SAMME.C2 Algorithm for Imbalanced Multi-Class Classification

Classification predictive modeling involves the accurate assignment of observations in a dataset to target classes or categories. Real-world classification problems with severely imbalanced class distributions have increased substantially in recent years. In such cases, significantly fewer observations are available for minority classes to learn from than for majority classes. Despite this sparsity, the minority class is often considered as the more interesting class, yet the development of a scientific learning algorithm that is suitable for these observations presents numerous challenges. In this study, we further explore the merits of an effective multi-class classification algorithm known as SAMME.C2 that is specialized for handling severely imbalanced classes. This innovative method blends the flexible mechanics of the boosting techniques from the SAMME algorithm, which is a multi-class classifier, and the Ada.C2 algorithm, which is a cost-sensitive binary classifier that is designed to address highly imbalanced classes. We establish a scientific and statistical formulation of the SAMME.C2 algorithm, together with providing and explaining the resulting procedure. We demonstrate the consistently superior performance of this algorithm through numerical experiments as well as empirical studies.