iterative Random Forests (iRF)

The R package iRF implements iterative Random Forests, a method for iteratively growing ensemble of weighted decision trees, and detecting high-order feature interactions by analyzing feature usage on decision paths. This version uses source codes from the R package randomForest by Andy Liaw and Matthew Weiner and the original Fortran codes by Leo Breiman and Adele Cutler.

To download and install the package, use devtools

library(devtools)
devtools::install_github("karlkumbier/iRF2.0")

Alternatively, the package can be installed by downloading this repository and using the command:

R CMD INSTALL iRF2.0

You can subsequently load the package with the usual R commands:

library(iRF)

OSX users may need to intall gfortran to compile. This can be done with the following commands:

curl -OL http://r.research.att.com/libs/gfortran-4.8.2-darwin13.tar.bz2
sudo tar fvxz gfortran-4.8.2-darwin13.tar.bz2 -C /

Workflow Overview

Here is a brief description of the algorithm implemented in this package. It assumes the default behavior and is overly simplified, but should be enough to give you an general idea of what it happening under the hood.

1. Input a numeric feature matrix x and a response vector y.
2. Iteratively train n.iter random forests by doing...
   1. Populate the weight vector mtry.select.prob = rep(1, ncol(x)), which indicating the probabilty each feature would be chosen when training the random forests.
   2. Train a random forest with x and y, and save it for later use.
   3. Update mtry.select.prob with the Gini importance of each feature, so that the more prediction accuracy a certain feature provides, the more likely it will be selected in the next iteration.
   4. Repeat this routine n.iter times.
3. Find the random forest from the iteration with highest OOB accuracy, a.k.a. rand.forest.
4. Run Generalized RIT on rand.forest by calling gRIT, which does...
   1. Construct read.forest from rand.forest by calling readForest, which does...
      1. Construct read.forest$tree.info, a data frame where each row corresponds to a leaf node in rand.forest, and each column records some metadata about that leaf. This is mostly used to construct the following two matrices.
      2. Construct read.forest$node.feature, a numeric sparse matrix where each row corresponds to a leaf node in rand.forest, and each column records the split point of (the first appearance of) all features on the path to that leaf.
      3. Construct read.forest$node.obs, a boolean sparse matrix where each row corresponds to an observation, and each column records if that observation falls on a certain leaf in rand.forest. This means rowSums(node.obs) should be equal to rep(ntree, nrow(x)) where ntree is the number of trees in each forest.
   2. Subset read.forest, keeping only leaves whose prediction is rit.param$class.id (for classification), or is over a threshold rit.param$class.cut (for regression).
   3. Run Random Intersection Tree on read.forest$node.feature, with weight being the precision of each leaf times its size, i.e. the number of observations fallen into that leaf. For the RIT algorithm, each row/leaf node/decision path is considered as an observation. A total of rit.param$ntree RITs are grown, and the union of intersections recovered by these RITs are aggregated and stored to ints.eval for further inspection.
   4. Calculate importance metrics for the interactions in ints.eval across leaf nodes of rand.forest.
5. Run outer layer bootstrap stability analysis on ints.eval by calling stabilityScore, which does...
   1. Generate n.bootstrap bootstrap samples, a.k.a. bs.sample, and for each sample...
      1. Fit random forests on a sample.
      2. Extract significant interactions on the fitted forests by calling gRIT.
   2. Summarize interaction importance metrics across bootstrap samples.

Iterative reweighting assigns weights proportional the predictive power of a feature. As a result, component features of a significant intersection would be given more weight, and thus tend to appear earlier in the decision path. By keeping parts of high-order intersections in the path, we essentially reduce the order of these intersections. Note, however, that iterative reweighting doesn't seem to improve the accuracy of prediction.

See Iterative random forests to discover predictive and stable high-order interactions and Refining interaction search through signed iterative Random Forests for a much more in-depth description, but note that this code base has evolved since their publication.