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Poster

Estimating the Arc Length of the Optimal ROC Curve and Lower Bounding the Maximal AUC

Song Liu

Hall J (level 1) #922

Keywords: [ f-divergence ] [ AUC maximization ] [ ROC Curve ] [ density ratio estimation ]


Abstract: In this paper, we show the arc length of the optimal ROC curve is an f-divergence. By leveraging this result, we express the arc length using a variational objective and estimate it accurately using positive and negative samples. We show this estimator has a non-parametric convergence rate Op(nβ/4) (β(0,1] depends on the smoothness). Using the same technique, we show the surface area sandwiched between the optimal ROC curve and the diagonal can be expressed via a similar variational objective. These new insights lead to a novel two-step classification procedure that maximizes an approximate lower bound of the maximal AUC. Experiments on CIFAR-10 datasets show the proposed two-step procedure achieves good AUC performance in imbalanced binary classification tasks.

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