Using the ROC Convex Hull Algorithm to Select a Classifier

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Rick Wicklin (@Rick_SAS)  contributed an article in The Do Loop (https://blogs.sas.com/content/iml/2021/11/15/2d-convex-hull-sas.html) describing two-dimensional complex hulls in SAS, specifically centered on the SAS/IML CVXHULL function.

A while ago, I created an algorithm based on Provost and Foster's work using a convex hull representation of several classifiers to select the optimal classifier based on cost-weighted classification accuracy. I presented my work at the Interface 2003 conference under the title "Cost-Sensitive Classifier Selection Using the ROC Convex Hull Method" and wish to share it with the SAS community. The paper and the SAS macro are included (attached). I hope that they will be of interest to some SAS community members.