Optimization of Tree Ensembles
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Abstract (arXiv)
Tree ensemble models such as random forests and boosted trees are among the most widely used and practically successful predictive models in applied machine learning and business analytics. Although such models have been used to make predictions based on exogenous, uncontrollable independent variables, they are increasingly being used to make predictions where the independent variables are controllable and are also decision variables. In this paper, we study the problem of tree ensemble optimization: given a tree ensemble that predicts some dependent variable using controllable independent variables, how should we set these variables so as to maximize the predicted value? We formulate the problem as a mixed-integer optimization problem. We theoretically examine the strength of our formulation, provide a hierarchy of approximate formulations with bounds on approximation quality and exploit the structure of the problem to develop two large-scale solution methods, one based on Benders decomposition and one based on iteratively generating tree split constraints. We test our methodology on real data sets, including two case studies in drug design and customized pricing, and show that our methodology can efficiently solve large-scale instances to near or full optimality, and outperforms solutions obtained by heuristic approaches. In our drug design case, we show how our approach can identify compounds that efficiently trade-off predicted performance and novelty with respect to existing, known compounds. In our customized pricing case, we show how our approach can efficiently determine optimal store-level prices under a random forest model that delivers excellent predictive accuracy.
Key facts. Cited by 26 papers in the map (data through 14 Oct 2026). First posted on arXiv 30 May 2017.
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Citing papers per year: 2021: 7; 2022: 10; 2023: 3; 2024: 1; 2025: 3; 2026: 2.
26 papers.
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- 2022OMLT: Optimization & Machine Learning Toolkitcited by 35
- 2021Mixed-Integer Optimization with Constraint Learningcited by 31
- 2021Strong Optimal Classification Treescited by 28
- 2021Optimization with Constraint Learning: A Framework and Surveycited by 28
- 2022Maximizing information from chemical engineering data sets: Applications to machine learningcited by 17
- 2022Learning Optimal Fair Classification Trees: Trade-offs Between Interpretability, Fairness, and Accuracycited by 15
- 2022Tree ensemble kernels for Bayesian optimization with known constraints over mixed-feature spacescited by 14
- 2021Multi-Objective Constrained Optimization for Energy Applications via Tree Ensemblescited by 12
- 2021Learning Optimal Prescriptive Trees from Observational Datacited by 10
- 2022Closing the Loop: A Framework for Trustworthy Machine Learning in Power Systemscited by 9
- 2022Counterfactual Explanations Using Optimization With Constraint Learningcited by 8
- 2021Rule Generation for Classification: Scalability, Interpretability, and Fairnesscited by 4
14 more
- 2023Global Optimization: A Machine Learning Approachcited by 4
- 2022Machine Learning-Augmented Optimization of Large Bilevel and Two-stage Stochastic Programs: Application to Cycling Network Designcited by 3
- 2025BARK: A Fully Bayesian Tree Kernel for Black-box Optimizationcited by 3
- 2022A Mathematical Programming Approach to Optimal Classification Forestscited by 2
- 2023Learning Optimal Classification Trees Robust to Distribution Shiftscited by 2
- 2025Global optimization of graph acquisition functions for neural architecture searchcited by 2
- 2021Optimizing over an ensemble of neural networkscited by 1
- 2022Constraint Learning to Define Trust Regions in Predictive-Model Embedded Optimizationcited by 1
- 2022Convex Surrogate Loss Functions for Contextual Pricing with Transaction Datacited by 1
- 2023Tight Mixed-Integer Optimization Formulations for Prescriptive Treescited by 1
- 2024Robotic warehousing operations: a learn-then-optimize approach to large-scale neighborhood searchcited by 1
- 2025Conformal Mixed-Integer Constraint Learning with Feasibility Guaranteescited by 1
- 2026Intersectional Fairness via Mixed-Integer Optimizationcited by 1
- 2026Deep Learning for Sequential Decision Making under Uncertainty: Foundations, Frameworks, and Frontierscited by 0
- 2026Deep Learning for Sequential Decision Making under Uncertainty: Foundations, Frameworks, and Frontiers13 Apr 2026
- 2026Intersectional Fairness via Mixed-Integer Optimization27 Jan 2026
- 2025Conformal Mixed-Integer Constraint Learning with Feasibility Guarantees4 Jun 2025
- 2025Global optimization of graph acquisition functions for neural architecture search29 May 2025
- 2025BARK: A Fully Bayesian Tree Kernel for Black-box Optimization7 Mar 2025
- 2024Robotic warehousing operations: a learn-then-optimize approach to large-scale neighborhood search29 Aug 2024
- 2023Global Optimization: A Machine Learning Approach3 Nov 2023
- 2023Learning Optimal Classification Trees Robust to Distribution Shifts26 Oct 2023
- 2023Tight Mixed-Integer Optimization Formulations for Prescriptive Trees28 Feb 2023
- 2022A Mathematical Programming Approach to Optimal Classification Forests18 Nov 2022
- 2022Counterfactual Explanations Using Optimization With Constraint Learning22 Sep 2022
- 2022Machine Learning-Augmented Optimization of Large Bilevel and Two-stage Stochastic Programs: Application to Cycling Network Design20 Sep 2022
14 more
- 2022Tree ensemble kernels for Bayesian optimization with known constraints over mixed-feature spaces2 Jul 2022
- 2022Closing the Loop: A Framework for Trustworthy Machine Learning in Power Systems14 Mar 2022
- 2022Convex Surrogate Loss Functions for Contextual Pricing with Transaction Data16 Feb 2022
- 2022OMLT: Optimization & Machine Learning Toolkit4 Feb 2022
- 2022Maximizing information from chemical engineering data sets: Applications to machine learning25 Jan 2022
- 2022Learning Optimal Fair Classification Trees: Trade-offs Between Interpretability, Fairness, and Accuracy24 Jan 2022
- 2022Constraint Learning to Define Trust Regions in Predictive-Model Embedded Optimization12 Jan 2022
- 2021Optimizing over an ensemble of neural networks13 Dec 2021
- 2021Mixed-Integer Optimization with Constraint Learning4 Nov 2021
- 2021Multi-Objective Constrained Optimization for Energy Applications via Tree Ensembles4 Nov 2021
- 2021Optimization with Constraint Learning: A Framework and Survey5 Oct 2021
- 2021Learning Optimal Prescriptive Trees from Observational Data31 Aug 2021
- 2021Rule Generation for Classification: Scalability, Interpretability, and Fairness21 Apr 2021
- 2021Strong Optimal Classification Trees29 Mar 2021
- 2022OMLT: Optimization & Machine Learning Toolkitcited by 35
- 2021Mixed-Integer Optimization with Constraint Learningcited by 31
- 2021Strong Optimal Classification Treescited by 28
- 2021Optimization with Constraint Learning: A Framework and Surveycited by 28
- 2022Maximizing information from chemical engineering data sets: Applications to machine learningcited by 17
- 2022Learning Optimal Fair Classification Trees: Trade-offs Between Interpretability, Fairness, and Accuracycited by 15
- 2022Tree ensemble kernels for Bayesian optimization with known constraints over mixed-feature spacescited by 14
- 2021Multi-Objective Constrained Optimization for Energy Applications via Tree Ensemblescited by 12
- 2021Learning Optimal Prescriptive Trees from Observational Datacited by 10
- 2022Closing the Loop: A Framework for Trustworthy Machine Learning in Power Systemscited by 9
- 2022Counterfactual Explanations Using Optimization With Constraint Learningcited by 8
- 2021Rule Generation for Classification: Scalability, Interpretability, and Fairnesscited by 4
12 most cited of 26 All 26 (JSON)
- 2026Deep Learning for Sequential Decision Making under Uncertainty: Foundations, Frameworks, and Frontiers13 Apr 2026
- 2026Intersectional Fairness via Mixed-Integer Optimization27 Jan 2026
- 2025Conformal Mixed-Integer Constraint Learning with Feasibility Guarantees4 Jun 2025
- 2025Global optimization of graph acquisition functions for neural architecture search29 May 2025
- 2025BARK: A Fully Bayesian Tree Kernel for Black-box Optimization7 Mar 2025
- 2024Robotic warehousing operations: a learn-then-optimize approach to large-scale neighborhood search29 Aug 2024
- 2023Global Optimization: A Machine Learning Approach3 Nov 2023
- 2023Learning Optimal Classification Trees Robust to Distribution Shifts26 Oct 2023
- 2023Tight Mixed-Integer Optimization Formulations for Prescriptive Trees28 Feb 2023
- 2022A Mathematical Programming Approach to Optimal Classification Forests18 Nov 2022
- 2022Counterfactual Explanations Using Optimization With Constraint Learning22 Sep 2022
- 2022Machine Learning-Augmented Optimization of Large Bilevel and Two-stage Stochastic Programs: Application to Cycling Network Design20 Sep 2022
12 newest of 26 All 26 (JSON)