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I have been working on machine learning model and I am confused about which model to choose or if there is any other technique I should try. I am working on Random Forest to predict the propensity to convert with a higly imbalanced data set. The class balance for the target variable is given below.

   label   count                                                                

0    0.0  1,021,095

1    1.0    4459

The two model I trained was using UpSampling and then using Undersampling. Below are the codes I am using for Upsampling and Undersampling

train_initial, test = new_data.randomSplit([0.7, 0.3], seed = 2018)

train_initial.groupby('label').count().toPandas()

test.groupby('label').count().toPandas()



#Sampling Techniques --- Should be done one of these

#Upsampling ----

df_class_0 = train_initial[train_initial['label'] == 0]

df_class_1 = train_initial[train_initial['label'] == 1]

df_class_1_over = df_class_1.sample(True, 100.0, seed=99)

train_up = df_class_0.union(df_class_1_over)

train_up.groupby('label').count().toPandas()



#Down Sampling

stratified_train = train_initial.sampleBy('label', fractions={0: 3091./714840, 1: 1.0}).cache()

stratified_train.groupby('label').count().toPandas()

Below is how I am training my model

labelIndexer = StringIndexer(inputCol='label',

                             outputCol='indexedLabel').fit(new_data)





featureIndexer = VectorIndexer(inputCol='features',

                               outputCol='indexedFeatures',

                               maxCategories=2).fit(new_data)



from pyspark.ml.classification import RandomForestClassifier

rf_model = RandomForestClassifier(labelCol="indexedLabel", featuresCol="indexedFeatures")



labelConverter = IndexToString(inputCol="prediction", outputCol="predictedLabel",

                               labels=labelIndexer.labels)



# Chain indexers and tree in a Pipeline

pipeline = Pipeline(stages=[labelIndexer, featureIndexer, rf_model, labelConverter])



# Search through random forest maxDepth parameter for best model

paramGrid = ParamGridBuilder() 

    .addGrid(rf_model.numTrees, [ 200, 400,600,800,1000]) 

    .addGrid(rf_model.impurity,['entropy','gini']) 

    .addGrid(rf_model.maxDepth,[2,3,4,5]) 

    .build()





# Set up 5-fold cross validation

crossval = CrossValidator(estimator=pipeline,

                          estimatorParamMaps=paramGrid,

                          evaluator=BinaryClassificationEvaluator(),

                          numFolds=5)    



train_model = crossval.fit(train_up/stratified_train)

Below are the results from both the methods

#UpSampling - Training                                 

Train Error = 0.184633

precision: 0.8565508112679312

recall: 0.6597217024736883                                            

auroc: 0.9062348758176568

f1 : 0.7453609484359377



#Upsampling - Test                                

Test Error = 0.0781619                             

precision: 0.054455645977569946

recall: 0.6503868471953579

auroc: 0.8982212236597943

f1 : 0.10049688048716704



#UnderSampling - Training                               

Train Error = 0.179293           

precision: 0.8468290542023261

recall: 0.781807131280389

f1 : 0.8130201200884863                                          

auroc: 0.9129391668636556



#UnderSamping - Test                               

Test Error = 0.147874

precision: 0.034453223699706645

recall: 0.778046421663443

f1 : 0.06598453935901905

auroc: 0.8989720777537427

Referring to various articles on StackOverflow I understand that if the test error is lower than the train error there is likely to be error in implementation. However I am not quite sure where am I going error in order to train my models. Also, which sampling is better to use in the case of such an highly imbalanced class. If I do undersampling I am worried if there would be a loss of information.

I was hoping if someone could please help me out with this model and help me to clear my doubts.

Thanks a lot in advance !!

Testing error lower than Training error does not necessarily mean error in implementation. You can increase the iteration for training the model and depending on your dataset the training error may become lower than the testing error. However, you may end up overfitting. Therefore the goal should also be to check other performance metrics of the test set such as accuracy, precision, recall etc.

Oversampling and undersampling are opposite but roughly equivalent techniques. If you have lots of data points then it is better to undersample. Otherwise go for oversampling. SMOTE is a great technique for oversampling by creating synthetic data points instead of repeating the same data points multiple times.

https://imbalanced-learn.readthedocs.io/en/stable/generated/imblearn.over_sampling.SMOTE.html

Another tip, shuffle the data with different seeds and see if the training error stays greater than testing error. I suspect the variance in your data is high. Read about the variance-bias trade-off.

Judging by the results, it seems you have built a pretty decent model. Try using XGBoost as well and compare the result with Random Forest.