Fix AUROC to take advantage of known order ahead of time (#230)

* Fix AUROC to take advantage of known order ahead of time

* changelog

Co-authored-by: Nicki Skafte <skaftenicki@gmail.com>

CHANGELOG.md

@@ -57,6 +57,9 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - Fixed metric concatenation for list states for zero-dim input ([#229](https://github.com/PyTorchLightning/metrics/pull/229))
 
 
+- Fixed numerical instability in `AUROC` metric for large input ([#230](https://github.com/PyTorchLightning/metrics/pull/230))
+
+
 ## [0.3.1] - 2021-04-21
 
 - Cleaning remaining inconsistency and fix PL develop integration (

torchmetrics/functional/classification/auc.py

@@ -31,6 +31,11 @@ def _auc_update(x: Tensor, y: Tensor) -> Tuple[Tensor, Tensor]:
  return x, y
 
 
+def _auc_compute_without_check(x: Tensor, y: Tensor, direction: float) -> Tensor:
+ with torch.no_grad():
+ return direction * torch.trapz(y, x)
+
+
 def _auc_compute(x: Tensor, y: Tensor, reorder: bool = False) -> Tensor:
  with torch.no_grad():
  if reorder:
@@ -49,7 +54,7 @@ def _auc_compute(x: Tensor, y: Tensor, reorder: bool = False) -> Tensor:
  )
  else:
  direction = 1.
- return direction * torch.trapz(y, x)
+ return _auc_compute_without_check(x, y, direction)
 
 
 def auc(x: Tensor, y: Tensor, reorder: bool = False) -> Tensor:

torchmetrics/functional/classification/auroc.py

@@ -16,7 +16,7 @@
 import torch
 from torch import Tensor, tensor
 
-from torchmetrics.functional.classification.auc import auc
+from torchmetrics.functional.classification.auc import _auc_compute_without_check
 from torchmetrics.functional.classification.roc import roc
 from torchmetrics.utilities.checks import _input_format_classification
 from torchmetrics.utilities.enums import AverageMethod, DataType
@@ -93,7 +93,7 @@ def _auroc_compute(
  pass
  elif num_classes != 1:
  # calculate auc scores per class
- auc_scores = [auc(x, y) for x, y in zip(fpr, tpr)]
+ auc_scores = [_auc_compute_without_check(x, y, 1.0) for x, y in zip(fpr, tpr)]
 
  # calculate average
  if average == AverageMethod.NONE:
@@ -113,7 +113,7 @@ def _auroc_compute(
  f" {allowed_average} but got {average}"
  )
 
- return auc(fpr, tpr)
+ return _auc_compute_without_check(fpr, tpr, 1.0)
 
  max_fpr = tensor(max_fpr, device=fpr.device)
  # Add a single point at max_fpr and interpolate its tpr value
@@ -124,7 +124,7 @@ def _auroc_compute(
  fpr = torch.cat([fpr[:stop], max_fpr.view(1)])
 
  # Compute partial AUC
- partial_auc = auc(fpr, tpr)
+ partial_auc = _auc_compute_without_check(fpr, tpr, 1.0)
 
  # McClish correction: standardize result to be 0.5 if non-discriminant
  # and 1 if maximal