AGC - Area under Gain Curves

Python code to compute and plot (truncated, weighted) area under gain curves (AGC)

For binary classification, gain curves are a nice alternative to ROC curves in that they can naturally be truncated to focus on the top scoring points only. In this code, we provide three functions:

• agc_score: Compute the area under the gain curve (AGC) for binary labelled data
• agc_approximate: Approximate the area under the gain curve (AGC) for binary labelled data via sampling
• gain_curve: Compute the proportion of data points and true positive rate for all thresholds, for plotting