Why when I use GridSearchCV with roc_auc scoring, the score is different for grid_search.score(X,y) and roc_auc_score(y, y_predict)?

I am using stratified 10-fold cross validation to find model that predicts y (binary outcome) from X (X has 34 labels) with the highest auc. I set the GridSearchCV:

log_reg = LogisticRegression()
parameter_grid = {'penalty' : ["l1", "l2"],'C': np.arange(0.1, 3, 0.1),}
cross_validation = StratifiedKFold(n_splits=10,shuffle=True,random_state=100)
grid_search = GridSearchCV(log_reg, param_grid = parameter_grid,scoring='roc_auc',
                          cv = cross_validation)

And then do the cross-validation:

grid_search.fit(X, y)
y_pr=grid_search.predict(X)

I do not understand the following: why grid_search.score(X,y) and roc_auc_score(y, y_pr) give different results (the former is 0.74 and the latter is 0.63)? Why do not these commands do the same thing in my case?

This is due to different initialization of roc_auc when used in GridSearchCV.

Look at the source code here

roc_auc_scorer = make_scorer(roc_auc_score, greater_is_better=True,
                             needs_threshold=True)

Observe the third parameter needs_threshold. When true, it will require the continous values for y_pred such as probabilities or confidence scores which in gridsearch will be calculated from log_reg.decision_function().

When you explicitly call roc_auc_score with y_pr, you are using .predict() which will output the resultant predicted class labels of the data and not probabilities. That should account for the difference.

Try :

y_pr=grid_search.decision_function(X)
roc_auc_score(y, y_pr)

If still not same results, please update the question with complete code and some sample data.