Title: Posterior concentration for Bayesian regression trees and their ensembles
Authors: Veronika Rockova - University of Chicago (United States) [presenting]
Stephanie van der pas - Leiden university (Netherlands)
Abstract: Since their inception in the 1980's, 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. 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. 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.