Confusion matrix & f1-score

18-12-2020 / Edit on Github

Confusion matrix #

actual (yes)actual (no)
predict (yes)TPFP
predict (no)FNTN
  • True Positive (TP): what we predict Positive is really Positive.
  • True Negative (FN): what we predict Negative is really Negative.
  • False Negative (FN): what we predict Negative is actually Positive.
  • False Positive (FP): what we predict Positive is actually Negative.

This guy is pregnant?
This guy is pregnant?

How to remember? #

  • True/False indicates what we predicted is right/wrong.
  • Positive/Negative is what we predicted (yes or no).

Type I / Type II errors #

  • FP = Type I error = rejection of true null hypothesis = negative results are predicted wrongly = what we predict positive is actually negative.
  • FN = Type II error = non-rejection of a false null hypothesis = positive results are predicted wrongly = what we predict negative are actually positive.

Why CM is important? #

Give a general view about our model, "is it really good?" thanks to precision and recall!

Precision & Recall #

actual (yes)actual (no)
predict (yes)TPFPPrecision
predict (no)FNTN
  • Precision: How many of our positive predictions are really true? (Check the accuracy of our positive predictions).

    precision=truepositivepositivelypredictedresults=TPTP+FP.\mathrm {precision}= \dfrac{\mathrm{true\, positive}}{\mathrm{positively\, predicted\, results}}= \dfrac{\mathrm{TP}}{\mathrm{TP} + \mathrm{FP}}.
  • Recall: How many of positive results belong to our predictions? (Do we miss some negative predictions?)

    recall=truepositivepositivelyactualresults=TPTP+FN.\mathrm {recall}= \dfrac{\mathrm{true\, positive}}{\mathrm{positively\, actual\, results}}= \dfrac{\mathrm{TP}}{\mathrm{TP} + \mathrm{FN}}.

An example of using confusion matrix
Recognizing number 5. Figure taken from this book.

When to use? #

  • Precision is importantly used when the "wrongly predicted yes" (FP) influences much (e.g. This email is spam? -- results yes but actually no and we lost important emails!).
  • Recall (Sensitivity) is importantly used when the "wrongly predicted no" (FN) influences much (e.g. In the banking industry, this transaction is fraudulent? -- results no but actually yes and we lost money!).

Precision / Recall curve #

With thresholds, we can use precision_recall_curve() to compute precision and recall for all possible thresholds,

An example of Precision/Recall curve
An example of Precision/Recall curve with many thresholds. Figure taken from this book.

Trace-off: Higher precision, lower recall and vice versa.

from sklearn.metrics import precision_recall_curve
precisions, recalls, thresholds = precision_recall_curve(y_train_5, y_scores)

plt.plot(thresholds, precisions[:-1], "b--", label="Precision")
plt.plot(thresholds, recalls[:-1], "g-", label="Recall")

F1-Score #

High precision and low recall or vice versa? F1-Score gives us a balance between precision and recall.

f1=(recall1+precision12)1=2×precisionrecallprecision+recall.f_1 = \left({\frac {\mathrm {recall} ^{-1}+\mathrm {precision} ^{-1}}{2}}\right)^{-1}=2\times {\frac {\mathrm {precision} \cdot \mathrm {recall} }{\mathrm {precision} +\mathrm {recall} }}.

F1-score depends on how we label the class "positive". This email is spam? is very different from This email is not spam?

When to use F1-Score? #

  • When you need a balance between precision and recall.
  • When we have a "skewed class" problem (uneven class distribution, too many "yes" and very few "no", for example).
  • One of precision and recall is improved but the other changes too much, then f1-score will be very small!

How to choose f1-score value? #

Normally, f1(0,1]f_1\in (0,1] and it gets the higher values, the better our model is.

  • The best one (f1=1f_1=1), both precision and recall get 100%100\%.
  • One of precision and recall gets very small value (close to 0), f1f_1 is very small, our model is not good!

What if we prefer one of precision and recall than the other? We consider fβf_{\beta}[ref]

fβ=(1+β2)precisionrecallβ2precision+recallf_{\beta} = ( 1 + \beta^2)\frac{\text{precision}\cdot\text{recall}}{\beta^2\cdot\text{precision} + \text{recall}}

f1f_1 is a special case of fβf_{\beta} when β=1\beta=1:

  • When precision is more important than recall, we choose β<1\beta < 1 (usually choose β=0.5\beta=0.5).
  • When recall is more important than precision, we choose β>1\beta > 1 (usually choose β=2\beta=2).

Accuracy / Specificity #

  • Accuracy: How accurate our predictions to the whole predictions?

    accuracy=TP+TNTP+TN+FP+FN\mathrm{accuracy} = \dfrac{TP + TN}{TP + TN + FP + FN}
  • Specificity: How many negative results belong to our predictions?

    specificity=TNFP+TN\mathrm{specificity} = \dfrac{TN}{FP + TN}

When to use? #

  • Accuaracy is used when we have symmetric datasets.
  • Specificity is used when we care about TN values and don't want to make false alarms of the FP values (e.g. drug test).

The ROC Curve #

  • ROC = Receiver operating characteristic.
  • A common tool used with binary classifier.
  • Diffrent from precision/recall curve, ROC plots the true positive rate (recall) against the false positive rate (1 - specificity).

An example of ROC curve
This ROC curve plots FPR vs TPR for all possible thresholds. The dotted line represents the ROC curve of a purely random classifier; a good classifier stays as far away from that lines as possible (toward the top-left corner). Figure taken from this book.

Trade-off: the higher recall, the more FPR (predict wrong) the classifier produces.

from sklearn.metrics import roc_curve
import matplotlib.pyplot as plt
%matplotlib inline

fpr, tpr, thresholds = roc_curve(y_test, y_pred_prob)
# create plot
plt.plot(fpr, tpr, label='ROC curve')
plt.plot([0, 1], [0, 1], 'k--') # Dashed diagonal

The AUC #

  • AUC = Area under the curve.
  • Perfect classifier will have AUC = 1 (fix the rectangle).
  • The purely random classifier (dotted line) will have AUC = 0.5.

Confusion Matrix & F1-Score with Scikit-learn #

from sklearn.metrics import confusion_matrix
n_classes = target.shape[0]
confusion_matrix(y_true, y_pred, labels=range(n_classes))

Precision / Reacall / f1-score / support

from sklearn.metrics import classification_report
classification_report(y_test, y_pred)

References #

  1. Classification: Precision and Recall - Google Developers, Machine Learning Crash Course.
  2. Classification: Check Your Understanding (Accuracy, Precision, Recall) - Google Developers, Machine Learning Crash Course.
  3. F-measure versus Accuracy - NLP blog.
  4. Accuracy, Precision, Recall or F1? - Koo Ping Shung, Towards Data Science.
  5. Dealing with Imbalanced data: undersampling, oversampling and proper cross-validation - Marco Altini.
  6. Accuracy, Recall, Precision, F-Score & Specificity, which to optimize on? - Salma Ghoneim, Towards Data Science.