Access indices of each CV fold for custom metric function in caret

I want to define my custom metric function in caret, but in this function I want to use additional information that is not used for training. I therefore need to have the indices (row numbers) of the data that is used in this fold for validation.

Here is a silly example:

generate data:

library(caret)
set.seed(1234)

x <- matrix(rnorm(10),nrow=5,ncol=2 )
y <- factor(c("y","n","y","y","n"))

priors <- c(1,3,2,7,9)

this is my example metric function, it should use information from the priors vector

my.metric <- function (data,
                   lev = NULL,
                   model = NULL) {
          out <- priors[-->INDICES.OF.DATA<--] + data$pred/data$obs   
          names(out) <- "MYMEASURE"
          out
}

myControl <- trainControl(summaryFunction = my.metricm, method="repeatedcv", number=10, repeats=2)

fit <- train(y=y,x=x, metric = "MYMEASURE",method="gbm", trControl = mControl)

to make this perhaps even more clear, I could use this in a survival setting where priors are days and use this in a Surv object to measure survival AUC in the metric function.

How can I do this in caret?

Solution

You can access the row numbers using data$rowIndex. Note that the summary function should return a single number as its metric (e.g. ROC, Accuracy, RMSE...). The above function seems to return a vector of length equal to the number of observations in the held out CV-data.

If you're interested in seeing the resamples along with their predictions you can add print(data) to the my.metric function.

Here's an example using your data (enlarged a bit) and Metrics::auc as the performance measure after multiplying the predicted class probabilities with the prior:

library(caret)
library(Metrics)

set.seed(1234)
x <- matrix(rnorm(100), nrow=100, ncol=2 )
set.seed(1234)
y <- factor(sample(x = c("y", "n"), size = 100, replace = T))

priors <- runif(n = length(y), min = 0.1, max = 0.9)

my.metric <- function(data, lev = NULL, model = NULL) 
{
    # The performance metric should be a single number
    # data$y are the predicted probabilities of  
    # the observations in the fold belonging to class "y"
    out <- Metrics::auc(actual = as.numeric(data$obs == "y"),
                        predicted = priors[data$rowIndex] * data$y)
    names(out) <- "MYMEASURE"
    out
}

fitControl <- trainControl(method = "repeatedcv",
                           number = 10,
                           classProbs = T,
                           repeats = 2,
                           summaryFunction = my.metric)

set.seed(1234)
fit <- train(y = y, 
             x = x,
             metric = "MYMEASURE",
             method="gbm", 
             verbose = FALSE,
             trControl = fitControl)
fit

# Stochastic Gradient Boosting 
# 
# 100 samples
# 2 predictor
# 2 classes: 'n', 'y' 
# 
# No pre-processing
# Resampling: Cross-Validated (10 fold, repeated 2 times) 
# 
# Summary of sample sizes: 90, 90, 90, 90, 90, 89, ... 
# 
# Resampling results across tuning parameters:
#     
# interaction.depth  n.trees  MYMEASURE  MYMEASURE SD
# 1                   50      0.5551667  0.2348496   
# 1                  100      0.5682500  0.2297383   
# 1                  150      0.5797500  0.2274042   
# 2                   50      0.5789167  0.2246845   
# 2                  100      0.5941667  0.2053826   
# 2                  150      0.5900833  0.2186712   
# 3                   50      0.5750833  0.2291999   
# 3                  100      0.5488333  0.2312470   
# 3                  150      0.5577500  0.2202638   
# 
# Tuning parameter 'shrinkage' was held constant at a value of 0.1
# Tuning parameter 'n.minobsinnode' was held constant at a value of 10
# MYMEASURE was used to select the optimal model using  the largest value.

I don't know too much about survival analysis but I hope this helps.