//! # Area Under the Receiver Operating Characteristic Curve (ROC AUC) //! Computes the area under the receiver operating characteristic (ROC) curve that is equal to the probability that a classifier will rank a //! randomly chosen positive instance higher than a randomly chosen negative one. //! //! SmartCore calculates ROC AUC from Wilcoxon or Mann-Whitney U test. //! //! Example: //! ``` //! use smartcore::metrics::auc::AUC; //! //! let y_true: Vec = vec![0., 0., 1., 1.]; //! let y_pred: Vec = vec![0.1, 0.4, 0.35, 0.8]; //! //! let score1: f64 = AUC {}.get_score(&y_true, &y_pred); //! ``` //! //! ## References: //! * ["Areas beneath the relative operating characteristics (ROC) and relative operating levels (ROL) curves: Statistical significance and interpretation", Mason S. J., Graham N. E.](http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.458.8392) //! * [Wikipedia article on ROC AUC](https://en.wikipedia.org/wiki/Receiver_operating_characteristic#Area_under_the_curve) //! * ["The ROC-AUC and the Mann-Whitney U-test", Haupt, J.](https://johaupt.github.io/roc-auc/model%20evaluation/Area_under_ROC_curve.html) #![allow(non_snake_case)] #[cfg(feature = "serde")] use serde::{Deserialize, Serialize}; use crate::algorithm::sort::quick_sort::QuickArgSort; use crate::linalg::BaseVector; use crate::math::num::RealNumber; /// Area Under the Receiver Operating Characteristic Curve (ROC AUC) #[cfg_attr(feature = "serde", derive(Serialize, Deserialize))] #[derive(Debug)] pub struct AUC {} impl AUC { /// AUC score. /// * `y_true` - cround truth (correct) labels. /// * `y_pred_probabilities` - probability estimates, as returned by a classifier. pub fn get_score>(&self, y_true: &V, y_pred_prob: &V) -> T { let mut pos = T::zero(); let mut neg = T::zero(); let n = y_true.len(); for i in 0..n { if y_true.get(i) == T::zero() { neg += T::one(); } else if y_true.get(i) == T::one() { pos += T::one(); } else { panic!( "AUC is only for binary classification. Invalid label: {}", y_true.get(i) ); } } let mut y_pred = y_pred_prob.to_vec(); let label_idx = y_pred.quick_argsort_mut(); let mut rank = vec![T::zero(); n]; let mut i = 0; while i < n { if i == n - 1 || y_pred[i] != y_pred[i + 1] { rank[i] = T::from_usize(i + 1).unwrap(); } else { let mut j = i + 1; while j < n && y_pred[j] == y_pred[i] { j += 1; } let r = T::from_usize(i + 1 + j).unwrap() / T::two(); for rank_k in rank.iter_mut().take(j).skip(i) { *rank_k = r; } i = j - 1; } i += 1; } let mut auc = T::zero(); for i in 0..n { if y_true.get(label_idx[i]) == T::one() { auc += rank[i]; } } (auc - (pos * (pos + T::one()) / T::two())) / (pos * neg) } } #[cfg(test)] mod tests { use super::*; #[cfg_attr(target_arch = "wasm32", wasm_bindgen_test::wasm_bindgen_test)] #[test] fn auc() { let y_true: Vec = vec![0., 0., 1., 1.]; let y_pred: Vec = vec![0.1, 0.4, 0.35, 0.8]; let score1: f64 = AUC {}.get_score(&y_true, &y_pred); let score2: f64 = AUC {}.get_score(&y_true, &y_true); assert!((score1 - 0.75).abs() < 1e-8); assert!((score2 - 1.0).abs() < 1e-8); } }