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Adaptive Decision Tree Methods
April 21 @ 11:00 am - 12:00 pm
Matias Cattaneo, Princeton University
This talk is based on two recent papers: 1. “On the Pointwise Behavior of Recursive Partitioning and Its Implications for Heterogeneous Causal Effect Estimation” and 2. “Convergence Rates of Oblique Regression Trees for Flexible
1. Decision tree learning is increasingly being used for pointwise inference. Important applications include causal heterogenous treatment effects and dynamic policy decisions, as well as conditional quantile regression and design of experiments, where tree estimation and inference is conducted at specific values of the covariates. In this paper, we call into question the use of decision trees (trained by adaptive recursive partitioning) for such purposes by demonstrating that they can fail to achieve polynomial rates of convergence in uniform norm, even with pruning. Instead, the convergence may be poly-logarithmic or, in some important special cases, such as honest regression trees, fail completely. We show that random forests can remedy the situation, turning poor performing trees into nearly optimal procedures, at the cost of losing interpretability and introducing two additional tuning parameters. The two hallmarks of random forests, subsampling and the random feature selection mechanism, are seen to each distinctively contribute to achieving nearly optimal performance for the model class considered.
2. We develop a theoretical framework for the analysis of oblique decision trees, where the splits at each decision node occur at linear combinations of the covariates (as opposed to conventional tree constructions that force axis-aligned splits involving only a single covariate).
While this methodology has garnered significant attention from the computer science and optimization communities since the mid-80s, the advantages they offer over their axis-aligned counterparts remain only empirically justified, and explanations for their success are largely based on heuristics. Filling this long-standing gap between theory and practice, we show that oblique regression trees (constructed by recursively minimizing squared error) satisfy a type of oracle inequality and can adapt to a rich library of regression models consisting of
linear combinations of ridge functions and their limit points. This provides a quantitative baseline to compare and contrast decision trees with other less interpretable methods, such as projection pursuit regression and neural networks, which target similar model forms. Contrary to popular belief, one need not always trade-off interpretability with accuracy. Specifically, we show that, under suitable conditions, oblique decision trees achieve similar predictive accuracy as neural networks for the same library of regression models. To address the combinatorial complexity of finding the optimal splitting hyperplane at each decision node, our proposed theoretical framework can accommodate many existing computational tools in the literature.
Our results rely on (arguably surprising) connections between recursive adaptive partitioning and sequential greedy approximation algorithms for convex optimization problems (e.g., orthogonal greedy algorithms), which may be of independent theoretical interest.
Bio: Matias D. Cattaneo is a Professor of Operations Research and Financial Engineering (ORFE) at Princeton University, where he is also an Associated Faculty in the Department of Economics, the Center for Statistics and Machine Learning (CSML), and the Program in Latin American Studies (PLAS). His research spans econometrics, statistics, data science and decision science, with particular interests in program evaluation and causal inference. As part of his main research agenda, he has developed novel semi-/non-parametric, high-dimensional, and machine learning inference procedures with demonstrably superior robustness to tuning parameter and other implementation choices. Matias was elected Fellow of the Institute of Mathematical Statistics (IMS) in 2022.