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Understanding Random Forest

Random forests are an effective machine learning algorithm that uses an ensemble of decision trees to make classifications or predictions. Individual decision trees split the data into purer groups at each node based on features, but random forests introduce randomness. They use bagging, where each tree is trained on a random sample of data, and feature randomness, where each tree only considers a random subset of features at each node split. This causes the trees to make different predictions, reducing correlation and improving the overall accuracy of the random forest model compared to individual trees. The wisdom of crowds effect occurs as the uncorrelated trees combine their predictions to arrive at the most voted class or prediction.

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201 views

Understanding Random Forest

Random forests are an effective machine learning algorithm that uses an ensemble of decision trees to make classifications or predictions. Individual decision trees split the data into purer groups at each node based on features, but random forests introduce randomness. They use bagging, where each tree is trained on a random sample of data, and feature randomness, where each tree only considers a random subset of features at each node split. This causes the trees to make different predictions, reducing correlation and improving the overall accuracy of the random forest model compared to individual trees. The wisdom of crowds effect occurs as the uncorrelated trees combine their predictions to arrive at the most voted class or prediction.

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BS G
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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Understanding Random Forest

How the Algorithm Works and Why it Is So Effective

Tony Yiu
Follow
Jun 12 · 9 min read

A big part of machine learning is classification — we want to


know what class (a.k.a. group) an observation belongs to. The
ability to precisely classify observations is extremely valuable for
various business applications like predicting whether a
particular user will buy a product or forecasting whether a given
loan will default or not.

Data science provides a plethora of classification algorithms


such as logistic regression, support vector machine, naive Bayes
classifier, and decision trees. But near the top of the classifier
hierarchy is the random forest classifier (there is also the
random forest regressor but that is a topic for another day).

In this post, we will examine how basic decision trees work, how
individual decisions trees are combined to make a random
forest, and ultimately discover why random forests are so good
at what they do.

Decision Trees
Let’s quickly go over decision trees as they are the building
blocks of the random forest model. Fortunately, they are pretty
intuitive. I’d be willing to bet that most people have used a
decision tree, knowingly or not, at some point in their lives.

Simple Decision Tree Example

It’s probably much easier to understand how a decision tree


works through an example.

Imagine that our dataset consists of the numbers at the top of


the figure to the left. We have two 1s and five 0s (1s and 0s are
our classes) and desire to separate the classes using their
features. The features are color (red vs. blue) and whether the
observation is underlined or not. So how can we do this?

Color seems like a pretty obvious feature to split by as all but


one of the 0s are blue. So we can use the question, “Is it red?” to
split our first node. You can think of a node in a tree as the point
where the path splits into two — observations that meet the
criteria go down the Yes branch and ones that don’t go down the
No branch.
The No branch (the blues) is all 0s now so we are done there,
but our Yes branch can still be split further. Now we can use the
second feature and ask, “Is it underlined?” to make a second
split.

The two 1s that are underlined go down the Yes subbranch and
the 0 that is not underlined goes down the right subbranch and
we are all done. Our decision tree was able to use the two
features to split up the data perfectly. Victory!

Obviously in real life our data will not be this clean but the logic
that a decision tree employs remains the same. At each node, it
will ask —

What feature will allow me to split the observations at hand in


a way that the resulting groups are as different from each
other as possible (and the members of each resulting subgroup
are as similar to each other as possible)?

The Random Forest Classifier


Random forest, like its name implies, consists of a large number
of individual decision trees that operate as an ensemble. Each
individual tree in the random forest spits out a class prediction
and the class with the most votes becomes our model’s
prediction (see figure below).
Visualization of a Random Forest Model Making a Prediction

The fundamental concept behind random forest is a simple but


powerful one — the wisdom of crowds. In data science speak,
the reason that the random forest model works so well is:

A large number of relatively uncorrelated models


(trees) operating as a committee will outperform any
of the individual constituent models.

The low correlation between models is the key. Just like how
investments with low correlations (like stocks and bonds) come
together to form a portfolio that is greater than the sum of its
parts, uncorrelated models can produce ensemble predictions
that are more accurate than any of the individual
predictions. The reason for this wonderful effect is that
the trees protect each other from their individual
errors (as long as they don’t constantly all err in the same
direction). While some trees may be wrong, many other trees
will be right, so as a group the trees are able to move in the
correct direction. So the prerequisites for random forest to
perform well are:

1. There needs to be some actual signal in our features so that


models built using those features do better than random
guessing.
2. The predictions (and therefore the errors) made by the
individual trees need to have low correlations with each
other.

An Example of Why Uncorrelated


Outcomes are So Great
The wonderful effects of having many uncorrelated models is
such a critical concept that I want to show you an example to
help it really sink in. Imagine that we are playing the following
game:

 I use a uniformly distributed random number generator to


produce a number.
 If the number I generate is greater than or equal to 40, you
win (so you have a 60% chance of victory) and I pay you
some money. If it is below 40, I win and you pay me the
same amount.
 Now I offer you the the following choices. We can either:
1. Game 1 — play 100 times, betting $1 each time.
2. Game 2— play 10 times, betting $10 each time.
3. Game 3— play one time, betting $100.

Which would you pick? The expected value of each game is the
same:

Expected Value Game 1 = (0.60*1 + 0.40*-1)*100 = 20

Expected Value Game 2= (0.60*10 + 0.40*-10)*10 = 20

Expected Value Game 3= 0.60*100 + 0.40*-100 = 20

Outcome Distribution of 10,000 Simulations for each Game


What about the distributions? Let’s visualize the results with a
Monte Carlo simulation (we will run 10,000 simulations of each
game type; for example, we will simulate 10,000 times
the 100 plays of Game 1). Take a look at the chart on the left
— now which game would you pick? Even though the expected
values are the same, the outcome distributions are vastly
different going from positive and narrow (blue) to
binary (pink).

Game 1 (where we play 100 times) offers up the best chance of


making some money — out of the 10,000 simulations that
I ran, you make money in 97% of them! For Game 2
(where we play 10 times) you make money in 63% of the
simulations, a drastic decline (and a drastic increase in your
probability of losing money). And Game 3 that we only play
once, you make money in 60% of the simulations, as expected.

Probability of Making Money for Each Game

So even though the games share the same expected value, their
outcome distributions are completely different. The more we
split up our $100 bet into different plays, the more confident we
can be that we will make money. As mentioned previously, this
works because each play is independent of the other ones.

Random forest is the same — each tree is like one play in our
game earlier. We just saw how our chances of making money
increased the more times we played. Similarly, with a random
forest model, our chances of making correct predictions
increase with the number of uncorrelated trees in our model.

If you would like to run the code for simulating the game
yourself you can find it on my GitHub here.

Ensuring that the Models Diversify


Each Other
So how does random forest ensure that the behavior of each
individual tree is not too correlated with the behavior of any of
the other trees in the model? It uses the following two methods:

Bagging (Bootstrap Aggregation) — Decisions trees are


very sensitive to the data they are trained on — small
changes to the training set can result in significantly
different tree structures. Random forest takes advantage of
this by allowing each individual tree to randomly sample from
the dataset with replacement, resulting in different trees. This
process is known as bagging.

Notice that with bagging we are not subsetting the training data
into smaller chunks and training each tree on a different chunk.
Rather, if we have a sample of size N, we are still feeding each
tree a training set of size N (unless specified otherwise). But
instead of the original training data, we take a random sample
of size N with replacement. For example, if our training data
was [1, 2, 3, 4, 5, 6] then we might give one of our trees the
following list [1, 2, 2, 3, 6, 6]. Notice that both lists are of length
six and that “2” and “6” are both repeated in the randomly
selected training data we give to our tree (because we sample
with replacement).

Node splitting in a random forest model is based on a random subset of features for each tree.

Feature Randomness — In a normal decision tree, when it is


time to split a node, we consider every possible feature and pick
the one that produces the most separation between the
observations in the left node vs. those in the right node. In
contrast, each tree in a random forest can pick only from a
random subset of features. This forces even more variation
amongst the trees in the model and ultimately results in lower
correlation across trees and more diversification.

Let’s go through a visual example — in the picture above, the


traditional decision tree (in blue) can select from all four
features when deciding how to split the node. It decides to go
with Feature 1 (black and underlined) as it splits the data into
groups that are as separated as possible.

Now let’s take a look at our random forest. We will just examine
two of the forest’s trees in this example. When we check out
random forest Tree 1, we find that it it can only consider
Features 2 and 3 (selected randomly) for its node splitting
decision. We know from our traditional decision tree (in blue)
that Feature 1 is the best feature for splitting, but Tree 1 cannot
see Feature 1 so it is forced to go with Feature 2 (black and
underlined). Tree 2, on the other hand, can only see Features 1
and 3 so it is able to pick Feature 1.

So in our random forest, we end up with trees that are


not only trained on different sets of data (thanks to
bagging) but also use different features to make
decisions.

And that, my dear reader, creates uncorrelated trees that buffer


and protect each other from their errors.

Conclusion
Random forests are a personal favorite of mine. Coming from
the world of finance and investments, the holy grail was always
to build a bunch of uncorrelated models, each with a positive
expected return, and then put them together in a portfolio to
earn massive alpha (alpha = market beating returns). Much
easier said than done!

Random forest is the data science equivalent of that. Let’s


review one last time. What’s a random forest classifier?

The random forest is a classification algorithm consisting of


many decisions trees. It uses bagging and feature
randomness when building each individual tree to try
to create an uncorrelated forest of trees whose
prediction by committee is more accurate than that of any
individual tree.

What do we need in order for our random forest to make


accurate class predictions?

1. We need features that have at least some predictive


power. After all, if we put garbage in then we will get
garbage out.
2. The trees of the forest and more importantly their
predictions need to be uncorrelated (or at least have
low correlations with each other). While the algorithm itself
via feature randomness tries to engineer these low
correlations for us, the features we select and the hyper-
parameters we choose will impact the ultimate correlations
as well.

Thanks for reading. I hope you learned as much from reading


this as I did from writing it. Cheers!

More by me on data science and other machine


learning algorithms:

How Much Are Data Scientists Paid?

Understanding PCA (Principal Components Analysis)

Understanding Neural Networks

Logistic Regression
A/B Testing

The Binomial Distribution

Are Data Scientists at Risk of Being Automated?

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