Neyman-Pearson Multi-class Classification via Cost-sensitive Learning
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Most existing classification methods aim to minimize the overall misclassification error rate, however, in applications, different types of errors can have different consequences. To take into account this asymmetry issue, two popular paradigms have been developed, namely the Neyman-Pearson (NP) paradigm and cost-sensitive (CS) paradigm. Compared to CS paradigm, NP paradigm does not require a specification of costs. Most previous works on NP paradigm focused on the binary case. In this work, we study the multi-class NP problem by connecting it to the CS problem, and propose two algorithms. We extend the NP oracle inequalities and consistency from the binary case to the multi-class case, and show that our two algorithms enjoy these properties under certain conditions. The simulation and real data studies demonstrate the effectiveness of our algorithms. To our knowledge, this is the first work to solve the multi-class NP problem via cost-sensitive learning techniques with theoretical guarantees. The proposed algorithms are implemented in the R package "npcs" on CRAN.
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