To Bag is to Prune (2008.07063v5)

Abstract: It is notoriously difficult to build a bad Random Forest (RF). Concurrently, RF blatantly overfits in-sample without any apparent consequence out-of-sample. Standard arguments, like the classic bias-variance trade-off or double descent, cannot rationalize this paradox. I propose a new explanation: bootstrap aggregation and model perturbation as implemented by RF automatically prune a latent "true" tree. More generally, randomized ensembles of greedily optimized learners implicitly perform optimal early stopping out-of-sample. So there is no need to tune the stopping point. By construction, novel variants of Boosting and MARS are also eligible for automatic tuning. I empirically demonstrate the property, with simulated and real data, by reporting that these new completely overfitting ensembles perform similarly to their tuned counterparts -- or better.