  Randomized experiments have been critical tools of decision making for
decades. However, subjects can show significant heterogeneity in response to
treatments in many important applications. Therefore it is not enough to simply
know which treatment is optimal for the entire population. What we need is a
model that correctly customize treatment assignment base on subject
characteristics. The problem of constructing such models from randomized
experiments data is known as Uplift Modeling in the literature. Many algorithms
have been proposed for uplift modeling and some have generated promising
results on various data sets. Yet little is known about the theoretical
properties of these algorithms. In this paper, we propose a new tree-based
ensemble algorithm for uplift modeling. Experiments show that our algorithm can
achieve competitive results on both synthetic and industry-provided data. In
addition, by properly tuning the "node size" parameter, our algorithm is proved
to be consistent under mild regularity conditions. This is the first consistent
algorithm for uplift modeling that we are aware of.
