English

Extrapolated cross-validation for randomized ensembles

Methodology 2023-12-19 v3 Machine Learning

Abstract

Ensemble methods such as bagging and random forests are ubiquitous in various fields, from finance to genomics. Despite their prevalence, the question of the efficient tuning of ensemble parameters has received relatively little attention. This paper introduces a cross-validation method, ECV (Extrapolated Cross-Validation), for tuning the ensemble and subsample sizes in randomized ensembles. Our method builds on two primary ingredients: initial estimators for small ensemble sizes using out-of-bag errors and a novel risk extrapolation technique that leverages the structure of prediction risk decomposition. By establishing uniform consistency of our risk extrapolation technique over ensemble and subsample sizes, we show that ECV yields δ\delta-optimal (with respect to the oracle-tuned risk) ensembles for squared prediction risk. Our theory accommodates general ensemble predictors, only requires mild moment assumptions, and allows for high-dimensional regimes where the feature dimension grows with the sample size. As a practical case study, we employ ECV to predict surface protein abundances from gene expressions in single-cell multiomics using random forests. In comparison to sample-split cross-validation and KK-fold cross-validation, ECV achieves higher accuracy avoiding sample splitting. At the same time, its computational cost is considerably lower owing to the use of the risk extrapolation technique. Additional numerical results validate the finite-sample accuracy of ECV for several common ensemble predictors under a computational constraint on the maximum ensemble size.

Keywords

Cite

@article{arxiv.2302.13511,
  title  = {Extrapolated cross-validation for randomized ensembles},
  author = {Jin-Hong Du and Pratik Patil and Kathryn Roeder and Arun Kumar Kuchibhotla},
  journal= {arXiv preprint arXiv:2302.13511},
  year   = {2023}
}

Comments

Accepted by the Journal of Computational and Graphical Statistics

R2 v1 2026-06-28T08:50:08.798Z