Fenchel-Young Losses with Skewed Entropies for Class-posterior Probability Estimation

We study class-posterior probability estimation (CPE) for binary responses where one class has much fewer data than the other. For example, events such as species co-occurrence in ecology and wars in political science are often much rarer than non-events. Logistic regression has been widely used for CPE, while it tends to underestimate the probability of rare events. Its main drawback is symmetry of the logit link---symmetric links can be misled by small and imbalanced samples because it is more incentivized to overestimate the majority class with finite samples. Parametric skewed links have been proposed to overcome this limitation, but their estimation usually results in nonconvex optimization unlike the logit link. Such nonconvexity is knotty not only from the computational viewpoint but also in terms of the parameter identifiability. In this paper, we provide a procedure to derive a convex loss for a skewed link based on the recently proposed Fenchel-Young losses. The derived losses are always convex and have a nice property suitable for class imbalance. The simulation shows the practicality of the derived losses.