AUC estimation and concept drift detection for imbalanced data streams with multiple classes

Online class imbalance learning deals with data streams having very skewed class distributions. When learning from data streams, concept drift is one of the major challenges that deteriorate the classification performance. Although several approaches have been recently proposed to overcome concept drift in imbalanced data, they are all limited to two-class cases. Multi-class imbalance imposes additional challenges in concept drift detection and performance evaluation, such as a more severe imbalanced distribution and the limited choice of performance measures. This paper extends AUC for evaluating classifiers on multi-class imbalanced data in online learning scenarios. The proposed metrics, PMAUC, WAUC and EWAUC, are studied through comprehensive experiments, focusing on their characteristics on time-changing data streams and whether and how they can be used to detect concept drift. The AUC-based metrics show effectiveness in detecting concept drift in a variety of artificial data streams and a real-world data application with multiple classes. In particular, EWAUC is shown to be both effective and efficient.