Using machine learning metrics to provide deeper insights into the performance of choice models

RESUMO

Machine learning (ML) techniques are increasingly drawing interest in the choice modelling (CM) field. The focus has primarily been on comparing the performance of these contrasting approaches or on improving behavioural insights for ML techniques, rather than translating ideas from one field into the other. In the present paper, we specifically focus on knowledge transfer from ML into CM in the context of model performance evaluation. In CM, model performance is typically evaluated using log-likelihood and related indicators, which are aggregate fit metrics that focus on overall fit. Conversely, in ML, the focus is on alternative-level misclassifications and correct classifications, which provide a more nuanced view of the results. To bridge these approaches, we explore the use of a probabilistic version of the confusion matrix, which reports the average probability of the model predicting each alternative, conditional on which alternative was observed to be chosen, across all choice tasks. This enables the computation of probabilistic ML metrics for both classic choice models and ML algorithms. We analyse model performance jointly in terms of overall fit and alternative-level predictions. Our findings demonstrate that models with similar log-likelihood can exhibit substantially different confusion matrices, revealing different probability patterns that aggregate metrics cannot capture. This framework identifies where models systematically `confuse' alternatives, highlighting trade-offs between alternatives, and potentially guiding model specification. Furthermore, evaluating these matrices and metrics out-of-sample reveals alternative-level prediction shifts that significantly impact forecasting performance.