RandomForest for Regression in R

Question

I'm experimenting with R and the randomForest Package, I have some experience with SVM and Neural Nets. My first test is to try and regress: sin(x)+gaussian noise. With Neural Nets and svm I obtain a "relatively" nice approximation of sin(x) so the noise is filtered out and the learning algorithm doesn't overfit. (for decent parameters) When doing the same on randomForest I have a completely overfitted solution. I simply use (R 2.14.0, tried on 2.14.1 too, just in case):

library("randomForest")
x<-seq(-3.14,3.14,by=0.00628)
noise<-rnorm(1001)
y<-sin(x)+noise/4
mat<-matrix(c(x,y),ncol=2,dimnames=list(NULL,c("X","Y")))
plot(x,predict(randomForest(Y~.,data=mat),mat),col="green")
points(x,y)

I guess there is a magic option in randomForest to make it work correctly, I tried a few but I did not find the right lever to pull...

Answer 1

You can use maxnodes to limit the size of the trees, as in the examples in the manual.

r <- randomForest(Y~.,data=mat, maxnodes=10)
plot(x,predict(r,mat),col="green")
points(x,y)

Answer 2

You can do a lot better (rmse ~ 0.04, $R^2$ > 0.99) by training individual trees on small samples or bites as Breiman called them

Since there is a significant amount of noise in the training data, this problem is really about smoothing rather than generalization. In general machine learning terms this requires increasing regularization. For ensemble learner this means trading strength for diversity.

Diversity of randomForests can be increasing by reducing the number of candidate feature per split (mtry in R) or the training set of each tree (sampsize in R). Since there is only 1 input dimesions, mtry does not help, leaving sampsize. This leads to a 3.5x improvement in RMSE over the default settings and >6x improvement over the noisy training data itself. Since increased divresity means increased variance in the prediction of the individual learners, we also need to increase the number of trees to stabilize the ensemble prediction.

small bags, more trees :: rmse = 0.04:

>sd(predict(randomForest(Y~.,data=mat, sampsize=60, nodesize=2,
                         replace=FALSE, ntree=5000),
            mat)
    - sin(x))
[1] 0.03912643

default settings :: rmse=0.14:

> sd(predict(randomForest(Y~.,data=mat),mat) - sin(x))
[1] 0.1413018

error due to noise in training set :: rmse = 0.25

> sd(y - sin(x))
[1] 0.2548882

The error due to noise is of course evident from

noise<-rnorm(1001)
y<-sin(x)+noise/4

In the above the evaluation is being done against the training set, as it is in the original question. Since the issue is smoothing rather than generalization, this is not as egregious as it may seem, but it is reassuring to see that out of bag evaluation shows similar accuracy:

> sd(predict(randomForest(Y~.,data=mat, sampsize=60, nodesize=2,
                          replace=FALSE, ntree=5000))
     - sin(x))
[1] 0.04059679