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Binary classification rules based on covariates typically depend on simple loss functions such as zero‐one misclassification. Some cases may require more complex loss functions. For example, individual‐level monitoring of HIV‐infected individuals on antiretroviral therapy requires periodic assessment of treatment failure, defined as having a viral load (VL) value above a certain threshold. In some resource limited settings, VL tests may be limited by cost or technology, and diagnoses are based on other clinical markers. Depending on scenario, higher premium may be placed on avoiding false‐positives, which brings greater cost and reduced treatment options. Here, the optimal rule is determined by minimizing a weighted misclassification loss/risk. We propose a method for finding and cross‐validating optimal binary classification rules under weighted misclassification loss. We focus on rules comprising a prediction score and an associated threshold, where the score is derived using an ensemble learner. Simulations and examples show that our method, which derives the score and threshold jointly, more accurately estimates overall risk and has better operating characteristics compared with methods that derive the score first and the cutoff conditionally on the score especially for finite samples.

Classification using ensemble learning under weighted misclassification loss