# Introduction to AUC and Calibrated Models with Examples using Scikit-Learn

Last updated:- Scores aren't always Probabilities
- Calibration vs Discrimination
- Calibration is important in problems where you need to make decisions based on model outputs
- Types of calibration: Sigmoid and Isotonic
- Scikit-learn example: Calibrate a discrete classifier using CalibratedClassifierCV
- Scikit-learn example: Calibrate a continous classifier
- Natively Calibrated classifiers
- Calibrated predictions help users and stakeholders build trust on your model
- AUC is therefore NOT the metric you want to look at if

This was inspired by an earlier (2017) podcast episode by

Linear Digressions.

## Scores aren't always Probabilities

The score you get from a binary classifier (that outputs a number between 0 and 1) is **not necessarily** a well-calibrated probability.

This is not always a problem because it generally sufices to have scores that correctly **order** the samples, even if they don't actually correspond to probabilities.

**Example:** A logistic regression binary classifier naturally produces scores that are actual probabilities (i.e. if it reports a score of 0.9 for an instance, it means that that instance would be `True`

90% of the time and `False`

10% of the time.)

## Calibration vs Discrimination

**Calibration**: How well model output actually matches the probability of the event. It can be measured by the Hosmer-Lemeshow statistic.

**Discrimination**: For every two examples A and B where A is `True`

and B is `False`

.It can be measure by the AUC.

If order to understand **how they differ**, imagine the following:

You have a model that gives a AUC score of 0.52 to every

`True`

instance and 0.51 to every`False`

. It will haveperfect discrimination(AUC = 1.0) butvery poor calibration(i.e. the score has very little correlation with actual event probability).

## Calibration is important in problems where you need to make decisions based on model outputs

In many cases, the output scores of these models are used to drive actions and help people make decisions.

The natural way to do this is to use **thresholds**, i.e. define a cutoff value for the scores, and act on the instances that cross that threshold.

**Examples:**

If your model outputs credit default probabilities, it may the company's policy to contact every customer whose default risk is over 0.6.

If your model outputs risk of heart failure in the next 3 months, the doctors (or medical guidelines) may need to act on the people whose risk is above 0.5, to prevent the event from taking place.

If your model's **calibration** isn't up to scratch, you'll mislead anyone taking action based on its outputs.

## Types of calibration: Sigmoid and Isotonic

Sigmoid calibration is also called

Platt's Scaling

**Sigmoid Calibration** simply means to fit a Logistic Regression classifier using the (0 or 1) outputs from your original model.

**Isotonic Calibration** (also called Isotonic Regression) fits a *piecewise* function to the outputs of your original model instead:

## Scikit-learn example: Calibrate a discrete classifier using CalibratedClassifierCV

Here, we are just using `CalibratedClassifierCV`

to turn a discrete binary classifier into one that outputs well-calibrated continous probabilities.

```
import numpy as np
from sklearn.datasets import make_classification
from sklearn.svm import LinearSVC
from sklearn.metrics import brier_score_loss
from sklearn.model_selection import train_test_split
from sklearn.calibration import CalibratedClassifierCV,calibration_curve
from sklearn import metrics
import matplotlib.pyplot as plt
np.random.seed(42)
# class_sep set to 0.5 to make it a little more difficult
X, y = make_classification(n_samples=9000,n_features=20,class_sep=0.5)
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.20)
clf = CalibratedClassifierCV(LinearSVC(),method='isotonic',cv=2)
clf.fit(X_train,y_train)
y_preds = clf.predict_proba(X_test)
preds = y_preds[:,1]
# also predict discrete labels for comparison
discrete_preds = clf.predict(X_test)
## PLOT CURVE
plt.clf()
ax = plt.gca()
ax.set_xlim([-0.1,1.1])
ax.set_ylim([-0.1,1.1])
ax.plot([0, 1], [0, 1], "k:", label="Perfect calibration")
clf_score = brier_score_loss(y_test, preds, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, preds, n_bins=20)
ax.plot(mean_predicted_value, fraction_of_positives, "s-", label="Sigmoid Calibration (Brier loss={:.2f})".format(clf_score))
clf_score = brier_score_loss(y_test, discrete_preds, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, discrete_preds, n_bins=20)
ax.plot(mean_predicted_value, fraction_of_positives, "s-", label="Discrete predictions (Brier loss={:.2f})".format(clf_score))
plt.suptitle('Calibration curve and \n Brier loss (less is better)', size=16)
plt.show()
```

*Calibration turned the discrete classifier into a continuous classifier*

whose outputs can be roughly interpreted as probabilities

whose outputs can be roughly interpreted as probabilities

## Scikit-learn example: Calibrate a continous classifier

Even if a model

doesoutput continuous numbers from 0 to 1 out of the box (i.e. it supports`predict_proba`

) that doesn't mean that you can blindly use these scores as probabilities.

```
import numpy as np
from sklearn.datasets import make_classification
from sklearn.metrics import brier_score_loss,log_loss
from sklearn.model_selection import train_test_split
from sklearn.calibration import CalibratedClassifierCV,calibration_curve
from sklearn import metrics
from sklearn.ensemble import GradientBoostingClassifier
import matplotlib.pyplot as plt
np.random.seed(42)
X, y = make_classification(n_samples=150000,n_features=10,n_informative=5,n_redundant=5, class_sep=0.05)
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.60)
clf = GradientBoostingClassifier()
clf.fit(X_train,y_train)
# prefit means that the underlying classifier has already been fitted
ccv_sig = CalibratedClassifierCV(clf,cv='prefit',method='sigmoid')
ccv_sig.fit(X_train,y_train)
ccv_iso = CalibratedClassifierCV(clf,cv='prefit',method='isotonic')
ccv_iso.fit(X_train,y_train)
# ṔLOT THE RELIABLITY CURVES FOR BOTH CALIBRATION TYPES
plt.clf()
fig, axes = plt.subplots(1,2,sharey=True)
# SIGMOID CALIBRATION
ccv_preds_sig = ccv_sig.predict_proba(X_test)[:,1]
ax=axes[0]
ax.set_xlim([-0.1,1.1])
ax.set_ylim([-0.1,1.1])
ax.plot([0, 1], [0, 1], "k:", label="Perfect calibration")
clf_score = brier_score_loss(y_test, clf_preds, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, clf_preds, n_bins=30)
ax.plot(mean_predicted_value, fraction_of_positives, "r-", label="No Calibration (Brier loss={:.3f})".format(clf_score))
clf_score = brier_score_loss(y_test, ccv_preds_sig, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, ccv_preds_sig, n_bins=30)
ax.plot(mean_predicted_value, fraction_of_positives, "b-", label="Sigmoid Calibration (Brier loss={:.3f})".format(clf_score))
ax.legend(loc='lower right')
ax.set_title('Original vs Sigmoid Calibration', size=16)
plt.subplots_adjust(top=0.85)
# ISOTONIC CALIBRATION
ccv_preds_iso = ccv_iso.predict_proba(X_test)[:,1]
ax=axes[1]
ax.set_xlim([-0.1,1.1])
ax.set_ylim([-0.1,1.1])
ax.plot([0, 1], [0, 1], "k:", label="Perfect calibration")
clf_score = brier_score_loss(y_test, clf_preds, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, clf_preds, n_bins=30)
ax.plot(mean_predicted_value, fraction_of_positives, "r-", label="No Calibration (Brier loss={:.3f})".format(clf_score))
clf_score = brier_score_loss(y_test, ccv_preds_iso, pos_label=1)
fraction_of_positives, mean_predicted_value = calibration_curve(y_test, ccv_preds_iso, n_bins=30)
ax.plot(mean_predicted_value, fraction_of_positives, "b-", label="Isotonic Calibration (Brier loss={:.3f})".format(clf_score))
ax.legend(loc='lower right')
ax.set_title('Original vs Isotonic Calibration', size=16)
plt.subplots_adjust(top=0.85)
plt.gcf().set_size_inches(12,6)
plt.show()
```

*GradientBoostingClassifier already supports*

doesn't mean that its outputs are well calibrated.

Different calibration techniques may yield different outcomes.

`predict_proba`

but that doesn't mean that its outputs are well calibrated.

Different calibration techniques may yield different outcomes.

## Natively Calibrated classifiers

Some classifiers output calibrated probabilities out of the box, including:

XGBoostClassifier, but

**only when using the following objective functions**(see all available objective functions here)`'binary:logistic'`

for bianry classification`'multi:softprob'`

for multiclass classification

## Calibrated predictions help users and stakeholders build trust on your model

Because the results correlate directly with the actual confidence those predictions carry.

In other words, a score of 0.8 given by a calibrated classifier actually means that that instance has an 80% chance of being True.

## AUC is therefore NOT the metric you want to look at if

**You want scores you can interpret at probabilities**AUC may be higher for models that don't output calibrated probabilities.

In other words, if you want to measure

**risk**of something happening (heart disease, credit default, etc), AUC is**not the metric for you**.**Feature selection**If you want to select features by looking at AUC of models trained with them, you may be misled by AUC.

This is because a feature's importance may not overly change the

*discrimination*of the model even though it may increase the accuracy in the probabilities output.**You want to create stratified groups depending on output scores**If your model outputs credit default risk scores, one thing you may be asked to do is to group those clients into

*ratings*. For example, you would want to assign credit rating "A" to clients on bottom 10% of default risk, "B" to clients having 10%-20% risk, and so on, until "H".In other words, if you need to get the

**order**of your scores right, AUC isn't a good metric to help you with that (because it measures discrimination, not calibration).

### References

Cook 2007: Use and misuse of the ROC Curve in Risk Prediction

- AUC is called the c-Statistic in the medical literature.