costsensitive

Reduction-based techniques for cost-sensitive multi-class classification, in which each observation has a different cost for classifying it into one class, and the goal is to predict the class with the minimum expected cost for each new observation. Implements Weighted All-Pairs (Beygelzimer, A., Langford, J., & Zadrozny, B., 2008, doi:10.1007/978-0-387-79361-0_1), Weighted One-Vs-Rest (Beygelzimer, A., Dani, V., Hayes, T., Langford, J., & Zadrozny, B., 2005, https://dl.acm.org/citation.cfm?id=1102358) and Regression One-Vs-Rest. Works with arbitrary classifiers taking observation weights, or with regressors. Also implements cost-proportionate rejection sampling for working with classifiers that don't accept observation weights.

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