R 中奇怪的 svm 行为（e1071）

Question

I ran the following code for a binary classification task w/ an SVM in both R (first sample) and Python (second example).

Given randomly generated data (X) and response (Y) , this code performs leave group out cross validation 1000 times. Each entry of Y is therefore the mean of the prediction across CV iterations.

Computing area under the curve should give ~0.5, since X and Y are completely random. However, this is not what we see. Area under the curve is frequently significantly higher than 0.5. The number of rows of X is very small, which can obviously cause problems.

Any idea what could be happening here? I know that I can either increase the number of rows of X or decrease the number of columns to mediate the problem, but I am looking for other issues.

Y=as.factor(rep(c(1,2), times=14))
X=matrix(runif(length(Y)*100), nrow=length(Y))

library(e1071)
library(pROC)

colnames(X)=1:ncol(X)
iter=1000
ansMat=matrix(NA,length(Y),iter)
for(i in seq(iter)){    
    #get train

    train=sample(seq(length(Y)),0.5*length(Y))
    if(min(table(Y[train]))==0)
    next

    #test from train
    test=seq(length(Y))[-train]

    #train model
    XX=X[train,]
    YY=Y[train]
    mod=svm(XX,YY,probability=FALSE)
    XXX=X[test,]
    predVec=predict(mod,XXX)
    RFans=attr(predVec,'decision.values')
    ansMat[test,i]=as.numeric(predVec)
}

ans=rowMeans(ansMat,na.rm=TRUE)

r=roc(Y,ans)$auc
print(r)

Similarly, when I implement the same thing in Python I get similar results.

Y = np.array([1, 2]*14)
X = np.random.uniform(size=[len(Y), 100])
n_iter = 1000
ansMat = np.full((len(Y), n_iter), np.nan)
for i in range(n_iter):
    # Get train/test index
    train = np.random.choice(range(len(Y)), size=int(0.5*len(Y)), replace=False, p=None)
    if len(np.unique(Y)) == 1:
        continue
    test = np.array([i for i in range(len(Y)) if i not in train])
    # train model
    mod = SVC(probability=False)
    mod.fit(X=X[train, :], y=Y[train])
    # predict and collect answer
    ansMat[test, i] = mod.predict(X[test, :])
ans = np.nanmean(ansMat, axis=1)
fpr, tpr, thresholds = roc_curve(Y, ans, pos_label=1)
print(auc(fpr, tpr))`

Answer 1

You should consider each iteration of cross-validation to be an independent experiment, where you train using the training set, test using the testing set, and then calculate the model skill score (in this case, AUC).

So what you should actually do is calculate the AUC for each CV iteration. And then take the mean of the AUCs.