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"""
=============================
OOB Errors for Random Forests
=============================
The ``RandomForestClassifier`` is trained using *bootstrap aggregation*, where
each new tree is fit from a bootstrap sample of the training observations
:math:`z_i = (x_i, y_i)`. The *out-of-bag* (OOB) error is the average error for
each :math:`z_i` calculated using predictions from the trees that do not
contain :math:`z_i` in their respective bootstrap sample. This allows the
``RandomForestClassifier`` to be fit and validated whilst being trained [1]_.
The example below demonstrates how the OOB error can be measured at the
addition of each new tree during training. The resulting plot allows a
practitioner to approximate a suitable value of ``n_estimators`` at which the
error stabilizes.
.. [1] T. Hastie, R. Tibshirani and J. Friedman, "Elements of Statistical
Learning Ed. 2", p592-593, Springer, 2009.
"""
# Author: Kian Ho <hui.kian.ho@gmail.com>
# Gilles Louppe <g.louppe@gmail.com>
# Andreas Mueller <amueller@ais.uni-bonn.de>
#
# License: BSD 3 Clause
from collections import OrderedDict
import matplotlib.pyplot as plt
from sklearn.datasets import make_classification
from sklearn.ensemble import RandomForestClassifier
RANDOM_STATE = 123
# Generate a binary classification dataset.
X, y = make_classification(
n_samples=500,
n_features=25,
n_clusters_per_class=1,
n_informative=15,
random_state=RANDOM_STATE,
)
# NOTE: Setting the `warm_start` construction parameter to `True` disables
# support for parallelized ensembles but is necessary for tracking the OOB
# error trajectory during training.
ensemble_clfs = [
(
"RandomForestClassifier, max_features='sqrt'",
RandomForestClassifier(
warm_start=True,
oob_score=True,
max_features="sqrt",
random_state=RANDOM_STATE,
),
),
(
"RandomForestClassifier, max_features='log2'",
RandomForestClassifier(
warm_start=True,
max_features="log2",
oob_score=True,
random_state=RANDOM_STATE,
),
),
(
"RandomForestClassifier, max_features=None",
RandomForestClassifier(
warm_start=True,
max_features=None,
oob_score=True,
random_state=RANDOM_STATE,
),
),
]
# Map a classifier name to a list of (<n_estimators>, <error rate>) pairs.
error_rate = OrderedDict((label, []) for label, _ in ensemble_clfs)
# Range of `n_estimators` values to explore.
min_estimators = 15
max_estimators = 150
for label, clf in ensemble_clfs:
for i in range(min_estimators, max_estimators + 1, 5):
clf.set_params(n_estimators=i)
clf.fit(X, y)
# Record the OOB error for each `n_estimators=i` setting.
oob_error = 1 - clf.oob_score_
error_rate[label].append((i, oob_error))
# Generate the "OOB error rate" vs. "n_estimators" plot.
for label, clf_err in error_rate.items():
xs, ys = zip(*clf_err)
plt.plot(xs, ys, label=label)
plt.xlim(min_estimators, max_estimators)
plt.xlabel("n_estimators")
plt.ylabel("OOB error rate")
plt.legend(loc="upper right")
plt.show()
|
