[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística - Ricardo Fraiman (FCIEN, Universidad de la República)

[seminarios en cmat.edu.uy]

Seminario de Probabilidad y Estadística
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Título: "Imbalanced Classification under Capacity Constrains"

Expositor: Ricardo Fraiman (FCIEN, Universidad de la República)

Resumen:
 
Detecting observations from a minority class under severe class imbalance is a
central challenge in applications such as fraud detection, medical screening,
and industrial quality control. In these settings, each positive prediction
triggers a costly follow-up action, an MRI scan, a transaction audit, whose
execution is subject to real operational constraints. This paper proposes a
formal classification framework under capacity constraints: given a user-defined
bound limitb on the proportion of observations that can be labeled as belonging
to the minority class, the goal is to find the classifier that maximizes
sensitivity on that class. We characterize the optimal classifier under this
constraint and establish its equivalence with the classical Bayes classifier
under a reweighting of the prior probabilities. We also introduce a capacity-
adjusted performance metric M that accounts for the effective detection rate
when the capacity constraint is binding. The framework is implemented on top of
standard learning methods, k-NN, SVM, random forests, and neural networks, and
statistical consistency is established for each. We further show that these
methods reduce to post-hoc thresholding when no hyperparameters are oriented
toward the capacity-constrained objective, and introduce a capacity-aware
support vector machine that exploits the constraint during training and achieves
the strongest empirical performance. Experiments on the Taiwanese credit card
default dataset confirm that capacity-constrained classifiers substantially
outperform both classical approaches and SMOTE under high imbalance regimes. The
framework extends naturally to multiclass settings and online environments.
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Viernes 26/6 a las 10:30, FCEA: Salón 1 del EIP (entrada por Lauro Müller)

Contacto: Laura Aspirot - laspirot en gmail.com
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