Cross- Valida+on & ROC curve. Anna Helena Reali Costa PCS 5024

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1 Cross- Valida+on & ROC curve Anna Helena Reali Costa PCS 5024

2 Resampling Methods Involve repeatedly drawing samples from a training set and refibng a model on each sample. Used in model assessment (evalua+ng a model s performance) and in model selec,on (selec+ng the appropriate level of flexibility). The most commonly used resampling methods: bootstrap (seen in the previous module) and cross- valida6on. 2

3 Procedure: Bootstrap (Remembering ) Draw B hypothe+cal datasets from original data via randomly sampling with replacement (Z 1,.., Z B ). Fit a model for each dataset (es+mate f B ) Compute the standard error of these bootstrap es+mates Output performance: Average of the resul+ng predic+ons 3

4 Cross- Valida+on Some of the data is removed before training begins. Then when training is done, the data that was removed can be used to test (or to validate) the performance of the learned model on ``new'' data. This is the basic idea for a whole class of model evalua6on methods called cross- valida+on. 4

5 The problem (I) 5

6 The problem (II) 6

7 The problem (III) Overfitting! 7

8 The hold- out method Also known as The Valida+on Set Approach, the simplest kind of cross- valida+on. The data set is randomly separated into two sets, called the training set and the tes+ng set (or valida+on set or hold- out set). The func+on approximator (learning algorithm) fits a func+on using the training set only. Then the func+on approximator is asked to predict the output values for the data in the tes+ng set. 8

9 The hold- out method (I) 9

10 The hold- out method (II) 10

11 The hold- out method (III) 11

12 The hold- out method (IV) Or: misclassification error, if in the classification setting. 12

13 The hold- out method (V) 13

14 The hold- out method (VI) 14

15 The hold- out method (VII) 15

16 The hold- out method (VIII) Simple, quick, and easy to implement. The test error rate can be highly variable, depending on which data points end up in the training set and which end up in the test set. the evalua+on may be significantly different depending on how the division is made. Waste data (the test set is not used to train). Low bias : the model fit is good on the training data. High variance : model more likely to make a wrong prediction. 16

17 Leave- One- Out Cross- Valida+on (I) LOOCV splits the observa+on set in two: a single observa+on is used for the valida+on, and the remaining n 1 observa+ons make up the training set. The procedure is repeated n +mes by selec+ng each observa+on as the valida+on element. CV (n) = 1 n n i=1 MSE i 17

18 LOOCV (II) 18

19 LOOCV (III) Has less bias (there is no randomness in the training/valida+on set splits). Fortunately, locally weighted learners can make LOOCV predic+ons just as easily as they make regular predic+ons. That means compu+ng the LOOCV takes no more +me than compu+ng the residual error and it is a much beaer way to evaluate models. but this property does not hold in general, in which case the model has to be refit n +mes Low bias : the model fit is good on the training data. High variance : model more likely to make a wrong prediction. 19

20 k- Fold Cross- Valida+on (I) k- fold CV divides randomly the set of observa+ons into k groups (or folds) of approximately equal size. The first fold is the valida+on set and the method is fit on the remaining k 1 folds. The MSE is then computed: CV (k) = 1 k This procedure is repeated k +mes. k i=1 MSE i 20

21 k- Fold Cross- Valida+on (II) Dataset Test Train 21

22 k- Fold Cross- Valida+on (III) It maaers less how the data gets divided. The training algorithm has to be rerun from scratch k +mes, which means it takes k +mes as much computa+on to make an evalua+on. 22

23 k- Fold Cross- Valida+on (IV) The bias- variance trade- off: LOOCV gives approximately unbiased es+mates of the test error since the training set contains n 1 observa+ons. è Then LOOCV is beaer than k- fold CV (k<n). LOOCV gives higher variance (uses almost iden+cal training set) than does k- fold CV with k<n. è Then k- fold CV is beaer than LOOCV. Low bias : the model fit is good on the training data. High variance : model more likely to make a wrong prediction. 23

24 Cross- Valida+on Method Downside Upside Hold- out CV Variance: unreliable es+mate of future performance. Cheap LOOCV Expensive (in general). Does not waste data 10- fold CV 5- fold CV Waste 10% of the data. 10 +mes more expensive than hold- out CV. Was+er than 10- fold CV. Expensiver than hold- out. Only waste 10%. Beaer than hold- out Only waste 20%. Beaer than hold- out 24

25 Cross- Valida+on CV is useful: Preven+ng overfibng Comparing different learning algorithms: Choosing the number of hidden units in a MLP Feature selec+on Choosing a polynomial degree 25

26 Misclassifica+on Error Two- class problems: truth classifier evaluation + + true positive (TP) + false positive (FP) true negative (TN) + false negative (FN) 26

27 Two- class problems x 2 True concept Learned concept x 1 27

28 False Posi+ves An example incorrectly predicted to be posi+ve x 2 True concept Learned concept New query x 1 False positive 28

29 False Nega+ves An example incorrectly predicted to be nega+ve x 2 True concept Learned concept New query x 1 False negative 29

30 Confusion Matrix True default status NO (True) YES (True) Total NO (predicted) #TN #FN #(TN+FN) YES (predicted) #FP #TP #(FP+TP) Total #(TN+FP) #(FN+TP) #observa6ons #observations = #(TN+FN+TP+FP) 30

31 Accuracy ACC = (TP+TN) / (TP+TN+FP+FN) Problems with accuracy: Ex. Mammography and cancer The disease occurs < 1%. So let a trained monkey always say there is no disease (without even looking at the film/image)! Our monkey s accuracy is (0+99)/( ) = 99% without even going to medical school! Pred\True NO Yes NO TN=99 FP=1 YES FN=0 TP=0 31

32 Deriva+ons from a confusion matrix Sensi+vity, Recall, or True Posi+ve Rate: TPR = TP / (TP + FN) Specificity or True Nega+ve Rate: TNR = TN / (TN + FP) Precision or Posi+ve Predic+ve Value: PPV = TP / (TP + FP) Nega+ve Predic+ve Value: NPV = TN / (TN + FN) 32

33 Deriva+ons from a confusion matrix Miss Rate or False Nega+ve Rate: FNR = 1 TPR Fall- out or False Posi+ve Rate: FPR = 1 TNR False Discovery Rate: FDR = 1 PPV False Omission Rate: FOR = 1 NPV 33

34 ROC curve ROC: Receiver Opera+ng Characteris+cs ROC curve: sensi+vity (1 specifity) or True Posi+ve Rate False Posi+ve Rate 34

35 ROC Curve TPR = TP / (TP + FN) = Sensi+vity FPR = FP / (FP + TN) Specificity = TN / (TN + FP) FPR = 1 Specificity Perfect ROC means no false posi+ves and no false nega+ves. 35

36 36

37 Crea+ng an ROC Curve A classifier produces a single ROC point. If the classifier has a sensi+vity parameter, varying it produces a series of ROC points (confusion matrices). Alterna+vely, if the classifier is produced by a learning algorithm, a series of ROC points can be generated by varying the class ra+o in the training set. 37

38 ROC Curve Perfect ROC Pure guessing AUC: Area Under Curve 1 C The larger the AUC, the beaer the classifier Sensitivity (TPR) B A Specificity (FPR) 1 38

39 Summary Resampling Methods are popular methods used in model assessment and in model selec+on. Commonly used resampling methods: bootstrap and cross- valida+on Evalua+ng classifiers: MSE, misclassifica+on error, confusion matrix, ROC curve, AUC. 39

40 References James, G. et al. An introduc+on to sta+s+cal learning with applica+ons in R. Chapter 5. Springer, hap:// hap://en.wikipedia.org/wiki/ Receiver_opera+ng_characteris+c hap://en.wikipedia.org/wiki/cross- valida+on_(sta+s+cs) 40

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