OptHoldoutSize: an R package for estimating the optimal holdout set size for a predictive risk score to be deployed in a population.

This R package implements procedures for estimating an ‘optimal holdout size’ for a predictive score in order for it to be safely updated. Procedures are detailed in the manuscript ‘Optimal sizing of a holdout set for safe predictive model updating’ by Sami Haidar-Wehbe, Samuel R. Emerson, Louis J. M. Aslett, and James Liley.

When a predictive risk score for binary outcome \(Y\) given covariates \(X\) is deployed in a population, it may be used to guide interventions so as to avoid \(Y\). This makes it difficult to update the predictive score safely, since \(X\) can influence incidence of \(Y\) in two ways: through the system being modelled, or through the predictive score itself.

A simple way to safely update a predictive is to with-hold calculation of the risk score for a proportion of the population maintained as a ‘holdout’ set. The predictive score can then be updated using data \(X\), \(Y\) from this holdout set. A question naturally arises over how large this hold-out set should be: too small, and a new predictive score cannot be trained sufficiently accurately; too large, and too many members of the population miss out on potential benefits of the risk score.

To download and install this package, use


For examples demonstrating use of this package, see vignettes simulated_example and ASPRE_example. For a comparison of the two major algorithms implemented in this package, see vignette comparison_of_algorithms.