Loss function influence on hyperparameter optimization for observational healthcare prediction models

Objectives: 

Prediction models are increasingly used in healthcare for risk stratification and personalized care. Many models are developed using machine learning, which requires tuning hyperparameters to maximize performance based on a chosen loss function metric. In healthcare, the area under the receiver operating characteristic curve (AUROC) is commonly used for this purpose, but it may not always be the most appropriate choice for every clinical application. We empirically characterize whether the choice of loss function metric in hyperparameter optimization leads to systematic differences in model behavior across several clinical prediction tasks using real-world healthcare data. 

Methods: 

We utilized fifteen different loss function metrics to guide hyperparameter selection across three clinical prediction tasks and four machine learning algorithms. We then compared how loss function metric choice affected selected hyperparameters, overall performance, and individual predicted probabilities. 

Results:

We observed that certain hyperparameters tended to have similar optimal values across different loss function metrics, although this pattern differed by algorithm. The best-performing models, evaluated using AUROC, were often not the models with hyperparameters optimized using AUROC. While models performed similarly at a population level, based on discrimination and calibration. The choice of the loss function metric had significant impact on the individual predicted risk for a patient. Discussion: The predictive multiplicity observed can have significant impact on the patient level, while not observed in the population level model evaluation. 

Conclusion: 

Predictive multiplicity can have a serious impact on patient treatment decisions but is not yet well understood.