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UF enhanced parameters to match GRF #453

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@rflperry rflperry commented Mar 9, 2021

Reference issue

None

Type of change

Feature request

What does this implement/fix?

Adds additional parameters to Uncertainty Forest to better match the generalized random forest implementations in econml, the R grf, and the theory in general. Also parallelizes the learning of the decision trees in order to speed up fitting. The added parameters are as follows:

  • max_features (the number of features considered at each split node. Was all features before but most random forests use less than that by default)
  • poisson_sampler (technical detail to match the grf theory)
  • n_jobs (parallelization)
  • max_samples : (the number of samples subsampled for use in each tree. Was all samples before but conventional honest forests use 0.5*n_samples by default)

@rflperry rflperry added the draft In progress PR label Mar 9, 2021
@rflperry rflperry changed the title working prototype UF enhanced parameters to match GRF Mar 9, 2021
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black formatting is needed on the files changed~

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