As we have seen, every estimator exposes a score
method that can judge the quality of the fit (or the prediction) on new data. Bigger is better.
>>> from sklearn import datasets, svm >>> digits = datasets.load_digits() >>> X_digits = digits.data >>> y_digits = digits.target >>> svc = svm.SVC(C=1, kernel='linear') >>> svc.fit(X_digits[:100], y_digits[:100]).score(X_digits[100:], y_digits[100:]) 0.97999999999999998
To get a better measure of prediction accuracy (which we can use as a proxy for goodness of fit of the model), we can successively split the data in folds that we use for training and testing:
>>> import numpy as np >>> X_folds = np.array_split(X_digits, 3) >>> y_folds = np.array_split(y_digits, 3) >>> scores = list() >>> for k in range(3): ... # We use 'list' to copy, in order to 'pop' later on ... X_train = list(X_folds) ... X_test = X_train.pop(k) ... X_train = np.concatenate(X_train) ... y_train = list(y_folds) ... y_test = y_train.pop(k) ... y_train = np.concatenate(y_train) ... scores.append(svc.fit(X_train, y_train).score(X_test, y_test)) >>> print(scores) [0.93489148580968284, 0.95659432387312182, 0.93989983305509184]
This is called a KFold
crossvalidation.
Scikitlearn has a collection of classes which can be used to generate lists of train/test indices for popular crossvalidation strategies.
They expose a split
method which accepts the input dataset to be split and yields the train/test set indices for each iteration of the chosen crossvalidation strategy.
This example shows an example usage of the split
method.
>>> from sklearn.model_selection import KFold, cross_val_score >>> X = ["a", "a", "b", "c", "c", "c"] >>> k_fold = KFold(n_splits=3) >>> for train_indices, test_indices in k_fold.split(X): ... print('Train: %s  test: %s' % (train_indices, test_indices)) Train: [2 3 4 5]  test: [0 1] Train: [0 1 4 5]  test: [2 3] Train: [0 1 2 3]  test: [4 5]
The crossvalidation can then be performed easily:
>>> [svc.fit(X_digits[train], y_digits[train]).score(X_digits[test], y_digits[test]) ... for train, test in k_fold.split(X_digits)] [0.93489148580968284, 0.95659432387312182, 0.93989983305509184]
The crossvalidation score can be directly calculated using the cross_val_score
helper. Given an estimator, the crossvalidation object and the input dataset, the cross_val_score
splits the data repeatedly into a training and a testing set, trains the estimator using the training set and computes the scores based on the testing set for each iteration of crossvalidation.
By default the estimator’s score
method is used to compute the individual scores.
Refer the metrics module to learn more on the available scoring methods.
>>> cross_val_score(svc, X_digits, y_digits, cv=k_fold, n_jobs=1) array([ 0.93489149, 0.95659432, 0.93989983])
n_jobs=1
means that the computation will be dispatched on all the CPUs of the computer.
Alternatively, the scoring
argument can be provided to specify an alternative scoring method.
>>> cross_val_score(svc, X_digits, y_digits, cv=k_fold, ... scoring='precision_macro') array([ 0.93969761, 0.95911415, 0.94041254])
Crossvalidation generators
KFold (n_splits, shuffle, random_state)

StratifiedKFold (n_splits, shuffle, random_state)

GroupKFold (n_splits)

Splits it into K folds, trains on K1 and then tests on the leftout.  Same as KFold but preserves the class distribution within each fold.  Ensures that the same group is not in both testing and training sets. 
ShuffleSplit (n_splits, test_size, train_size, random_state)
 StratifiedShuffleSplit  GroupShuffleSplit 
Generates train/test indices based on random permutation.  Same as shuffle split but preserves the class distribution within each iteration.  Ensures that the same group is not in both testing and training sets. 
LeaveOneGroupOut ()

LeavePGroupsOut (n_groups)

LeaveOneOut ()

Takes a group array to group observations.  Leave P groups out.  Leave one observation out. 
LeavePOut (p)
 PredefinedSplit 
Leave P observations out.  Generates train/test indices based on predefined splits. 
Exercise
On the digits dataset, plot the crossvalidation score of a SVC
estimator with an linear kernel as a function of parameter C
(use a logarithmic grid of points, from 1 to 10).
import numpy as np from sklearn.model_selection import cross_val_score from sklearn import datasets, svm digits = datasets.load_digits() X = digits.data y = digits.target svc = svm.SVC(kernel='linear') C_s = np.logspace(10, 0, 10)
scikitlearn provides an object that, given data, computes the score during the fit of an estimator on a parameter grid and chooses the parameters to maximize the crossvalidation score. This object takes an estimator during the construction and exposes an estimator API:
>>> from sklearn.model_selection import GridSearchCV, cross_val_score >>> Cs = np.logspace(6, 1, 10) >>> clf = GridSearchCV(estimator=svc, param_grid=dict(C=Cs), ... n_jobs=1) >>> clf.fit(X_digits[:1000], y_digits[:1000]) GridSearchCV(cv=None,... >>> clf.best_score_ 0.925... >>> clf.best_estimator_.C 0.0077... >>> # Prediction performance on test set is not as good as on train set >>> clf.score(X_digits[1000:], y_digits[1000:]) 0.943...
By default, the GridSearchCV
uses a 3fold crossvalidation. However, if it detects that a classifier is passed, rather than a regressor, it uses a stratified 3fold.
Nested crossvalidation
>>> cross_val_score(clf, X_digits, y_digits) ... array([ 0.938..., 0.963..., 0.944...])
Two crossvalidation loops are performed in parallel: one by the GridSearchCV
estimator to set gamma
and the other one by cross_val_score
to measure the prediction performance of the estimator. The resulting scores are unbiased estimates of the prediction score on new data.
Warning
You cannot nest objects with parallel computing (n_jobs
different than 1).
Crossvalidation to set a parameter can be done more efficiently on an algorithmbyalgorithm basis. This is why, for certain estimators, scikitlearn exposes Crossvalidation: evaluating estimator performance estimators that set their parameter automatically by crossvalidation:
>>> from sklearn import linear_model, datasets >>> lasso = linear_model.LassoCV() >>> diabetes = datasets.load_diabetes() >>> X_diabetes = diabetes.data >>> y_diabetes = diabetes.target >>> lasso.fit(X_diabetes, y_diabetes) LassoCV(alphas=None, copy_X=True, cv=None, eps=0.001, fit_intercept=True, max_iter=1000, n_alphas=100, n_jobs=1, normalize=False, positive=False, precompute='auto', random_state=None, selection='cyclic', tol=0.0001, verbose=False) >>> # The estimator chose automatically its lambda: >>> lasso.alpha_ 0.01229...
These estimators are called similarly to their counterparts, with ‘CV’ appended to their name.
Exercise
On the diabetes dataset, find the optimal regularization parameter alpha.
Bonus: How much can you trust the selection of alpha?
from sklearn import datasets from sklearn.linear_model import LassoCV from sklearn.linear_model import Lasso from sklearn.model_selection import KFold from sklearn.model_selection import GridSearchCV diabetes = datasets.load_diabetes()
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