Model Evaluation Metrics for Performance Evaluation

Presentation on theme: "Model Evaluation Metrics for Performance Evaluation"— Presentation transcript:

1 Model Evaluation Metrics for Performance Evaluation
How to evaluate the performance of a model? Methods for Performance Evaluation How to obtain reliable estimates? Methods for Model Comparison How to compare the relative performance of different models?

2 Metrics for Performance Evaluation
Focus on the predictive capability of a model Rather than how fast it takes to classify or build models, scalability, etc. Confusion Matrix: PREDICTED CLASS ACTUAL CLASS Class=Yes Class=No a: TP b: FN c: FP d: TN a: TP (true positive) b: FN (false negative) c: FP (false positive) d: TN (true negative)

3 Metrics for Performance Evaluation…
Most widely-used metric: PREDICTED CLASS ACTUAL CLASS Class=Yes Class=No a (TP) b (FN) c (FP) d (TN)

4 Limitation of Accuracy
Consider a 2-class problem Number of Class 0 examples = 9990 Number of Class 1 examples = 10 If model predicts everything to be class 0, accuracy is 9990/10000 = 99.9 % Accuracy is misleading because model does not detect any class 1 example

6 Computing Cost of Classification
Cost Matrix PREDICTED CLASS ACTUAL CLASS C(i|j) + - -1 100 1 Model M1 PREDICTED CLASS ACTUAL CLASS + - 150 40 60 250 Model M2 PREDICTED CLASS ACTUAL CLASS + - 250 45 5 200 Accuracy = 90% Cost = 4255 Accuracy = 80% Cost = 3910

9 Model Evaluation Metrics for Performance Evaluation
How to evaluate the performance of a model? Methods for Performance Evaluation How to obtain reliable estimates? Methods for Model Comparison How to compare the relative performance of different models?

10 Methods for Performance Evaluation
How to obtain a reliable estimate of performance? Performance of a model may depend on other factors besides the learning algorithm: Class distribution Cost of misclassification Size of training and test sets

11 Learning Curve Learning curve shows how accuracy changes with varying sample size Requires a sampling schedule for creating learning curve Effect of small sample size: Bias in the estimate Variance of estimate

12 Methods of Estimation Holdout
Reserve 2/3 for training and 1/3 for testing Random subsampling Repeated holdout Cross validation Partition data into k disjoint subsets k-fold: train on k-1 partitions, test on the remaining one Leave-one-out: k=n Bootstrap Sampling with replacement

13 Model Evaluation Metrics for Performance Evaluation
How to evaluate the performance of a model? Methods for Performance Evaluation How to obtain reliable estimates? Methods for Model Comparison How to compare the relative performance of different models?

14 ROC (Receiver Operating Characteristic)
Developed in 1950s for signal detection theory to analyze noisy signals Characterize the trade-off between positive hits and false alarms ROC curve plots TPR (on the y-axis) against FPR (on the x-axis) PREDICTED CLASS Actual Yes No a (TP) b (FN) c (FP) d (TN)

15 ROC (Receiver Operating Characteristic)
Performance of each classifier represented as a point on the ROC curve changing the threshold of algorithm, sample distribution or cost matrix changes the location of the point

16 ROC Curve At threshold t: TP=0.5, FN=0.5, FP=0.12, FN=0.88
- 1-dimensional data set containing 2 classes (positive and negative) - any points located at x > t is classified as positive At threshold t: TP=0.5, FN=0.5, FP=0.12, FN=0.88

17 ROC Curve (TP,FP): (0,0): declare everything to be negative class
(1,1): declare everything to be positive class (1,0): ideal Diagonal line: Random guessing Below diagonal line: prediction is opposite of the true class PREDICTED CLASS Actual Yes No a (TP) b (FN) c (FP) d (TN)

18 Using ROC for Model Comparison
No model consistently outperform the other M1 is better for small FPR M2 is better for large FPR Area Under the ROC curve Ideal: Area = 1 Random guess: Area = 0.5

19 How to Construct an ROC curve
Instance P(+|A) True Class 1 0.95 + 2 0.93 3 0.87 - 4 0.85 5 6 7 0.76 8 0.53 9 0.43 10 0.25 Use classifier that produces posterior probability for each test instance P(+|A) Sort the instances according to P(+|A) in decreasing order Apply threshold at each unique value of P(+|A) Count the number of TP, FP, TN, FN at each threshold TP rate, TPR = TP/(TP+FN) FP rate, FPR = FP/(FP + TN)

20 How to construct an ROC curve
Threshold >= ROC Curve:

21 Ensemble Methods Construct a set of classifiers from the training data
Predict class label of previously unseen records by aggregating predictions made by multiple classifiers

23 Why does it work? Suppose there are 25 base classifiers
Each classifier has error rate,  = 0.35 Assume classifiers are independent Probability that the ensemble classifier makes a wrong prediction:

24 Examples of Ensemble Methods
How to generate an ensemble of classifiers? Bagging Boosting

25 Bagging Sampling with replacement
Build classifier on each bootstrap sample Each sample has probability (1 – 1/n)n of being selected

26 Boosting An iterative procedure to adaptively change distribution of training data by focusing more on previously misclassified records Initially, all N records are assigned equal weights Unlike bagging, weights may change at the end of boosting round

27 Boosting Records that are wrongly classified will have their weights increased Records that are classified correctly will have their weights decreased Example 4 is hard to classify Its weight is increased, therefore it is more likely to be chosen again in subsequent rounds

28 Example: AdaBoost Base classifiers: C1, C2, …, CT Data pairs: (xi,yi)
Error rate: Importance of a classifier:

29 Example: AdaBoost Classification:
Weight update for every iteration t and classifier j : If any intermediate rounds produce error rate higher than 50%, the weights are reverted back to 1/n

30 Illustrating AdaBoost
Initial weights for each data point Data points for training

31 Illustrating AdaBoost