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I am currently dealing with a binary classification task on imbalanced data with the following distribution: 

y_train: 4981 positive / 863894 negative samples  
y_test:  128  positive / 128309 negative samples

The goal is to aim for a high precision (as little false negatives as possible).

How do I go on about choosing the weights for the random forest?

I tried to balance out the y_train ratio by assigning weight 1 to "negative" and 173 to "positive", but that still caused all the samples to be assigned to negative.

At this point, should I already consider this a problem with the features used, or should I try to assign higher weights with GridSearch (roc_auc as scoring parameter) and set the decision-threshold higher first?

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  • $\begingroup$ As an idea: you could use boosting since it often works well on imbalanced data and there are tools to specify the class weights, e.g. in LightGBM (pos_bagging_fraction) or in Catboost (scale_pos_weight). $\endgroup$
    – Peter
    Aug 8, 2019 at 11:49
  • $\begingroup$ @Peter Thanks for the suggestion! I am planning to try gradient boosting as well, but for my first attempts I will go with random forests as they train faster and have a class_weight option as well $\endgroup$
    – Doflaminhgo
    Aug 8, 2019 at 13:02
  • $\begingroup$ When you use L1 regularization (aka lasso) you can achieve „automatic“ best feature selection. This would also be an argument for boosting, I guess $\endgroup$
    – Peter
    Aug 8, 2019 at 13:53

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I totally missed out on the fact, that the RandomForestClassifier accepts the values “balanced” and “balanced_subsample” to automatically assign the weights as per documentation

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