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A Random Forests® model is an approach to solving classification and regression problems. The approach is both more accurate and more robust to changes in predictor variables than a single classification or regression tree. A broad, general description of the process is that Minitab Statistical Software builds a single tree from a bootstrap sample. Minitab randomly selects a smaller number of predictors out of the total number of predictors to evaluate the best splitter at each node. Minitab repeats this process to grow many trees. In the classification case, the classification from each tree is a vote for the predicted classification. For a given row of the data, the class with the most votes is the predicted class for that row in the data set.
To build a classification tree, the algorithm uses the Gini criterion to measure the impurity of nodes. For more details on the construction of a classification tree, go to Node splitting methods in CART® Classification. Details that are specific to Random Forests® follow.
To build each tree, the algorithm selects a random sample with replacement (bootstrap sample) from the full data set. Usually, each bootstrap sample is different and can contain a different number of unique rows from the original data set. If you use only out-of-bag validation, then the default size of the bootstrap sample is the size of the original data set. If you divide the sample into a training set and a test set, then the default size of the bootstrap sample is the same as the size of the training set. In either case, you have the option to specify that the bootstrap sample is smaller than the default size. On average, a bootstrap sample contains about 2/3 of the rows of data. The unique rows of data that are not in the bootstrap sample are the out-of-bag data for validation.
At each node in the tree, the algorithm randomly selects a subset of the total number of predictors, , to evaluate as splitters. By default, the algorithm chooses predictors to evaluate at each node. You have the option to choose a different number of predictors to evaluate, from 1 to . If you choose predictors, then the algorithm evaluates every predictor at every node, resulting in an analysis with the name "bootstrap forest."
In an analysis that uses a subset of predictors at each node, the evaluated predictors are usually different at each node. The evaluation of different predictors makes the trees in the forest less correlated with each other. The less-correlated trees create a slow learning effect so that the predictions improve as you build more trees.
The unique rows of data that are not part of the tree-building process for a given tree are the out-of-bag data. Calculations for measures of model performance, such as the average –log likelihood, make use of the out-of-bag data. For more details, go to Methods and formulas for the model summary in Random Forests® Classification.
For a given tree in the forest, a class vote for a row in the out-of-bag data is the predicted class for the row from the single tree. The predicted class for a row in out-of-bag data is the class with the highest vote across all trees in the forest.
The predicted class probability for a row in the out-of-bag data is the ratio of the number of votes for the class and the total votes for the row. Model validation uses the predicted classes, predicted class probabilities, and actual response values for all rows that appear at least once in the out-of-bag data.
where Vk is the number of trees that vote that row i is in class k and F is the number of trees in the forest.