Leveraging Uncertainty Estimates To Improve Classifier Performance

Binary classification typically involves predicting the label of an instance based on whether the model score for the positive class exceeds a threshold chosen based on the application requirements (e.g., maximizing recall for a precision bound). However, model scores are often not aligned with true positivity rate. This is especially true when the training involves a differential sampling of classes or there is distributional drift between train and test settings. In this paper, we provide theoretical analysis and empirical evidence of the dependence of estimation bias on both uncertainty and model score. Further, we formulate the decision boundary selection using both model score and uncertainty, prove that it is NP-hard, and present algorithms based on dynamic programming and isotonic regression. Evaluation of the proposed algorithms on three real-world datasets yield 25\%-40\% improvement in recall at high precision bounds over the traditional approach of using model score alone, highlighting the benefits of leveraging uncertainty.