Cost-sensitive threshold

Problem

A calibrated classifier outputs p=P(y=1∣x)p=P(y=1\mid x). A false positive costs 11, a false negative costs 44, and correct decisions cost 00. Derive the threshold for predicting 11. With ties assigned to class 11, classify p=(0.1,0.2,0.7)p=(0.1,0.2,0.7). If the labels are (0,1,0)(0,1,0), compute mean cross-entropy.

Reveal answer or reference solution

Predicting 11 costs 1−p1-p, while predicting 00 costs 4p4p. Thus, predict 11 when

1−p≤4p,1-p\le 4p,

or p≥15p\ge\frac{1}{5}. The predictions are (0,1,1)(0,1,1). The mean cross-entropy is

−ln⁡(0.9)+ln⁡(0.2)+ln⁡(0.3)3≈0.9729237441.-\frac{\ln(0.9)+\ln(0.2)+\ln(0.3)}{3}\approx 0.9729237441.
Outcome

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