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I am building a binary classifier using LightGBM. The goal is not to predict the outcome as such, but rather to predict the probability of the target even. To be more specific, it's more about ranking different objects based on the probability of the target event for them.

The dataset is imbalanced in that the distribution of classes is roughly 1 to 10. Not that the data is severely imbalanced, but this is definitely something that has its impact on the model's performance.

Given that probabilities are key for this task, I assumed that targeting the AUC score is more beneficial here especially given that it's somewhat immune to uneven class distributions.

I have a feeling that I didn't do a great job in feature engineering (I realize the importance of this part here), but let's assume for a moment that this is the dataset that I need to work with and all the feature engineering tricks have already been implemented.

Honestly speaking, I take it for granted that boosting-based models do not require much data wrangling. For instance, label encoding is enough and computationally expensive one-hot encoding can even be outperformed, etc.

With all that said, the results I get are far from perfect. Having an AUC score of 0.82 makes me think that in terms of probability prediction, the model is not awful, but the other metrics, as you can see, are satisfactory at best.

F1-score: 0.508
ROC AUC Score: 0.817
Cohen Kappa Score: 0.356

Analyzing the precision/recall curve and trying to find the threshold that sets their ratio to $\approx1$ yields a more balanced situation, but for this task, it's not yet clear which type of error should be minimized or whether, say, f1-score maximization is the target.

Anyway, all the conventional metrics are dependent upon the chosen threshold so it's not clear whether I can just save time on threshold tuning.

My questions:

  1. Would it be correct to state that having a reasonably high AUC for such tasks can be prioritized as opposed to just looking at precision, recall and other metrics that are functions of thresholds?

  2. I use a combination of Optuna and 5-fold cross-validation to select the best hyperparameters. The results, however, do not improve significantly. I cannot even get a very high AUC score on the train dataset regardless of the number of estimators used for LGBMClassifier. Does it mean that this is some kind of plateau for this task, dataset, and features?
    What are some common methods (in addition to better feature engineering and getting more data) to improve gradient boosting methods' results?

             precision    recall  f1-score   support

       False       0.92      0.76      0.83     10902
        True       0.40      0.70      0.51      2482

    accuracy                           0.75     13384
   macro avg       0.66      0.73      0.67     13384
weighted avg       0.82      0.75      0.77     13384
Results for threshold=0.66:
              precision    recall  f1-score   support

       False       0.89      0.89      0.89     10902
        True       0.52      0.51      0.51      2482

    accuracy                           0.82     13384
   macro avg       0.70      0.70      0.70     13384
weighted avg       0.82      0.82      0.82     13384

F1-score: 0.515
ROC AUC Score: 0.817
Cohen Kappa Score: 0.405
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