Generalized Random Forests using Fixed-Point Trees

We propose a computationally efficient alternative to generalized random forests arXiv:1610.01271 (GRFs) for estimating heterogeneous effects in large dimensions. While GRFs rely on a gradient-based splitting criterion, which is large dimensions is computationally expensive and unstable, our method introduces a fixed-point approximation that eliminates the need for Jacobian estimation. This gradient-free approach preserves GRFs theoretical guarantees of consistency and asymptotic normality while significantly improving computational efficiency. We demonstrate that our method achieves multiple times the speed over standard GRFs without compromising statistical accuracy. Experiments on both simulated and real-world data, validate our approach. Our findings suggest that the proposed method is a scalable alternative for localized effect estimation in machine learning and causal inference applications.