Custom maximum metrics used to determine thresholds

Description

I noticed that the threshold is always set by the* max f1* value. However, it does not always work for very imbalanced data so the accuracy of the minority will be quite low.

However, I do find H2O actually calculate the sensitivity table in H2O Flow and has different threshold by different metric. For example, in my case, I found the threshold associated with max of min_per_class_accuracy works the best, because it made sure the minority will be predicted well too.

In my case, I need to first find out the threshold using find_threshold_by_max_metric() function, then I manually set the label based on the p1 vs the threshold. It would be great if there is a hyperparameter to specify the metrics that will be optimized for during the training or prediction, then the model will just use the threshold for that metrics during the prediction.

Example:

Confusion Matrix (Act/Pred) for max f1 @ threshold = 0.9366837607680464:
0 1 Error Rate
0 61.0 226.0 0.7875 (226.0/287.0)
1 50.0 733484.0 0.0001 (50.0/733534.0)
Total 111.0 733710.0 0.0004 (276.0/733821.0)

threshold = 0.99
Predicted 0 1
Actual
0 224 63
1 1292 732242

Thank you!!

Assignee

New H2O Bugs

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Reporter

Bluesn0w

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