Very Fast Bayesian Additive Regression Trees on GPU

Bayesian Additive Regression Trees (BART) is a nonparametric Bayesian regression technique based on an ensemble of decision trees. It is part of the toolbox of many statisticians. The overall statistical quality of the regression is typically higher than other generic alternatives, and it requires less manual tuning, making it a good default choice. However, it is a niche method compared to natural competitors such as XGBoost, due to the longer running time, making sample sizes above 10000–100000 a nuisance. We present a GPU-enabled implementation of BART, faster by up to 100x in a given GPU vs. CPU comparison, making BART fast enough to be a viable alternative to non-Bayesian algorithms on large datasets, and showing that BART parallelizes better than its non-Bayesian counterparts. This implementation is available in the Python package bartz.