Evaluating High-Variance Leaves as Uncertainty Measure for Random Forest Regression

Uncertainty measures estimate the reliability of a predictive model. Especially in the field of molecular property prediction as part of drug design, model reliability is crucial. Besides other techniques, Random Forests have a long tradition in machine learning related to chemoinformatics and are widely used. Random Forests consist of an ensemble of individual regression models, namely, decision trees and, therefore, provide an uncertainty measure already by construction. Regarding the disagreement of single-model predictions, a narrower distribution of predictions is interpreted as a higher reliability. The standard deviation of the decision tree ensemble predictions is the default uncertainty measure for Random Forests. Due to the increasing application of machine learning in drug design, there is a constant search for novel uncertainty measures that, ideally, outperform classical uncertainty criteria. When analyzing Random Forests, it appears obvious to consider the variance of the dependent variables within each terminal decision tree leaf to obtain predictive uncertainties. Hereby, predictions that arise from more leaves of high variance are considered less reliable. Expectedly, the number of such high-variance leaves yields a reasonable uncertainty measure. Depending on the dataset, it can also outperform ensemble uncertainties. However, small-scale comparisons, i.e., considering only a few datasets, are insufficient, since they are more prone to chance correlations. Therefore, large-scale estimations are required to make general claims about the performance of uncertainty measures. On several chemoinformatic regression datasets, high-variance leaves are compared to the standard deviation of ensemble predictions. It turns out that high-variance leaf uncertainty is meaningful, not superior to the default ensemble standard deviation. A brief possible explanation is offered.