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I have 3 sklearn models which I use to predict a probability score for a binary classification problem. I want to create a weighted average score of all the predictions made by these models. I am stuck at how to find the optimum weights.

I have tried to create a weighted average method that would help me:

def weighted_average(prob: dict, weights: dict = base_weights):
    '''Weighted average of all probabilities
    Prob Dict structure: {
    'mfcc': probability of spoof from MFCC Model,
    'lfcc': probability of spoof from LFCC Model,
    'gfcc': probability of spoof from GFCC Model
    }
    
    returns weighted average of probability
    '''
    num = prob['mfcc']*weights['mfcc'] + prob['lfcc']*weights['lfcc'] + prob['gfcc']*weights['gfcc']
    denom = weights['mfcc'] + weights['lfcc'] + weights['gfcc']
    return num / denom

In order to find the optimum weights (I'm optimizing accuracy_score), I have tried the following:

  1. Exhaustive search over a range.
  2. Tried fitting a Logistic regression model with X as the accuracy scores and Y as 0|1.

In the end, the goal is to get an accuracy score and not 0 or 1.

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1 Answer 1

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Sklearn has built-in ensembling classes for example voting classifier for this job.

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  • $\begingroup$ Actually, the 3 models are trained on 3 different features, so VotingClassifer may not be a valid use case here. $\endgroup$ Commented May 4, 2022 at 5:13
  • $\begingroup$ Then it will be a bit more work. But why doesn't your approach #2 work? $\endgroup$
    – lpounng
    Commented May 4, 2022 at 6:12
  • $\begingroup$ Actually, when we train the model, we have accuracies from 3 features as X, and we train a classifier. But in the use case of this model, we want to get a combiner probability score, not a 0 or 1, which does not work $\endgroup$ Commented May 5, 2022 at 2:37
  • $\begingroup$ How about collecting the outputs of the 3 models, as input and train a final model which can produce probability score? You do not have to over-complicated yourself on how to combine. $\endgroup$
    – lpounng
    Commented May 5, 2022 at 3:16

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