basic Mann-Whitney U statistic for area under ROC computation #400
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here's one approach to making it differentiable for optimization http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.18.8531 |
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You beaut. :) |
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Cool! |
…ximation to area under ROC
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I added an option to compute the approximation function for comparison. |
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gonna start work on this today |
Sweet! |
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Let me know if there's testing or anything I can help with. |
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Sorry, I was working on this and realized it's quite good - and got side tracked. The code is now placed into https://github.com/gorgonia/qol/blob/master/metrics/auc.go... The differentiable |
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Moving to #401 for the |
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Hi @chewxy, here's the fundamental area under the ROC curve computation code -- as mentioned in our twitter discussion. The computation is standalone correct but I didn't attempt the integration with the existing library. I place it into the public domain so it can be re-used in any context. - Jason