Binary Classifier Calibration using an Ensemble of Near Isotonic Regression Models

Learning accurate probabilistic models from data is crucial in many practical tasks in data mining. In this paper we present a new non-parametric calibration method called \textit{ensemble of near isotonic regression} (ENIR). The method can be considered as an extension of BBQ, a recently proposed calibration method, as well as the commonly used calibration method based on isotonic regression. ENIR is designed to address the key limitation of isotonic regression which is the monotonicity assumption of the predictions. Similar to BBQ, the method post-processes the output of a binary classifier to obtain calibrated probabilities. Thus it can be combined with many existing classification models. We demonstrate the performance of ENIR on synthetic and real datasets for the commonly used binary classification models. Experimental results show that the method outperforms several common binary classifier calibration methods. In particular on the real data, ENIR commonly performs statistically significantly better than the other methods, and never worse. It is able to improve the calibration power of classifiers, while retaining their discrimination power. The method is also computationally tractable for large scale datasets, as it is $O(N \log N)$ time, where $N$ is the number of samples

A Comparative Analysis of Ensemble Classifiers: Case Studies in Genomics

The combination of multiple classifiers using ensemble methods is increasingly important for making progress in a variety of difficult prediction problems. We present a comparative analysis of several ensemble methods through two case studies in genomics, namely the prediction of genetic interactions and protein functions, to demonstrate their efficacy on real-world datasets and draw useful conclusions about their behavior. These methods include simple aggregation, meta-learning, cluster-based meta-learning, and ensemble selection using heterogeneous classifiers trained on resampled data to improve the diversity of their predictions. We present a detailed analysis of these methods across 4 genomics datasets and find the best of these methods offer statistically significant improvements over the state of the art in their respective domains. In addition, we establish a novel connection between ensemble selection and meta-learning, demonstrating how both of these disparate methods establish a balance between ensemble diversity and performance.Comment: 10 pages, 3 figures, 8 tables, to appear in Proceedings of the 2013 International Conference on Data Minin

Calibrated Prediction Intervals for Neural Network Regressors

Ongoing developments in neural network models are continually advancing the state of the art in terms of system accuracy. However, the predicted labels should not be regarded as the only core output; also important is a well-calibrated estimate of the prediction uncertainty. Such estimates and their calibration are critical in many practical applications. Despite their obvious aforementioned advantage in relation to accuracy, contemporary neural networks can, generally, be regarded as poorly calibrated and as such do not produce reliable output probability estimates. Further, while post-processing calibration solutions can be found in the relevant literature, these tend to be for systems performing classification. In this regard, we herein present two novel methods for acquiring calibrated predictions intervals for neural network regressors: empirical calibration and temperature scaling. In experiments using different regression tasks from the audio and computer vision domains, we find that both our proposed methods are indeed capable of producing calibrated prediction intervals for neural network regressors with any desired confidence level, a finding that is consistent across all datasets and neural network architectures we experimented with. In addition, we derive an additional practical recommendation for producing more accurate calibrated prediction intervals. We release the source code implementing our proposed methods for computing calibrated predicted intervals. The code for computing calibrated predicted intervals is publicly available