[MRG] Adds multiclass ROC AUC (scikit-learn#12789)

doc/modules/model_evaluation.rst

@@ -313,6 +313,7 @@ Others also work in the multiclass case:
    confusion_matrix
    hinge_loss
    matthews_corrcoef
+   roc_auc_score
 
 
 Some also work in the multilabel case:
@@ -331,6 +332,7 @@ Some also work in the multilabel case:
    precision_recall_fscore_support
    precision_score
    recall_score
+   roc_auc_score
    zero_one_loss
 
 And some work with binary and multilabel (but not multiclass) problems:
@@ -339,7 +341,6 @@ And some work with binary and multilabel (but not multiclass) problems:
    :template: function.rst
 
    average_precision_score
-   roc_auc_score
 
 
 In the following sub-sections, we will describe each of those functions,
@@ -1313,9 +1314,52 @@ In multi-label classification, the :func:`roc_auc_score` function is
 extended by averaging over the labels as :ref:`above <average>`.
 
 Compared to metrics such as the subset accuracy, the Hamming loss, or the
-F1 score, ROC doesn't require optimizing a threshold for each label. The
-:func:`roc_auc_score` function can also be used in multi-class classification,
-if the predicted outputs have been binarized.
+F1 score, ROC doesn't require optimizing a threshold for each label.
+
+The :func:`roc_auc_score` function can also be used in multi-class
+classification. Two averaging strategies are currently supported: the
+one-vs-one algorithm computes the average of the pairwise ROC AUC scores, and
+the one-vs-rest algorithm computes the average of the ROC AUC scores for each
+class against all other classes. In both cases, the predicted labels are
+provided in an array with values from 0 to ``n_classes``, and the scores
+correspond to the probability estimates that a sample belongs to a particular
+class. The OvO and OvR algorithms supports weighting uniformly 
+(``average='macro'``) and weighting by the prevalence (``average='weighted'``).
+
+**One-vs-one Algorithm**: Computes the average AUC of all possible pairwise
+combinations of classes. [HT2001]_ defines a multiclass AUC metric weighted
+uniformly:
+
+.. math::
+
+   \frac{2}{c(c-1)}\sum_{j=1}^{c}\sum_{k > j}^c (\text{AUC}(j | k) +
+   \text{AUC}(k | j))
+
+where :math:`c` is the number of classes and :math:`\text{AUC}(j | k)` is the
+AUC with class :math:`j` as the positive class and class :math:`k` as the
+negative class. In general,
+:math:`\text{AUC}(j | k) \neq \text{AUC}(k | j))` in the multiclass
+case. This algorithm is used by setting the keyword argument ``multiclass``
+to ``'ovo'`` and ``average`` to ``'macro'``.
+
+The [HT2001]_ multiclass AUC metric can be extended to be weighted by the
+prevalence:
+
+.. math::
+
+   \frac{2}{c(c-1)}\sum_{j=1}^{c}\sum_{k > j}^c p(j \cup k)(
+   \text{AUC}(j | k) + \text{AUC}(k | j))
+
+where :math:`c` is the number of classes. This algorithm is used by setting
+the keyword argument ``multiclass`` to ``'ovo'`` and ``average`` to
+``'weighted'``. The ``'weighted'`` option returns a prevalence-weighted average 
+as described in [FC2009]_.
+
+**One-vs-rest Algorithm**: Computes the AUC of each class against the rest.
+The algorithm is functionally the same as the multilabel case. To enable this
+algorithm set the keyword argument ``multiclass`` to ``'ovr'``. Similar to
+OvO, OvR supports two types of averaging: ``'macro'`` [F2006]_ and
+``'weighted'`` [F2001]_.
 
 In applications where a high false positive rate is not tolerable the parameter
 ``max_fpr`` of :func:`roc_auc_score` can be used to summarize the ROC curve up
@@ -1341,6 +1385,28 @@ to the given limit.
     for an example of using ROC to
     model species distribution.
 
+.. topic:: References:
+
+    .. [HT2001] Hand, D.J. and Till, R.J., (2001). `A simple generalisation
+       of the area under the ROC curve for multiple class classification problems.
+       <http://link.springer.com/article/10.1023/A:1010920819831>`_
+       Machine learning, 45(2), pp.171-186.
+
+    .. [FC2009] Ferri, Cèsar & Hernandez-Orallo, Jose & Modroiu, R. (2009). 
+       `An Experimental Comparison of Performance Measures for Classification. 
+       <https://www.math.ucdavis.edu/~saito/data/roc/ferri-class-perf-metrics.pdf>`_
+       Pattern Recognition Letters. 30. 27-38. 
+
+    .. [F2006] Fawcett, T., 2006. `An introduction to ROC analysis.
+       <http://www.sciencedirect.com/science/article/pii/S016786550500303X>`_
+       Pattern Recognition Letters, 27(8), pp. 861-874.
+
+    .. [F2001] Fawcett, T., 2001. `Using rule sets to maximize 
+       ROC performance <http://ieeexplore.ieee.org/document/989510/>`_
+       In Data Mining, 2001.
+       Proceedings IEEE International Conference, pp. 131-138.
+
+
 .. _zero_one_loss:
 
 Zero one loss

doc/whats_new/v0.22.rst

@@ -131,6 +131,13 @@ Changelog
 - |API| Deprecate ``training_data_`` unused attribute in
   :class:`manifold.Isomap`. :issue:`10482` by `Tom Dupre la Tour`_.
 
+:mod:`sklearn.metrics`
+......................
+
+- |Feature| Added multiclass support to :func:`metrics.roc_auc_score`.
+  :issue:`12789` by :user:`Kathy Chen <kathyxchen>`,
+  :user:`Mohamed Maskani <maskani-moh>`, and :user:`Thomas Fan <thomasjpfan>`.
+
 :mod:`sklearn.model_selection`
 ..................
 

examples/model_selection/plot_roc.py

@@ -15,24 +15,21 @@
 The "steepness" of ROC curves is also important, since it is ideal to maximize
 the true positive rate while minimizing the false positive rate.
 
-Multiclass settings
--------------------
-
 ROC curves are typically used in binary classification to study the output of
-a classifier. In order to extend ROC curve and ROC area to multi-class
-or multi-label classification, it is necessary to binarize the output. One ROC
+a classifier. In order to extend ROC curve and ROC area to multi-label
+classification, it is necessary to binarize the output. One ROC
 curve can be drawn per label, but one can also draw a ROC curve by considering
 each element of the label indicator matrix as a binary prediction
 (micro-averaging).
 
-Another evaluation measure for multi-class classification is
+Another evaluation measure for multi-label classification is
 macro-averaging, which gives equal weight to the classification of each
 label.
 
 .. note::
 
     See also :func:`sklearn.metrics.roc_auc_score`,
-             :ref:`sphx_glr_auto_examples_model_selection_plot_roc_crossval.py`.
+             :ref:`sphx_glr_auto_examples_model_selection_plot_roc_crossval.py`
 
 """
 print(__doc__)
@@ -47,6 +44,7 @@
 from sklearn.preprocessing import label_binarize
 from sklearn.multiclass import OneVsRestClassifier
 from scipy import interp
+from sklearn.metrics import roc_auc_score
 
 # Import some data to play with
 iris = datasets.load_iris()
@@ -101,8 +99,8 @@
 
 
 ##############################################################################
-# Plot ROC curves for the multiclass problem
-
+# Plot ROC curves for the multilabel problem
+# ..........................................
 # Compute macro-average ROC curve and ROC area
 
 # First aggregate all false positive rates
@@ -146,3 +144,29 @@
 plt.title('Some extension of Receiver operating characteristic to multi-class')
 plt.legend(loc="lower right")
 plt.show()
+
+
+##############################################################################
+# Area under ROC for the multiclass problem
+# .........................................
+# The :func:`sklearn.metrics.roc_auc_score` function can be used for
+# multi-class classification. The mutliclass One-vs-One scheme compares every
+# unique pairwise combination of classes. In this section, we calcuate the AUC
+# using the OvR and OvO schemes. We report a macro average, and a
+# prevalence-weighted average.
+y_prob = classifier.predict_proba(X_test)
+
+macro_roc_auc_ovo = roc_auc_score(y_test, y_prob, multi_class="ovo",
+                                  average="macro")
+weighted_roc_auc_ovo = roc_auc_score(y_test, y_prob, multi_class="ovo",
+                                     average="weighted")
+macro_roc_auc_ovr = roc_auc_score(y_test, y_prob, multi_class="ovr",
+                                  average="macro")
+weighted_roc_auc_ovr = roc_auc_score(y_test, y_prob, multi_class="ovr",
+                                     average="weighted")
+print("One-vs-One ROC AUC scores:\n{:.6f} (macro),\n{:.6f} "
+      "(weighted by prevalence)"
+      .format(macro_roc_auc_ovo, weighted_roc_auc_ovo))
+print("One-vs-Rest ROC AUC scores:\n{:.6f} (macro),\n{:.6f} "
+      "(weighted by prevalence)"
+      .format(macro_roc_auc_ovr, weighted_roc_auc_ovr))

sklearn/metrics/base.py

@@ -12,6 +12,7 @@
 #          Noel Dawe <noel@dawe.me>
 # License: BSD 3 clause
 
+from itertools import combinations
 
 import numpy as np
 
@@ -123,3 +124,74 @@ def _average_binary_score(binary_metric, y_true, y_score, average,
         return np.average(score, weights=average_weight)
     else:
         return score
+
+
+def _average_multiclass_ovo_score(binary_metric, y_true, y_score,
+                                  average='macro'):
+    """Average one-versus-one scores for multiclass classification.
+
+    Uses the binary metric for one-vs-one multiclass classification,
+    where the score is computed according to the Hand & Till (2001) algorithm.
+
+    Parameters
+    ----------
+    binary_metric : callable
+        The binary metric function to use that accepts the following as input
+            y_true_target : array, shape = [n_samples_target]
+                Some sub-array of y_true for a pair of classes designated
+                positive and negative in the one-vs-one scheme.
+            y_score_target : array, shape = [n_samples_target]
+                Scores corresponding to the probability estimates
+                of a sample belonging to the designated positive class label
+
+    y_true : array-like, shape = (n_samples, )
+        True multiclass labels.
+
+    y_score : array-like, shape = (n_samples, n_classes)
+        Target scores corresponding to probability estimates of a sample
+        belonging to a particular class
+
+    average : 'macro' or 'weighted', optional (default='macro')
+        Determines the type of averaging performed on the pairwise binary
+        metric scores
+        ``'macro'``:
+            Calculate metrics for each label, and find their unweighted
+            mean. This does not take label imbalance into account. Classes
+            are assumed to be uniformly distributed.
+        ``'weighted'``:
+            Calculate metrics for each label, taking into account the
+            prevalence of the classes.
+
+    Returns
+    -------
+    score : float
+        Average of the pairwise binary metric scores
+    """
+    check_consistent_length(y_true, y_score)
+
+    y_true_unique = np.unique(y_true)
+    n_classes = y_true_unique.shape[0]
+    n_pairs = n_classes * (n_classes - 1) // 2
+    pair_scores = np.empty(n_pairs)
+
+    is_weighted = average == "weighted"
+    prevalence = np.empty(n_pairs) if is_weighted else None
+
+    # Compute scores treating a as positive class and b as negative class,
+    # then b as positive class and a as negative class
+    for ix, (a, b) in enumerate(combinations(y_true_unique, 2)):
+        a_mask = y_true == a
+        b_mask = y_true == b
+        ab_mask = np.logical_or(a_mask, b_mask)
+
+        if is_weighted:
+            prevalence[ix] = np.average(ab_mask)
+
+        a_true = a_mask[ab_mask]
+        b_true = b_mask[ab_mask]
+
+        a_true_score = binary_metric(a_true, y_score[ab_mask, a])
+        b_true_score = binary_metric(b_true, y_score[ab_mask, b])
+        pair_scores[ix] = (a_true_score + b_true_score) / 2
+
+    return np.average(pair_scores, weights=prevalence)