When False Positive is Intolerant: End-to-End Optimization with Low FPR for Multipartite Ranking

Multipartite ranking is a basic task in machine learning, where the Area Under the receiver operating characteristics Curve (AUC) is generally applied as the evaluation metric. Despite that AUC reflects the overall performance of the model, it is inconsistent with the expected performance in some application scenarios, where only a low False Positive Rate (FPR) is meaningful. To leverage high performance under low FPRs, we consider an alternative metric for multipartite ranking evaluating the True Positive Rate (TPR) at a given FPR, denoted as TPR@FPR. Unfortunately, the key challenge of direct TPR@FPR optimization is two-fold: a) the original objective function is not differentiable, making gradient backpropagation impossible; b) the loss function could not be written as a sum of independent instance-wise terms, making mini-batch based optimization infeasible. To address these issues, we propose a novel framework on top of the deep learning framework named Cross-Batch Approximation for Multipartite Ranking (CBA-MR). In face of a), we propose a differentiable surrogate optimization problem where the instances having a short-time effect on FPR are rendered with different weights based on the random walk hypothesis. To tackle b), we propose a fast ranking estimation method, where the full-batch loss evaluation is replaced by a delayed update scheme with the help of an embedding cache. Finally, experimental results on four real-world benchmarks are provided to demonstrate the effectiveness of the proposed method.