AI & ML
One Curve, Different Weights: AUC, the Brier Score, Decision-Weighted AUC, and the Policy Youden Index
arXiv stat.ML0 views
arXiv:2611.14465v1 Announce Type: cross Abstract: AUC and the Brier score are standard summaries of a binary risk score, yet they can rank models differently. We introduce a weighted AUC, AUC$_\pi$, which weights each pair of observations by how differently a decision maker with probability of acting $\pi$ treats them. We show that all three are built on weighted averages of one curve, the Youden index $J(t) = \mathrm{TPR}(t) - \mathrm{FPR}(t)$ across cutoffs $t$, and that the averages differ in the weights they put on the cutoffs. Each weights a cutoff by how much something rises across it: for AUC, the distribution of all scores; for the Brier score, the true probability $\mathbb{E}[Y \mid S]$; for AUC$_\pi$, the decision maker's probability of acting. Up to normalization, AUC$_\pi$ is the Brier skill score of the ideal forecast with its weight moved to the cutoffs the decision maker cares about. We also show that weighting pairs by $|\pi(s) - \pi(s')|$ is, up to scale, the only pair weight fixed in advance that makes a pair-weighted AUC an average of the Youden curve for every score distribution. As a ranking measure, AUC weights every model the same way. Hand (2009) shows that it can also be read as an average over cost thresholds, and in that reading each model weights the thresholds differently. The numerator of AUC$_\pi$, which we call the policy Youden index, is the expected share of class 1 a fixed policy acts on minus the expected share of class 0. It judges every model by the same policy and so avoids this; the full ratio AUC$_\pi$ does not.
Source:https://arxiv.org/abs/2611.14465PreviousNonparametric Maximum Likelihood Estimation for Mixtures of Logistic RegressionsNextA Theory of Policy Optimization in Post-Training: Coverage Collapse and Reference Resets
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