Classification Tree Pruning Under Covariate Shift
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We consider the problem of pruning a classification tree, that is, selecting a suitable subtree that balances bias and variance, in common situations with inhomogeneous training data. Namely, assuming access to mostly data from a distribution P_X, Y, but little data from a desired distribution Q_X, Y with different X-marginals, we present the first efficient procedure for optimal pruning in such situations, when cross-validation and other penalized variants are grossly inadequate. Optimality is derived with respect to a notion of average discrepancy P_X→ Q_X (averaged over X space) which significantly relaxes a recent notion – termed transfer-exponent – shown to tightly capture the limits of classification under such a distribution shift. Our relaxed notion can be viewed as a measure of relative dimension between distributions, as it relates to existing notions of information such as the Minkowski and Renyi dimensions.
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