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Improve AUC numeric stability #224
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am I reading it correctly that if I have
dx = [-1e-7, 5e-7, 5e-7, ... 10000 times ...., 5e-7] then we'll deduce incorrect direction here?
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yes, it seems that direction/sign is changed, so shall ve preserve it...
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maybe I am misunderstanding the question...
the tensor
dx = [1e-7, 5e-7, 5e-7, ... 10000 times ...., 5e-7]
implies that
direction=1
right? so if we say that numerical instability leads to a change of sign in the first elementdx = [-1e-7, 5e-7, 5e-7, ... 10000 times ...., 5e-7]
then it will still be
direction=1
with the change.There was a problem hiding this comment.
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Sorry, let's maybe use this instead:
dx = [-1.0, 5e-7, 5e-7, ... 10000 times ...., 5e-7]
Now both
(dx+tol<0).any()
and(dx <= tol).all()
are true and we'll discover direction as -1, wheras the whole thing is incorrectly sorted.There was a problem hiding this comment.
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thanks, I see the problem now...
Do you have anyway to solve this?
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Numerical issues are usually tricky. I'm suggesting we remove checks for the internal callers of this function, let me quickly show an example.
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@SkafteNicki , check out #230
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@maximsch2 looks good, closing this in favour of yours