Random Forest Classifier Probabilities

Question

My dataset has 140k rows with 5 attributes and 1 Attrition as target variable (value can either be 0 (Customer churn) or 1 (Customer Does not churn)). I divided my dataset in 80% training and 20% testing. My dataset is heavily imbalanced. 84% of my dataset has 0 as target variable and only 16% has 1 as target variable.

The feature importance of my training dataset is as follows:

ColumnA = 28%, ColumnB = 27%, AnnualFee- 17%, ColumnD - 17% and ColumnE - 11%

I initially wanted to do a very simple check of my model. After creating a Random Forest Classifier I tested the model on a dataset with just 5 rows. I kept all variables constant except Column AnnualFee. Below is a snapshot of my test dataset:

 Column A   Column B    AnnualFee   ColumnD ColumnE
 4500       3.9          5%         2.1      7
 4500       3.9          10%        2.1      7
 4500       3.9          15%        2.1      7
 4500       3.9          20%        2.1      7
 4500       3.9          25%        2.1      7

I expected that as annual fee increases the probability of customer churn also increases. But my rf.predict_proba(X_test) seems to be all over the place. I am not sure why this is happening:

I tried two different codes but the anomaly seems to be happening on both the codes:

Code 1:

rf = RandomForestClassifier(n_estimators = 400,random_state = 0, 
min_samples_split=2,min_samples_leaf=5,
                      class_weight = {0:.0001,1:.9999})
rf.fit(X_train, Y_train )

Code 2: Not My Code - Got it Online

from sklearn.model_selection import StratifiedKFold
from sklearn.model_selection import GridSearchCV
clf_4 = RandomForestClassifier(class_weight = {0:1,1:5})
estimators_range = np.array([2,3,4,5,6,7,8,9,10,15,20,25])
depth_range = np.array([11,21,35,51,75,101,151,201,251,301,401,451,501])
kfold = 5
skf = StratifiedKFold(n_splits = kfold,random_state = 42)

model_grid = [{'max_depth': depth_range, 'n_estimators': estimators_range}]
grid = GridSearchCV(clf_4, model_grid, cv = StratifiedKFold(n_splits = 5, 
random_state = 42),n_jobs = 8, scoring = 'roc_auc')
grid.fit(X_train,Y_train)

I would really appreciate any help on this!

Answer 1

1. What do you mean by 'all over the place'? Have you tried actually using scoring measures such as accuracy scores, AUC, etc? These will play a vital role in determining how your model is performing. I'd suggest ROC AUC as to start off since accuracy will be pretty misleading due to the class imbalance.

2. The class weights you used make little sense. You usually would use something like n_samples / (n_classes * np.bincount(y)) for your weighting, but since sklearn provides automatic balancing of classes, you should probably use that by setting class_weights='balanced': http://scikit-learn.org/stable/modules/generated/sklearn.ensemble.RandomForestClassifier.html

Answer 2

You can directly enforce monotonicity. sklearns RF doesn't appear to support this (https://stats.stackexchange.com/questions/383423/how-to-enforce-a-monotonic-answer-in-a-single-feature-in-a-binary-classification), but XGBoost (https://xgboost.readthedocs.io/en/latest/tutorials/monotonic.html) and some others do.

Of course, improving the model in general is good (see Carlo's answer for some initial steps); and it's possible that your intuition for monotonicity just doesn't hold in reality.