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Random Forest

Last updated Sep 23, 2022 Edit Source

Example of an Ensemble method. They are non-parametric

They work by taking a vote from a set of deep decision trees. Two key ingredients to help ensure the deep decision trees make independent errors

  1. Bootstrapping: generate different “versions” of your dataset
    • Usually done by sampling with replacement $n$ times, this creates a bootstrap sample
    • On average, this maintains roughly the same distribution as the original
  2. Random Trees: grow decision trees that incorporates some randomness
    • Randomly sample a small number of possible features (typically $\sqrt d$)
    • Only consider these random features when searching for the optimal rule so splits will tend to use different features in different trees