提出两种新方法,精准优化受限范围的AUC,解决误差与扩展性难题。
Closing the Approximation Gap of Partial AUC Optimization: A Tale of Two Formulations
- 将复杂采样转化为可解的极小极大问题,通过阈值学习简化流程
- 算法每轮计算线性于样本量,收敛速度达O(ε⁻¹⁄³),且逼近误差趋近于零
- 理论证明约束参数影响泛化性能,适合高不平衡、有决策限制场景
部分AUC(PAUC)是针对ROC曲线上特定假阳性率(FPR)和/或真阳性率(TPR)区间的评估指标,在类别不平衡且存在决策约束的现实场景中至关重要。然而,计算该指标时需在限定区间内选择样本,此过程为NP难问题,通常依赖近似方法,现有方法普遍存在不可控近似误差或可扩展性差的问题。本文通过提出两种简洁的实例级极小极大重构方式,彻底关闭了近似误差缺口:一种实现渐近无误差,另一种保持无偏性但变量更多。核心思路是先建立等价的实例级问题以降低时间复杂度,再通过阈值学习简化复杂的样本选择过程,并应用不同平滑技术。结合高效求解器后,算法在典型单向与双向PAUC下具有线性每轮计算复杂度,收敛率为O(ε⁻¹⁄³)。此外,我们给出了最小极大重构的紧致泛化界,明确揭示了TPR/FPR约束α/β对泛化的影响,其阶数为˜O(α⁻¹n₊⁻¹ + β⁻¹n₋⁻¹)。多个基准数据集上的实验验证了所提方法的优越性。
原文摘要 · Abstract (English)
As a variant of the Area Under the ROC Curve (AUC), the partial AUC (PAUC) focuses on a specific range of false positive rate (FPR) and/or true positive rate (TPR) in the ROC curve. It is a pivotal evaluation metric in real-world scenarios with both class imbalance and decision constraints. However, selecting instances within these constrained intervals during its calculation is NP-hard, and thus typically requires approximation techniques for practical resolution. Despite the progress made in PAUC optimization over the last few years, most existing methods still suffer from uncontrollable approximation errors or a limited scalability when optimizing the approximate PAUC objectives. In this paper, we close the approximation gap of PAUC optimization by presenting two simple instance-wise minimax reformulations: one with an asymptotically vanishing gap, the other with the unbiasedness at the cost of more variables. Our key idea is to first establish an equivalent instance-wise problem to lower the time complexity, simplify the complicated sample selection procedure by threshold learning, and then apply different smoothing techniques. Equipped with an efficient solver, the resulting algorithms enjoy a linear per-iteration computational complexity w.r.t. the sample size and a convergence rate of $O(ε^{-1/3})$ for typical one-way and two-way PAUCs. Moreover, we provide a tight generalization bound of our minimax reformulations. The result explicitly demonstrates the impact of the TPR/FPR constraints $α$/$β$ on the generalization and exhibits a sharp order of $\tilde{O}(α^{-1}\n_+^{-1} + β^{-1}\n_-^{-1})$. Finally, extensive experiments on several benchmark datasets validate the strength of our proposed methods.
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