Calculating AUC: the area under a ROC Curve

roc.R

## https://blog.revolutionanalytics.com/2016/11/calculating-auc.html

## Load Dependency
library(numform)

##=======================================================
## Make some fake data
##=======================================================
set.seed(10)
actual <- sample(0:1, 100, T, c(.8, .2))
i <- sample(1:100, 20)
y <- actual
y[i] <- 1 - x[i]
y <- ifelse(y < .5, y + .25, y - .25)
predicted <- jitter(y, 2)

predicted

plot(predicted, actual)

##=======================================================
## Visualize
##=======================================================
(cuts <- (100:1)/100)
values <- list(TPR = rep(NA, 100), FPR = rep(NA, 100))

plot(0:1, 0:1, type = "n", , yaxs="i", , xaxs="i",
    ylab = 'True Positive Rate', xlab = 'False Positive Rate')  # setting up coord. system
abline(c(0,1), lty = 'dashed')

for (i in 1:100){

    p <- cuts[i]
    (predicted2 <- ifelse(predicted < p, 0, 1))

    
    TPR0 <- TPR
    FPR0 <- FPR

    (TN <- sum(predicted2 == 0 & actual == 0))
    (FP <- sum(predicted2 == 1 & actual == 0))
    (FN <- sum(predicted2 == 0 & actual == 1))
    (TP <- sum(predicted2 == 1 & actual == 1))

    (TPR <- TP/(TP + FN)) # sensitivity
    (FPR <- FP/(FP + TN)) # 1 - specificity
    cat(sprintf('(p:%s| TPR:%s, FPR:%s\n', f_num(p, 3), f_num(TPR, 3), f_num(FPR, 3)))

    values$TPR[i] <- TPR
    values$FPR[i] <- FPR

    points(FPR, TPR, col = "blue", pch = 19)
    if (i > 1) segments(FPR0, TPR0, FPR, TPR, col= 'blue')
    Sys.sleep(.1)
}

Sys.sleep(2)
polygon(c(values$FPR, 1, 0),  c(values$TPR, 0, 0), col=adjustcolor("red",alpha.f=0.5))
Sys.sleep(2)
text(.6, .4, 'AUC', col = 'white', cex = 4)


##=======================================================
## Compute AUC
##=======================================================
dFPR <- c(diff(values$FPR), 0)
dTPR <- c(diff(values$TPR), 0)
(auc <- sum(values$TPR * dFPR) + sum(dTPR * dFPR)/2)
Sys.sleep(2)
text(.6, .2, f_num(auc,3), col = 'white', cex = 3)


#library(pROC)
#roc(actual, predicted)