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Assuming a dataset with the following attributes:
Date (truncated), f1 ... fn, #impressions, #goals.

The problem: I want to grow $n$ trees that would find the optimal selection of features and their ranges in each, and that maximize the goal rate (goals / impressions) for future campaigns with high confidence. What would be the suggested approach? Thanks.

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It looks like you are looking for random forests!: they perform automatic variable selection and deliver a confidence for its results.

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