A weighted random survival forest

摘要

A weighted random survival forest is presented in the paper. It can be regarded as a modification of the random forest improving its performance. The main idea underlying the proposed model is to replace the standard procedure of averaging used for estimation of the random survival forest hazard function by weighted averaging where the weights are assigned to every tree and can be viewed as training parameters which are computed in an optimal way by solving a standard quadratic optimization problem maximizing Harrell’s C-index. Numerical examples with real data illustrate the outperformance of the proposed model in comparison with the original random survival forest.