Harikrishna Narasimhan, Shivani Agarwal
We investigate the relationship between three fundamental problems in machine learning: binary classification, bipartite ranking, and binary class probability estimation (CPE). It is known that a good binary CPE model can be used to obtain a good binary classification model (by thresholding at 0.5), and also to obtain a good bipartite ranking model (by using the CPE model directly as a ranking model); it is also known that a binary classification model does not necessarily yield a CPE model. However, not much is known about other directions. Formally, these relationships involve regret transfer bounds. In this paper, we introduce the notion of weak regret transfer bounds, where the mapping needed to transform a model from one problem to another depends on the underlying probability distribution (and in practice, must be estimated from data). We then show that, in this weaker sense, a good bipartite ranking model can be used to construct a good classification model (by thresholding at a suitable point), and more surprisingly, also to construct a good binary CPE model (by calibrating the scores of the ranking model).