[R] changing the loss function in the logistic regression?

[Michael]

Hi Frank,

Thanks for your help!

I want to incorporate lift score as the optimization objective. How to
do that in logistic regression?

Thanks!

On Fri, Jun 26, 2009 at 7:47 AM, Frank E Harrell
Jr<f.harrell at vanderbilt.edu> wrote:
> Michael wrote:
>>
>> Hi all,
>>
>> Is there a way to change the loss function in the logistic regression?
>> Or we could provide a customized loss function in the logistic
>> regression so we could use that loss function in the Cross Validation
>> in logistic regression?
>>
>> Thanks a lot!
>
> The goal is to use a loss function that yields optimality, with a sensible
> definition of optimality.  For many purposes, maximum likelihood or
> penalized maximum likelihood is optimum.  So don't change the optimality
> criteria just because you are cross-validating a different measure.
>
> By the way, it's often not a good idea to cross-validate a different
> measure.  At least the accuracy index should be information-preserving.
>  Deviance, log-likelihood, and AIC are your friends.
>
> Frank
>
> --
> Frank E Harrell Jr   Professor and Chair           School of Medicine
>                     Department of Biostatistics   Vanderbilt University
>