From dd476e08897b408a7120d5f091a686657aee77ec Mon Sep 17 00:00:00 2001
From: "Adam Hoelscher, ASA, MAAA" <adam.hoelscher@gmail.com>
Date: Thu, 28 Jun 2018 09:37:11 -0700
Subject: [PATCH] Refactor auc to avoid multiplication

Multiplying n_pos and n_neg can result in integer overflow. A little algebraic manipulation can avoid the multiplication, removing the possibility of overflow.
---
 R/R/metrics.r | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/R/R/metrics.r b/R/R/metrics.r
index 3d8ad57..67388bb 100644
--- a/R/R/metrics.r
+++ b/R/R/metrics.r
@@ -123,7 +123,7 @@ auc <- function(actual, predicted)
     r <- rank(predicted)
     n_pos <- sum(actual==1)
     n_neg <- length(actual) - n_pos
-    auc <- (sum(r[actual==1]) - n_pos*(n_pos+1)/2) / (n_pos*n_neg)
+    auc <- sum(r[actual==1])/n_pos/n_neg - (n_pos+1)/2/n_neg
     auc
 }