"""
========================================
Comparison of Calibration of Classifiers
========================================
Well calibrated classifiers are probabilistic classifiers for which the output
of :term:`predict_proba` can be directly interpreted as a confidence level.
For instance, a well calibrated (binary) classifier should classify the samples
such that for the samples to which it gave a :term:`predict_proba` value close
to 0.8, approximately 80% actually belong to the positive class.
In this example we will compare the calibration of four different
models: :ref:`Logistic_regression`, :ref:`gaussian_naive_bayes`,
:ref:`Random Forest Classifier ` and :ref:`Linear SVM
`.
"""
# %%
# Author: Jan Hendrik Metzen
# License: BSD 3 clause.
#
# Dataset
# -------
#
# We will use a synthetic binary classification dataset with 100,000 samples
# and 20 features. Of the 20 features, only 2 are informative, 2 are
# redundant (random combinations of the informative features) and the
# remaining 16 are uninformative (random numbers). Of the 100,000 samples,
# 100 will be used for model fitting and the remaining for testing.
from sklearn.datasets import make_classification
from sklearn.model_selection import train_test_split
X, y = make_classification(
n_samples=100_000, n_features=20, n_informative=2, n_redundant=2, random_state=42
)
train_samples = 100 # Samples used for training the models
X_train, X_test, y_train, y_test = train_test_split(
X,
y,
shuffle=False,
test_size=100_000 - train_samples,
)
# %%
# Calibration curves
# ------------------
#
# Below, we train each of the four models with the small training dataset, then
# plot calibration curves (also known as reliability diagrams) using
# predicted probabilities of the test dataset. Calibration curves are created
# by binning predicted probabilities, then plotting the mean predicted
# probability in each bin against the observed frequency ('fraction of
# positives'). Below the calibration curve, we plot a histogram showing
# the distribution of the predicted probabilities or more specifically,
# the number of samples in each predicted probability bin.
import numpy as np
from sklearn.svm import LinearSVC
class NaivelyCalibratedLinearSVC(LinearSVC):
"""LinearSVC with `predict_proba` method that naively scales
`decision_function` output."""
def fit(self, X, y):
super().fit(X, y)
df = self.decision_function(X)
self.df_min_ = df.min()
self.df_max_ = df.max()
def predict_proba(self, X):
"""Min-max scale output of `decision_function` to [0,1]."""
df = self.decision_function(X)
calibrated_df = (df - self.df_min_) / (self.df_max_ - self.df_min_)
proba_pos_class = np.clip(calibrated_df, 0, 1)
proba_neg_class = 1 - proba_pos_class
proba = np.c_[proba_neg_class, proba_pos_class]
return proba
# %%
from sklearn.calibration import CalibrationDisplay
from sklearn.ensemble import RandomForestClassifier
from sklearn.linear_model import LogisticRegression
from sklearn.naive_bayes import GaussianNB
# Create classifiers
lr = LogisticRegression()
gnb = GaussianNB()
svc = NaivelyCalibratedLinearSVC(C=1.0, dual="auto")
rfc = RandomForestClassifier()
clf_list = [
(lr, "Logistic"),
(gnb, "Naive Bayes"),
(svc, "SVC"),
(rfc, "Random forest"),
]
# %%
import matplotlib.pyplot as plt
from matplotlib.gridspec import GridSpec
fig = plt.figure(figsize=(10, 10))
gs = GridSpec(4, 2)
colors = plt.get_cmap("Dark2")
ax_calibration_curve = fig.add_subplot(gs[:2, :2])
calibration_displays = {}
markers = ["^", "v", "s", "o"]
for i, (clf, name) in enumerate(clf_list):
clf.fit(X_train, y_train)
display = CalibrationDisplay.from_estimator(
clf,
X_test,
y_test,
n_bins=10,
name=name,
ax=ax_calibration_curve,
color=colors(i),
marker=markers[i],
)
calibration_displays[name] = display
ax_calibration_curve.grid()
ax_calibration_curve.set_title("Calibration plots")
# Add histogram
grid_positions = [(2, 0), (2, 1), (3, 0), (3, 1)]
for i, (_, name) in enumerate(clf_list):
row, col = grid_positions[i]
ax = fig.add_subplot(gs[row, col])
ax.hist(
calibration_displays[name].y_prob,
range=(0, 1),
bins=10,
label=name,
color=colors(i),
)
ax.set(title=name, xlabel="Mean predicted probability", ylabel="Count")
plt.tight_layout()
plt.show()
# %%
# :class:`~sklearn.linear_model.LogisticRegression` returns well calibrated
# predictions as it directly optimizes log-loss. In contrast, the other methods
# return biased probabilities, with different biases for each method:
#
# * :class:`~sklearn.naive_bayes.GaussianNB` tends to push
# probabilities to 0 or 1 (see histogram). This is mainly
# because the naive Bayes equation only provides correct estimate of
# probabilities when the assumption that features are conditionally
# independent holds [2]_. However, features tend to be positively correlated
# and is the case with this dataset, which contains 2 features
# generated as random linear combinations of the informative features. These
# correlated features are effectively being 'counted twice', resulting in
# pushing the predicted probabilities towards 0 and 1 [3]_.
#
# * :class:`~sklearn.ensemble.RandomForestClassifier` shows the opposite
# behavior: the histograms show peaks at approx. 0.2 and 0.9 probability,
# while probabilities close to 0 or 1 are very rare. An explanation for this
# is given by Niculescu-Mizil and Caruana [1]_: "Methods such as bagging and
# random forests that average predictions from a base set of models can have
# difficulty making predictions near 0 and 1 because variance in the
# underlying base models will bias predictions that should be near zero or
# one away from these values. Because predictions are restricted to the
# interval [0,1], errors caused by variance tend to be one- sided near zero
# and one. For example, if a model should predict p = 0 for a case, the only
# way bagging can achieve this is if all bagged trees predict zero. If we add
# noise to the trees that bagging is averaging over, this noise will cause
# some trees to predict values larger than 0 for this case, thus moving the
# average prediction of the bagged ensemble away from 0. We observe this
# effect most strongly with random forests because the base-level trees
# trained with random forests have relatively high variance due to feature
# subsetting." As a result, the calibration curve shows a characteristic
# sigmoid shape, indicating that the classifier is under-confident
# and could return probabilities closer to 0 or 1.
#
# * To show the performance of :class:`~sklearn.svm.LinearSVC`, we naively
# scale the output of the :term:`decision_function` into [0, 1] by applying
# min-max scaling, since SVC does not output probabilities by default.
# :class:`~sklearn.svm.LinearSVC` shows an
# even more sigmoid curve than the
# :class:`~sklearn.ensemble.RandomForestClassifier`, which is typical for
# maximum-margin methods [1]_ as they focus on difficult to classify samples
# that are close to the decision boundary (the support vectors).
#
# References
# ----------
#
# .. [1] `Predicting Good Probabilities with Supervised Learning
# `_,
# A. Niculescu-Mizil & R. Caruana, ICML 2005
# .. [2] `Beyond independence: Conditions for the optimality of the simple
# bayesian classifier
# `_
# Domingos, P., & Pazzani, M., Proc. 13th Intl. Conf. Machine Learning.
# 1996.
# .. [3] `Obtaining calibrated probability estimates from decision trees and
# naive Bayesian classifiers
# `_
# Zadrozny, Bianca, and Charles Elkan. Icml. Vol. 1. 2001.