AUC SGD

[MaxHalford]

• Implement a linear model which uses stochastic gradient descent to optimize AUC
• See https://takeshimg92.github.io/posts/auc_optimiz.html

[slach31]

Hello, We are interested in resolving this issue. Could we kindly ask to be assigned to it? Thanks in advance

[W0lfgunbl00d]

Hello,

I was working on implementing this method, but it requires us to know what 𝑝(𝜃) is and its derivative with respect to 𝜃. In the provided example, they assumed a logistic regression case, which allowed them to proceed with the computations. However, if the method is to be applied to another case, this implementation won't work.

I'll await your reply.

Thanks in advance.

[MaxHalford]

@W0lfgunbl00d I would say it's more more than fine to only support logistic regression to begin with.