torchrec Add Regression AUC (RAUC) metrics

Add Regression AUC (RAUC) metrics

Open zainhuda opened this issue 1 year ago • 6 comments

Summary: Implement regression AUC metrics. Regression AUC is an extension of classification AUC. See Section 4.1.1 in https://arxiv.org/ftp/arxiv/papers/1205/1205.2618.pdf for related discussions.

On a high level, regression AUC is an extension of the traditional AUC for classification through the probabilistic interpretation: the area under the curve is equal to the probability that a classifier will rank a randomly chosen positive instance higher than a randomly chosen negative one.

We utilize merge sort to optimize time complexity to O(nlog(n)).

#TODO:

need more test cases.
grouped_rauc is not verified.

f535371503

{F1461111882}

Reviewed By: zainhuda

Differential Revision: D53377225