我正在使用自定义拟合度量的caret,但我不仅需要最大化此度量,还需要最大化置信区间下限。因此,我想要最大化类似于mean(metric) - k * stddev(metric)
的内容。 我知道如何手动执行此操作,但是否有一种方法可以告诉caret使用此函数自动选择最佳参数?
> library(caret)
> data(Titanic)
>
> #an example custom function
> roc <- function (data, lev = NULL, model = NULL) {
+ require(pROC)
+ if (!all(levels(data[, "pred"]) == levels(data[, "obs"])))
+ stop("levels of observed and predicted data do not match")
+ rocObject <- try(pROC:::roc(data$obs, data[, lev[1]]), silent = TRUE)
+ rocAUC <- if (class(rocObject)[1] == "try-error")
+ NA
+ else rocObject$auc
+ out <- c(rocAUC, sensitivity(data[, "pred"], data[, "obs"], lev[1]), specificity(data[, "pred"], data[, "obs"], lev[2]))
+ names(out) <- c("ROC", "Sens", "Spec")
+ out
+ }
>
> #your train control specs
> tc <- trainControl(method="cv",classProb=TRUE,summaryFunction=roc)
> #yoru model with selection metric specificed
> train(Survived~.,data=data.frame(Titanic),method="rf",trControl=tc,metric="ROC")
32 samples
4 predictors
2 classes: 'No', 'Yes'
No pre-processing
Resampling: Cross-Validation (10 fold)
Summary of sample sizes: 28, 29, 30, 30, 28, 28, ...
Resampling results across tuning parameters:
mtry ROC Sens Spec ROC SD Sens SD Spec SD
2 0.9 0.2 0.25 0.175 0.35 0.425
4 0.85 0.4 0.6 0.211 0.459 0.459
6 0.875 0.35 0.6 0.212 0.412 0.459
ROC was used to select the optimal model using the largest value.
The final value used for the model was mtry = 2.
metric="Spec"
。 - David在caret的train函数帮助文档中有更多基本示例:
madSummary <- function (data,
lev = NULL,
model = NULL) {
out <- mad(data$obs - data$pred,
na.rm = TRUE)
names(out) <- "MAD"
out
}
robustControl <- trainControl(summaryFunction = madSummary)
marsGrid <- expand.grid(degree = 1, nprune = (1:10) * 2)
earthFit <- train(medv ~ .,
data = BostonHousing,
method = "earth",
tuneGrid = marsGrid,
metric = "MAD",
maximize = FALSE,
trControl = robustControl)