A common mistake made by beginners is to apply machine learning algorithms to a problem without establishing a performance baseline. A performance baseline provides a minimum score above which a model is considered to have skill on the dataset. It also provides a point of relative improvement for all models evaluated on the dataset. A baseline can be established using a naive classifier, such as predicting one class label for all examples in the test dataset. Another common mistake made by beginners is using classification accuracy as a performance metric on problems that have an imbalanced class distribution.
After you make predictions, you need to know if they are any good. There are standard measures that we can use to summarize how good a set of predictions actually are. In this tutorial, you will discover how to implement four standard prediction evaluation metrics from scratch in Python. How To Implement Machine Learning Algorithm Performance Metrics From Scratch With Python Photo by Hernán Piñera, some rights reserved. You must estimate the quality of a set of predictions when training a machine learning model.
Unlike evaluating the accuracy of models that predict a continuous or discrete dependent variable like Linear Regression models, evaluating the accuracy of a classification model could be more complex and time-consuming. Before measuring the accuracy of classification models, an analyst would first measure its robustness with the help of metrics such as AIC-BIC, AUC-ROC, AUC- PR, Kolmogorov-Smirnov chart, etc. The next logical step is to measure its accuracy. To understand the complexity behind measuring the accuracy, we need to know few basic concepts. E.g. – A classification model like Logistic Regression will output a probability number between 0 and 1 instead of the desired output of actual target variable like Yes/No, etc.
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.
Judging a classification model feels like it should be an easier task than judging a regression. After all, your prediction from a classification model can only either be right or wrong, while a prediction from a regression model can be more or less wrong, can have any level of error, high or low. Yet, judging a classification is not as simple as it may seem. There's more than one way for a classification to be right or to be wrong, and multiple ways to combine the different ways to be right and wrong into a unified metric. Of course, all these different metrics have different, frequently unintuitive names -- precision, recall, F1, ROC curves -- making the process seem a little forbidding from the outside.