Model Evaluation, Model Selection, and Algorithm Selection in Machine Learning

Auteurs : Sebastian Raschka

Soumis à arXiv le 13 Nov. 2018
Résumé scientifique

The correct use of model evaluation, model selection, and algorithm selection techniques is vital in academic machine learning research as well as in many industrial settings. This article reviews different techniques that can be used for each of these three subtasks and discusses the main advantages and disadvantages of each technique with references to theoretical and empirical studies. Further, recommendations are given to encourage best yet feasible practices in research and applications of machine learning. Common methods such as the holdout method for model evaluation and selection are covered, which are not recommended when working with small datasets. Different flavors of the bootstrap technique are introduced for estimating the uncertainty of performance estimates, as an alternative to confidence intervals via normal approximation if bootstrapping is computationally feasible. Common cross-validation techniques such as leave-one-out cross-validation and k-fold cross-validation are reviewed, the bias-variance trade-off for choosing k is discussed, and practical tips for the optimal choice of k are given based on empirical evidence. Different statistical tests for algorithm comparisons are presented, and strategies for dealing with multiple comparisons such as omnibus tests and multiple-comparison corrections are discussed. Finally, alternative methods for algorithm selection, such as the combined F-test 5x2 cross-validation and nested cross-validation, are recommended for comparing machine learning algorithms when datasets are small.

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Les travaux antérieurs sur lesquels il s’appuie

  1. Apparenté
    Bias in error estimation when using cross-validation for model selection
    Sudhir Varma, R. Simon · 2006 · BMC Bioinformatics · cité 2 523 fois · Pas encore résumé
    Résumé scientifique

    BackgroundCross-validation (CV) is an effective method for estimating the prediction error of a classifier. Some recent articles have proposed methods for optimizing classifiers by choosing classifier parameter values that minimize the CV error estimate. We have evaluated the validity of using the CV error estimate of the optimized classifier as an estimate of the true error expected on independent data.ResultsWe used CV to optimize the classification parameters for two kinds of classifiers; Shrunken Centroids and Support Vector Machines (SVM). Random training datasets were created, with no difference in the distribution of the features between the two classes. Using these "null" datasets, w…

  2. Apparenté*
    Approximate Statistical Tests for Comparing Supervised Classification Learning Algorithms
    Thomas G. Dietterich · 1998 · Neural Computation · cité 4 342 fois · Pas encore résumé
  3. Apparenté
    Cross‐validation failure: Small sample sizes lead to large error bars
    G. Varoquaux · 2017 · NeuroImage · cité 903 fois · Pas encore résumé
    Résumé scientifique

    ABSTRACT Predictive models ground many state‐of‐the‐art developments in statistical brain image analysis: decoding, MVPA, searchlight, or extraction of biomarkers. The principled approach to establish their validity and usefulness is cross‐validation, testing prediction on unseen data. Here, I would like to raise awareness on error bars of cross‐validation, which are often underestimated. Simple experiments show that sample sizes of many neuroimaging studies inherently lead to large error bars, eg Symbol for 100 samples. The standard error across folds strongly underestimates them. These large error bars compromise the reliability of conclusions drawn with predictive models, such as biomarke…

  4. Apparenté
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    Fabian Pedregosa, G. Varoquaux, Alexandre Gramfort et al. · 2011 · Journal of machine learning research · cité 97 935 fois · Pas encore résumé
    Résumé scientifique

    Scikit-learn is a Python module integrating a wide range of state-of-the-art machine learning algorithms for medium-scale supervised and unsupervised problems. This package focuses on bringing machine learning to non-specialists using a general-purpose high-level language. Emphasis is put on ease of use, performance, documentation, and API consistency. It has minimal dependencies and is distributed under the simplified BSD license, encouraging its use in both academic and commercial settings. Source code, binaries, and documentation can be downloaded from http://scikit-learn.sourceforge.net.

  5. Apparenté* Une méthode qu’il utilise
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