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%matplotlib nbagg
import matplotlib.pyplot as plt
import numpy as np

Cross-Validation



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from sklearn.datasets import load_iris



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iris = load_iris()
X = iris.data
y = iris.target



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from sklearn.cross_validation import cross_val_score
from sklearn.svm import LinearSVC



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cross_val_score(LinearSVC(), X, y, cv=5)



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cross_val_score(LinearSVC(), X, y, cv=5, scoring="f1_macro")

Let's go to a binary task for a moment



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y % 2



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cross_val_score(LinearSVC(), X, y % 2)



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cross_val_score(LinearSVC(), X, y % 2, scoring="average_precision")



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cross_val_score(LinearSVC(), X, y % 2, scoring="roc_auc")



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from sklearn.metrics.scorer import SCORERS
print(SCORERS.keys())

Implementing your own scoring metric:



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def my_accuracy_scoring(est, X, y):
    return np.mean(est.predict(X) == y)

cross_val_score(LinearSVC(), X, y, scoring=my_accuracy_scoring)



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def my_super_scoring(est, X, y):
    return np.mean(est.predict(X) == y) - np.mean(est.coef_ != 0)



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from sklearn.grid_search import GridSearchCV

y = iris.target
grid = GridSearchCV(LinearSVC(C=.01, dual=False),
                    param_grid={'penalty' : ['l1', 'l2']},
                    scoring=my_super_scoring)
grid.fit(X, y)
print(grid.best_params_)

There are other ways to do cross-valiation



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from sklearn.cross_validation import ShuffleSplit

shuffle_split = ShuffleSplit(len(X), 10, test_size=.4)
cross_val_score(LinearSVC(), X, y, cv=shuffle_split)



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from sklearn.cross_validation import StratifiedKFold, KFold, ShuffleSplit

def plot_cv(cv, n_samples):
    masks = []
    for train, test in cv:
        mask = np.zeros(n_samples, dtype=bool)
        mask[test] = 1
        masks.append(mask)
    plt.matshow(masks)



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plot_cv(StratifiedKFold(y, n_folds=5), len(y))



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plot_cv(KFold(len(iris.target), n_folds=5), len(iris.target))



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plot_cv(ShuffleSplit(len(iris.target), n_iter=20, test_size=.2), 
        len(iris.target))

Exercises

Use KFold cross validation and StratifiedKFold cross validation (3 or 5 folds) for LinearSVC on the iris dataset. Why are the results so different? How could you get more similar results?



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# %load solutions/cross_validation_iris.py