R caret and NAs I very much prefer caret for its parameter tuning ability and uniform interface, but I have observed that it always requires complete datasets (i. e. without NAs) even if the applied "naked" model allows NAs. That is very bothersome, regarding that one should apply laborous imputation methods, which are not necessary in the first place. How could one evade the imputation and still use caret advantages?
 A: To the train function in caret, you can pass the parameter na.action = na.pass, and no preprocessing (do not specify preProcess, leave it as its default value NULL). This will pass the NA values unmodified directly to the prediction function (this will cause prediction functions that do not support missing values to fail, for those you would need to specify preProcess to impute the missing values before calling the prediction function). For example:
train(formula,
      dataset,
      method = "C5.0",
      na.action = na.pass)

In this case, C5.0 will handle missing values by itself.
A: Have you tried recoding the NAs?  Something >3 standard deviations outside your data (e.g. -12345) should encourage C5.0 to predict them separately, like it does with NAs.  
A: I think your solution would be to impute the values while using the predict() function.
See ?predict.train for more details.
You can use na.omit to allow caret to impute values. For example:
    ## S3 method for class 'train':
    predict((object, newdata = NULL, type = "raw", na.action = na.omit, ...)

from http://www.inside-r.org/packages/cran/caret/docs/predict.train
Another solution would be to impute while preprocessing the data:
    ## S3 method for class 'default':
    preProcess(x, 
       method = "knnImpute",   # or *bagImpute* / *medianImpute*
       pcaComp = 10,
       na.remove = TRUE,
       k = 5,
       knnSummary = mean,
       outcome = NULL,
       fudge = .2,
       numUnique = 3,
       verbose = TRUE,
       )

from http://www.inside-r.org/node/86978
