sklearn roc_auc_score with multi_class=="ovr" should have None average available

Question

I'm trying to compute the AUC score for a multiclass problem using the sklearn's roc_auc_score() function.

I have prediction matrix of shape [n_samples,n_classes] and a ground truth vector of shape [n_samples], named np_pred and np_label respectively.

What I'm trying to achieve is the set of AUC scores, one for each classes that I have.

To do so I would like to use the average parameter option None and multi_class parameter set to "ovr", but if I run

roc_auc_score(y_score=np_pred, y_true=np_label, multi_class="ovr",average=None)

I get back

ValueError: average must be one of ('macro', 'weighted') for multiclass problems

This error is expected from the sklearn function in the case of the multiclass; but if you take a look at the roc_auc_score function source code, you can see that if the multi_class parameter is set to "ovr", and the average is one of the accepted one, the multiClass case is treated as a multiLabel one and the internal multiLabel function accepts None as average parameter.

So, by looking at the code, it seems that I should be able to execute a multiclass with a None average in a One vs Rest case but the ifs in the source code do not allow such combination.

Am I wrong?

In case I'm wrong, from a theoretical point of view should I fake a multilabel case just to have the different AUCs for the different classes or should I write my own function that cycles the different classes and outputs the AUCs?

Thanks

Answer 1

As you already know, right now sklearn multiclass ROC AUC only handles the macro and weighted averages. But it can be implemented as it can then individually return the scores for each class.

Theoretically speaking, you could implement OVR and calculate per-class roc_auc_score, as:

roc = {label: [] for label in multi_class_series.unique()}
for label in multi_class_series.unique():
    selected_classifier.fit(train_set_dataframe, train_class == label)
    predictions_proba = selected_classifier.predict_proba(test_set_dataframe)
    roc[label] += roc_auc_score(test_class, predictions_proba[:,1])