In this example, we will illustrate several ways of dealing with categorical variables when using grf.

One of the approaches below relies on grf’s sister package sufrep. Let’s install and load it first.

library(grf)
install.packages("https://github.com/grf-labs/sufrep/blob/master/sufrep_0.1.0.tar.gz?raw=true", repos = NULL, type = "source")
#> Installing package into '/tmp/RtmpMA3g0E/temp_libpath7d252b4b86f1'
#> (as 'lib' is unspecified)
library(sufrep)

Let’s pretend we would like to estimate mileage per gallon (mpg) from number of cylinders (cyl), quarter-mile time (qsec), and car brand name (brand, created below).

# Create a categorical column with brand name
df <- within(mtcars, {
  # E.g. 'Mazda RX4' --> 'Mazda'
  brand <- factor(sapply(rownames(mtcars), function(x) strsplit(x, " ")[[1]][1]))
})

x <- c("cyl", "qsec") # Continuous variables
g <- c("brand")       # Categorical variable

head(df[c(x, g)])
#>                   cyl  qsec   brand
#> Mazda RX4           6 16.46   Mazda
#> Mazda RX4 Wag       6 17.02   Mazda
#> Datsun 710          4 18.61  Datsun
#> Hornet 4 Drive      6 19.44  Hornet
#> Hornet Sportabout   8 17.02  Hornet
#> Valiant             6 20.22 Valiant

This code would raise an error, because data is not numerical.

# rf <- regression_forest(X=df[c(x, g)], Y=df$mpg)

We can consider three approaches here.

  • Simply assign integers to each category (convert ‘AMC’ to 1, ‘Cadillac’ to 2, etc.)
  • One-hot encode the categories (as many binary columns as there are categories)
  • Use a sufficient representation of the category. Here we will use the means method from the sufrep package.

The last method involves substituting the brand column by averages of the continuous columns cyl and qsec, grouped by category. If you are curious about why that works, or would like to know more about sufficient representations, please check out our sufrep paper (ArXiv).

# Solution 1: Transform variable into numbers
X1 <- within(df[c(x, g)], brand <- as.numeric(brand))
rf1 <- regression_forest(X1, df$mpg)


# Solution 2: One-hot encoding
X2 <- model.matrix(~ 0 + ., df[c(x, g)])
rf2 <- regression_forest(X2, df$mpg)


# Solution 3: 'Means' encoding using the 'sufrep' package
encoder <- make_encoder(df[x], df$brand, method="means")
X3 <- encoder(df[x], df$brand)
#> [1] 22  2
rf3 <- regression_forest(X3, df$mpg)

Different approaches can yield different forest performance.

mse1 <- mean(rf1$debiased.error)
mse2 <- mean(rf2$debiased.error)
mse3 <- mean(rf3$debiased.error)

print("MSE when representing categorical variables as...")
#> [1] "MSE when representing categorical variables as..."
print(paste0("Integers: ", mse1))
#> [1] "Integers: 15.6558414382405"
print(paste0("One-hot vectors: ", mse2))
#> [1] "One-hot vectors: 14.6681216279153"
print(paste0("'Means' encoding [sufrep]: ", mse3))
#> [1] "'Means' encoding [sufrep]: 14.4303582052086"