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cvAUC.plus

This small package contains a few simple functions that enhance the cvAUC package created by Erin LeDell. Notably, it allows for confidence intervals and hypothesis tests about differences between cross-validated AUC for two different prediction algorithms.

Installation of cvAUC.plus

The package can be installed directly from GitHub.

devtools::install_github("benkeser/cvAUC.plus")
library(cvAUC.plus)

Using wrap_cvAUC

The first demonstration shows how to define a learner that can be used with wrap_cvAUC, which will compute the cross-validated AUC for that learner. The learner that is passed to wrap_AUC is a function of a specific form. If the user is familiar with the format of wrappers passed to the SuperLearner function in the package of the same name, then defining these wrappers should be fast and easy. A proper wrapper for wrap_cvAUC should be a function that takes as input Y, X, and newX. The function estimates a prediction function using Y and X and returns predictions on newX. The output of the function should be a list with two entries: fit the prediction model fit (can be NULL if you'd like) and pred the predictions on newX. Here are two simple examples.

# a simple main terms GLM
myglm <- function(Y, X, newX){
    fm <- glm(Y~., data = X, family = binomial())
    pred <- predict(fm, newdata = newX, type = "response")
    return(list(fit = fm, pred = pred))
}
# a random forest
library(randomForest)
myrf <- function(Y, X, newX){
    require(randomForest)
    fm <- randomForest(x = X, y = factor(Y), xtest = newX)
    pred <- fm$test$votes[,2]
    return(list(fit=fm, pred = pred))
}

Now we can use wrap_cvAUC to estimate the cross-validated AUC for these algorithms.

# simulate data
n <- 500
X <- data.frame(x1 = rnorm(n), x2 = rnorm(n), x3 = rbinom(n,1,0.5))
Y <- with(X, rbinom(n, 1, plogis(x1*x3 + x2^2/x1 + x3)))

# get CV-AUC of main terms GLM
auc_glm <- wrap_cvAUC(Y = Y, X = X, learner = "myglm", seed = 123)
auc_glm
## 10-fold CV-AUC for myglm      : 0.76
## 95% confidence interval        : 0.71 , 0.80
## One-sided p-value CV-AUC > 0.5 : < 0.01

# get CV-AUC of main terms 
auc_rf <- wrap_cvAUC(Y = Y, X = X, learner = "myrf", seed = 123)
auc_rf
## 10-fold CV-AUC for myrf      : 0.82
## 95% confidence interval        : 0.79 , 0.86
## One-sided p-value CV-AUC > 0.5 : < 0.01

Using diff_cvAUC

The main addition over the cvAUC package is the ability to test for differences in cross-validated AUC between two different model fits. This is achieved via the diff_cvAUC function.

# compare random forest to GLM
diff_auc <- diff_cvAUC(fit1 = auc_rf, fit2 = auc_glm)
diff_auc
## Diff 10-fold CV-AUC (myrf - myglm) : 0.07
## 95% confidence interval               : 0.02 , 0.12
## Two-sided p-value diff not 0          : = 0.01

Options for splitting

The wrap_cvAUC provides some functionality to control the sample splitting, based on the code developed in the SuperLearner package by Eric Polley. You can check the documentation for SuperLearner.CV.control to see all of this functionality, as internally this is the function that is called by wrap_AUC.

Parallelization

The wrap_cvAUC function allows for parallelization via foreach if parallel = TRUE. This will parallelize the fitting of the learner algorithm over folds. The function will internally start (and stop) a cluster using detectCores() to determine how many cores to use.

# simulate data
n <- 2000
X <- data.frame(x1 = rnorm(n), x2 = rnorm(n), x3 = rbinom(n,1,0.5))
Y <- with(X, rbinom(n, 1, plogis(x1*x3 + x2^2/x1 + x3)))

# non-parallel
system.time(tmp <- wrap_cvAUC(Y = Y, X = X, learner = "myrf", seed = 123))
##    user  system elapsed 
##   2.375   0.029   2.477

# parallel
system.time(tmp <- wrap_cvAUC(Y = Y, X = X, learner = "myrf", seed = 123, parallel = TRUE))
##    user  system elapsed 
##   0.193   0.016   3.071