Fix PFI issue in binary classification (#4587)

This change adds support for running PFI on binary classification models that do not contain a calibrator. Fixes #4517 .

Author: yaeldMS

src/Microsoft.ML.Transforms/PermutationFeatureImportance.cs

@@ -171,7 +171,7 @@ public static ImmutableArray<TResult>
                 int processedCnt = 0;
                 int nextFeatureIndex = 0;
                 var shuffleRand = RandomUtils.Create(host.Rand.Next());
-                using (var pch = host.StartProgressChannel("SDCA preprocessing with lookup"))
+                using (var pch = host.StartProgressChannel("Calculating Permutation Feature Importance"))
                 {
                     pch.SetHeader(new ProgressHeader("processed slots"), e => e.SetProgress(0, processedCnt));
                     foreach (var workingIndx in workingFeatureIndices)

src/Microsoft.ML.Transforms/PermutationFeatureImportanceExtensions.cs

@@ -145,16 +145,16 @@ public static ImmutableArray<BinaryClassificationMetricsStatistics>
                 int permutationCount = 1) where TModel : class
         {
             return PermutationFeatureImportance<TModel, BinaryClassificationMetrics, BinaryClassificationMetricsStatistics>.GetImportanceMetricsMatrix(
-                            catalog.GetEnvironment(),
-                            predictionTransformer,
-                            data,
-                            () => new BinaryClassificationMetricsStatistics(),
-                            idv => catalog.Evaluate(idv, labelColumnName),
-                            BinaryClassifierDelta,
-                            predictionTransformer.FeatureColumnName,
-                            permutationCount,
-                            useFeatureWeightFilter,
-                            numberOfExamplesToUse);
+                catalog.GetEnvironment(),
+                predictionTransformer,
+                data,
+                () => new BinaryClassificationMetricsStatistics(),
+                idv => catalog.EvaluateNonCalibrated(idv, labelColumnName),
+                BinaryClassifierDelta,
+                predictionTransformer.FeatureColumnName,
+                permutationCount,
+                useFeatureWeightFilter,
+                numberOfExamplesToUse);
         }
 
         private static BinaryClassificationMetrics BinaryClassifierDelta(

test/Microsoft.ML.Tests/PermutationFeatureImportanceTests.cs

@@ -305,6 +305,36 @@ public void TestPfiBinaryClassificationOnSparseFeatures(bool saveModel)
 
             Done();
         }
+
+        [Fact]
+        public void TestBinaryClassificationWithoutCalibrator()
+        {
+            var dataPath = GetDataPath("breast-cancer.txt");
+            var ff = ML.BinaryClassification.Trainers.FastForest();
+            var data = ML.Data.LoadFromTextFile(dataPath,
+                            new[] { new TextLoader.Column("Label", DataKind.Boolean, 0),
+                            new TextLoader.Column("Features", DataKind.Single, 1, 9) });
+            var model = ff.Fit(data);
+            var pfi = ML.BinaryClassification.PermutationFeatureImportance(model, data);
+
+            // For the following metrics higher is better, so minimum delta means more important feature, and vice versa
+            Assert.Equal(7, MaxDeltaIndex(pfi, m => m.AreaUnderRocCurve.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.AreaUnderRocCurve.Mean));
+            Assert.Equal(3, MaxDeltaIndex(pfi, m => m.Accuracy.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.Accuracy.Mean));
+            Assert.Equal(3, MaxDeltaIndex(pfi, m => m.PositivePrecision.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.PositivePrecision.Mean));
+            Assert.Equal(3, MaxDeltaIndex(pfi, m => m.PositiveRecall.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.PositiveRecall.Mean));
+            Assert.Equal(3, MaxDeltaIndex(pfi, m => m.NegativePrecision.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.NegativePrecision.Mean));
+            Assert.Equal(2, MaxDeltaIndex(pfi, m => m.NegativeRecall.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.NegativeRecall.Mean));
+            Assert.Equal(3, MaxDeltaIndex(pfi, m => m.F1Score.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.F1Score.Mean));
+            Assert.Equal(7, MaxDeltaIndex(pfi, m => m.AreaUnderPrecisionRecallCurve.Mean));
+            Assert.Equal(1, MinDeltaIndex(pfi, m => m.AreaUnderPrecisionRecallCurve.Mean));
+        }
         #endregion
 
         #region Multiclass Classification Tests