Cost-Sensitive Learning by Cost-Proportionate Example Weighting

  • Authors:
  • Bianca Zadrozny;John Langford;Naoki Abe

  • Affiliations:
  • -;-;-

  • Venue:
  • ICDM '03 Proceedings of the Third IEEE International Conference on Data Mining
  • Year:
  • 2003

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Abstract

We propose and evaluate a family of methods for convertingclassifier learning algorithms and classification theoryinto cost-sensitive algorithms and theory. The proposedconversion is based on cost-proportionate weighting of thetraining examples, which can be realized either by feedingthe weights to the classification algorithm (as often done inboosting), or by careful subsampling. We give some theoreticalperformance guarantees on the proposed methods,as well as empirical evidence that they are practical alternativesto existing approaches. In particular, we proposecosting, a method based on cost-proportionate rejectionsampling and ensemble aggregation, which achievesexcellent predictive performance on two publicly availabledatasets, while drastically reducing the computation requiredby other methods.