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Probabilistic Supervised Learning for mlr3.

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What is mlr3proba ?

mlr3proba is a probabilistic supervised learning (PSL) toolkit for machine learning in R utilising the mlr3 package. Probabilistic supervised learning is a field of supervised machine learning in which probability distributions are predicted. Regression and classification tasks can be shown to be sub-fields of PSL, for example reducing a predicted probability distribution from probabilistic regression by taking its mean gives a regression prediction. PSL is therefore a powerful tool to provide more information about predictions than the more classical regression or classification. Probably the most known variant of PSL is survival analysis, where the task of interest is to predict an individual’s survival curve. Other forms of PSL include density estimation and probabilistic regression. To-date, PSL toolkits in R have been limited to Bayesian simulation packages, but mlr3proba hopes to change this by allowing domain-agnostic (Bayesian or Frequentist) fit/predict and evaluation workflows.


Install the last release from CRAN:


Install the development version from GitHub:


Survival Analysis

Survival Learners

ID Learner Package
surv.blackboost Gradient Boosting with Regression Trees mboost
surv.coxph Cox Proportional Hazards survival
surv.cvglmnet Cross-Validated GLM with Elastic Net Regularization glmnet
surv.flexible Flexible Parametric Spline Models flexsurv
surv.gamboost Gradient Boosting for Additive Models mboost
surv.gbm Generalized Boosting Regression Modeling gbm
surv.glmboost Gradient Boosting with Component-wise Linear Models mboost
surv.glmnet GLM with Elastic Net Regularization glmnet
surv.kaplan Kaplan-Meier Estimator survival
surv.mboost Gradient Boosting for Generalized Additive Models mboost
surv.nelson Nelson-Aalen Estimator survival
surv.parametric Fully Parametric Survival Models survival
surv.penalized L1 and L2 Penalized Estimation in GLMs penalized
surv.randomForestSRC RandomForestSRC Survival Forest randomForestSRC
surv.ranger Ranger Survival Forest ranger
surv.rpart Rpart Survival Forest rpart
surv.svm Regression, Ranking and Hybrid Support Vector Machines survivalsvm

Survival Measures

ID Learner Package
surv.beggC Begg’s C-Index survAUC
surv.chamblessAUC Chambless and Diao’s AUC survAUC
surv.gonenC Gonen and Heller’s C-Index survAUC
surv.graf Integrated Graf Score mlr3proba
surv.grafSE Standard Error of Integrated Graf Score mlr3proba
surv.harrellC Harrell’s C-Index mlr3proba
surv.hungAUC Hung and Chiang’s AUC survAUC
surv.intlogloss Integrated Log Loss mlr3proba
surv.intloglossSE Standard Error of Integrated Log Loss mlr3proba
surv.logloss Log Loss mlr3proba
surv.loglossSE Standard Error of Log Loss mlr3proba
surv.nagelkR2 Nagelkerke’s R2 survAUC
surv.oquigleyR2 O’Quigley, Xu, and Stare’s R2 survAUC
surv.songAUC Song and Zhou’s AUC survAUC
surv.songTNR Song and Zhou’s TNR survAUC
surv.songTPR Song and Zhou’s TPR survAUC
surv.unoAUC Uno’s AUC survAUC
surv.unoC Uno’s C-Index survAUC
surv.unoTNR Uno’s TNR survAUC
surv.unoTPR Uno’s TPR survAUC
surv.xuR2 Xu and O’Quigley’s R2 survAUC

Feature Overview and Lifecycle

The vision of mlr3proba is to be the first complete probabilistic machine learning package in R. This encompasses survival analysis, probabilistic regression, and unsupervised density estimation. The first release of mlr3proba is focused entirely on survival analysis and introduces TaskSurv. Later releases will include TaskDensity and will extend TaskRegr to have probabilistic predict types. The lifecycle of the survival task and features are considered maturing and any major changes are unlikely. The density and probabilistic regression tasks are currently in the early stages of development. The current main features of mlr3proba are:

  • The added TaskSurv, LearnerSurv, PredictionSurv for survival analysis
  • 17 survival learners, and 21 survival measures, including efficient implementations of censoring-adjusted probabilistic measures, such as the Integrated Graf (or Brier) Score.
  • PipeOps integrated with mlr3pipelines for composition of probability distributions from linear predictors

Future Plans

  • Add TaskDensity, PredictionDensity, LearnerDensity, and associated learners/measures
  • Add prob predict type to TaskRegr, and associated learners/measures
  • Allow MeasureSurv to return measures at multiple time-points simultaneously
  • Improve estimation of integrated scores, and re-implement survAUC scores in mlr3proba
  • Continue to add survival measures and learners

Bugs, Questions, Feedback

mlr3proba is a free and open source software project that encourages participation and feedback. If you have any issues, questions, suggestions or feedback, please do not hesitate to open an “issue” about it on the GitHub page!

In case of problems / bugs, it is often helpful if you provide a “minimum working example” that showcases the behaviour (but don’t worry about this if the bug is obvious).

Please understand that the resources of the project are limited: response may sometimes be delayed by a few days, and some feature suggestions may be rejected if they are deemed too tangential to the vision behind the project.

Similar Projects

A predecessor to this package is mlr, using the survival task. Several packages exist for pure Bayesian probabilistic modelling, including jags and stan. For implementation of a few survival models and measures, the largest package is survival. There does not appear to be a package that implements many different variants of density estimation, but see this list for the biggest density estimation packages in R.