Victor S. Sheng, Charles X. Ling
In this paper we propose a very simple, yet general and effective method to make any cost-insensitive classifiers (that can produce probability estimates) cost-sensitive. The method, called Thresholding, selects a proper threshold from training instances according to the misclassification cost. Similar to other cost-sensitive meta-learning methods, Thresholding can convert any existing (and future) cost-insensitive learning algorithms and techniques into cost-sensitive ones. However, by comparing with the existing cost sensitive meta-learning methods and the direct use of the theoretical threshold, Thresholding almost always produces the lowest misclassification cost. Experiments also show that Thresholding has the least sensitivity on the misclassification cost ratio. Thus, it is recommended to use when the difference on misclassification costs is large.
Subjects: 12. Machine Learning and Discovery; 1.6 Engineering And Science