Methods and systems for automatic selection of classification and regression trees having preferred consistency and accuracy
Abstract:
Methods and systems for automatically identifying and selecting preferred classification and regression trees are disclosed. Embodiments of the disclosed invention may be used to identify a specific decision tree or group of preferred trees that are predictively consistent across train and test samples evaluated against at least one node-specific constraint imposed by the decision-maker, while also having high predictive performance accuracy. Specifically, for a tree to be identified as preferred by embodiments of the disclosed invention, the train and test samples when evaluated node-by-node must agree on at least one key measure of predictive consistency. In addition to this node-by-node criterion, the decision-maker may adjust selection constraints to permit selection of a tree having a small number of node-by-node consistency disagreements, but with high overall tree predictive performance accuracy.
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