Create roc-auc.cc

Author: Takanori MAEHARA

machine_learning/roc-auc.cc

@@ -0,0 +1,40 @@
+#include <bits/stdc++.h>
+
+using namespace std;
+
+double trapezoid(double x1, double x2, double y1, double y2) {
+	return (y2+y1)/2 * abs(x2-x1);
+}
+
+double auc(vector<int> test, vector<double> pred) {
+	int n = test.size();
+	assert(n == pred.size());
+
+	vector<int> idx(n);
+	for (int i = 0; i < n; ++i) idx[i] = i;
+	sort(idx.begin(), idx.end(), [&](int i, int j) { return pred[i] > pred[j]; });
+
+	double a = 0.0;
+	double fp = 0, tp = 0, fp_prev = 0, tp_prev = 0;
+	double prev_score = -1.0/0.0;
+	for (int i: idx) {
+		if (pred[i] != prev_score) {
+			a += trapezoid(fp, fp_prev, tp, tp_prev);
+			prev_score = pred[i];
+			fp_prev = fp;
+			tp_prev = tp;
+		}
+		if (test[i] == 1) {
+			tp += 1;
+		} else {
+			fp += 1;
+		}
+	}
+	a += trapezoid(fp, fp_prev, tp, tp_prev);
+	return a / (tp * fp);
+}
+int main() {
+	vector<int> test = {0, 1, 0, 1, 1};
+	vector<double> pred = {0.2, 0.3, 0.4, 0.5, 0.6};
+	cout << auc(test, pred) << endl;
+}