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I am searching for a classification score, preferably provided by Python scikit-learn, to evaluate classification in a cross-validation routine.

This classification score must be suitable for:

  • strong class imbalance
  • multiclass classification

The cardinality of the classes is the following:

         N 
Class1  19
Class2  34
Class3   8
Class4  17

Update

I defined a custom scorer based on ROC AUC score from sklearn. Basically I extended it to the multi-class problem by averaging the different scores for each class in a one-vs-all fashion. Is this feasible? Are there drawbacks in this approach?

Here is the Python/sklearn code:

from sklearn.metrics import roc_auc_score
from sklearn.preprocessing import LabelBinarizer

def custom_avg_roc_auc_score(truth, pred):

    lb = LabelBinarizer()
    lb.fit(truth)

    truth = lb.transform(truth)
    pred = lb.transform(pred)

    return roc_auc_score(truth, pred, average="macro")

avg_roc_auc_scorer = make_scorer(custom_avg_roc_auc_score)
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I'd like to highlight two possible options for multiclass performance metrics under class imbalance:

For the latter: as you have $N$ classes, and ROC/AUC are conceptually designed for 2-class-problems, you will likely need to calculate one ROC curve and AUC value per individual class. This could be done e.g. in a "1-vs-all" manner, where you test for each class how much it is confused with other classes. The thereby obtained $N$ metrics can be used to e.g. look at the distribution of AUC values (e.g. boxplots or similar) to compare and select a best suited model from multiple models. If this process needs to be done fully automated, consider computing the mean/median and sd/mad of AUC over all classes (the first indicates the "average" performance over classes, the latter the performance spread). By doing this for all models you obtain scalar values which you could use to select a model suited for your problem.

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  • $\begingroup$ I implemented the scorer and updated the question. Basically I used ROC/AUC, with one-vs-all approach, and averaged the contribution of all classes. Should I weight the AUC contribution based on class prevalence? $\endgroup$ – gc5 Jun 29 '16 at 11:31
  • $\begingroup$ I think this depends on your problem. If you want more prominently represented classes to have bigger impact you could something like this (maybe not 1:1 class prevalence). You could also just give "more important classes" more weight (and vice versa for less important classes). But if in doubt I would keep the contribution pretty much equal. $\endgroup$ – geekoverdose Jun 29 '16 at 11:35
  • $\begingroup$ Ok thanks. Basically I want that each class is considered equal disregarding the prevalence, so I think avoiding the weighting will give me the best estimate. $\endgroup$ – gc5 Jun 29 '16 at 11:42

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