Optimal Weighted Random Forests
This work addresses the issue of improving prediction accuracy in random forests for regression, offering incremental improvements over existing weighted methods.
The paper tackles the problem of suboptimal equal weighting in random forests for regression by proposing two optimal weighting algorithms (1step-WRF_opt and 2steps-WRF_opt), which outperform equal-weight forests and other weighted methods on real-world datasets in most cases.
The random forest (RF) algorithm has become a very popular prediction method for its great flexibility and promising accuracy. In RF, it is conventional to put equal weights on all the base learners (trees) to aggregate their predictions. However, the predictive performances of different trees within the forest can be very different due to the randomization of the embedded bootstrap sampling and feature selection. In this paper, we focus on RF for regression and propose two optimal weighting algorithms, namely the 1 Step Optimal Weighted RF (1step-WRF$_\mathrm{opt}$) and 2 Steps Optimal Weighted RF (2steps-WRF$_\mathrm{opt}$), that combine the base learners through the weights determined by weight choice criteria. Under some regularity conditions, we show that these algorithms are asymptotically optimal in the sense that the resulting squared loss and risk are asymptotically identical to those of the infeasible but best possible model averaging estimator. Numerical studies conducted on real-world data sets indicate that these algorithms outperform the equal-weight forest and two other weighted RFs proposed in existing literature in most cases.