Say I have a categorical feature, color, which takes the values
['red', 'blue', 'green', 'orange'],
and I want to use it to predict something in a random forest. If I one-hot encode it (i.e. I change it to four dummy variables), how do I tell sklearn that the four dummy variables are really one variable? Specifically, when sklearn is randomly selecting features to use at different nodes, it should either include the red, blue, green and orange dummies together, or it shouldn't include any of them.
I've heard that there's no way to do this, but I'd imagine there must be a way to deal with categorical variables without arbitrarily coding them as numbers or something like that.
No, there isn't. Somebody's working on this and the patch might be merged into mainline some day, but right now there's no support for categorical variables in scikit-learn except dummy (one-hot) encoding.