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| Content Provider | ACM Digital Library |
|---|---|
| Author | Ustun, Berk Rudin, Cynthia |
| Abstract | Risk scores are simple classification models that let users quickly assess risk by adding, subtracting, and multiplying a few small numbers. Such models are widely used in healthcare and criminal justice, but are often built ad hoc. In this paper, we present a principled approach to learn risk scores that are fully optimized for feature selection, integer coefficients, and operational constraints. We formulate the risk score problem as a mixed integer nonlinear program, and present a new cutting plane algorithm to efficiently recover its optimal solution. Our approach can fit optimized risk scores in a way that scales linearly with the sample size of a dataset, provides a proof of optimality, and obeys complex constraints without parameter tuning. We illustrate these benefits through an extensive set of numerical experiments, and an application where we build a customized risk score for ICU seizure prediction. |
| Starting Page | 1125 |
| Ending Page | 1134 |
| Page Count | 10 |
| File Format | |
| ISBN | 9781450348874 |
| DOI | 10.1145/3097983.3098161 |
| Language | English |
| Publisher | Association for Computing Machinery (ACM) |
| Publisher Date | 2017-08-13 |
| Publisher Place | New York |
| Access Restriction | Subscribed |
| Subject Keyword | Mixed integer non-linear programming Cutting plane methods Interpretable models Seizure prediction Classification Risk scores |
| Content Type | Text |
| Resource Type | Article |
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