Optimal Decision-Theoretic Classification Using Non-Decomposable Performance Metrics

Abstract: We provide a general theoretical analysis of expected out-of-sample utility, also referred to as decision-theoretic classification, for non-decomposable binary classification metrics such as F-measure and Jaccard coefficient. Our key result is that the expected out-of-sample utility for many performance metrics is provably optimized by a classifier which is equivalent to a signed thresholding of the conditional probability of the positive class. Our analysis bridges a gap in the literature on binary classification, revealed in light of recent results for non-decomposable metrics in population utility maximization style classification. Our results identify checkable properties of a performance metric which are sufficient to guarantee a probability ranking principle. We propose consistent estimators for optimal expected out-of-sample classification. As a consequence of the probability ranking principle, computational requirements can be reduced from exponential to cubic complexity in the general case, and further reduced to quadratic complexity in special cases. We provide empirical results on simulated and benchmark datasets evaluating the performance of the proposed algorithms for decision-theoretic classification and comparing them to baseline and state-of-the-art methods in population utility maximization for non-decomposable metrics.