{"title":"Optimized Risk Scores","authors":"Berk Ustun, C. Rudin","doi":"10.1145/3097983.3098161","DOIUrl":null,"url":null,"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.","PeriodicalId":314049,"journal":{"name":"Proceedings of the 23rd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2017-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"49","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 23rd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1145/3097983.3098161","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 49
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.