Three fast AUC calculation implementations for python:
python-based is approximately 8X faster than the default sklearn.metrics.roc_auc_score()
Python numba based is approximately 26X faster than the default sklearn.metrics.roc_auc_score()
C++/ctypes based is approximately 37X faster than the default sklearn.metrics.roc_auc_score()
10 000 AUC calculations total time:
NB: run cd fastauc && ./compile.sh to create a binary before you use a C++ version.
See demo.py for speed benchmark and usage examples.
