R/auc.R

In DexGroves/glmnet: Lasso and Elastic-Net Regularized Generalized Linear Models

auc=function(y,prob,w){
  if(missing(w)){
      rprob=rank(prob)
      n1=sum(y);n0=length(y)-n1
      u=sum(rprob[y==1])-n1*(n1+1)/2
      u/(n1*n0)
    }
  else{
    rprob=runif(length(prob))
    op=order(prob,rprob)#randomize ties
    y=y[op]
    w=w[op]
    cw=cumsum(w)
    w1=w[y==1]
    cw1=cumsum(w1)
    wauc=sum(w1*(cw[y==1]-cw1))
    sumw=cw1[length(cw1)]
    sumw=sumw*(cw[length(cw)]-sumw)
    wauc/sumw
  }

}