nips nips2003 nips2003-41 knowledge-graph by maker-knowledge-mining
Source: pdf
Author: Kohei Hatano, Manfred K. Warmuth
Abstract: We investigate improvements of AdaBoost that can exploit the fact that the weak hypotheses are one-sided, i.e. either all its positive (or negative) predictions are correct. In particular, for any set of m labeled examples consistent with a disjunction of k literals (which are one-sided in this case), AdaBoost constructs a consistent hypothesis by using O(k 2 log m) iterations. On the other hand, a greedy set covering algorithm finds a consistent hypothesis of size O(k log m). Our primary question is whether there is a simple boosting algorithm that performs as well as the greedy set covering. We first show that InfoBoost, a modification of AdaBoost proposed by Aslam for a different purpose, does perform as well as the greedy set covering algorithm. We then show that AdaBoost requires Ω(k 2 log m) iterations for learning k-literal disjunctions. We achieve this with an adversary construction and as well as in simple experiments based on artificial data. Further we give a variant called SemiBoost that can handle the degenerate case when the given examples all have the same label. We conclude by showing that SemiBoost can be used to produce small conjunctions as well. 1
Reference: text
sentIndex sentText sentNum sentScore
1 edu Abstract We investigate improvements of AdaBoost that can exploit the fact that the weak hypotheses are one-sided, i. [sent-7, score-0.4]
2 In particular, for any set of m labeled examples consistent with a disjunction of k literals (which are one-sided in this case), AdaBoost constructs a consistent hypothesis by using O(k 2 log m) iterations. [sent-10, score-0.649]
3 On the other hand, a greedy set covering algorithm finds a consistent hypothesis of size O(k log m). [sent-11, score-0.558]
4 Our primary question is whether there is a simple boosting algorithm that performs as well as the greedy set covering. [sent-12, score-0.213]
5 We first show that InfoBoost, a modification of AdaBoost proposed by Aslam for a different purpose, does perform as well as the greedy set covering algorithm. [sent-13, score-0.197]
6 1 Introduction The boosting method has become a powerful paradigm of machine learning. [sent-18, score-0.105]
7 In this method a highly accurate hypothesis is built by combining many “weak” hypotheses. [sent-19, score-0.28]
8 AdaBoost [FS97, SS99] is the most common boosting algorithm. [sent-20, score-0.105]
9 We start with m labeled examples labeled with ±1. [sent-22, score-0.124]
10 At each iteration t, the algorithm receives a ±1 valued weak hypothesis ht whose error (weighted by the current distribution on the examples) is slightly smaller than 1 . [sent-24, score-1.023]
11 It then updates its distribution so that after 2 the update, the hypothesis ht has weighted error exactly 1 . [sent-25, score-0.799]
12 The final hypothesis is 2 a linear combination of the received weak hypotheses and it stops when this final hypothesis is consistent with all examples. [sent-26, score-1.031]
13 It is well known [SS99] that if each weak hypothesis has weighted error at most γ 1 1 − γ2 2 − 2 , then the upper bound on the training error reduces by a factor of ∗ This research was done while K. [sent-27, score-0.612]
14 and after O( γ12 log m) iterations, the final hypothesis is consistent with all examples. [sent-29, score-0.347]
15 Also, it has been shown that if the final hypotheses are restricted to (unweighted) majority votes of weak hypotheses [Fre95], then this upper bound on the number of iterations cannot be improved by more than a constant factor. [sent-30, score-0.759]
16 However, if there always is a positively one-sided weak hypothesis (i. [sent-31, score-0.514]
17 its positive predictions are always correct) that has error1 at most 1 − γ , then a set cover algo2 2 1 rithm can be used to reduce the training error by a factor2 of 1 − γ and O( γ log m) weak hypotheses suffice to form a consistent hypothesis [Nat91]. [sent-33, score-0.82]
18 In particular, consider the problem of finding a consistent hypothesis for m examples labeled by a k literal disjunction. [sent-35, score-0.485]
19 Assume we use the literals as the pool of weak hypotheses and always choose as the weak hypothesis a literal that is consistent with all negative examples. [sent-36, score-1.101]
20 Then it can be shown that, for any distribution D on the examples, there exists a literal (or a constant hypothesis) h with weighted error 1 at most 1 − 4k (See e. [sent-37, score-0.138]
21 Therefore, the upper bound on the training error 2 of AdaBoost reduces by a factor of 1− 1 4k2 and O(k 2 log m) iterations suffice. [sent-40, score-0.191]
22 However, a trivial greedy set covering algorithm, that follows a strikingly similar protocol as the boosting algorithms, finds a consistent disjunction with O(k log m) literals. [sent-41, score-0.504]
23 We show that InfoBoost mimics the set cover algorithm in this case (and 1 attains the improved factor of 1 − k ). [sent-42, score-0.109]
24 We then show that Ω(k 2 log m) iterations are really required by AdaBoost using both an explicit construction (which requires some assumptions) and artificial experiments. [sent-44, score-0.123]
25 The differences are quite large: For m = 10, 000 random examples and a disjunction of size k = 60, AdaBoost requires 2400 iterations (on the average), whereas Covering and InfoBoost require 60 iterations. [sent-45, score-0.223]
26 We then show that InfoBoost has the improved reduction factor if the weak hypotheses happen to be one-sided. [sent-46, score-0.46]
27 Finally we give a modified version of AdaBoost that exploits the one-sidedness of the weak hypotheses and avoids some technical problems that can occur with InfoBoost. [sent-47, score-0.415]
28 The instances xi are in some domain X and the labels yi are in {−1, 1}. [sent-53, score-0.21]
29 The boosting algorithms maintain a distribution Dt over the examples. [sent-54, score-0.122]
30 At the t-th iteration, the algorithm chooses a weak3 hypothesis ht : X → {−1, 1} and then updates its distribution. [sent-56, score-0.762]
31 The most popular boosting algorithm does this as follows: AdaBoost: Dt+1 (i) = 1 Dt (i) exp{−yi ht (xi )αt } , Zt This assumes equal weight on both types of examples. [sent-57, score-0.575]
32 3 For the sake of simplicity we focus on the case when the range of the labels and the weak hypotheses is ±1 valued. [sent-59, score-0.418]
33 2 Here Zt is a normalization constant and the coefficient αt depends on the error t at iteration t: αt = 1 ln 1−t t and t = PrDt [ht (xi ) = yi ]. [sent-61, score-0.336]
34 The final hypothesis is 2 given by the sign of the following linear combination of the chosen weak hypotheses: T H(x) = t=1 αt ht (x). [sent-62, score-0.964]
35 y i \ ht The constraint can be easily understood using the table of +1 Figure 1. [sent-70, score-0.463]
36 −1 b d +1 a c Four types The second boosting algorithm we discuss in this paper has the following update: InfoBoost: Dt+1 (i) = Dt (i) exp{−yi ht (xi )αt [ht (xi )]} , Zt [±1] where αt [±1] = 1 ln 1−[±1] , t [±1] = PrDt [ht (xi ) = yi |ht (xi ) = ±1] and Zt is 2 t the normalization factor. [sent-77, score-0.818]
37 The final hypothesis is given by the sign of H(x) = T t=1 αt [ht (x)] ht (x). [sent-78, score-0.738]
38 In the original paper [Asl00], the InfoBoost update was motivated by seeking a distribution Dt+1 for which the error of ht is half and yi and ht (xi ) have mutual information zero. [sent-79, score-1.087]
39 Here we motivate InfoBoost as a minimization of the same relative entropy subject to the AdaBoost constraint b + c = 1 and a second simultaneously 2 enforced constraint a + b = 1 . [sent-80, score-0.103]
40 A natural question is why not just do two steps of AdaBoost at each iteration t: One for ht and and then, sequentially, one for 1. [sent-85, score-0.507]
41 We call the latter algorithm AdaBoost with Bias, since the constant hypothesis introduces a bias into the final hypothesis. [sent-86, score-0.366]
42 y i \ ht +1 −1 +1 yi \ ht +1 −1 +1 0 0 2 5 0 −1 2 5 1 5 Dt+1 : AdaB. [sent-89, score-0.993]
43 Bias yi \ ht +1 −1 +1 yi \ ht +1 −1 +1 1 3 0 1 5 0 −1 1 2 1 6 −1 3 10 1 2 Figure 2: Updating based on a positively one-sided hypothesis ht (weight c is 0): The updated distributions on the four types of examples are quite different. [sent-92, score-1.959]
44 We will show in the next section that in the case of learning disjunctions, AdaBoost with Bias (and plain AdaBoost) can require many more iterations than InfoBoost and the trivial covering algorithm. [sent-93, score-0.23]
45 A natural extension would be to constrain the errors of all past hypotheses to half which is the Totally Corrective Algorithm of [KW99]. [sent-95, score-0.254]
46 3 Lower bounds of AdaBoost for Learning k disjunctions So far we did not specify how the weak hypothesis ht is chosen at iteration t. [sent-97, score-1.008]
47 We assume there is a pool H of weak hypotheses and distinguish two methods: Greedy: Choose a ht ∈ H for which the normalization factor Zt in the update of the algorithm is minimized. [sent-98, score-0.95]
48 Minimal: Choose ht with error smaller than a given threshold 1 − δ. [sent-99, score-0.472]
49 2 The greedy method is motivated by the fact that t Zt upper bounds the training error of the final hypothesis ([SS99, Asl00]) and this method greedily minimizes this upper bound. [sent-100, score-0.446]
50 In our lower bounds on the number of iterations the example set is always consistent with a k-literal monotone disjunction over N variables. [sent-102, score-0.235]
51 More precisely the instances xi are in {±1}N and the label yi is xi,1 ∨ xi,2 ∨ . [sent-103, score-0.207]
52 The pool of weak learners consists of the N literals Xj , where Xj (xi ) = xij . [sent-107, score-0.302]
53 For the greedy method we show that on random data sets InfoBoost and the covering algorithm use drastically fewer iterations than AdaBoost with Bias. [sent-108, score-0.286]
54 We chose 10, 000 examples as follows: The first k bits of each example are chosen independently at random so that the probability of label +1 is half (i. [sent-109, score-0.133]
55 Figure 3 shows the number of iterations as function of the size of disjunction k (averaged over 20 runs) of AdaBoost with Bias until consistency is reached on all 10, 000 exam- Figure 3: Average # of steps ples. [sent-112, score-0.185]
56 However we now give an explicit construction for the minimal method of choosing the weak hypothesis for which the number of iterations of greedy covering and InfoBoost grow linearly in k and the number of iterations of AdaBoost with Bias is quadratic in k. [sent-118, score-0.859]
57 The i-th instance xi is the i-th row of this matrix and the first N examples (rows) are labeled +1 and the label of the last row yN +1 is −1. [sent-121, score-0.188]
58 Clearly the literal XN is consistent with the labels and thus always has error 0 w. [sent-122, score-0.187]
59 But note that the disjunction of the last k literals is also consistent (for any k). [sent-126, score-0.199]
60 We will construct a distribution on the rows that gives high probability to the early rows (See Figure 4) and allows the following ”minimal” choice of weak hypotheses: At iteration t, AdaBoost with Bias is given 1 1 the weak hypothesis Xt . [sent-127, score-0.778]
61 This weak hypothesis will have error 1 − 2k (δ = 2k ) w. [sent-128, score-0.499]
62 Contrary to our construction, the initial distribution for boosting applications is typically uniform. [sent-132, score-0.122]
63 D1 (xi ) + − − − − − − xi,j + + − − − − − + + + − − − − + + + + + − − + + + + + + − yi + + + + + + − Figure 4: The examples (rows of the matrix), the labels, and the distribution D1 . [sent-141, score-0.19]
64 AdaBoost with Bias does two update steps at iteration t (constrain the error of ht to half and then sequentially the error of 1 to half. [sent-143, score-0.634]
65 ) Dt (i) = Dt (i) exp{−yi ht (xi )αt } Dt (i) exp{−yi αt } and Dt+1 = . [sent-144, score-0.436]
66 Zt Zt The Z’s are normalization factors, αt = 1 2 ln 1−εt and αt = εt 1 2 D (x ) ln D t(x ≤N ) . [sent-145, score-0.223]
67 The final t hypothesis is the sign of the following linear combination: H(x) = T t=1 αt . [sent-146, score-0.302]
68 For AdaBoost with Bias and t ≤ N , PrDt [Xt (xi ) = yi ] = 1 2 − 1 2k . [sent-148, score-0.121]
69 Since PrDt [Xt (xi ) = yi ] = Dt (xN +1 )+Dt (x≤t ) and Dt (xN +1 ) = 1 2 1 it suffices to show that Dt (x≤t ) = 2k for t ≤ N . [sent-151, score-0.121]
70 Zt−1 Zt−1 (1) Note that the example xt is not covered by any previous hypotheses X1 , . [sent-156, score-0.31]
71 Zj Zj j=1 (2) 1 Using the inductive assumption that PrDt [Xt (xi ) = yi ] = 1 − 2k , for t < t, one 2 k+1 1 1 can show that αt = 1 ln k−1 , Zt = k (k − 1)(k + 1), Dt (x≤N ) = 1 + 2(k+1) , 2 2 1 1 Dt (xN +1 ) = 1 − 2(k+1) , αt = 1 ln k+2 , and Zt = k+1 k(k + 2). [sent-160, score-0.323]
72 For the described examples set, initial distribution D1 , and minimal choice of weak hypotheses, AdaBoost with Bias needs at least N iterations to construct a final hypothesis whose error with respect to D1 is below ε. [sent-163, score-0.663]
73 At the end of the iteration t, the examples xt+1 , . [sent-166, score-0.109]
74 , xN are not correctly classified by the past weak hypotheses X1 , . [sent-169, score-0.4]
75 In particular, the final linear combination evaluated at xN is t H(xN ) = t j=1 t αj = − αj Xj (xN )+ j=1 t αj + j=1 t k+1 t k+2 + ln < 0. [sent-173, score-0.124]
76 αj = − ln 2 k−1 2 k j=1 Thus sign(H(xN )) = −1 and the final hypothesis has error at least D1 (xN ) ≥ ε with respect to D1 . [sent-174, score-0.417]
77 To show a similar lower bound for plain AdaBoost we use the same example set and the following sequence of weak hypotheses X1 , 1, X2 , 1, . [sent-175, score-0.446]
78 For odd iteration 1 numbers t the above proposition shows the error of the weak hypothesis is 1 − 2k and 2 1 for even iteration numbers one can show that the hypothesis 1 has error 1 − 2(k+1) . [sent-179, score-0.943]
79 2 4 InfoBoost and SemiBoost for one-sided weak hypotheses Aslam proved the following upper bound on the training error[Asl00] of InfoBoost: Theorem 3. [sent-180, score-0.434]
80 The training error of the final hypothesis produced by InfoBoost is T bounded by t=1 Zt , where Zt = PrDt [ht (xi ) = +1] 1 − γt [+1]2 + PrDt [ht (xi ) = −1] 1 − γt [−1]2 and edge4 γt [±1] = 1 − 2εt [±1]. [sent-181, score-0.316]
81 √ However, if ht is one-sided, InfoBoost gives the improved factor of 1 − γt : √ Corollary 4. [sent-184, score-0.496]
82 So the second summand becomes 2 2 Pr[ht (xi ) = −1, yi = +1] Pr[ht (xi ) = −1, yi = −1] Dt =2 = Dt Pr[yi = +1] Pr[yi = −1] Pr[ht (xi ) = −1|yi = +1] Pr[ht (xi ) = −1|yi = −1] Dt Dt Dt Dt Pr[ht (xi ) = −1|yi = +1]. [sent-195, score-0.269]
83 When the considered weak hypotheses are positively one-sided, then the trivial greedy covering algorithm (which simply chooses the set that covers the most uncovered positive examples), achieves the improved factor of 1 − γ, which 1 means at most γ ln m iterations. [sent-197, score-0.847]
84 By a careful analysis (not included), one can show that the factor for InfoBoost can be improved to 1 − γ, if all weak hypotheses are one-sided. [sent-198, score-0.46]
85 So in this case InfoBoost indeed matches the 1 − γ factor of the greedy covering algorithm. [sent-199, score-0.224]
86 Thus InfoBoost terminates in a single iteration and outputs a hypothesis that predicts +1 for any instance and InfoBoost cannot be used for constructing a cover. [sent-203, score-0.351]
87 Recall that the final hyT pothesis of InfoBoost is given by H(x) = t=1 αt [ht (x)] ht (x). [sent-205, score-0.436]
88 This doesn’t seem to be a linear combination of hypotheses from H since the coefficients vary with the prediction of weak hypotheses. [sent-206, score-0.423]
89 However observe that αt [ht (x)] ht (x) = αt [+1] h+ (x) + αt [−1] h− (x), where h± = h(x) if h(x) = ±1 and 0 otherwise. [sent-207, score-0.436]
90 So the final hypothesis of InfoBoost and the new algorithm we 2 will define in a moment is a bias plus a linear combination of the the original weak learners in H. [sent-210, score-0.603]
91 We propose the following variant of AdaBoost (called Semi-Boost): In each iteration execute one step of AdaBoost but the chosen weak hypothesis must be a semi hypothesis of one of the original hypothesis h ∈ H which has a positive edge. [sent-211, score-1.171]
92 Also if all the chosen hypotheses are of the h+ type then the final hypothesis is a disjunction. [sent-213, score-0.517]
93 If hypotheses are chosen by smallest error (largest edge), then the greedy covering algorithm is simulated. [sent-214, score-0.484]
94 Analogously, if all the chosen hypotheses are of the h− type then one can show that the final hypothesis of SemiBoost is a conjunction. [sent-215, score-0.517]
95 Furthermore, two steps of SemiBoost (with hypothesis h+ in the first step followed by the sibling hypothesis h− in the second step) are equivalent to one step of InfoBoost with hypothesis h. [sent-216, score-0.868]
96 Finally we note that the final hypothesis of InfoBoost (or SemiBoost) is not welldefined when it includes both types of one-sided hypotheses, i. [sent-217, score-0.3]
97 Second, we allow infinite coefficients but interpret the final hypothesis as a version of a decision list [Riv87]: Whenever more than one semi hypotheses with infinite coefficients are non-zero on the current instance, then the semi hypothesis with the lowest iteration number determines the label. [sent-223, score-0.952]
98 Once such a consistent decision list over some set of hypothesis ht and 1 has been found, it is easy the find an alternate linear combination of the same set of hypotheses (using linear programming) that maximizes the margin or minimizes the one-norm of the coefficient vector subject to consistency. [sent-224, score-1.018]
99 Conclusion: We showed that AdaBoost can require significantly more iterations than the simple greedy cover algorithm when the weak hypotheses are one-sided and gave a variant of AdaBoost that can readily exploit one-sidedness. [sent-225, score-0.623]
100 He encouraged us to analyze AdaBoost with Bias and suggested to write a the final hypothesis of InfoBoost as a linear combination of semi hypotheses. [sent-228, score-0.355]
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We will assume that a classifier outputs a strictly ordered list for these examples and will denote by 1X the indicator function of a set X. Lemma 1 ([8]) Let c be a fixed classifier. Let x1 , . . . , xm be the output of c on the positive examples and y1 , . . . , yn its output on the negative examples. Then, the AUC, A, associated to c is given by: m n i=1 j=1 1xi >yj (1) A= mn that is the value of the Wilcoxon-Mann-Whitney statistic [8]. Proof. The proof is based on the observation that the AUC value is exactly the probability P (X > Y ) where X is the random variable corresponding to the distribution of the outputs for the positive examples and Y the one corresponding to the negative examples [7]. The Wilcoxon-Mann-Whitney statistic is clearly the expression of that probability in the discrete case, which proves the lemma [8]. Thus, the AUC can be viewed as a measure based on pairwise comparisons between classifications of the two classes. With a perfect ranking, all positive examples are ranked higher than the negative ones and A = 1. Any deviation from this ranking decreases the AUC. 2 An attempt in that direction was made by [15], but, unfortunately, the authors’ analysis and the result are both wrong. Threshold θ k − x Positive examples x Negative examples n − x Negative examples m − (k − x) Positive examples Figure 2: For a fixed number of errors k, there may be x, 0 ≤ x ≤ k, false negative examples. 3 The Expected Value of the AUC In this section, we compute exactly the expected value of the AUC over all classifications with a fixed number of errors and compare that to the error rate. Different classifiers may have the same error rate but different AUC values. Indeed, for a given classification threshold θ, an arbitrary reordering of the examples with outputs more than θ clearly does not affect the error rate but leads to different AUC values. Similarly, one may reorder the examples with output less than θ without changing the error rate. Assume that the number of errors k is fixed. We wish to compute the average value of the AUC over all classifications with k errors. Our model is based on the simple assumption that all classifications or rankings with k errors are equiprobable. One could perhaps argue that errors are not necessarily evenly distributed, e.g., examples with very high or very low ranks are less likely to be errors, but we cannot justify such biases in general. For a given classification, there may be x, 0 ≤ x ≤ k, false positive examples. Since the number of errors is fixed, there are k − x false negative examples. Figure 3 shows the corresponding configuration. The two regions of examples with classification outputs above and below the threshold are separated by a vertical line. For a given x, the computation of the AUC, A, as given by Eq. (1) can be divided into the following three parts: A1 + A2 + A3 A= , with (2) mn A1 = the sum over all pairs (xi , yj ) with xi and yj in distinct regions; A2 = the sum over all pairs (xi , yj ) with xi and yj in the region above the threshold; A3 = the sum over all pairs (xi , yj ) with xi and yj in the region below the threshold. The first term, A1 , is easy to compute. Since there are (m − (k − x)) positive examples above the threshold and n − x negative examples below the threshold, A1 is given by: A1 = (m − (k − x))(n − x) (3) To compute A2 , we can assign to each negative example above the threshold a position based on its classification rank. Let position one be the first position above the threshold and let α1 < . . . < αx denote the positions in increasing order of the x negative examples in the region above the threshold. The total number of examples classified as positive is N = m − (k − x) + x. Thus, by definition of A2 , x A2 = (N − αi ) − (x − i) (4) i=1 where the first term N − αi represents the number of examples ranked higher than the ith example and the second term x − i discounts the number of negative examples incorrectly ranked higher than the ith example. Similarly, let α1 < . . . < αk−x denote the positions of the k − x positive examples below the threshold, counting positions in reverse by starting from the threshold. Then, A3 is given by: x A3 = (N − αj ) − (x − j) (5) j=1 with N = n − x + (k − x) and x = k − x. Combining the expressions of A1 , A2 , and A3 leads to: A= A1 + A2 + A3 (k − 2x)2 + k ( =1+ − mn 2mn x i=1 αi + mn x j=1 αj ) (6) Lemma 2 For a fixed x, the average value of the AUC A is given by: < A >x = 1 − x n + k−x m 2 (7) x Proof. The proof is based on the computation of the average values of i=1 αi and x j=1 αj for a given x. We start by computing the average value < αi >x for a given i, 1 ≤ i ≤ x. Consider all the possible positions for α1 . . . αi−1 and αi+1 . . . αx , when the value of αi is fixed at say αi = l. We have i ≤ l ≤ N − (x − i) since there need to be at least i − 1 positions before αi and N − (x − i) above. There are l − 1 possible positions for α1 . . . αi−1 and N − l possible positions for αi+1 . . . αx . Since the total number of ways of choosing the x positions for α1 . . . αx out of N is N , the average value < αi >x is: x N −(x−i) l=i < αi >x = l l−1 i−1 N −l x−i (8) N x Thus, x < αi >x = x i=1 i=1 Using the classical identity: x < αi >x = N −(x−i) l−1 l i−1 l=i N x u p1 +p2 =p p1 N l=1 l N −1 x−1 N x i=1 N −l x−i v p2 = = N l=1 = u+v p N (N + 1) 2 x l−1 i=1 i−1 N x l N −l x−i (9) , we can write: N −1 x−1 N x = x(N + 1) 2 (10) Similarly, we have: x < αj >x = j=1 x Replacing < i=1 αi >x and < Eq. (10) and Eq. (11) leads to: x j=1 x (N + 1) 2 (11) αj >x in Eq. (6) by the expressions given by (k − 2x)2 + k − x(N + 1) − x (N + 1) =1− 2mn which ends the proof of the lemma. < A >x = 1 + x n + k−x m 2 (12) Note that Eq. (7) shows that the average AUC value for a given x is simply one minus the average of the accuracy rates for the positive and negative classes. Proposition 1 Assume that a binary classification task with m positive examples and n negative examples is given. Then, the expected value of the AUC A over all classifications with k errors is given by: < A >= 1 − k (n − m)2 (m + n + 1) − m+n 4mn k−1 m+n x=0 x k m+n+1 x=0 x k − m+n (13) Proof. Lemma 2 gives the average value of the AUC for a fixed value of x. To compute the average over all possible values of x, we need to weight the expression of Eq. (7) with the total number of possible classifications for a given x. There are N possible ways of x choosing the positions of the x misclassified negative examples, and similarly N possible x ways of choosing the positions of the x = k − x misclassified positive examples. Thus, in view of Lemma 2, the average AUC is given by: < A >= k N x=0 x N x (1 − k N x=0 x N x k−x x n+ m 2 ) (14) r=0.05 r=0.01 r=0.1 r=0.25 0.0 0.1 0.2 r=0.5 0.3 Error rate 0.4 0.5 .00 .05 .10 .15 .20 .25 0.5 0.6 0.7 0.8 0.9 1.0 Mean value of the AUC Relative standard deviation r=0.01 r=0.05 r=0.1 0.0 0.1 r=0.25 0.2 0.3 Error rate r=0.5 0.4 0.5 Figure 3: Mean (left) and relative standard deviation (right) of the AUC as a function of the error rate. Each curve corresponds to a fixed ratio of r = n/(n + m). The average AUC value monotonically increases with the accuracy. For n = m, as for the top curve in the left plot, the average AUC coincides with the accuracy. The standard deviation decreases with the accuracy, and the lowest curve corresponds to n = m. This expression can be simplified into Eq. (13)3 using the following novel identities: k X N x x=0 k X N x x x=0 ! N x ! ! N x ! = = ! k X n+m+1 x x=0 (15) ! k X (k − x)(m − n) + k n + m + 1 2 x x=0 (16) that we obtained by using Zeilberger’s algorithm4 and numerous combinatorial ’tricks’. From the expression of Eq. (13), it is clear that the average AUC value is identical to the accuracy of the classifier only for even distributions (n = m). For n = m, the expected value of the AUC is a monotonic function of the accuracy, see Fig. (3)(left). For a fixed ratio of n/(n + m), the curves are obtained by increasing the accuracy from n/(n + m) to 1. The average AUC varies monotonically in the range of accuracy between 0.5 and 1.0. In other words, on average, there seems nothing to be gained in designing specific learning algorithms for maximizing the AUC: a classification algorithm minimizing the error rate also optimizes the AUC. However, this only holds for the average AUC. Indeed, we will show in the next section that the variance of the AUC value is not null for any ratio n/(n + m) when k = 0. 4 The Variance of the AUC 2 Let D = mn + (k−2x) +k , a = i=1 αi , a = j=1 αj , and α = a + a . Then, by 2 Eq. (6), mnA = D − α. Thus, the variance of the AUC, σ 2 (A), is given by: (mn)2 σ 2 (A) x x = < (D − α)2 − (< D > − < α >)2 > = < D2 > − < D >2 + < α2 > − < α >2 −2(< αD > − < α >< D >) (17) As before, to compute the average of a term X over all classifications, we can first determine its average < X >x for a fixed x, and then use the function F defined by: F (Y ) = k N N x=0 x x k N N x=0 x x Y (18) and < X >= F (< X >x ). A crucial step in computing the exact value of the variance of x the AUC is to determine the value of the terms of the type < a2 >x =< ( i=1 αi )2 >x . 3 An essential difference between Eq. (14) and the expression given by [15] is the weighting by the number of configurations. The authors’ analysis leads them to the conclusion that the average AUC is identical to the accuracy for all ratios n/(n + m), which is false. 4 We thank Neil Sloane for having pointed us to Zeilberger’s algorithm and Maple package. x Lemma 3 For a fixed x, the average of ( i=1 αi )2 is given by: x(N + 1) < a2 > x = (3N x + 2x + N ) 12 (19) Proof. By definition of a, < a2 >x = b + 2c with: x x α2 >x i b =< c =< αi αj >x (20) 1≤i
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