How do I obtain scores as probabilistic estimates using the predict function on a fitcensemble model?

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MathWorks Support Team 2018-3-19

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编辑： MathWorks Support Team 2023-5-3

After having run the first example in this article (https://se.mathworks.com/help/stats/fitcensemble.html#bvdwkeh) - "Train Classification Ensemble" I am trying to get the probability/score of an observation being in one of the two classes. However by passing this function [label,score] = predict(Mdl1,pX); the scores are quite weird;7.0616 -7.06163.9722 -3.9722....It is possible to transform this into probabilities?

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Answer 1

MathWorks Support Team 2023-5-3

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编辑：MathWorks Support Team 2023-5-3

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The reason behind the command '[label, score] = predict(Mdl1,pX)' not returning scores as probability estimates is because the 'LogitBoost' algorithm used in the model does not treat scores as probabilistic estimates. Instead, the score represents the confidence of a classification into a class, higher, being more confidence.This is explained in the documentation link below:

https://www.mathworks.com/help/stats/compactclassificationensemble.predict.html#bvciha4

If you would like to get probabilistic estimate for scores, you may consider one of two options:1) You can set the 'ScoreTransform' name-value pair in the 'fitcensemble' to 'logit'. This name-value pair transforms the score to probabilistic estimates.https://www.mathworks.com/help/stats/fitcensemble.html#bvcj_s0-1_sep_shared-ScoreTransformUsing predict on the model then returns scores as probability values for each class.For example:

​MdlFinal = fitcensemble(X,Y,'NumLearningCycles',idxNumTrees,...
    'Learners',tFinal,'LearnRate',learnRate(idxLR),'ScoreTransform','logit')
>> [~,scores] = predict(MdlFinal,X)
scores =
    0.0360    0.9640
    0.8054    0.1946
    0.0278    0.9722
...

2) Setting the 'Method' name-value pair of 'fitcensemble' to 'Bag'.As mentioned in the documentation link here , the 'Bag' algorithm returns scores as probability values.The documentation link for 'Method' name-value pair can be found here: