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Consistent Binary Classification with Generalized Performance Metrics
Sanmi Koyejo · Nagarajan Natarajan · Pradeep Ravikumar · Inderjit Dhillon

Performance metrics for binary classification are designed to capture tradeoffs between four fundamental population quantities: true positives, false positives, true negatives and false negatives. Despite significant interest from theoretical and applied communities, little is known about either optimal classifiers or consistent algorithms for optimizing binary classification performance metrics beyond a few special cases. We consider a fairly large family of performance metrics given by ratios of linear combinations of the four fundamental population quantities. This family includes many well known binary classification metrics such as classification accuracy, AM measure, F-measure and the Jaccard similarity coefficient as special cases. Our analysis identifies the optimal classifiers as the sign of the thresholded conditional probability of the positive class, with a performance metric-dependent threshold. The optimal threshold can be constructed using simple plug-in estimators when the performance metric is a linear combination of the population quantities, but alternative techniques are required for the general case. We propose two algorithms for estimating the optimal classifiers, and prove their statistical consistency. Both algorithms are straightforward modifications of standard approaches to address the key challenge of optimal threshold selection, thus are simple to implement in practice. The first algorithm combines a plug-in estimate of the conditional probability of the positive class with optimal threshold selection. The second algorithm leverages recent work on calibrated asymmetric surrogate losses to construct candidate classifiers. We present empirical comparisons between these algorithms on benchmark datasets.

Author Information

Sanmi Koyejo (Stanford, Google Research)
Sanmi Koyejo

Sanmi Koyejo an Assistant Professor in the Department of Computer Science at Stanford University. Koyejo also spends time at Google as a part of the Brain team. Koyejo's research interests are in developing the principles and practice of trustworthy machine learning. Additionally, Koyejo focuses on applications to neuroscience and healthcare. Koyejo has been the recipient of several awards, including a best paper award from the conference on uncertainty in artificial intelligence (UAI), a Skip Ellis Early Career Award, and a Sloan Fellowship. Koyejo serves as the president of the Black in AI organization.

Nagarajan Natarajan (Microsoft Research, India)
Pradeep Ravikumar (Carnegie Mellon University)
Inderjit Dhillon (Google & UT Austin)

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