Random Multiclass Classification: Generalizing Random Forests to Random MNL and Random NB

Random Forests (RF) is a successful classifier exhibiting performance comparable to Adaboost, but is more robust. The exploitation of two sources of randomness, random inputs (bagging) and random features, make RF accurate classifiers in several domains. We hypothesize that methods other than classification or regression trees could also benefit from injecting randomness. This paper generalizes the RF framework to other multiclass classification algorithms like the well-established MultiNomial Logit (MNL) and Naive Bayes (NB). We propose Random MNL (RMNL) as a new bagged classifier combining a forest of MNLs estimated with randomly selected features. Analogously, we introduce Random Naive Bayes (RNB). We benchmark the predictive performance of RF, RMNL and RNB against state-of-the-art SVM classifiers. RF, RMNL and RNB outperform SVM. Moreover, generalizing RF seems promising as reflected by the improved predictive performance of RMNL.