.. _model_selection_tut:
============================================================
Model selection: choosing estimators and their parameters
============================================================
Score, and cross-validated scores
==================================
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
>>> X_digits, y_digits = datasets.load_digits(return_X_y=True)
>>> svc = svm.SVC(C=1, kernel='linear')
>>> svc.fit(X_digits[:-100], y_digits[:-100]).score(X_digits[-100:], y_digits[-100:])
0.98
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)
[0.934..., 0.956..., 0.939...]
.. currentmodule:: sklearn.model_selection
This is called a :class:`KFold` cross-validation.
.. _cv_generators_tut:
Cross-validation generators
=============================
Scikit-learn has a collection of classes which can be used to generate lists of
train/test indices for popular cross-validation 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 cross-validation strategy.
This example shows an example usage of the ``split`` method.
>>> from sklearn.model_selection import KFold, cross_val_score
>>> X = ["a", "a", "a", "b", "b", "c", "c", "c", "c", "c"]
>>> k_fold = KFold(n_splits=5)
>>> for train_indices, test_indices in k_fold.split(X):
... print('Train: %s | test: %s' % (train_indices, test_indices))
Train: [2 3 4 5 6 7 8 9] | test: [0 1]
Train: [0 1 4 5 6 7 8 9] | test: [2 3]
Train: [0 1 2 3 6 7 8 9] | test: [4 5]
Train: [0 1 2 3 4 5 8 9] | test: [6 7]
Train: [0 1 2 3 4 5 6 7] | test: [8 9]
The cross-validation 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)]
[0.963..., 0.922..., 0.963..., 0.963..., 0.930...]
The cross-validation score can be directly calculated using the
:func:`cross_val_score` helper. Given an estimator, the cross-validation object
and the input dataset, the :func:`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 cross-validation.
By default the estimator's ``score`` method is used to compute the individual scores.
Refer the :ref:`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([0.96388889, 0.92222222, 0.9637883 , 0.9637883 , 0.93036212])
`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([0.96578289, 0.92708922, 0.96681476, 0.96362897, 0.93192644])
**Cross-validation generators**
.. list-table::
*
- :class:`KFold` **(n_splits, shuffle, random_state)**
- :class:`StratifiedKFold` **(n_splits, shuffle, random_state)**
- :class:`GroupKFold` **(n_splits)**
*
- Splits it into K folds, trains on K-1 and then tests on the left-out.
- Same as K-Fold but preserves the class distribution within each fold.
- Ensures that the same group is not in both testing and training sets.
.. list-table::
*
- :class:`ShuffleSplit` **(n_splits, test_size, train_size, random_state)**
- :class:`StratifiedShuffleSplit`
- :class:`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.
.. list-table::
*
- :class:`LeaveOneGroupOut` **()**
- :class:`LeavePGroupsOut` **(n_groups)**
- :class:`LeaveOneOut` **()**
*
- Takes a group array to group observations.
- Leave P groups out.
- Leave one observation out.
.. list-table::
*
- :class:`LeavePOut` **(p)**
- :class:`PredefinedSplit`
*
- Leave P observations out.
- Generates train/test indices based on predefined splits.
.. currentmodule:: sklearn.svm
.. topic:: **Exercise**
On the digits dataset, plot the cross-validation score of a :class:`SVC`
estimator with an linear kernel as a function of parameter ``C`` (use a
logarithmic grid of points, from 1 to 10).
.. literalinclude:: ../../auto_examples/exercises/plot_cv_digits.py
:lines: 13-23
.. image:: /auto_examples/exercises/images/sphx_glr_plot_cv_digits_001.png
:target: ../../auto_examples/exercises/plot_cv_digits.html
:align: center
:scale: 90
**Solution:** :ref:`sphx_glr_auto_examples_exercises_plot_cv_digits.py`
Grid-search and cross-validated estimators
============================================
Grid-search
-------------
.. currentmodule:: sklearn.model_selection
scikit-learn 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 cross-validation 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]) # doctest: +SKIP
GridSearchCV(cv=None,...
>>> clf.best_score_ # doctest: +SKIP
0.925...
>>> clf.best_estimator_.C # doctest: +SKIP
0.0077...
>>> # Prediction performance on test set is not as good as on train set
>>> clf.score(X_digits[1000:], y_digits[1000:]) # doctest: +SKIP
0.943...
By default, the :class:`GridSearchCV` uses a 5-fold cross-validation. However,
if it detects that a classifier is passed, rather than a regressor, it uses
a stratified 5-fold.
.. topic:: Nested cross-validation
::
>>> cross_val_score(clf, X_digits, y_digits) # doctest: +SKIP
array([0.938..., 0.963..., 0.944...])
Two cross-validation loops are performed in parallel: one by the
:class:`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).
.. _cv_estimators_tut:
Cross-validated estimators
----------------------------
Cross-validation to set a parameter can be done more efficiently on an
algorithm-by-algorithm basis. This is why, for certain estimators,
scikit-learn exposes :ref:`cross_validation` estimators that set their
parameter automatically by cross-validation::
>>> from sklearn import linear_model, datasets
>>> lasso = linear_model.LassoCV()
>>> X_diabetes, y_diabetes = datasets.load_diabetes(return_X_y=True)
>>> lasso.fit(X_diabetes, y_diabetes)
LassoCV()
>>> # The estimator chose automatically its lambda:
>>> lasso.alpha_
0.00375...
These estimators are called similarly to their counterparts, with 'CV'
appended to their name.
.. topic:: **Exercise**
On the diabetes dataset, find the optimal regularization parameter
alpha.
**Bonus**: How much can you trust the selection of alpha?
.. literalinclude:: ../../auto_examples/exercises/plot_cv_diabetes.py
:lines: 17-24
**Solution:** :ref:`sphx_glr_auto_examples_exercises_plot_cv_diabetes.py`