Calculate sklearn.roc_auc_score for multi-class
<p>I would like to calculate AUC, precision, accuracy for my classifier.
I am doing supervised learning:</p>

<p>Here is my working code.
This code is working fine for binary class, but not for multi class. 
Please assume that you have a dataframe with binary classes:</p>

<pre><code>sample_features_dataframe = self._get_sample_features_dataframe()
labeled_sample_features_dataframe = retrieve_labeled_sample_dataframe(sample_features_dataframe)
labeled_sample_features_dataframe, binary_class_series, multi_class_series = self._prepare_dataframe_for_learning(labeled_sample_features_dataframe)

k = 10
k_folds = StratifiedKFold(binary_class_series, k)
for train_indexes, test_indexes in k_folds:
    train_set_dataframe = labeled_sample_features_dataframe.loc[train_indexes.tolist()]
    test_set_dataframe = labeled_sample_features_dataframe.loc[test_indexes.tolist()]

    train_class = binary_class_series[train_indexes]
    test_class = binary_class_series[test_indexes]
    selected_classifier = RandomForestClassifier(n_estimators=100)
    selected_classifier.fit(train_set_dataframe, train_class)
    predictions = selected_classifier.predict(test_set_dataframe)
    predictions_proba = selected_classifier.predict_proba(test_set_dataframe)

    roc += roc_auc_score(test_class, predictions_proba[:,1])
    accuracy += accuracy_score(test_class, predictions)
    recall += recall_score(test_class, predictions)
    precision += precision_score(test_class, predictions)
</code></pre>

<p>In the end I divided the results in K of course for getting average AUC, precision, etc. 
This code is working fine. 
However, I cannot calculate the same for multi class: </p>

<pre><code>    train_class = multi_class_series[train_indexes]
    test_class = multi_class_series[test_indexes]

    selected_classifier = RandomForestClassifier(n_estimators=100)
    selected_classifier.fit(train_set_dataframe, train_class)

    predictions = selected_classifier.predict(test_set_dataframe)
    predictions_proba = selected_classifier.predict_proba(test_set_dataframe)
</code></pre>

<p>I found that for multi class I have to add the parameter "weighted" for average.</p>

<pre><code>    roc += roc_auc_score(test_class, predictions_proba[:,1], average="weighted")
</code></pre>

<p>I got an error: raise ValueError("{0} format is not supported".format(y_type))</p>

<p>ValueError: multiclass format is not supported</p>