1
$\begingroup$

I am using support vector machines and the rbf kernel to learn.

I would like to split my training data where 80% is the training set and 20% is the validation set.

Then I would like to apply a grid search and at the same time 5 fold validation.

Right now I am doing the following:

digits, labels = load_data()
Ccand = [np.power(2.0,i) for i in range(-5, 16)]
GammaCand = [np.power(2.0,i) for i in range(-10, -5)]

param_grid = [
        {'C': Ccand, 'gamma': GammaCand, 'kernel': ['rbf']}
]

digits_train, digits_test, labels_train, labels_test = train_test_split(
    digits, labels, test_size=0.2, random_state=0)

svr = svm.SVC()

clf = GridSearchCV(svr, param_grid, cv=5,verbose=10)
clf.fit(digits_train, labels_train)

I am not sure what will the above code do. The first line printed is:

Fitting 5 folds for each of 105 candidates, totalling 525 fits

the 105 candidates come from the different parameter combinations. What about the 5 folds? How are they generated? I initially pick at random 80% of my data to be training, and 20% to be validation set. So I imagine one of the folds would be the first split I generate with train_test_split. What about the rest of the 4 folds? Is it using exactly the same split, so basically not doing cross validation, or will it automatically pick a new random split defined exactly as in the train_test_split function?

$\endgroup$
0
$\begingroup$

Unless I am mistaken, at the moment you are using the 5 fold cross-validation and the gridsearch for your parameters on your initial training set, so the 80% that was randomly sampled in the beginning, but you are not using the test set at all. At every iteration of the grid search, you are using 4/5 of those 80% of your data (i.e. 64%) to train your SVM and 1/5 of those 80% of your data (i.e. 16%) to test it.

As a last step you should probably use the remaining 20% to evaluate the parameters that you found with the GridSearch.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.