Large Scale Prediction with Decision Trees

AbstractThis paper shows that decision trees constructed with Classification and Regression Trees (CART) and C4.5 methodology are consistent for regression and classification tasks, even when the number of predictor variables grows sub-exponentially with the sample size, under natural 0-norm and 1-norm sparsity constraints. The theory applies to a wide range of models, including (ordinary or logistic) additive regression models with component functions that are continuous, of bounded variation, or, more generally, Borel measurable. Consistency holds for arbitrary joint distributions of the predictor variables, thereby accommodating continuous, discrete, and/or dependent data. Finally, we show that these qualitative properties of individual trees are inherited by Breiman’s random forests. A key step in the analysis is the establishment of an oracle inequality, which allows for a precise characterization of the goodness-of-fit and complexity tradeoff for a mis-specified model.Keywords: CARTC4.5random forestsinterpretable machine learningoracle inequalityDisclaimerAs a service to authors and researchers we are providing this version of an accepted manuscript (AM). Copyediting, typesetting, and review of the resulting proofs will be undertaken on this manuscript before final publication of the Version of Record (VoR). During production and pre-press, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal relate to these versions also.