How to use random forests in R with missing values?

My initial reaction to this question was that it didn't show much research effort, since "everyone" knows that random forests don't handle missing values in predictors. But upon checking ?randomForest I must confess that it could be much more explicit about this.

(Although, Breiman's PDF linked to in the documentation does explicitly say that missing values are simply not handled at all.)

The only obvious clue in the official documentation that I could see was that the default value for the na.action parameter is na.fail, which might be too cryptic for new users.

In any case, if your predictors have missing values, you have (basically) two choices:

1. Use a different tool (rpart handles missing values nicely.)
2. Impute the missing values

Not surprisingly, the randomForest package has a function for doing just this, rfImpute. The documentation at ?rfImpute runs through a basic example of its use.

If only a small number of cases have missing values, you might also try setting na.action = na.omit to simply drop those cases.

And of course, this answer is a bit of a guess that your problem really is simply having missing values.

If there is possibility that missing values are informative then you can inpute missing values and add additional binary variables (with new.vars<-is.na(your_dataset) ) and check if it lowers error, if new.var is too large set to add it to your_dataset then you could use it alone, pick significiant variables with varImpPlot and add them to your_dataset, you could also try to add single variable to your_dataset which counts number of NA's new.var <- rowSums(new.vars)

This is not off-topick answer, if missing variables are informative accounting for them could correct for increase of model error due to inperfect imputation procedure alone.

Missing values are informative then they arise due to non-random causes, its expecially common in social experiments settings.

Breiman's random forest, which the randomForest package is based on, actually does handle missing values in predictors. In the randomForest package, you can set

   na.action = na.roughfix

It will start by using median/mode for missing values, but then it grows a forest and computes proximities, then iterate and construct a forest using these newly filled values etc. This is not well explained in the randomForest documentation (p10). It only states

....NAs are replaced with column medians .... This is used as a starting point for imputing missing values by random forest

On Breiman's homepage you find a little bit more information

missfill= 1,2 does a fast replacement of the missing values, for the training set (if equal to 1) and a more careful replacement (if equal to 2).

mfixrep= k with missfill=2 does a slower, but usually more effective, replacement using proximities with k iterations on the training set only. (Requires nprox >0).