def tied_rank(x): """ Computes the tied rank of elements in x. This function computes the tied rank of elements in x. Parameters ---------- x : list of numbers, numpy array Returns ------- score : list of numbers The tied rank f each element in x """ sorted_x = sorted(zip(x,range(len(x)))) r = [0 for k in x] cur_val = sorted_x[0][0] last_rank = 0 for i in range(len(sorted_x)): if cur_val != sorted_x[i][0]: cur_val = sorted_x[i][0] for j in range(last_rank, i): r[sorted_x[j][1]] = float(last_rank+1+i)/2.0 last_rank = i if i==len(sorted_x)-1: for j in range(last_rank, i+1): r[sorted_x[j][1]] = float(last_rank+i+2)/2.0 return r def auc(actual, posterior): """ Computes the area under the receiver-operater characteristic (AUC) This function computes the AUC error metric for binary classification. Parameters ---------- actual : list of binary numbers, numpy array The ground truth value posterior : same type as actual Defines a ranking on the binary numbers, from most likely to be positive to least likely to be positive. Returns ------- score : double The mean squared error between actual and posterior """ r = tied_rank(posterior) num_positive = len([0 for x in actual if x==1]) num_negative = len(actual)-num_positive sum_positive = sum([r[i] for i in range(len(r)) if actual[i]==1]) auc = ((sum_positive - num_positive*(num_positive+1)/2.0) / (num_negative*num_positive)) return auc