How to get both MSE and R2 from a sklearn GridSearchCV? I can use a GridSearchCV on a pipeline and specify scoring to either be 'MSE' or 'R2'. I can then access gridsearchcv._best_score to recover the one I specified. How do I also get the other score for the solution found by GridSearchCV? 
If I run GridSearchCV again with the other scoring parameter, it might not find the same solution, and so the score it reports might not correspond to the same model as the one for which we have the first value. 
Maybe I can extract the parameters and supply them to a new pipeline, and then run cross_val_score with the new pipeline? Is there a better way? Thanks.
 A: You can for example create a scorer that computes MSE score and R2 score and choose which one you're gonna use in the GridSearch, however you will be able to see the two scores, if you insert a print in each score function.
Here is a starter code:
from sklearn.metrics import r2_score, mean_squared_error, make_scorer
from sklearn.grid_search import GridSearchCV
from sklearn.linear_model import Ridge

def MSE(y_true,y_pred):
    mse = mean_squared_error(y_true, y_pred)
    print 'MSE: %2.3f' % mse
    return mse

def R2(y_true,y_pred):    
     r2 = r2_score(y_true, y_pred)
     print 'R2: %2.3f' % r2
     return r2

def two_score(y_true,y_pred):    
    MSE(y_true,y_pred) #set score here and not below if using MSE in GridCV
    score = R2(y_true,y_pred)
    return score

def two_scorer():
    return make_scorer(two_score, greater_is_better=True) # change for false if using MSE

model = Ridge()
param_grid = {'alpha':[0.1,1,10]}
X_train = [[1,2],[1,5],[-3,2],[3,7],[-1,1],[0,-1]]
y_train = [1,0,1,0,3,5]
grid = GridSearchCV(model, param_grid, scoring=two_scorer())

grid.fit(X_train, y_train)
best_params = grid.best_params_
model = grid.best_estimator_
score = grid.best_score_
for item in grid.grid_scores_:
    print "\t%s %s %s" % ('\tGRIDSCORES\t',  "R" , item)
print '%s\tHP\t%s\t%f' % ("R" , str(best_params) ,abs(score))

And it's the output:
MSE: 2.376
R2: -8.506
MSE: 6.246
R2: -23.985
MSE: 7.304
R2: -6.304
MSE: 2.226
R2: -7.904
MSE: 5.058
R2: -19.230
MSE: 7.755
R2: -6.755
MSE: 1.786
R2: -6.144
MSE: 1.776
R2: -6.104
MSE: 9.660
R2: -8.660
                GRIDSCORES   R mean: -12.93166, std: 7.86753, params: {'alpha': 0.1}
                GRIDSCORES   R mean: -11.29644, std: 5.62964, params: {'alpha': 1}
                GRIDSCORES   R mean: -6.96916, std: 1.19536, params: {'alpha': 10}
R   HP  {'alpha': 10}   6.969163

