How to create custom eval metric for catboost?

Question

In this question, I have a binary classification problem. After modelling we get the test model predictions y_pred and we already have true test labels y_true.

I would like to get the custom evaluation metric defined by following equation:

profit = 400 * truePositive - 200*fasleNegative - 100*falsePositive

Also, since higher profit is better I would like to maximize the function instead of minimize it.

How to get this eval_metric in catboost?

Using sklearn

def get_profit(y_true, y_pred):
    tn, fp, fn, tp = sklearn.metrics.confusion_matrix(y_true,y_pred).ravel()
    loss = 400*tp - 200*fn - 100*fp
    return loss

scoring = sklearn.metrics.make_scorer(get_profit, greater_is_better=True)

Using catboost

class ProfitMetric(object):
    def get_final_error(self, error, weight):
        return error / (weight + 1e-38)

    def is_max_optimal(self):
        return True

    def evaluate(self, approxes, target, weight):
        assert len(approxes) == 1
        assert len(target) == len(approxes[0])

        approx = approxes[0]

        error_sum = 0.0
        weight_sum = 0.0

        ** I don't know here**

        return error_sum, weight_sum

Question

How to complete the custom eval metric in catboost?

UPDATE

My update so far

import numpy as np
import pandas as pd
import seaborn as sns
import sklearn

from catboost import CatBoostClassifier
from sklearn.model_selection import train_test_split

def get_profit(y_true, y_pred):
    tn, fp, fn, tp = sklearn.metrics.confusion_matrix(y_true,y_pred).ravel()
    profit = 400*tp - 200*fn - 100*fp
    return profit


class ProfitMetric:
    def is_max_optimal(self):
        return True # greater is better

    def evaluate(self, approxes, target, weight):
        assert len(approxes) == 1
        assert len(target) == len(approxes[0])

        approx = approxes[0]

        y_pred = np.rint(approx)
        y_true = np.array(target).astype(int)

        output_weight = 1 # weight is not used

        score = get_profit(y_true, y_pred)
 
        return score, output_weight

    def get_final_error(self, error, weight):
        return error


df = sns.load_dataset('titanic')
X = df[['survived','pclass','age','sibsp','fare']]
y = X.pop('survived')

X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2, random_state=100)


model = CatBoostClassifier(metric_period=50,
  n_estimators=200,
  eval_metric=ProfitMetric()
)

model.fit(X, y, eval_set=(X_test, y_test)) # this fails

Solution

The main difference from yours is:

@staticmethod
def get_profit(y_true, y_pred):
    y_pred = expit(y_pred).astype(int)
    y_true = y_true.astype(int)
    #print("ACCURACY:",(y_pred==y_true).mean())
    tn, fp, fn, tp = confusion_matrix(y_true, y_pred).ravel()
    loss = 400*tp - 200*fn - 100*fp
    return loss

It's not obvious from the example you linked what are the predictions, but after inspecting it turns out catboost treats predictions internally as raw log-odds (hat tip @Ben). So, to properly use confusion_matrix you need to make it sure both y_true and y_pred are integer class labels. This is done via:

y_pred = scipy.special.expit(y_pred) 
y_true = y_true.astype(int)

So the full working code is:

import seaborn as sns
from catboost import CatBoostClassifier
from sklearn.model_selection import train_test_split
from sklearn.metrics import confusion_matrix
from scipy.special import expit

df = sns.load_dataset('titanic')
X = df[['survived','pclass','age','sibsp','fare']]
y = X.pop('survived')

X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2, random_state=100)

class ProfitMetric:
    
    @staticmethod
    def get_profit(y_true, y_pred):
        y_pred = expit(y_pred).astype(int)
        y_true = y_true.astype(int)
        #print("ACCURACY:",(y_pred==y_true).mean())
        tn, fp, fn, tp = confusion_matrix(y_true, y_pred).ravel()
        loss = 400*tp - 200*fn - 100*fp
        return loss
    
    def is_max_optimal(self):
        return True # greater is better

    def evaluate(self, approxes, target, weight):            
        assert len(approxes) == 1
        assert len(target) == len(approxes[0])
        y_true = np.array(target).astype(int)
        approx = approxes[0]
        score = self.get_profit(y_true, approx)
        return score, 1

    def get_final_error(self, error, weight):
        return error

model = CatBoostClassifier(metric_period=50,
  n_estimators=200,
  eval_metric=ProfitMetric()
)

model.fit(X, y, eval_set=(X_test, y_test))