Cost-Sensitive Learning
Overview
Cost-sensitive learning studies how models should change their predictions when some mistakes or actions are more costly than others. Common approaches reweight examples or losses, adapt penalties to instance difficulty or error severity, and optimize decisions such as test acquisition, abstention, or expert referral. These methods are used in settings including imbalanced classification, medical diagnosis, fraud detection, forecasting, and sequential decision-making, where errors and resources have unequal consequences. A central challenge is specifying costs that reflect real priorities: emphasizing costly cases can reduce rare severe errors, but may trade off performance elsewhere, and lower error costs do not always mean better ranking or calibration.
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