用随机控制理论解析随机森林的分裂机制,揭示其内在风险结构。
CART Random Forests as Sequential Allocation over Random Opportunity Sets: A Stochastic-Control Theory of Ensemble Risk

- 将特征子采样视为随机可行动作集,分裂规则看作带掩码的分配策略。
- 证明分裂策略能局部稳定不平衡,但全局上对整体误差不最优。
- 为线性模型推导出明确的均方误差展开式,适合研究理论机制者。
CART 随机森林是广泛应用的现代预测方法,虽实证效果良好,但机制层面常被视为黑箱。本文提出一种基于随机控制的视角,称作 CART 随机机会集分配(CART-ROSA)。在每个节点,特征子集被视作随机可行动作集,分裂规则则为带掩码的动作分配策略。该策略诱导一个信息分裂状态的受控随机过程,其终态分布决定单棵树误差及树间交互项的森林均方误差(MSE)。此框架通过分离两个设计杠杆——特征子采样带来的信息机会率,以及掩码内分裂策略的收缩强度——打开了黑箱。我们证明了 CART 策略具有局部稳定性:它压缩信息分裂分配的不平衡,并集中终端树结构。但在系统层面,该策略对森林目标可能全局次优。针对线性模型,我们显式推导出 MSE 风险展开式。结果表明,运筹学视角使原本难以从算法描述中触及的理论空白变得可处理。
原文摘要 · Abstract (English)
CART random forests are among the most widely used modern predictive methods, with well-documented empirical success. Yet, at the mechanistic level, the algorithm is often treated as a black box because of its complexity. In this paper, we develop a stochastic-control perspective on feature-subsampled CART random forests, named CART random opportunity-set allocation (CART-ROSA). At each node, the random subset of features is interpreted as a random feasible action set, and the CART split rule as a masked-action allocation policy. This policy induces a controlled stochastic process over informative split-count states, whose terminal law determines both single-tree error and cross-tree interaction terms in the forest mean squared error (MSE). Such representation opens the black box of CART-forests by separating two design levers: the informative-opportunity rate induced by feature subsampling, and the contraction strength from the within-mask split policy. We establish that the CART policy is locally stabilizing: it contracts imbalances in informative split allocations and concentrates terminal tree geometry. At the system level, however, it can be globally suboptimal for the forest objective. Specializing to the linear model, we derive the MSE risk expansion explicitly. Our results show how an operations-research perspective makes tractable a theoretical gap difficult to access from the standard algorithmic description of CART forests.
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