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arXiv 1612.03225cs.LGmath.OCstat.ML
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Optimal Generalized Decision Trees via Integer Programming

IBM Research(IBM研究院);Lehigh University(理海大学);Argonne National Laboratory(阿贡国家实验室);Cornell University(康奈尔大学)

Oktay Gunluk, Jayant Kalagnanam, Minhan Li, Matt Menickelly, Katya Scheinberg

英文摘要:

Decision trees have been a very popular class of predictive models for decades due to their interpretability and good performance on categorical features. However, they are not always robust and tend to overfit the data. Additionally, if allowed to grow large, they lose interpretability. In this paper, we present a mixed integer programming formulation to construct optimal decision trees of a prespecified size. We take the special structure of categorical features into account and allow combinatorial decisions (based on subsets of values of features) at each node. Our approach can also handle numerical features via thresholding. We show that very good accuracy can be achieved with small trees using moderately-sized training sets. The optimization problems we solve are tractable with modern solvers.

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