EPP: interpretable score of model predictive power

The most important part of model selection and hyperparameter tuning is the evaluation of model performance. The most popular measures, such as AUC, F1, ACC for binary classification, or RMSE, MAD for regression, or cross-entropy for multilabel classification share two common weaknesses. First is, that they are not on an interval scale. It means that the difference in performance for the two models has no direct interpretation. It makes no sense to compare such differences between datasets. Second is, that for k-fold cross-validation, the model performance is in most cases calculated as an average performance from particular folds, which neglects the information how stable is the performance for different folds. In this talk, we introduce a new EPP rating system for predictive models. We also demonstrate numerous advantages for this system, First, differences in EPP scores have probabilistic interpretation. Based on it we can assess the probability that one model will achieve better performance than another. Second, EPP scores can be directly compared between datasets. Third, they can be used for navigated hyperparameter tuning and model selection. Forth, we can create embeddings for datasets based on EPP scores.