FEA add TunedThresholdClassifier meta-estimator to post-tune the cut-…

…off threshold (#26120)

Co-authored-by: Jérémie du Boisberranger <34657725+jeremiedbb@users.noreply.github.com>
Co-authored-by: Christian Lorentzen <lorentzen.ch@gmail.com>
Co-authored-by: Arturo Amor <86408019+ArturoAmorQ@users.noreply.github.com>
Co-authored-by: Olivier Grisel <olivier.grisel@ensta.org>
Co-authored-by: Omar Salman <omar.salman@arbisoft>
Co-authored-by: Adrin Jalali <adrin.jalali@gmail.com>
Co-authored-by: Omar Salman <omar.salman@arbisoft.com>
Co-authored-by: Soledad Galli <solegalli@protonmail.com>
Co-authored-by: Andreas Mueller <t3kcit@gmail.com>
Co-authored-by: Thomas J. Fan <thomasjpfan@gmail.com>
Co-authored-by: Joel Nothman <joeln@canva.com>
Co-authored-by: Jérémie du Boisberranger <jeremie@probabl.ai>

doc/model_selection.rst

@@ -14,5 +14,6 @@ Model selection and evaluation
 
     modules/cross_validation
     modules/grid_search
+    modules/classification_threshold
     modules/model_evaluation
     modules/learning_curve

doc/modules/classes.rst

@@ -1248,6 +1248,17 @@ Hyper-parameter optimizers
    model_selection.RandomizedSearchCV
    model_selection.HalvingRandomSearchCV
 
+Post-fit model tuning
+---------------------
+
+.. currentmodule:: sklearn
+
+.. autosummary::
+   :toctree: generated/
+   :template: class.rst
+
+   model_selection.FixedThresholdClassifier
+   model_selection.TunedThresholdClassifierCV
 
 Model validation
 ----------------

doc/modules/classification_threshold.rst

@@ -0,0 +1,156 @@
+.. currentmodule:: sklearn.model_selection
+
+.. _TunedThresholdClassifierCV:
+
+==================================================
+Tuning the decision threshold for class prediction
+==================================================
+
+Classification is best divided into two parts:
+
+* the statistical problem of learning a model to predict, ideally, class probabilities;
+* the decision problem to take concrete action based on those probability predictions.
+
+Let's take a straightforward example related to weather forecasting: the first point is
+related to answering "what is the chance that it will rain tomorrow?" while the second
+point is related to answering "should I take an umbrella tomorrow?".
+
+When it comes to the scikit-learn API, the first point is addressed providing scores
+using :term:`predict_proba` or :term:`decision_function`. The former returns conditional
+probability estimates :math:`P(y|X)` for each class, while the latter returns a decision
+score for each class.
+
+The decision corresponding to the labels are obtained with :term:`predict`. In binary
+classification, a decision rule or action is then defined by thresholding the scores,
+leading to the prediction of a single class label for each sample. For binary
+classification in scikit-learn, class labels predictions are obtained by hard-coded
+cut-off rules: a positive class is predicted when the conditional probability
+:math:`P(y|X)` is greater than 0.5 (obtained with :term:`predict_proba`) or if the
+decision score is greater than 0 (obtained with :term:`decision_function`).
+
+Here, we show an example that illustrates the relation between conditional
+probability estimates :math:`P(y|X)` and class labels::
+
+    >>> from sklearn.datasets import make_classification
+    >>> from sklearn.tree import DecisionTreeClassifier
+    >>> X, y = make_classification(random_state=0)
+    >>> classifier = DecisionTreeClassifier(max_depth=2, random_state=0).fit(X, y)
+    >>> classifier.predict_proba(X[:4])
+    array([[0.94     , 0.06     ],
+           [0.94     , 0.06     ],
+           [0.0416..., 0.9583...],
+           [0.0416..., 0.9583...]])
+    >>> classifier.predict(X[:4])
+    array([0, 0, 1, 1])
+
+While these hard-coded rules might at first seem reasonable as default behavior, they
+are most certainly not ideal for most use cases. Let's illustrate with an example.
+
+Consider a scenario where a predictive model is being deployed to assist
+physicians in detecting tumors. In this setting, physicians will most likely be
+interested in identifying all patients with cancer and not missing anyone with cancer so
+that they can provide them with the right treatment. In other words, physicians
+prioritize achieving a high recall rate. This emphasis on recall comes, of course, with
+the trade-off of potentially more false-positive predictions, reducing the precision of
+the model. That is a risk physicians are willing to take because the cost of a missed
+cancer is much higher than the cost of further diagnostic tests. Consequently, when it
+comes to deciding whether to classify a patient as having cancer or not, it may be more
+beneficial to classify them as positive for cancer when the conditional probability
+estimate is much lower than 0.5.
+
+Post-tuning the decision threshold
+==================================
+
+One solution to address the problem stated in the introduction is to tune the decision
+threshold of the classifier once the model has been trained. The
+:class:`~sklearn.model_selection.TunedThresholdClassifierCV` tunes this threshold using
+an internal cross-validation. The optimum threshold is chosen to maximize a given
+metric.
+
+The following image illustrates the tuning of the decision threshold for a gradient
+boosting classifier. While the vanilla and tuned classifiers provide the same
+:term:`predict_proba` outputs and thus the same Receiver Operating Characteristic (ROC)
+and Precision-Recall curves, the class label predictions differ because of the tuned
+decision threshold. The vanilla classifier predicts the class of interest for a
+conditional probability greater than 0.5 while the tuned classifier predicts the class
+of interest for a very low probability (around 0.02). This decision threshold optimizes
+a utility metric defined by the business (in this case an insurance company).
+
+.. figure:: ../auto_examples/model_selection/images/sphx_glr_plot_cost_sensitive_learning_002.png
+   :target: ../auto_examples/model_selection/plot_cost_sensitive_learning.html
+   :align: center
+
+Options to tune the decision threshold
+--------------------------------------
+
+The decision threshold can be tuned through different strategies controlled by the
+parameter `scoring`.
+
+One way to tune the threshold is by maximizing a pre-defined scikit-learn metric. These
+metrics can be found by calling the function :func:`~sklearn.metrics.get_scorer_names`.
+By default, the balanced accuracy is the metric used but be aware that one should choose
+a meaningful metric for their use case.
+
+.. note::
+
+    It is important to notice that these metrics come with default parameters, notably
+    the label of the class of interest (i.e. `pos_label`). Thus, if this label is not
+    the right one for your application, you need to define a scorer and pass the right
+    `pos_label` (and additional parameters) using the
+    :func:`~sklearn.metrics.make_scorer`. Refer to :ref:`scoring` to get
+    information to define your own scoring function. For instance, we show how to pass
+    the information to the scorer that the label of interest is `0` when maximizing the
+    :func:`~sklearn.metrics.f1_score`::
+
+        >>> from sklearn.linear_model import LogisticRegression
+        >>> from sklearn.model_selection import TunedThresholdClassifierCV
+        >>> from sklearn.metrics import make_scorer, f1_score
+        >>> X, y = make_classification(
+        ...   n_samples=1_000, weights=[0.1, 0.9], random_state=0)
+        >>> pos_label = 0
+        >>> scorer = make_scorer(f1_score, pos_label=pos_label)
+        >>> base_model = LogisticRegression()
+        >>> model = TunedThresholdClassifierCV(base_model, scoring=scorer)
+        >>> scorer(model.fit(X, y), X, y)
+        0.88...
+        >>> # compare it with the internal score found by cross-validation
+        >>> model.best_score_
+        0.86...
+
+Important notes regarding the internal cross-validation
+-------------------------------------------------------
+
+By default :class:`~sklearn.model_selection.TunedThresholdClassifierCV` uses a 5-fold
+stratified cross-validation to tune the decision threshold. The parameter `cv` allows to
+control the cross-validation strategy. It is possible to bypass cross-validation by
+setting `cv="prefit"` and providing a fitted classifier. In this case, the decision
+threshold is tuned on the data provided to the `fit` method.
+
+However, you should be extremely careful when using this option. You should never use
+the same data for training the classifier and tuning the decision threshold due to the
+risk of overfitting. Refer to the following example section for more details (cf.
+:ref:`TunedThresholdClassifierCV_no_cv`). If you have limited resources, consider using
+a float number for `cv` to limit to an internal single train-test split.
+
+The option `cv="prefit"` should only be used when the provided classifier was already
+trained, and you just want to find the best decision threshold using a new validation
+set.
+
+.. _FixedThresholdClassifier:
+
+Manually setting the decision threshold
+---------------------------------------
+
+The previous sections discussed strategies to find an optimal decision threshold. It is
+also possible to manually set the decision threshold using the class
+:class:`~sklearn.model_selection.FixedThresholdClassifier`.
+
+Examples
+--------
+
+- See the example entitled
+  :ref:`sphx_glr_auto_examples_model_selection_plot_tuned_decision_threshold.py`,
+  to get insights on the post-tuning of the decision threshold.
+- See the example entitled
+  :ref:`sphx_glr_auto_examples_model_selection_plot_cost_sensitive_learning.py`,
+  to learn about cost-sensitive learning and decision threshold tuning.

doc/whats_new/v1.5.rst

@@ -438,6 +438,13 @@ Changelog
 :mod:`sklearn.model_selection`
 ..............................
 
+- |MajorFeature| :class:`model_selection.TunedThresholdClassifierCV` finds
+  the decision threshold of a binary classifier that maximizes a
+  classification metric through cross-validation.
+  :class:`model_selection.FixedThresholdClassifier` is an alternative when one wants
+  to use a fixed decision threshold without any tuning scheme.
+  :pr:`26120` by :user:`Guillaume Lemaitre <glemaitre>`.
+
 - |Enhancement| :term:`CV splitters <CV splitter>` that ignores the group parameter now
   raises a warning when groups are passed in to :term:`split`. :pr:`28210` by
   `Thomas Fan`_.