Enumerate and audit every candidate threshold, confusion matrix, selected rate, and expected cost instead of hiding a policy inside one number.
Figure 1. Synthetic canonical path. Population, convention, intermediate evidence, output, and misuse boundary remain visible together.
The decision this tutorial makes visible
The statistically best-ranked or best-calibrated model may still make poor decisions when false positives and false negatives have different consequences. Threshold optimization is only as defensible as its cost assumptions and deployment constraints.
The precise question is: Among every distinct score boundary plus selecting none, which threshold minimizes the declared weighted confusion cost under a deterministic tie-break?
A practitioner needs to know what the diagnostic does and does not justify. A builder needs a contract that can be reproduced from the same point-in-time inputs in Python, TypeScript, a visual, and a browser lab.
Intuition before notation
Every threshold changes the weighted confusion matrix. Multiplying each cell by its declared cost makes the tradeoff explicit; enumeration keeps discrete ties and finite samples visible.
The result depends on the declared algorithm scope, input clocks, units, equality and rounding policies, and unsupported-state treatment. Change one of those and the output represents a different decision even when its field name is unchanged.
Scope and nearby methods
The canonical variant predicts positive when score >= threshold, evaluates selecting none plus every distinct score, minimizes weighted total cost divided by total weight, and breaks equal cost toward the higher threshold and lower selected weight.
| Variant | Definition | Best use | Main limitation |
|---|---|---|---|
| Canonical empirical cost enumeration | Evaluate every observed score boundary | Finite validation samples | Can overfit a small sample |
| Analytic calibrated-probability threshold | Threshold derived from relative costs | Stable calibrated probabilities | Not valid for arbitrary scores |
| Capacity-constrained threshold | Minimize cost subject to selected-volume limit | Operations with fixed review capacity | Different optimization |
What is sourced, selected, synthetic, and derived
| Role | Material claim | Evidence | Boundary |
|---|---|---|---|
| Sourced fact | Cost-sensitive classification distinguishes consequences of different errors and requires coherent costs. | Elkan (2001) | No paper supplies this package's illustrative values. |
| Implementation choice | Enumerate finite thresholds and tie-break toward fewer selected records. | Frozen contract | Another policy may prioritize recall or capacity. |
| Synthetic teaching input | FP cost 1 and FN cost 6 are illustrative. | Repository fixture | Not a real loss estimate or policy. |
| Author-derived calculation | Every candidate cost comes from its weighted confusion cells. | Canonical threshold ledger | Conditional on matured labels and declared costs. |
The authoritative sources support only the exact facts named in the claim ledger. They do not certify the synthetic numbers in this tutorial. The repository fixture is deliberately invented for auditability, and the displayed output is author-derived under the selected implementation choice.
Formula, symbols, and numerical policy
C(t)=[c_FP FP(t)+c_FN FN(t)+c_TP TP(t)+c_TN TN(t)]/Σw; t*=argmin_t C(t)
| Symbol | Meaning | Unit | Policy |
|---|---|---|---|
| t | candidate score threshold | score units | positive when score >= t |
| c_X | cost of confusion state X | cost/weight | declared nonnegative canonical costs |
| C(t) | normalized decision cost | cost/weight | weighted sum divided by total weight |
| t* | selected threshold | score units | minimum cost with conservative tie-break |
- Use IEEE-754 binary64 arithmetic without intermediate rounding.
- Group equal scores before ROC/PR curve updates unless a topic explicitly declares deterministic rank splitting.
- Use positive finite weights; report counts and weight sums beside normalized metrics.
- Round only for presentation and retain null for undefined diagnostics.
Read the formula in the same order as the algorithm. Validate identity, ordering, units, and supported state first. Apply the selected equality and window rules second. Calculate with unrounded numeric values. Round only at the declared presentation boundary, and preserve null as a diagnostic rather than coercing it to zero.
Build the algorithm
- Validate score direction, labels, weights, costs, and cutoff
- Create select-none and distinct-score candidates
- Build confusion weights at each threshold
- Multiply cells by declared costs
- Normalize by total weight
- Choose minimum cost with the documented conservative tie-break
Production-minded operational checklist
- Freeze model version, population, score direction, and evaluation cutoff.
- Verify outcome maturity and exclude future or revised evidence.
- Reconcile record identities, weights, labels, and required slice or time keys.
- Calculate the declared metric with visible intermediate denominators.
- Review uncertainty and complementary diagnostics before any decision.
The checklist is intentionally strict: an explicit rejection is safer than a plausible output built from stale, malformed, or unsupported state.
Worked synthetic example
The canonical fixture is synthetic teaching data, not an observed control
event, customer order, or broker execution. Its primary author-derived output,
optimal_expected_cost, is 0.5. The complete input and output
are in datasets/canonical-input.json and datasets/expected-output.json.
Evaluate selecting no records and then each distinct synthetic score. At every candidate, reconcile TP, FP, TN, and FN weights, apply the illustrative cost matrix, and retain the full ledger beside the chosen threshold.
Counterfactual checkpoint
Raise false-negative cost. Increase c_FN while all scores and labels stay fixed. The output changes because missed events become more expensive
The structured result retains state and diagnostics in addition to the primary number. That makes the calculation independently reviewable and prevents a partial, null, rejected, or venue-bounded outcome from being mistaken for an unqualified value.
Boundary and counterexample workbook
The playground computes every scenario at 61 deterministic parameter states.
The table uses the declared focus step and states whether that focus reproduces
the canonical fixture. The full state ledger and compressed transition
segments are in datasets/scenario-results.json.
| Scenario | Review focus | Purpose | State | Primary output | Diagnostic | Decision segments |
|---|---|---|---|---|---|---|
| Canonical contract | Step 30 · canonical fixture | Exact canonical fixture at state 31; nearby states perturb one declared driver. | threshold-selected | optimal cost 0.500000 | threshold=0.1; selected=0.9167 | 1 |
| Stronger separation | Step 30 · comparison focus | Move positives and negatives apart while preserving labels and the evaluation cutoff. | threshold-selected | optimal cost 0.416667 | threshold=0.1; selected=0.8333 | 1 |
| Weaker or reversed separation | Step 30 · comparison focus | Compress and eventually invert score quality without changing outcome maturity. | threshold-selected | optimal cost 0.583333 | threshold=0.5; selected=1.0000 | 1 |
| Tie and boundary pressure | Step 30 · comparison focus | Quantize scores or probabilities to expose equality, bin, bucket, and threshold rules. | threshold-selected | optimal cost 0.500000 | threshold=0.166666666667; selected=0.9167 | 1 |
| Prevalence and weight shift | Step 30 · comparison focus | Reweight event and non-event records while preserving identities. | threshold-selected | optimal cost 0.500000 | threshold=0.1; selected=0.9167 | 1 |
| Probability sharpness stress | Step 30 · canonical fixture | Move probabilities toward or away from endpoints while preserving score order. | threshold-selected | optimal cost 0.500000 | threshold=0.1; selected=0.9167 | 1 |
| Low-information comparison | Step 30 · comparison focus | Compress scores and probabilities toward the population center. | threshold-selected | optimal cost 0.500000 | threshold=0.402; selected=0.9167 | 1 |
These rows are not backtest observations. They are controlled counterexamples that expose how one driver changes the state, output, or reason code while the rest of the contract stays fixed.
Visualize the boundary
Decision takeaway: undefined, low-support, and rejected states remain visible rather than being coerced into zero.
Open this SVG at full size, or use the guided playground to compare the seven topic-specific canonical, boundary, policy, and failure scenarios.
The Mermaid flow answers where the selected calculation sits in the processing sequence. The SVG keeps the formula, output, decision boundary, and invariant visible together. The lab lets the reader step through the same structured states without changing the underlying definition.
Implementation walkthrough
The Python and TypeScript references begin with the same validation contract, reject malformed and unsupported state before calculation, preserve declared ordering and rounding policies, and return structured diagnostics rather than one context-free number.
The main implementation branches are:
- Costs are missing or incoherent — Reject, because A threshold cannot be called optimal without an objective.
- Several thresholds share minimum cost — Choose fewer selected records, then higher threshold, because Tie policy must be deterministic.
- Deployment prevalence or costs change — Re-estimate on a new governed vintage, because The old optimum answers a different decision problem.
Neither reference silently fetches data, mutates caller-owned inputs outside the declared engine behavior, guesses hidden state, or substitutes a provider default. Shared JSON fixtures make value, null, state, and reason-code drift visible across languages.
Testing and validation
Definition tests compare every canonical field, reject malformed state, and exercise the material boundary. Family validation recomputes every playground state from the reference function. Independent arithmetic is recorded beside the fixture rather than inferred only from implementation output.
The audit must preserve these invariants:
- population, positive-label orientation, weights, and cutoff
- selected tie, integration, bin, bucket, threshold, band, slice, or interval convention
- intermediate counts and denominators
- primary metric and comparison baseline
- undefined, rejected, low-support, and uncertainty diagnostics
Passing the suite proves selected-convention arithmetic and Python/TypeScript parity; it does not establish production fitness or an acceptance threshold.
Failure modes and misuse
- A metric describes the declared evaluation population; distribution shift, label policy, interventions, and sampling can change its meaning.
- One aggregate can hide threshold, calibration, segment, temporal, and uncertainty failures.
- Passing implementation tests proves definition fidelity, not production reliability, fairness, legal compliance, profitability, or causal benefit.
- Synthetic examples do not estimate real-world model performance or provide investment, lending, fraud, insurance, or regulatory advice.
Debugging order
When a result looks surprising, inspect the state in this order:
- Confirm identifiers, scope, side, and decision clock.
- Confirm units, ordering, and point-in-time inputs.
- Confirm equality, rounding, null, and reset policies.
- Recalculate the invariant and declared scenario focus before changing code.
Evidence and historical boundary
Historical decision: not useful. A named production model would add entity, privacy, label-maturity, sampling, policy, licensing, and causal-story risks without teaching the selected metric better than controlled synthetic records. The package therefore makes no claim about any real customer, issuer, fraud event, model approval, or future outcome.
The primary sources are Federal Reserve SR 26-2, Elkan (2001), scikit-learn evaluation. They support the source roles listed in the research ledger, not a redistributable historical observation, a private participant decision, production conformance certification, execution-quality result, profitability claim, or prediction claim.
Choose the validation question first
These methods are complementary layers, not interchangeable scores.
| Layer | Methods | Requires | Does not establish |
|---|---|---|---|
| Ranking discrimination | ROC-AUC · PR-AUC · Gains/Lift | scores + matured labels | Does not validate probability scale or choose a policy |
| Probability quality | Brier · Log Loss · Reliability/ECE | probabilities + matured outcomes | Does not replace ranking, costs, or support review |
| Decision policy | Cost-sensitive threshold | scores + labels + governed costs | The optimum changes with costs, prevalence, and constraints |
| Monitoring structure | Score migration · Slice validation | matched vintages or governed groups | Attrition, taxonomy, and support must remain visible |
| Sparse evidence | Rare-event confidence bounds | event count + trials + sampling model | A point estimate is incomplete without uncertainty |
Method-selection takeaway: start from the decision question and available evidence. A strong rank does not prove calibrated probabilities; calibration does not choose a threshold; an aggregate does not prove slice or temporal stability.
Use the topic glossary to keep score, probability, label maturity, support, convention, and null diagnostics consistent across the family.
Use the guided learning lab
Question to answer: Change false-negative cost and watch the minimum of the complete candidate-threshold cost curve move.
- Start with the canonical synthetic fixture and read the compact evidence trace.
- Select the experiment that exposes the nearest boundary.
- Change Score stress and watch the topic-specific stage recompute.
- Use Step and Back to connect the intermediate evidence to the primary diagnostic.
- Compare the result with this guardrail: Always include select-none and expose equal-cost tie behavior; a metric does not authorize the policy.
Open the standalone guided lab
Lab takeaway: An optimal threshold is conditional on costs, prevalence, weights, available candidates, and the declared tie-break.
Summary and next topic
You can now calculate and audit the selected classification-validation diagnostic. The learning flow is: Gains, Lift, and Decile Capture → Cost-Sensitive Threshold Optimization → Score Stability and Migration Matrix. Carry the result forward only with its scope, clock, state, and evidence label.
Rendered from the canonical Mermaid sources linked by this article.
Cost-Sensitive Threshold Optimization calculation flow
This flow identifies the selected calculation stages and the structured output.
Takeaway: An optimal threshold is conditional on costs, population, labels, and constraints—not a property of the score alone.
ReferencesPrimary sources and evidence notesExpand the source trail, evidence role, and limitations behind the engineering choices.
Expand the source trail, evidence role, and limitations behind the engineering choices.
S1 — Revised Guidance on Model Risk Management
- Organization or authors: Board of Governors of the Federal Reserve System, OCC, and FDIC
- Source type: Current interagency supervisory guidance
- Publication or effective date: 2026-04-17
- Version: SR 26-2
- URL or DOI: https://www.federalreserve.gov/supervisionreg/srletters/SR2602.htm
- Accessed: 2026-08-06
- Jurisdiction: United States banking supervision
- Supports: Validation and monitoring should assess reliability, limitations, performance deterioration, intended use, and data or model changes using a risk-based approach.
- Limitations: Does not prescribe a universal metric, threshold, binning rule, or acceptance limit; applicability is supervisory and institution-specific.
S2 — The Foundations of Cost-Sensitive Learning
- Organization or authors: Charles Elkan
- Source type: Original conference paper
- Publication or effective date: 2001
- Version: IJCAI 2001, 973-978
- URL or DOI: https://cseweb.ucsd.edu/~elkan/rescale.pdf
- Accessed: 2026-08-06
- Jurisdiction: Binary classification decision costs
- Supports: Different classification errors can carry different costs and a cost matrix must be economically coherent.
- Limitations: Does not supply this package's illustrative costs, finite threshold candidates, or capacity constraints.
S3 — Metrics and scoring: quantifying the quality of predictions
- Organization or authors: scikit-learn maintainers
- Source type: Official maintained technical documentation
- Publication or effective date: Current documentation accessed 2026-08-06
- Version: scikit-learn 1.9 documentation
- URL or DOI: https://scikit-learn.org/stable/modules/model_evaluation.html
- Accessed: 2026-08-06
- Jurisdiction: Software-library convention
- Supports: Maintained definitions and API conventions for ROC-AUC, average precision, Brier loss, log loss, and classification metrics.
- Limitations: Library behavior is not a regulatory standard and does not validate this repository's synthetic fixtures or selected governance policy.
Evidence boundary
Sources establish metric, statistical, and governance context. They do not verify the synthetic fixture, select a business threshold, or certify a deployed model.
Full dependency-light reference implementations in both supported languages.
/** Reference implementations for D40-F05 classification and score validation. */
type AnyRecord = Record<string, any>;
function numberValue(value: unknown, name: string): number {
if (typeof value !== "number" || !Number.isFinite(value)) throw new TypeError(`${name} must be finite numeric`);
return value;
}
function integerValue(value: unknown, name: string): number {
const result = numberValue(value, name);
if (!Number.isInteger(result)) throw new RangeError(`${name} must be an integer`);
return result;
}
function records(inputs: AnyRecord, options: { score?: boolean; probability?: boolean } = {}): AnyRecord[] {
if (!Array.isArray(inputs.records) || inputs.records.length === 0) throw new RangeError("records must be a nonempty array");
const cutoff = inputs.evaluation_cutoff;
if (cutoff !== undefined && (typeof cutoff !== "string" || cutoff.length === 0)) throw new TypeError("evaluation_cutoff must be a nonempty ISO-8601 string");
const seen = new Set<string>();
return inputs.records.map((raw: unknown, index: number) => {
if (!raw || typeof raw !== "object" || Array.isArray(raw)) throw new TypeError(`records[${index}] must be an object`);
const item = raw as AnyRecord;
if (typeof item.id !== "string" || item.id.length === 0 || seen.has(item.id)) throw new RangeError("record ids must be unique nonempty strings");
seen.add(item.id);
if (item.label !== 0 && item.label !== 1) throw new RangeError("labels must be numeric 0 or 1");
const weight = numberValue(item.weight ?? 1, `records[${index}].weight`);
if (weight <= 0) throw new RangeError("weights must be positive");
const row: AnyRecord = { ...item, label: item.label, weight };
if (options.score) row.score = numberValue(item.score, `records[${index}].score`);
if (options.probability) {
row.probability = numberValue(item.probability, `records[${index}].probability`);
if (row.probability < 0 || row.probability > 1) throw new RangeError("probabilities must be in [0,1]");
}
if (cutoff !== undefined) {
for (const key of ["score_available_at", "label_available_at"]) {
const timestamp = item[key];
if (timestamp !== undefined) {
if (typeof timestamp !== "string" || timestamp.length === 0) throw new TypeError(`${key} must be a nonempty ISO-8601 string`);
if (timestamp > cutoff) throw new RangeError(`${key} exceeds evaluation_cutoff`);
}
}
}
return row;
});
}
function classWeights(rows: AnyRecord[]): [number, number] {
let positive = 0, negative = 0;
for (const row of rows) row.label === 1 ? positive += row.weight : negative += row.weight;
return [positive, negative];
}
function scoreGroups(rows: AnyRecord[]): Array<[number, AnyRecord[]]> {
const ordered = [...rows].sort((a, b) => b.score - a.score || String(a.id).localeCompare(String(b.id)));
const groups: Array<[number, AnyRecord[]]> = [];
for (const row of ordered) {
const last = groups.at(-1);
if (!last || last[0] !== row.score) groups.push([row.score, [row]]);
else last[1].push(row);
}
return groups;
}
export function rocCurveAuc(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { score: true });
const [positive, negative] = classWeights(rows);
if (positive <= 0 || negative <= 0) throw new RangeError("ROC requires positive and negative weight");
let tp = 0, fp = 0;
const points: AnyRecord[] = [{ threshold: null, true_positive: 0, false_positive: 0, true_negative: negative, false_negative: positive, tpr: 0, fpr: 0 }];
for (const [threshold, group] of scoreGroups(rows)) {
for (const row of group) row.label === 1 ? tp += row.weight : fp += row.weight;
points.push({ threshold, true_positive: tp, false_positive: fp, true_negative: negative - fp, false_negative: positive - tp, tpr: tp / positive, fpr: fp / negative });
}
let auc = 0;
for (let i = 1; i < points.length; i++) auc += (points[i].fpr - points[i - 1].fpr) * (points[i].tpr + points[i - 1].tpr) / 2;
return { points, roc_auc: auc, positive_weight: positive, negative_weight: negative, tie_group_count: points.length - 1, state: "ranking-evaluated" };
}
export function precisionRecallAuc(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { score: true });
const [positive, negative] = classWeights(rows);
if (positive <= 0) throw new RangeError("precision-recall requires positive weight");
let tp = 0, fp = 0, previousRecall = 0, averagePrecision = 0;
const points: AnyRecord[] = [{ threshold: null, true_positive: 0, false_positive: 0, precision: 1, recall: 0 }];
for (const [threshold, group] of scoreGroups(rows)) {
for (const row of group) row.label === 1 ? tp += row.weight : fp += row.weight;
const precision = tp / (tp + fp), recall = tp / positive;
averagePrecision += (recall - previousRecall) * precision;
previousRecall = recall;
points.push({ threshold, true_positive: tp, false_positive: fp, precision, recall });
}
return { points, pr_auc_average_precision: averagePrecision, baseline_prevalence: positive / (positive + negative), positive_weight: positive, negative_weight: negative, tie_group_count: points.length - 1, integration_rule: "average-precision-right-step", state: "ranking-evaluated" };
}
export function brierScore(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { probability: true });
const total = rows.reduce((sum, row) => sum + row.weight, 0);
const eventWeight = rows.reduce((sum, row) => sum + row.weight * row.label, 0);
const eventRate = eventWeight / total;
const score = rows.reduce((sum, row) => sum + row.weight * (row.probability - row.label) ** 2, 0) / total;
const baseline = eventRate * (1 - eventRate);
return { brier_score: score, event_rate: eventRate, baseline_brier: baseline, brier_skill: baseline === 0 ? null : 1 - score / baseline, weight_sum: total, record_count: rows.length, state: "probability-evaluated" };
}
export function binaryLogLoss(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { probability: true });
const epsilon = numberValue(inputs.epsilon ?? 1e-15, "epsilon");
if (epsilon <= 0 || epsilon >= 0.5) throw new RangeError("epsilon must be in (0,0.5)");
const total = rows.reduce((sum, row) => sum + row.weight, 0);
const eventWeight = rows.reduce((sum, row) => sum + row.weight * row.label, 0);
let loss = 0, clippedCount = 0;
for (const row of rows) {
const q = Math.min(Math.max(row.probability, epsilon), 1 - epsilon);
if (q !== row.probability) clippedCount++;
loss += row.weight * -Math.log(row.label === 1 ? q : 1 - q);
}
return { log_loss: loss / total, clipped_count: clippedCount, epsilon, weight_sum: total, event_rate: eventWeight / total, state: "probability-evaluated" };
}
export function reliabilityEce(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { probability: true });
const binCount = integerValue(inputs.bins ?? 5, "bins");
if (binCount < 2 || binCount > 20) throw new RangeError("bins must be between 2 and 20");
if ((inputs.bin_strategy ?? "uniform") !== "uniform") throw new RangeError("only uniform bin_strategy is supported");
const total = rows.reduce((sum, row) => sum + row.weight, 0);
const ledgers: AnyRecord[][] = Array.from({ length: binCount }, () => []);
for (const row of rows) ledgers[Math.min(Math.floor(row.probability * binCount), binCount - 1)].push(row);
const bins: AnyRecord[] = [];
let ece = 0, mce = 0, signed = 0;
for (let index = 0; index < binCount; index++) {
const members = ledgers[index], lower = index / binCount, upper = (index + 1) / binCount;
if (members.length === 0) {
bins.push({ index: index + 1, lower, upper, right_inclusive: index === binCount - 1, record_count: 0, weight_sum: 0, mean_probability: null, event_rate: null, signed_gap: null, absolute_gap: null });
continue;
}
const weight = members.reduce((sum, row) => sum + row.weight, 0);
const meanProbability = members.reduce((sum, row) => sum + row.weight * row.probability, 0) / weight;
const eventRate = members.reduce((sum, row) => sum + row.weight * row.label, 0) / weight;
const signedGap = eventRate - meanProbability, absoluteGap = Math.abs(signedGap);
ece += weight / total * absoluteGap;
signed += weight / total * signedGap;
mce = Math.max(mce, absoluteGap);
bins.push({ index: index + 1, lower, upper, right_inclusive: index === binCount - 1, record_count: members.length, weight_sum: weight, mean_probability: meanProbability, event_rate: eventRate, signed_gap: signedGap, absolute_gap: absoluteGap });
}
return { bins, expected_calibration_error: ece, maximum_calibration_error: mce, signed_calibration_error: signed, bin_count: binCount, weight_sum: total, state: "calibration-evaluated" };
}
export function gainsLift(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { score: true });
const bucketCount = integerValue(inputs.buckets ?? 10, "buckets");
if (bucketCount < 2 || bucketCount > rows.length) throw new RangeError("buckets must be between 2 and record count");
const ordered = [...rows].sort((a, b) => b.score - a.score || String(a.id).localeCompare(String(b.id)));
const totalWeight = ordered.reduce((sum, row) => sum + row.weight, 0);
const totalEvents = ordered.reduce((sum, row) => sum + row.weight * row.label, 0);
if (totalEvents <= 0) throw new RangeError("gains and lift require positive event weight");
const prevalence = totalEvents / totalWeight;
const members: Array<Array<[number, AnyRecord]>> = Array.from({ length: bucketCount }, () => []);
ordered.forEach((row, rank) => members[Math.min(Math.floor(rank * bucketCount / ordered.length), bucketCount - 1)].push([rank + 1, row]));
let cumulativeWeight = 0, cumulativeEvents = 0;
const buckets = members.map((bucket, index) => {
const weight = bucket.reduce((sum, [, row]) => sum + row.weight, 0);
const events = bucket.reduce((sum, [, row]) => sum + row.weight * row.label, 0);
cumulativeWeight += weight; cumulativeEvents += events;
const populationShare = weight / totalWeight, eventCapture = events / totalEvents;
const cumulativePopulation = cumulativeWeight / totalWeight, cumulativeGain = cumulativeEvents / totalEvents;
return { bucket: index + 1, rank_start: bucket[0][0], rank_end: bucket.at(-1)![0], record_count: bucket.length, population_weight: weight, event_weight: events, population_share: populationShare, event_capture: eventCapture, bucket_lift: (events / weight) / prevalence, cumulative_population: cumulativePopulation, cumulative_gain: cumulativeGain, cumulative_lift: cumulativeGain / cumulativePopulation };
});
return { buckets, top_decile_capture: buckets[0].event_capture, overall_prevalence: prevalence, total_events: totalEvents, total_weight: totalWeight, bucket_count: bucketCount, tie_break: "score-descending-id-ascending", state: "ranking-evaluated" };
}
export function costSensitiveThreshold(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { score: true });
if (!inputs.costs || typeof inputs.costs !== "object" || Array.isArray(inputs.costs)) throw new TypeError("costs must be an object");
const names = ["false_positive", "false_negative", "true_positive", "true_negative"];
const costs: AnyRecord = {};
for (const name of names) costs[name] = numberValue(inputs.costs[name], `costs.${name}`);
if (names.some(name => costs[name] < 0) || (costs.false_positive === 0 && costs.false_negative === 0)) throw new RangeError("costs must be nonnegative with a positive misclassification cost");
const total = rows.reduce((sum, row) => sum + row.weight, 0);
const thresholds: Array<number | null> = [null, ...[...new Set(rows.map(row => row.score))].sort((a, b) => b - a)];
const candidates = thresholds.map(threshold => {
let tp = 0, fp = 0, tn = 0, fn = 0, selected = 0;
for (const row of rows) {
const predicted = threshold !== null && row.score >= threshold;
if (predicted) selected += row.weight;
if (predicted && row.label === 1) tp += row.weight;
else if (predicted && row.label === 0) fp += row.weight;
else if (!predicted && row.label === 0) tn += row.weight;
else fn += row.weight;
}
const expectedCost = (costs.false_positive * fp + costs.false_negative * fn + costs.true_positive * tp + costs.true_negative * tn) / total;
return { threshold, true_positive: tp, false_positive: fp, true_negative: tn, false_negative: fn, selected_weight: selected, selected_rate: selected / total, expected_cost: expectedCost };
});
const optimal = [...candidates].sort((a, b) => a.expected_cost - b.expected_cost || a.selected_weight - b.selected_weight || -((a.threshold ?? Infinity) - (b.threshold ?? Infinity)))[0];
return { candidates, optimal_threshold: optimal.threshold, optimal_expected_cost: optimal.expected_cost, optimal_selected_rate: optimal.selected_rate, optimal_confusion: { true_positive: optimal.true_positive, false_positive: optimal.false_positive, true_negative: optimal.true_negative, false_negative: optimal.false_negative }, costs, tie_break: "minimum-cost-then-lower-selected-weight-then-higher-threshold", state: "threshold-selected" };
}
function band(score: number, edges: number[]): number {
let result = 0;
while (result + 1 < edges.length && score >= edges[result + 1]) result++;
return Math.min(result, edges.length - 2);
}
export function scoreMigration(inputs: AnyRecord): AnyRecord {
if (!Array.isArray(inputs.baseline) || inputs.baseline.length === 0 || !Array.isArray(inputs.current) || inputs.current.length === 0) throw new RangeError("baseline and current must be nonempty arrays");
if (inputs.higher_score_higher_risk !== true) throw new RangeError("canonical orientation requires higher_score_higher_risk=true");
if (typeof inputs.baseline_observed_at !== "string" || typeof inputs.current_observed_at !== "string" || inputs.baseline_observed_at >= inputs.current_observed_at) throw new RangeError("baseline_observed_at must be before current_observed_at");
if (!Array.isArray(inputs.band_edges) || inputs.band_edges.length < 3) throw new RangeError("band_edges must contain at least three values");
const edges = inputs.band_edges.map((value: unknown) => numberValue(value, "band_edges"));
if (edges[0] !== 0 || edges.at(-1) !== 1 || edges.slice(1).some((value: number, index: number) => edges[index] >= value)) throw new RangeError("band_edges must increase strictly from 0 to 1");
function snapshot(rawRows: unknown[], name: string): Map<string, number> {
const result = new Map<string, number>();
rawRows.forEach((raw, index) => {
if (!raw || typeof raw !== "object" || Array.isArray(raw)) throw new TypeError(`${name}[${index}] must be an object`);
const row = raw as AnyRecord;
if (typeof row.id !== "string" || row.id.length === 0 || result.has(row.id)) throw new RangeError(`${name} ids must be unique nonempty strings`);
const score = numberValue(row.score, `${name}[${index}].score`);
if (score < 0 || score > 1) throw new RangeError("migration scores must be in [0,1]");
result.set(row.id, score);
});
return result;
}
const baseline = snapshot(inputs.baseline, "baseline"), current = snapshot(inputs.current, "current");
if (baseline.size !== current.size || [...baseline.keys()].some(id => !current.has(id))) throw new RangeError("baseline and current must contain identical ids");
const size = edges.length - 1, matrix = Array.from({ length: size }, () => Array(size).fill(0));
const migrations: AnyRecord[] = [];
let stable = 0, improved = 0, worsened = 0, absoluteMove = 0, scoreChange = 0, absoluteScoreChange = 0;
for (const id of [...baseline.keys()].sort()) {
const before = baseline.get(id)!, after = current.get(id)!;
const a = band(before, edges), b = band(after, edges), move = b - a, delta = after - before;
matrix[a][b]++;
move === 0 ? stable++ : move < 0 ? improved++ : worsened++;
absoluteMove += Math.abs(move); scoreChange += delta; absoluteScoreChange += Math.abs(delta);
migrations.push({ id, baseline_score: before, current_score: after, baseline_band: a + 1, current_band: b + 1, band_move: move, score_change: delta });
}
const rowRates = matrix.map(row => { const total = row.reduce((sum, value) => sum + value, 0); return row.map(value => total === 0 ? null : value / total); });
const baselineCounts = matrix.map(row => row.reduce((sum, value) => sum + value, 0));
const currentCounts = Array.from({ length: size }, (_, column) => matrix.reduce((sum, row) => sum + row[column], 0));
const n = baseline.size, baselineShares = baselineCounts.map(value => value / n), currentShares = currentCounts.map(value => value / n);
const tv = 0.5 * baselineShares.reduce((sum, value, index) => sum + Math.abs(value - currentShares[index]), 0);
return { band_edges: edges, matrix, row_rates: rowRates, baseline_band_shares: baselineShares, current_band_shares: currentShares, migrations, matched_count: n, stable_count: stable, improved_count: improved, worsened_count: worsened, stable_rate: stable / n, mean_band_move: migrations.reduce((sum, row) => sum + row.band_move, 0) / n, mean_absolute_band_move: absoluteMove / n, mean_score_change: scoreChange / n, mean_absolute_score_change: absoluteScoreChange / n, band_distribution_total_variation: tv, state: "migration-evaluated" };
}
function basicMetrics(rows: AnyRecord[], epsilon: number): AnyRecord {
const total = rows.reduce((sum, row) => sum + row.weight, 0), [positive, negative] = classWeights(rows);
const eventRate = positive / total;
const brier = rows.reduce((sum, row) => sum + row.weight * (row.probability - row.label) ** 2, 0) / total;
const logloss = rows.reduce((sum, row) => { const q = Math.min(Math.max(row.probability, epsilon), 1 - epsilon); return sum + row.weight * -Math.log(row.label === 1 ? q : 1 - q); }, 0) / total;
const auc = positive > 0 && negative > 0 ? rocCurveAuc({ records: rows }).roc_auc : null;
return { record_count: rows.length, weight_sum: total, positive_weight: positive, negative_weight: negative, event_rate: eventRate, brier_score: brier, log_loss: logloss, roc_auc: auc };
}
export function sliceValidation(inputs: AnyRecord): AnyRecord {
const rows = records(inputs, { score: true, probability: true });
if (!Array.isArray(inputs.slice_fields) || inputs.slice_fields.length === 0 || new Set(inputs.slice_fields).size !== inputs.slice_fields.length || inputs.slice_fields.some((field: unknown) => typeof field !== "string" || field.length === 0)) throw new RangeError("slice_fields must be unique nonempty strings");
const fields = inputs.slice_fields as string[], minimum = integerValue(inputs.minimum_support ?? 4, "minimum_support");
if (minimum < 2) throw new RangeError("minimum_support must be at least 2");
const epsilon = numberValue(inputs.epsilon ?? 1e-15, "epsilon");
if (epsilon <= 0 || epsilon >= 0.5) throw new RangeError("epsilon must be in (0,0.5)");
for (const field of fields) if (rows.some(row => typeof row[field] !== "string" || row[field].length === 0)) throw new RangeError(`slice field ${field} is missing or invalid`);
const overall = basicMetrics(rows, epsilon), slices: AnyRecord[] = [], eligibleBrier: number[] = [];
let eligible = 0, flagged = 0;
for (const field of fields) {
const values = [...new Set(rows.map(row => row[field] as string))].sort();
for (const value of values) {
const members = rows.filter(row => row[field] === value), metrics = basicMetrics(members, epsilon);
let status = "ok";
if (members.length < minimum) status = "insufficient-support";
else if (metrics.positive_weight <= 0 || metrics.negative_weight <= 0) status = "single-class";
if (status === "ok") { eligible++; eligibleBrier.push(metrics.brier_score); } else flagged++;
slices.push({ field, value, status, ...metrics, brier_gap_from_overall: metrics.brier_score - overall.brier_score, log_loss_gap_from_overall: metrics.log_loss - overall.log_loss, roc_auc_gap_from_overall: metrics.roc_auc === null ? null : metrics.roc_auc - overall.roc_auc });
}
}
if (eligibleBrier.length === 0) throw new RangeError("no slice meets the canonical support and class requirements");
return { overall, slices, slice_fields: fields, minimum_support: minimum, worst_slice_brier: Math.max(...eligibleBrier), eligible_slice_count: eligible, flagged_slice_count: flagged, state: "slices-evaluated" };
}
export function rareEventBounds(inputs: AnyRecord): AnyRecord {
const events = integerValue(inputs.observed_events, "observed_events"), trials = integerValue(inputs.trials, "trials");
if (trials <= 0 || events < 0 || events > trials) throw new RangeError("require 0 <= observed_events <= trials and trials > 0");
const expected = numberValue(inputs.expected_probability, "expected_probability");
if (expected < 0 || expected > 1) throw new RangeError("expected_probability must be in [0,1]");
const confidence = numberValue(inputs.confidence_level, "confidence_level");
const zMap = new Map([[0.90, 1.6448536269514722], [0.95, 1.959963984540054], [0.99, 2.5758293035489004]]);
const z = zMap.get(confidence);
if (z === undefined) throw new RangeError("confidence_level must be 0.90, 0.95, or 0.99");
if (inputs.sampling_assumption !== "independent-bernoulli-approximation") throw new RangeError("unsupported sampling_assumption");
const observed = events / trials, denominator = 1 + z * z / trials;
const center = (observed + z * z / (2 * trials)) / denominator;
const half = z * Math.sqrt(observed * (1 - observed) / trials + z * z / (4 * trials * trials)) / denominator;
const lower = events === 0 ? 0 : Math.max(0, center - half), upper = events === trials ? 1 : Math.min(1, center + half);
const consistency = expected < lower ? "expected-below-interval" : expected > upper ? "expected-above-interval" : "inside-interval";
return { observed_events: events, trials, observed_rate: observed, expected_probability: expected, expected_count: trials * expected, confidence_level: confidence, z_value: z, wilson_center: center, wilson_half_width: half, wilson_lower: lower, wilson_upper: upper, consistency, sampling_assumption: "independent-bernoulli-approximation", state: "rare-event-evaluated" };
}
export function calculate(topicId: string, inputs: AnyRecord): AnyRecord {
if (!inputs || typeof inputs !== "object" || Array.isArray(inputs)) throw new TypeError("inputs must be an object");
const dispatch: Record<string, (value: AnyRecord) => AnyRecord> = {
"D40-F05-A01": rocCurveAuc,
"D40-F05-A02": precisionRecallAuc,
"D40-F05-A03": brierScore,
"D40-F05-A04": binaryLogLoss,
"D40-F05-A05": reliabilityEce,
"D40-F05-A06": gainsLift,
"D40-F05-A07": costSensitiveThreshold,
"D40-F05-A08": scoreMigration,
"D40-F05-A09": sliceValidation,
"D40-F05-A10": rareEventBounds,
};
const implementation = dispatch[topicId];
if (!implementation) throw new RangeError(`unsupported topic_id: ${topicId}`);
return implementation(inputs);
}
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