Maximizing an ROC-type measure via linear combination of markers when the gold reference is continuous

Effectively combining many classification instruments or diagnostic measurements together to improve the classification accuracy of individuals is a common idea in disease diagnosis or classification. These ensemble-type diagnostic methods can be constructed with respect to different kinds of performance criterions. Among them, the receiver operating characteristic (ROC) curve is the most popular criterion, which, together with some indexes derived from it, is commonly used to evaluate and summarize the performance of a classification instrument, such as a biomarker or a classifier. However, the usefulness of ROC curve and its related indexes relies on the existence of a binary label for each individual subject. In many disease diagnosis situations, such a binary variable may not exist, but only the continuous measurement of the true disease status is available. This true disease status is often referred to as the 'gold standard'. The modified area under ROC curve (AUC)-type measure defined by Obuchowski is a method proposed to accommodate such a situation. However, there is still no method for finding the optimal combination of diagnostic measurements, with respect to such an index, to have better diagnostic power than that of each individual measurement. In this paper, we propose an algorithm for finding the optimal combination with respect to such an extended AUC-type measure such that the combined measurement can have more diagnostic power. We illustrate the performance of our algorithm by using some synthesized data and a diabetes data set.