mlr3inferr

Methods for statistical inference on the generalization error.

Installation

pak::pkg_install("mlr-org/mlr3inferr")

What is `mlr3inferr`?

The main purpose of the package is to allow to obtain confidence intervals for the generalization error for a number of resampling methods. Below, we evaluate a decision tree on the sonar task using a holdout resampling and obtain a confidence interval for the generalization error. This is achieved using the msr("ci.holdout") measure, to which we pass another mlr3::Measure that determines the loss function.

library(mlr3inferr)

rr = resample(tsk("sonar"), lrn("classif.rpart"), rsmp("holdout"))
# 0.05 is also the default
ci = msr("ci.holdout", "classif.acc", alpha = 0.05)
rr$aggregate(ci)
#>       classif.acc classif.acc.lower classif.acc.upper 
#>         0.7391304         0.6347628         0.8434981

It is also possible to select the default inference method for a certain Resampling method using msr("ci")

ci_default = msr("ci", "classif.acc")
rr$aggregate(ci_default)
#>       classif.acc classif.acc.lower classif.acc.upper 
#>         0.7391304         0.6347628         0.8434981

With mlr3viz, it is also possible to visualize multiple confidence intervals. Below, we compare a random forest with a decision tree and a featureless learner:

library(mlr3learners)
library(mlr3viz)

bmr = benchmark(benchmark_grid(
  tsks(c("sonar", "german_credit")),
  lrns(c("classif.rpart", "classif.ranger", "classif.featureless")),
  rsmp("subsampling")
))

autoplot(bmr, "ci", msr("ci", "classif.ce"))

Note that:

Some methods require pointwise loss functions, i.e. have an $obs_loss field.
Not for every resampling method exists an inference method.
There are combinations of datasets and learners, where inference methods can fail.

Features

Additional Resampling Methods
Confidence Intervals for the Generalization Error for some resampling methods

Inference Methods

Key	Label	Resamplings	Only Pointwise Loss
ci.con_z	Conservative-Z CI	PairedSubsampling	false
ci.cor_t	Corrected-T CI	Subsampling	false
ci.holdout	Holdout CI	Holdout	yes
ci.ncv	Nested CV CI	NestedCV	yes
ci.wald_cv	Naive CV CI	CV, LOO	yes

Citing mlr3

If we use mlr3inferr, please cite our paper:

@misc{kuempelfischer2024ciforge,
      title={Constructing Confidence Intervals for 'the' Generalization Error -- a Comprehensive Benchmark Study},
      author={Hannah Schulz-Kümpel and Sebastian Fischer and Thomas Nagler and Anne-Laure Boulesteix and Bernd Bischl and Roman Hornung},
      year={2024},
      eprint={2409.18836},
      archivePrefix={arXiv},
      primaryClass={stat.ML},
      url={https://arxiv.org/abs/2409.18836},
}

Bugs, Questions, Feedback

mlr3inferr is a free and open source software project that encourages participation and feedback. If you have any issues, questions, suggestions or feedback, please do not hesitate to open an “issue” about it on the GitHub page!

In case of problems / bugs, it is often helpful if you provide a “minimum working example” that showcases the behaviour (but don’t worry about this if the bug is obvious).

Please understand that the resources of the project are limited: response may sometimes be delayed by a few days, and some feature suggestions may be rejected if they are deemed too tangential to the vision behind the project.