decForestRFit¶

Purpose¶

Fit a decision forest regression model.

Format¶

dfm = decForestRFit(y_train, x_train[, dfc])¶

Parameters:

y_train (Nx1 vector) – The dependent variable.
x_train (NxP matrix.) – The independent variables.

dfc (struct) –

Optional input, an instance of the dfControl structure. For an instance named, dfc the members are:

dfc.numTrees	Scalar, number of trees (must be integer). Default = 100
dfc.obsPerTree	Scalar, observations per a tree. Default = 1.0.
dfc.featurePerNode	Scalar, number of features considered at a node. Default = nvars/3.
dfc.maxTreeDepth	Scalar, maximum tree depth. Default = unlimited.
dfc.minObsNode	Scalar, minimum observations per node. Default = 1.
dfc.impurityThreshold	Scalar, impurity threshold. Default = 0.
dfc.oobError	Scalar, 1 to compute OOB error, 0 otherwise. Default = 0.
dfc.variableImpurityMethod	Scalar, method of calculating variable importance. 0 = none, 1 = mean decrease in impurity 2 = mean decrease in accuracy (MDA), 3 = scaled MDA. Default = 0.

Returns:

dfm (struct) –

An instance of the dfModel structure. An instance named dfm will have the following members:

dfm.variableImportance	Matrix, 1 x p, variable importance measure if computation of variable importance is specified, zero otherwise.
dfm.oobError	Scalar, out-of-bag error if OOB error computation is specified, zero otherwise.
dfm.numClasses	Scalar, number of classes if classification model, zero otherwise.

Examples¶

new;
library gml;

/*
** Load and transform data
*/

// Load hitters dataset
dataset = getGAUSSHome $+ "pkgs/gml/examples/hitters.xlsx";

// Load salary and perform natural log transform
y = loadd(dataset, "ln(salary)");

// Load all variables except 'salary'
X = loadd(dataset, ". - salary");

/*
** Split into test and training sets
*/

// Set seed for repeatable sampling
rndseed 234234;

// Split data into training and test sets
{ y_train, y_test, X_train, X_test } = trainTestSplit(y, X, 0.7);

/*
** Estimate decision forest model
*/

// Declare 'dfc' to be a dfControl structure
// and fill with default settings.
struct dfControl dfc;
dfc = dfControlCreate();

// Turn on variable importance
dfc.variableImportanceMethod = 1;

// Turn on OOB error
dfc.oobError = 1;

// Structure to hold model results
struct dfModel mdl;

// Fit training data using decision forest
mdl = decForestRFit(y_train, X_train, dfc);

// OOB Error
print "Out-of-bag error:" mdl.oobError;

The code above will print the following output:

random forest test MSE:      0.23044959

Remarks¶

The dfModel structure contains a fourth, internally used member, opaqueModel, which contains model details used by decForestPredict().