Rapid Calculation of Model Metrics

Collection of metrics for evaluating models written in C++ using 'Rcpp'. Popular metrics include area under the curve, log loss, root mean square error, etc.


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Tyler Hunt [email protected]

Introduction

ModelMetrics is a much faster and reliable package for evaluating models. ModelMetrics is written in using Rcpp making it faster than the other packages used for model metrics.

Installation

You can install this package from CRAN:

install.packages("ModelMetrics")

Or you can install the development version from Github with devtools:

devtools::install_github("JackStat/ModelMetrics")

Benchmark and comparison

N = 100000
Actual = as.numeric(runif(N) > .5)
Predicted = as.numeric(runif(N))
 
actual = Actual
predicted = Predicted
 
s1 <- system.time(a1 <- ModelMetrics::auc(Actual, Predicted))
s2 <- system.time(a2 <- Metrics::auc(Actual, Predicted))
# Warning message:
# In n_pos * n_neg : NAs produced by integer overflow
s3 <- system.time(a3 <- pROC::auc(Actual, Predicted))
s4 <- system.time(a4 <- MLmetrics::AUC(Predicted, Actual))
# Warning message:
# In n_pos * n_neg : NAs produced by integer overflow
s5 <- system.time({pp <- ROCR::prediction(Predicted, Actual); a5 <- ROCR::performance(pp, 'auc')})
 
 
data.frame(
  package = c("ModelMetrics", "pROC", "ROCR")
  ,Time = c(s1[[3]],s3[[3]],s5[[3]])
)
 
# MLmetrics and Metrics could not calculate so they are dropped from time comparison
#        package   Time
# 1 ModelMetrics  0.030
# 2         pROC 50.359
# 3         ROCR  0.358

News

ModelMetrics 1.2.0

  • added kappa statistic
  • added s3 methods for glm, lm, randomForest, merMod, and glmerMod
  • sped up auc with data.table::frankv
  • added gini

ModelMetrics 1.1.0

  • added Matthews correlation coefficient (mcc)
  • added multiclass auc (mauc )
  • lots more tests
  • fixed bug when rank ties were present in auc (#10)
  • added code to handle different classes in functions

ModelMetrics 1.0.0

  • Initializing package with basic metric functions

Reference manual

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install.packages("ModelMetrics")

1.2.2 by Tyler Hunt, 6 months ago


Browse source code at https://github.com/cran/ModelMetrics


Authors: Tyler Hunt [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, data.table

Suggests testthat

Linking to Rcpp


Imported by caret, vip.

Suggested by bigstatsr, sGMRFmix.


See at CRAN