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arXiv 2103.15965cs.LGstat.AP
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强最优分类树

Strong Optimal Classification Trees

University of Southern California(南加州大学);Center for Artificial Intelligence in Society(社会人工智能中心)

Sina Aghaei, Andrés Gómez, Phebe Vayanos

AI总结:

针对现有基于混合整数优化的最优二分类树方法收敛慢、最优性间隙大的问题,提出基于流的强MIO公式化及定制Benders分解方法,速度提升29倍,样本外性能最高提升8%。

摘要:

决策树是最受欢迎的机器学习模型之一,常规应用于收益管理、医学、生物信息学等诸多领域。本文研究带单变量分裂的最优二分类树学习问题。近年来,受启发式方法经验上存在次优性、混合整数优化(MIO)技术大幅提升的驱动,该领域相关文献迅速增长。然而,现有文献中基于MIO的方法并未充分发挥MIO的能力:它们依赖弱公式化,导致收敛速度慢、最优性间隙大。为填补该文献空白,我们提出一种直观的基于流的MIO公式化方法,用于学习最优二分类树。我们的公式化方法可容纳侧约束,以支持可解释、公平的决策树设计。此外,我们证明,在二值数据场景下,我们的公式化方法比现有方法具有更强的线性优化松弛。我们利用该公式化的可分解结构以及最大流/最小割对偶性,推导了一种Benders分解方法以加快计算速度。我们提出了一种定制流程来求解每个分解后的子问题,该流程可证明能生成MIO可行集的面作为约束,添加到主问题中。我们在标准基准数据集上开展了大量计算实验,结果表明,我们提出的方法比最先进的基于MIO的技术快29倍,且将样本外性能提升最高达8%。

英文摘要:

Decision trees are among the most popular machine learning models and are used routinely in applications ranging from revenue management and medicine to bioinformatics. In this paper, we consider the problem of learning optimal binary classification trees with univariate splits. Literature on the topic has burgeoned in recent years, motivated both by the empirical suboptimality of heuristic approaches and the tremendous improvements in mixed-integer optimization (MIO) technology. Yet, existing MIO-based approaches from the literature do not leverage the power of MIO to its full extent: they rely on weak formulations, resulting in slow convergence and large optimality gaps. To fill this gap in the literature, we propose an intuitive flow-based MIO formulation for learning optimal binary classification trees. Our formulation can accommodate side constraints to enable the design of interpretable and fair decision trees. Moreover, we show that our formulation has a stronger linear optimization relaxation than existing methods in the case of binary data. We exploit the decomposable structure of our formulation and max-flow/min-cut duality to derive a Benders' decomposition method to speed-up computation. We propose a tailored procedure for solving each decomposed subproblem that provably generates facets of the feasible set of the MIO as constraints to add to the main problem. We conduct extensive computational experiments on standard benchmark datasets on which we show that our proposed approaches are 29 times faster than state-of-the-art MIO-based techniques and improve out-of-sample performance by up to 8%.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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