Randomization Can Reduce Both Bias and Variance: A Case Study in Random Forests (2402.12668v2)

Abstract: We study the often overlooked phenomenon, first noted in \cite{breiman2001random}, that random forests appear to reduce bias compared to bagging. Motivated by an interesting paper by \cite{mentch2020randomization}, where the authors argue that random forests reduce effective degrees of freedom and only outperform bagging ensembles in low signal-to-noise ratio (SNR) settings, we explore how random forests can uncover patterns in the data missed by bagging. We empirically demonstrate that in the presence of such patterns, random forests reduce bias along with variance and increasingly outperform bagging ensembles when SNR is high. Our observations offer insights into the real-world success of random forests across a range of SNRs and enhance our understanding of the difference between random forests and bagging ensembles with respect to the randomization injected into each split. Our investigations also yield practical insights into the importance of tuning $mtry$ in random forests.