2017年11月10日 星期五

k-fold cross-validation


    #另一種方法做cross validation, 若validation data從training data拿,則training sample 就會少了..
    #使用 k-fold cross-validation 可以解決此問題
   scores=cross_val_score(dct, Xtrain, ytrain, cv=5)
   print(scores.mean())




However, by partitioning the available data into three sets, we drastically reduce the number of samples which can be used for learning the model, and the results can depend on a particular random choice for the pair of (train, validation) sets.
A solution to this problem is a procedure called cross-validation (CV for short). A test set should still be held out for final evaluation, but the validation set is no longer needed when doing CV. In the basic approach, called k-fold CV, the training set is split into k smaller sets (other approaches are described below, but generally follow the same principles). The following procedure is followed for each of the k “folds”:
  • A model is trained using k-1 of the folds as training data;
  • the resulting model is validated on the remaining part of the data (i.e., it is used as a test set to compute a performance measure such as accuracy).
The performance measure reported by k-fold cross-validation is then the average of the values computed in the loop. This approach can be computationally expensive, but does not waste too much data (as it is the case when fixing an arbitrary test set), which is a major advantage in problem such as inverse inference where the number of samples is very small.

https://goo.gl/xVQ1r8

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