  Randomized experiments have been used to assist decision-making in many
areas. They help people select the optimal treatment for the test population
with certain statistical guarantee. However, subjects can show significant
heterogeneity in response to treatments. The problem of customizing treatment
assignment based on subject characteristics is known as uplift modeling,
differential response analysis, or personalized treatment learning in
literature. A key feature for uplift modeling is that the data is unlabeled. It
is impossible to know whether the chosen treatment is optimal for an individual
subject because response under alternative treatments is unobserved. This
presents a challenge to both the training and the evaluation of uplift models.
In this paper we describe how to obtain an unbiased estimate of the key
performance metric of an uplift model, the expected response. We present a new
uplift algorithm which creates a forest of randomized trees. The trees are
built with a splitting criterion designed to directly optimize their uplift
performance based on the proposed evaluation method. Both the evaluation method
and the algorithm apply to arbitrary number of treatments and general response
types. Experimental results on synthetic data and industry-provided data show
that our algorithm leads to significant performance improvement over other
applicable methods.
