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.. _df_regression:
Regression Decision Forest
--------------------------
.. toctree::
:glob:
:maxdepth: 4
Decision forest regression is a special case of the :ref:`decision_forest` model.
Details
=======
Given:
- :math:`n` feature vectors :math:`X = \{x_1 = (x_{11}, \ldots, x_{1p}), \ldots, x_n = (x_{n1}, \ldots, x_{np}) \}`
of size :math:`p`;
- their non-negative sample weights :math:`w = (w_1, \ldots, w_n)`;
- the vector of responses :math:`y = (y_1, \ldots, y_n)`
The problem is to build a decision forest regression model that minimizes the Mean-Square Error (MSE) between the predicted and true value.
Training Stage
**************
Decision forest regression follows the algorithmic framework of decision forest training algorithm
based on the mean-squared error (MSE) [Breiman84]_.
If sample weights are provided as input, the library uses a weighted version of the algorithm.
MSE is an impurity metric (:math:`D` is a set of observations that reach the node), calculated as follows:
.. tabularcolumns:: |\Y{0.2}|\Y{0.8}|
.. list-table:: Decision Forest Regression: impurity calculations
:widths: 10 10
:header-rows: 1
:align: left
:class: longtable
* - Without sample weights
- With sample weights
* - :math:`I_{\mathrm{MSE}}\left(D\right) = \frac{1}{W(D)} \sum _{i=1}^{W(D)}{\left(y_i - \frac{1}{W(D)} \sum _{j=1}^{W(D)} y_j \right)}^{2}`
- :math:`I_{\mathrm{MSE}}\left(D\right) = \frac{1}{W(D)} \sum _{i \in D}{w_i \left(y_i - \frac{1}{W(D)} \sum _{j \in D} w_j y_j \right)}^{2}`
* - :math:`W(S) = \sum_{s \in S} 1`, which is equivalent to the number of elements in :math:`S`
- :math:`W(S) = \sum_{s \in S} w_s`
Prediction Stage
****************
Given decision forest regression model and vectors :math:`x_1, \ldots, x_r`, the problem is to calculate the responses for those
vectors. To solve the problem for each given query vector :math:`x_i`, the algorithm finds the leaf node in a tree in the
forest that gives the response by that tree as the mean of
dependent variables. The forest predicts the response as the mean
of responses from trees.
Out-of-bag Error
****************
Decision forest regression follows the algorithmic framework for
calculating the decision forest out-of-bag (OOB) error, where
aggregation of the out-of-bag predictions in all trees and
calculation of the OOB error of the decision forest is done as
follows:
- For each vector :math:`x_i` in the dataset :math:`X`, predict its response :math:`\hat{y_i}`
as the mean of prediction from the trees that contain :math:`x_i` in their OOB set:
:math:`\hat{y_i} = \frac{1}{{|B}_{i}|}\sum _{b=1}^{|B_i|}\hat{y_{ib}}`, where :math:`B_i= \bigcup{T_b}: x_i \in \overline{D_b}` and :math:`\hat{y_{ib}}` is the result of prediction
:math:`x_i` by :math:`T_b`.
- Calculate the OOB error of the decision forest T as the Mean-Square Error (MSE):
.. math::
OOB(T) = \frac{1}{|{D}^{\text{'}}|}\sum _{{y}_{i} \in {D}^{\text{'}}}\sum {(y_i-\hat{y_i})}^{2}, \text{where } {D}^{\text{'}}={\bigcup}_{b=1}^{B}\overline{{D}_{b}}
- If OOB error value per each observation is required, then calculate the prediction error for :math:`x_i`:
.. math::
OOB(x_i) = {(y_i-\hat{y_i})}^{2}
Batch Processing
================
Decision forest regression follows the general workflow described in :ref:`decision_forest`.
Training
********
For the description of the input and output, refer to :ref:`regression_usage_model`.
Decision forest regression training parameters are described in :ref:`df_batch`
Output
******
In addition to the output of regression described in :ref:`regression_usage_model`,
decision forest regression calculates the result of decision forest.
For more details, refer to :ref:`df_batch`.
Prediction
**********
For the description of the input and output, refer to :ref:`regression_usage_model`.
In addition to the parameters of regression, decision forest
regression has the following parameters at the prediction stage:
.. tabularcolumns:: |\Y{0.15}|\Y{0.15}|\Y{0.7}|
.. list-table:: Prediction Parameters for Decision Forest Regression (Batch Processing)
:widths: 10 10 60
:header-rows: 1
:align: left
:class: longtable
* - Parameter
- Default Value
- Description
* - ``algorithmFPType``
- ``float``
- The floating-point type that the algorithm uses for intermediate computations. Can be ``float`` or ``double``.
* - ``method``
- ``defaultDense``
- The computation method used by the decision forest regression. The
only prediction method supported so far is the default dense method.
Examples
********
.. tabs::
.. tab:: oneAPI DPC++
Batch Processing:
- :ref:`dpc_df_reg_hist_batch.cpp`
.. tab:: oneAPI C++
Batch Processing:
- :ref:`cpp_df_reg_dense_batch.cpp`
.. tab:: C++ (CPU)
Batch Processing:
- :cpp_example:`df_reg_default_dense_batch.cpp `
- :cpp_example:`df_reg_hist_dense_batch.cpp `
- :cpp_example:`df_reg_traverse_model.cpp `
.. tab:: Python*
Batch Processing:
- :daal4py_example:`decision_forest_regression_default_dense_batch.py`
- :daal4py_example:`decision_forest_regression_hist_batch.py`
- :daal4py_example:`decision_forest_regression_traverse_batch.py`