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Register a new userThe art of BART: On flexibility of Bayesian forests
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Seonghyun Jeong
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
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Considerable effort has been directed to developing asymptotically minimax procedures in problems of recovering functions and densities. These methods often rely on somewhat arbitrary and restrictive assumptions such as isotropy or spatial homogeneity. This work enhances theoretical understanding of Bayesian forests (including BART) under substantially relaxed smoothness assumptions. In particular, we provide a comprehensive study of asymptotic optimality and posterior contraction of Bayesian forests when the regression function has anisotropic smoothness that possibly varies over the function domain. We introduce a new class of sparse piecewise heterogeneous anisotropic H{o}lder functions and derive their minimax rate of estimation in high-dimensional scenarios under the $L_2$ loss. Next, we find that the default Bayesian CART prior, coupled with a subset selection prior for sparse estimation in high-dimensional scenarios, adapts to unknown heterogeneous smoothness and sparsity. These results show that Bayesian forests are uniquely suited for more general estimation problems which would render other default machine learning tools, such as Gaussian processes, suboptimal. Beyond nonparametric regression, we also show that Bayesian forests can be successfully applied to many other problems including density estimation and binary classification.
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Since their inception in the 1980s, regression trees have been one of the more widely used non-parametric prediction methods. Tree-structured methods yield a histogram reconstruction of the regression surface, where the bins correspond to terminal nodes of recursive partitioning. Trees are powerful, yet susceptible to over-fitting. Strategies against overfitting have traditionally relied on pruning greedily grown trees. The Bayesian framework offers an alternative remedy against overfitting through priors. Roughly speaking, a good prior charges smaller trees where overfitting does not occur. While the consistency of random histograms, trees and their ensembles has been studied quite extensively, the theoretical understanding of the Bayesian counterparts has been missing. In this paper, we take a step towards understanding why/when do Bayesian trees and their ensembles not overfit. To address this question, we study the speed at which the posterior concentrates around the true smooth regression function. We propose a spike-and-tree variant of the popular Bayesian CART prior and establish new theoretical results showing that regression trees (and their ensembles) (a) are capable of recovering smooth regression surfaces, achieving optimal rates up to a log factor, (b) can adapt to the unknown level of smoothness and (c) can perform effective dimension reduction when p>n. These results provide a piece of missing theoretical evidence explaining why Bayesian trees (and additive variants thereof) have worked so well in practice.
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For estimating a lower bounded location or mean parameter for a symmetric and logconcave density, we investigate the frequentist performance of the $100(1-alpha)%$ Bayesian HPD credible set associated with priors which are truncations of flat priors onto the restricted parameter space. Various new properties are obtained. Namely, we identify precisely where the minimum coverage is obtained and we show that this minimum coverage is bounded between $1-frac{3alpha}{2}$ and $1-frac{3alpha}{2}+frac{alpha^2}{1+alpha}$; with the lower bound $1-frac{3alpha}{2}$ improving (for $alpha leq 1/3$) on the previously established ([9]; [8]) lower bound $frac{1-alpha}{1+alpha}$. Several illustrative examples are given.
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