A Distributionally Robust Area Under Curve Maximization Model

Abstract Area under ROC curve (AUC) is a performance measure for classification models. We propose new distributionally robust AUC models (DR-AUC) that rely on the Kantorovich metric and approximate AUC with the hinge loss function, and derive convex reformulations using duality. The DR-AUC models outperform deterministic AUC and support vector machine models and have superior worst-case out-of-sample performance, thereby showing their robustness. The results are encouraging since the numerical experiments are conducted with small-size training sets conducive to low out-of-sample performance.