Mondrian forests: Efficient random forests for streaming data via Bayesian nonparametrics

author: Yee Whye Teh, Department of Statistics, University of Oxford
published: Oct. 29, 2014,   recorded: September 2014,   views: 8507


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Ensembles of randomized decision trees are widely used for classification and regression tasks in machine learning and statistics. They achieve competitive predictive performance and are computationally efficient to train (batch setting) and test, making them excellent candidates for real world prediction tasks. However, the most popular variants (such as Breiman's random forest and extremely randomized trees) work only in the batch setting and cannot handle streaming data easily. In this talk, I will present Mondrian Forests, where random decision trees are generated from a Bayesian nonparametric model called a Mondrian process (Roy and Teh, 2009). Making use of the remarkable consistency properties of the Mondrian process, we develop a variant of extremely randomized trees that can be constructed in an incremental fashion efficiently, thus making their use on streaming data simple and efficient. Experiments on real world classification tasks demonstrate that Mondrian Forests achieve competitive predictive performance comparable with existing online random forests and periodically retrained batch random forests, while being more than an order of magnitude faster, thus representing a better computation vs accuracy tradeoff.

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