A faster training algorithm for regression trees with linear leaves, and an analysis of its complexity
Kuat Gazizov, Miguel A. Carreira-Perpinan
We consider the Tree Alternating Optimization (TAO) algorithm to train regression trees with linear predictors in the leaves. Unlike the traditional, greedy recursive partitioning algorithms such as CART, TAO guarantees a monotonic decrease of the objective function and results in smaller trees of much better accuracy. We modify the TAO algorithm so that it produces exactly the same result but is much faster, particularly for high input dimensionality or deep trees. The idea is based on the fact that, at each iteration of TAO, each leaf receives only a subset of the training instances. Thus, the optimization of the leaf model can be done exactly but faster by using the Sherman-Morrison-Woodbury formula. This has the unexpected advantage that, once a tree exceeds a critical depth, then making it deeper makes it faster to train, even though the tree is larger and has more parameters. Indeed, this can make learning a nonlinear model (the tree) asymptotically faster than a regular linear regression model. We analyze the corresponding computational complexity and verify the speedups experimentally in various datasets. The argument can be applied to other types of trees, whenever the optimization of a node can be computed in superlinear time of the number of instances.