Ensemble methods for uplift modeling

Uplift modeling is a branch of machine learning which aims at predicting the causal effect of an action such as a marketing campaign or a medical treatment on a given individual by taking into account responses in a treatment group, containing individuals subject to the action, and a control group serving as a background. The resulting model can then be used to select individuals for whom the action will be most profitable. This paper analyzes the use of ensemble methods: bagging and random forests in uplift modeling. We perform an extensive experimental evaluation to demonstrate that the application of those methods often results in spectacular gains in model performance, turning almost useless single models into highly capable uplift ensembles. The gains are much larger than those achieved in case of standard classification. We show that those gains are a result of high ensemble diversity, which in turn is a result of the differences between class probabilities in the treatment and control groups being harder to model than the class probabilities themselves. The feature of uplift modeling which makes it difficult thus also makes it amenable to the application of ensemble methods. As a result, bagging and random forests emerge from our evaluation as key tools in the uplift modeling toolbox.