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I wonder whether the Meinshausen's quantile regression forest algorithm (and generalized random forests) use this fast implementation in the "grf" package. I know that most of the grf contributors are also ranger contributors but I want to be sure ; I am not familiar with C/C++ routines.
Indeed, I am working on the adaptation of forests methods for extreme quantile regression and I would like to run a proper version of Meinshausen's algorithm, in order to compare the sensitivity of the fast implementation for extreme rainfall prediction.
Thanks in advance,
Max
The text was updated successfully, but these errors were encountered:
Hello @MaxTailt, grf's quantile_forest method does not actually implement Meinshausen's quantile regression forest algorithm. A major difference is that grf makes splits that are sensitive to quantiles, whereas Meinshausen's method uses standard CART splits. The grf paper gives more details on the difference in section 5: https://arxiv.org/pdf/1610.01271.pdf.
I haven't taken a close look at the performance optimization in lorismichel/quantregForest#3 to see whether it could apply to grf. Currently we don't have any similar optimization.
Hello @jtibshirani
Thanks for you response.
I understood the differences between grf splits and standard CART splits.
But I read in the doc that grf's quantile_forest method is Meinshausen's algorithm by setting the option regression.splitting=TRUE
And so what happen to performance optimization with regression.splitting=TRUE ?
Hi all,
I have seen in the R packages ranger and quantregForest that a fast version of quantile computation is currently used, see :
imbs-hl/ranger#207
lorismichel/quantregForest#3
I wonder whether the Meinshausen's quantile regression forest algorithm (and generalized random forests) use this fast implementation in the "grf" package. I know that most of the grf contributors are also ranger contributors but I want to be sure ; I am not familiar with C/C++ routines.
Indeed, I am working on the adaptation of forests methods for extreme quantile regression and I would like to run a proper version of Meinshausen's algorithm, in order to compare the sensitivity of the fast implementation for extreme rainfall prediction.
Thanks in advance,
Max
The text was updated successfully, but these errors were encountered: