Gunnar König et al.
Scientists and practitioners increasingly rely on machine learning to model data and draw conclusions. Compared to statistical modeling approaches, machine learning makes fewer explicit assumptions about data structures, such as linearity. However, their model parameters usually cannot be easily related to the data generating process. To learn about the modeled relationships, partial dependence (PD) plots and permutation feature importance (PFI) are often used as interpretation methods. However, PD and PFI lack a theory that relates them to the data generating process. We formalize PD and PFI as statistical estimators of ground truth estimands rooted in the data generating process. We show that PD and PFI estimates deviate from this ground truth due to statistical biases, model variance and Monte Carlo approximation errors. To account for model variance in PD and PFI estimation, we propose the learner-PD and the learner-PFI based on model refits, and propose corrected variance and confidence interval estimators.
MLJul 9, 2021
Generalization of the Change of Variables Formula with Applications to Residual FlowsNiklas Koenen, Marvin N. Wright, Peter Maaß et al.
Normalizing flows leverage the Change of Variables Formula (CVF) to define flexible density models. Yet, the requirement of smooth transformations (diffeomorphisms) in the CVF poses a significant challenge in the construction of these models. To enlarge the design space of flows, we introduce $\mathcal{L}$-diffeomorphisms as generalized transformations which may violate these requirements on zero Lebesgue-measure sets. This relaxation allows e.g. the use of non-smooth activation functions such as ReLU. Finally, we apply the obtained results to planar, radial, and contractive residual flows.
MLMay 11, 2016
Unbiased split variable selection for random survival forests using maximally selected rank statisticsMarvin N. Wright, Theresa Dankowski, Andreas Ziegler
The most popular approach for analyzing survival data is the Cox regression model. The Cox model may, however, be misspecified, and its proportionality assumption may not always be fulfilled. An alternative approach for survival prediction is random forests for survival outcomes. The standard split criterion for random survival forests is the log-rank test statistics, which favors splitting variables with many possible split points. Conditional inference forests avoid this split variable selection bias. However, linear rank statistics are utilized by default in conditional inference forests to select the optimal splitting variable, which cannot detect non-linear effects in the independent variables. An alternative is to use maximally selected rank statistics for the split point selection. As in conditional inference forests, splitting variables are compared on the p-value scale. However, instead of the conditional Monte-Carlo approach used in conditional inference forests, p-value approximations are employed. We describe several p-value approximations and the implementation of the proposed random forest approach. A simulation study demonstrates that unbiased split variable selection is possible. However, there is a trade-off between unbiased split variable selection and runtime. In benchmark studies of prediction performance on simulated and real datasets the new method performs better than random survival forests if informative dichotomous variables are combined with uninformative variables with more categories and better than conditional inference forests if non-linear covariate effects are included. In a runtime comparison the method proves to be computationally faster than both alternatives, if a simple p-value approximation is used.
MLAug 18, 2015
ranger: A Fast Implementation of Random Forests for High Dimensional Data in C++ and RMarvin N. Wright, Andreas Ziegler
We introduce the C++ application and R package ranger. The software is a fast implementation of random forests for high dimensional data. Ensembles of classification, regression and survival trees are supported. We describe the implementation, provide examples, validate the package with a reference implementation, and compare runtime and memory usage with other implementations. The new software proves to scale best with the number of features, samples, trees, and features tried for splitting. Finally, we show that ranger is the fastest and most memory efficient implementation of random forests to analyze data on the scale of a genome-wide association study.