ROC & AUC, LIFT ד " ר אבי רוזנפלד. Introduction to ROC curves ROC = Receiver Operating...
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Transcript of ROC & AUC, LIFT ד " ר אבי רוזנפלד. Introduction to ROC curves ROC = Receiver Operating...
ROC & AUC, LIFT
רוזנפלד" אבי ר ד
Introduction to ROC curves
• ROC = Receiver Operating Characteristic
• Started in electronic signal detection theory (1940s - 1950s)
• Has become very popular in biomedical applications, particularly radiology and imaging
• מידע בכריית בשימוש גם
False Positives / Negatives
P N
P 20 10
N 30 90
Predicted
Actu
al
Confusion matrix 1
P N
P 10 20
N 15 105
Predicted
Actu
al
Confusion matrix 2
FN
FP
Precision (P) = 20 / 50 = 0.4Recall (P) = 20 / 30 = 0.666F-measure=2*.4*.666/1.0666=.5
4
Different Cost Measures• The confusion matrix (easily generalize to multi-class)
• Machine Learning methods usually minimize FP+FN • TPR (True Positive Rate): TP / (TP + FN) = Recall• FPR (False Positive Rate): FP / (TN + FP) = Precision
Predicted class
Yes No
Actual class
Yes TP: True positive
FN: False negative
No FP: False positive
TN: True negative
Specific Example
Test Result
People with disease
People without disease
Test Result
Call these patients “negative”
Call these patients “positive”
Threshold
Test Result
Call these patients “negative”
Call these patients “positive”
without the diseasewith the disease
True Positives
Some definitions ...
Test Result
Call these patients “negative”
Call these patients “positive”
without the diseasewith the disease
False Positives
Test Result
Call these patients “negative”
Call these patients “positive”
without the diseasewith the disease
True negatives
Test Result
Call these patients “negative”
Call these patients “positive”
without the diseasewith the disease
False negatives
Test Result
without the diseasewith the disease
‘‘-’’
‘‘+’’
Moving the Threshold: left
Which line has the higher recall of -?Which line has the higher precision of -?
Tru
e P
osi
tive R
ate
(R
eca
ll)
0%
100%
False Positive Rate (1-specificity)
0%
100%
ROC curve
Figure 5.2 A sample ROC curve.
של שונים גרפים ROCסוגים
Area under ROC curve (AUC)
כללי • מדד
לגרף • מתחת ROCהשטח
•0.50 , רנדומאלי מחירה .1.0הוא מושלם הוא
True
Pos
itive
Rat
e
0%
100%
False Positive Rate0%
100%
True
Pos
itive
Rat
e
0%
100%
False Positive Rate0%
100%
True
Pos
itive
Rat
e
0%
100%
False Positive Rate0%
100%
AUC = 50%
AUC = 90% AUC =
65%
AUC = 100%
True
Pos
itive
Rat
e
0%
100%
False Positive Rate0%
100%
AUC for ROC curves
Lift Charts
• X axis is sample size: (TP+FP) / N• Y axis is TP• / : רנדומאלי דיוק המודל דיוק פורמאלי הגדרה
40% of responses for 10% of costLift factor = 4
80% of responses for 40% of costLift factor = 2Model
Random
Lift factor
0
0.5
1
1.5
2
2.5
3
3.5
4
4.55 15 25 35 45 55 65 75 85 95
Lift
Sample Size
Lift
Val
ue
המדדים בין הקשר
ה OVERFITTINGבעיית
10-fold cross-validation (one example of K-fold cross-validation)
• 1. Randomly divide your data into 10 pieces, 1 through k.• 2. Treat the 1st tenth of the data as the test dataset. Fit
the model to the other nine-tenths of the data (which are now the training data).
• 3. Apply the model to the test data (e.g., for logistic regression, calculate predicted probabilities of the test observations).
• 4. Repeat this procedure for all 10 tenths of the data.• 5. Calculate statistics of model accuracy and fit (e.g., ROC
curves) from the test data only.
תמונה
התוצאות ניתוח
The Kappa Statistic
• Kappa measures relative improvement over random prediction• Dreal / Dperfect = A (accuracy of the real model)
• Drandom / Dperfect= C (accuracy of a random model)• Kappa Statistic = (A-C) / (1-C)= (Dreal / Dperfect – Drandom / Dperfect ) / (1 – Drandom / Dperfect )
Remove Dperfect from all places
• (Dreal – Drandom) / (Dperfect – Drandom) • Kappa = 1 when A = 1• Kappa 0 if prediction is no better than random guessing
Aside: the Kappa statistic• Two confusion matrix for a 3-class problem: real model (left) vs
random model (right)
• Number of successes: sum of values in diagonal (D)• Kappa = (Dreal – Drandom) / (Dperfect – Drandom)
– (140 – 82) / (200 – 82) = 0.492– Accuracy = 140/200 = 0.70
a b c
a 88 10 2 100
b 14 40 6 60
c 18 10 12 40
120
60 20 200
Actu
al
Predicted
total
total a b c
a 60 30 10 100
b 36 18 6 60
c 24 12 4 40
120
60 20 200
Actu
al
Predicted
total
total
The kappa statistic – how to calculate Drandom ?
a b c
a 88 10 2 100
b 14 40 6 60
c 18 10 12 40
120
60 20 200
Actu
al
total
total a b c
a ? 100
b 60
c 40
120
60 20 200
Actu
altotal
total
100*120/200 = 60Rationale: 100 actual values, 120/200 in the predicted class, so random is:100*120/200
Actual confusion matrix, C
Expected confusion matrix, E, for a random model
התרגיל ...לקראת