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Cross-Validation and Hyper-Parameter Tuning - Summary

Cross-Validation and Hyper-Parameter Tuning - Summary

Kirill Mishchenko, 20 August 2017

My GSoC project can be summarized in the following PRs.

Cross-validation module

During the summer I have implemented two cross-validation strategies. The first one is simple: it splits data into two sets - training and validation sets - and then runs training on the training set and evaluates performance on the validation set. The second cross-validation strategy is k-fold cross-validation.

The cross-validation module has the following features.

  1. Data preparation happens only once when a cross-validation object is constructed.
  2. In many cases you don't need to be explicit about data of what types you are going to pass: the developed meta-programming tools are used to deduce types for storing data by inspecting machine learning algorithms you specify. It also allows you to pass objects that can be converted to the target types (e.g. objects of types that used by armadillo to store intermediate results).
  3. The interface is designed in the way that you first pass common (among machine learning algorithms implemented in mlpack) constructor parameters including data, number of classes, and information about dimensions (datasetInfo). During this step your compiler will check whether the specified machine learning algorithm accepts these parameters. If some check fails, a human-readable message will be printed.

Hyper-parameter tuning module

Another part of my GSoC project is a hyper-parameter tuning module. It lets you optimize hyper-parameters using one of the cross-validation strategies in couple with one of the metrics as objective.

The implemented module has the following features.

  1. It has the same interface for constructors as in the cross-validation module, and all features mentioned for the cross-validation module about construction are applied here too.
  2. What strategy to use during optimization is specified by a user. By now support for two strategies has been implemented. With the first strategy, GridSearch, users specify a set of values for each hyper-parameter they want to optimize. The second strategy, GradientDescent, uses numerically calculated gradients of functions based on cross-validation to optimize real-valued hyper-parameters.
  3. If some hyper-parameter should not be optimized, it can be marked with the Fixed function.

Metrics

I have implemented different metrics that can be used for cross-validation and hyper-parameter tuning. These include accuracy, mean squared error, precision, recall, and F1.

Acknowledgment

I thank Ryan Curtin for his mentorship during the summer and for his passion to provide deep and thoughtful responses to my works. I also want to thank Marcus Edel for his reviews and for being responsive to my general questions about mlpack.