论文标题
渐近实例的无偏见局部AUC优化:理论和算法
Asymptotically Unbiased Instance-wise Regularized Partial AUC Optimization: Theory and Algorithm
论文作者
论文摘要
ROC曲线(PAUC)下的部分区域通常包括单向部分AUC(OPAUC)和双向部分AUC(TPAUC),测量在必须考虑决策约束时必须广泛采用的量度。因此,在过去几年中,PAUC优化自然引起了机器学习社区的越来越多的关注。但是,大多数现有方法只能大致优化PAUC,从而导致不可控制的偏见。幸运的是,最近的一项工作通过分布强大的优化提出了对PAUC优化问题的公正表述。但是,它基于AUC的配对公式,该公式遭受了有限的可伸缩性W.R.T.样本量和缓慢的收敛速率,尤其是对于TPAUC。为了解决这个问题,我们以渐近公正和实例的方式对问题进行了更简单的重新重新重新制定。对于Opauc和TPAUC,我们来到了一个非凸面的minimax正规化问题,以实例的函数。最重要的是,我们采用有效的求解器享有线性均值计算复杂性W.R.T. $ O(ε^{ - 1/3})$的样本大小和时间复杂度达到$ε$ sentary点。此外,我们发现最小值的重新印象还促进了对概括误差作为副产品的理论分析。与现有结果相比,我们提出了新的错误范围,这些误差范围更容易证明,并且可以处理具有实价输出的假设。最后,在几个基准数据集上进行了广泛的实验证明了我们方法的有效性。
The Partial Area Under the ROC Curve (PAUC), typically including One-way Partial AUC (OPAUC) and Two-way Partial AUC (TPAUC), measures the average performance of a binary classifier within a specific false positive rate and/or true positive rate interval, which is a widely adopted measure when decision constraints must be considered. Consequently, PAUC optimization has naturally attracted increasing attention in the machine learning community within the last few years. Nonetheless, most of the existing methods could only optimize PAUC approximately, leading to inevitable biases that are not controllable. Fortunately, a recent work presents an unbiased formulation of the PAUC optimization problem via distributional robust optimization. However, it is based on the pair-wise formulation of AUC, which suffers from the limited scalability w.r.t. sample size and a slow convergence rate, especially for TPAUC. To address this issue, we present a simpler reformulation of the problem in an asymptotically unbiased and instance-wise manner. For both OPAUC and TPAUC, we come to a nonconvex strongly concave minimax regularized problem of instance-wise functions. On top of this, we employ an efficient solver enjoys a linear per-iteration computational complexity w.r.t. the sample size and a time-complexity of $O(ε^{-1/3})$ to reach a $ε$ stationary point. Furthermore, we find that the minimax reformulation also facilitates the theoretical analysis of generalization error as a byproduct. Compared with the existing results, we present new error bounds that are much easier to prove and could deal with hypotheses with real-valued outputs. Finally, extensive experiments on several benchmark datasets demonstrate the effectiveness of our method.