I'm performing my own nonparametric regression in matlab and I'm wondering to switch one nuance of my methodology:
split Training/test set (i.e. 80/20 %)
search the best gamma hyperparameter in the training set: I have one loop to do a gridsearch with crossvalidation(leave-one out) along different values of gamma. Inside every loop I perform the most expensive part "the minimization problem" with CVX (sdpt3 solver), after that every forecast is stored in a matrix with their respectiv (parameter, MAE value)
the previous step repeated in the test set.
Once I have both matrix results with the MAE and gamma I analyze results.
So, I have to wait hours to get results, i noticed that there are two facts to improve:
- the loop system to find the best parameter.
- the minimization problem with cvx package(SDPT3 solver the only that works as I want)