Interpretable Quantile Regression by Optimal Decision Trees

Recent work has shown that well-optimized individual decision trees can match complex black box models in some settings, primarily in noisy domains. For the remaining settings, however, complex ensembled compositions of trees often achieve higher accuracy at the cost of interpretability, leaving practitioners with difficult modeling decisions along an accuracy-interpretability tradeoff. Ideally, we would like to classify as much of the data as possible with one or a small number of trees, achieving interpretability for most samples while maintaining state-of-the-art accuracy. We introduce Multistage Defer Trees: a sequence of sparse decision trees that each make predictions for most samples, while deferring a small proportion to the next tree in the sequence or, ultimately, to a black box. We demonstrate that we can train this model class to match the performance of complex tree-based ensembles while routing most samples through only one or a small number of sparse decision trees. We discuss a range of techniques for training these models while maintaining simplicity. Our method expands the accuracy--interpretability frontier in settings where single-tree methods remain insufficient, demonstrating that even when complex models are necessary, they need not be fully opaque.

Model trees provide an appealing way to perform interpretable machine learning for both classification and regression problems. In contrast to ``classic'' decision trees with constant values in their leaves, model trees can use linear combinations of predictor variables in their leaf nodes to form predictions, which can help achieve higher accuracy and smaller trees. Typical algorithms for learning model trees from training data work in a greedy fashion, growing the tree in a top-down manner by recursively splitting the data into smaller and smaller subsets. Crucially, the selected splits are only locally optimal, potentially rendering the tree overly complex and less accurate than a tree whose structure is globally optimal for the training data. In this paper, we empirically investigate the effect of constructing globally optimal model trees for classification and regression with linear support vector machines at the leaf nodes. To this end, we present mixed-integer linear programming formulations to learn optimal trees, compute such trees for a large collection of benchmark data sets, and compare their performance against greedily grown model trees in terms of interpretability and accuracy. We also compare to classic optimal and greedily grown decision trees, random forests, and support vector machines. Our results show that optimal model trees can achieve competitive accuracy with very small trees. We also investigate the effect on the accuracy of replacing axis-parallel splits with multivariate ones, foregoing interpretability while potentially obtaining greater accuracy.

Random forests (RFs) predict well but are opaque, whereas single decision trees are interpretable but unstable. Artificial representative trees (ARTs) were developed as interpretable surrogate models for RFs, but their use as standalone prediction models with uncertainty quantification has not been systematically investigated. We combine ARTs with leaf-wise Mondrian conformal predictive systems (CPS), enabling a single tree to provide continuous predictions, prediction intervals, and probabilities of exceeding arbitrary thresholds. We compared ARTs with CPS against decision trees with CPS and separate regression and probability trees across five simulation scenarios, 21 benchmark datasets, and a cross-sectional NHANES example data set. Repeated cross-validation assessed predictive performance, interpretability, and stability. ARTs with CPS yield compact, structurally stable trees with substantially more reproducible split-variable selection than decision trees across benchmark datasets and NHANES. Decision trees showed slightly better predictive performance and narrower prediction intervals, while coverage was broadly comparable. CPS-based trees generally achieved lower and less variable Brier scores than multi-model approaches. Combining ARTs with CPS therefore provides a single, interpretable, and stable model for continuous predictions and calibrated probabilities, balancing predictive performance with reproducibility and transparency in settings where stability and interpretability are essential.