Related
I am a bit confusing with comparing best GridSearchCV model and baseline.
For example, we have classification problem.
As a baseline, we'll fit a model with default settings (let it be logistic regression):
from sklearn.linear_model import LogisticRegression
from sklearn.metrics import accuracy_score
baseline = LogisticRegression()
baseline.fit(X_train, y_train)
pred = baseline.predict(X_train)
print(accuracy_score(y_train, pred))
So, the baseline gives us accuracy using the whole train sample.
Next, GridSearchCV:
from sklearn.model_selection import cross_val_score, GridSearchCV, StratifiedKFold
X_val, X_test_val,y_val,y_test_val = train_test_split(X_train, y_train, test_size=0.3, random_state=42)
cv = StratifiedKFold(n_splits=5, random_state=0, shuffle=True)
parameters = [ ... ]
best_model = GridSearchCV(LogisticRegression(parameters,scoring='accuracy' ,cv=cv))
best_model.fit(X_val, y_val)
print(best_model.best_score_)
Here, we have accuracy based on validation sample.
My questions are:
Are those accuracy scores comparable? Generally, is it fair to compare GridSearchCV and model without any cross validation?
For the baseline, isn't it better to use Validation sample too (instead of the whole Train sample)?
No, they aren't comparable.
Your baseline model used X_train to fit the model. Then you're using the fitted model to score the X_train sample. This is like cheating because the model is going to already perform the best since you're evaluating it based on data that it has already seen.
The grid searched model is at a disadvantage because:
It's working with less data since you have split the X_train sample.
Compound that with the fact that it's getting trained with even less data due to the 5 folds (it's training with only 4/5 of X_val per fold).
So your score for the grid search is going to be worse than your baseline.
Now you might ask, "so what's the point of best_model.best_score_? Well, that score is used to compare all the models used when searching for the optimal hyperparameters in your search space, but in no way should be used to compare against a model that was trained outside of the grid search context.
So how should one go about conducting a fair comparison?
Split your training data for both models.
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.3, random_state=42)
Fit your models using X_train.
# fit baseline
baseline.fit(X_train, y_train)
# fit using grid search
best_model.fit(X_train, y_train)
Evaluate models against X_test.
# baseline
baseline_pred = baseline.predict(X_test)
print(accuracy_score(y_test, baseline_pred))
# grid search
grid_pred = best_model.predict(X_test)
print(accuracy_score(y_test, grid_pred))
Assume that I have 3 dataset in a ML problem.
train dataset: used to estimate ML model parameters (training)
test dataset: used to evaulate trained model, calculate accuracy of trained model
prediction dataset: used only for prediction after model deployment
I don't have evaluation dataset, and I use Grid Search with k-fold cross validation to find the best model.
Also, I have two python scripts as follows:
train.py: used to train and test ML model, load train and test dataset, save the trained model, best model is found by Grid Search.
predict.py: used to load pre-trained model & load prediction dataset, predict model output and calculate accuracy.
Before starting training process in train.py, I use MinMaxScaler as follows:
from sklearn.preprocessing import MinMaxScaler
scaler = MinMaxScaler()
scaler.fit(x_train) # fit only on train dataset
x_train_norm = scaler.transform(x_train)
x_test_norm = scaler.transform(x_test)
In predict.py, after loding prediction dataset, I need to use the same data pre-processing as below:
from sklearn.preprocessing import MinMaxScaler
scaler = MinMaxScaler()
scaler.fit(x_predict)
x_predict_norm = scaler.transform(x_predict)
As you can see above, both fit and transform are done on prediction dataset. However, in train.py, fit is done on train dataset, and the same MinMaxScaler is applied to transform test dataset.
My understanding is that test dataset is a simulation of real data that model is supposed to predict after deployment. Therefore, data pre-processing of test and prediction dataset should be the same.
I think separate MinMaxScaler should be used in train.py for train and test dataset as follows:
from sklearn.preprocessing import MinMaxScaler
scaler_train = MinMaxScaler()
scaler_test = MinMaxScaler()
scaler_train.fit(x_train) # fit only on train dataset
x_train_norm = scaler_train.transform(x_train)
scaler_test.fit(x_test) # fit only on test dataset
x_test_norm = scaler_test.transform(x_test)
What is the difference?
Value of x_test_norm will be different if I use separate MinMaxScaler as explained above. In this case, value of x_test_norm is in the range of [-1, 1]. However, If I transform test dataset by a MinMaxScaler which was fit by train dataset, value of x_test_norm can be outside the range of [-1, 1].
Please let me know your idea about it.
When you run .transform() MinMax scaling does something like: (value - min) / (Max - min) The value of min and Max are defined when you run .fit(). So the answer - yes, you should fit MinMaxScaller on the training dataset and then use it on the test dataset.
Just imagine the situation when in the training dataset you have some feature with Max=100 and min=10, while in the test dataset Max=10 and min=1. If you will train separate MinMaxScaller for test subset, yes, it will scale the feature in the range [-1, 1], but in comparison to the training dataset, the called values should be lower.
Also, regarding Grid Search with k-fold cross-validation, you should use the Pipeline. In this case, Grid Search will automatically fit MinMaxScaller on the k-1 folds. Here is a good example of how to organize pipeline with Mixed Types.
Data pre-processers such as StandardScaler should be used to fit_transform the train set and only transform (not fit) the test set. I expect the same fit/transform process applies to cross-validation for tuning the model. However, I found cross_val_score and GridSearchCV fit_transform the entire train set with the preprocessor (rather than fit_transform the inner_train set, and transform the inner_validation set). I believe this artificially removes the variance from the inner_validation set which makes the cv score (the metric used to select the best model by GridSearch) biased. Is this a concern or did I actually miss anything?
To demonstrate the above issue, I tried the following three simple test cases with the Breast Cancer Wisconsin (Diagnostic) Data Set from Kaggle.
I intentionally fit and transform the entire X with StandardScaler()
X_sc = StandardScaler().fit_transform(X)
lr = LogisticRegression(penalty='l2', random_state=42)
cross_val_score(lr, X_sc, y, cv=5)
I include SC and LR in the Pipeline and run cross_val_score
pipe = Pipeline([
('sc', StandardScaler()),
('lr', LogisticRegression(penalty='l2', random_state=42))
])
cross_val_score(pipe, X, y, cv=5)
Same as 2 but with GridSearchCV
pipe = Pipeline([
('sc', StandardScaler()),
('lr', LogisticRegression(random_state=42))
])
params = {
'lr__penalty': ['l2']
}
gs=GridSearchCV(pipe,
param_grid=params, cv=5).fit(X, y)
gs.cv_results_
They all produce the same validation scores.
[0.9826087 , 0.97391304, 0.97345133, 0.97345133, 0.99115044]
No, sklearn doesn't do fit_transform with entire dataset.
To check this, I subclassed StandardScaler to print the size of the dataset sent to it.
class StScaler(StandardScaler):
def fit_transform(self,X,y=None):
print(len(X))
return super().fit_transform(X,y)
If you now replace StandardScaler in your code, you'll see dataset size passed in first case is actually bigger.
But why does the accuracy remain exactly same? I think this is because LogisticRegression is not very sensitive to feature scale. If we instead use a classifier that is very sensitive to scale, like KNeighborsClassifier for example, you'll find accuracy between two cases start to vary.
X,y = load_breast_cancer(return_X_y=True)
X_sc = StScaler().fit_transform(X)
lr = KNeighborsClassifier(n_neighbors=1)
cross_val_score(lr, X_sc,y, cv=5)
Outputs:
569
[0.94782609 0.96521739 0.97345133 0.92920354 0.9380531 ]
And the 2nd case,
pipe = Pipeline([
('sc', StScaler()),
('lr', KNeighborsClassifier(n_neighbors=1))
])
print(cross_val_score(pipe, X, y, cv=5))
Outputs:
454
454
456
456
456
[0.95652174 0.97391304 0.97345133 0.92920354 0.9380531 ]
Not big change accuracy-wise, but change nonetheless.
Learning the parameters of a prediction function and testing it on the same data is a methodological mistake: a model that would just repeat the labels of the samples that it has just seen would have a perfect score but would fail to predict anything useful on yet-unseen data. This situation is called overfitting. To avoid it, it is common practice when performing a (supervised) machine learning experiment to hold out part of the available data as a test set X_test, y_test
A solution to this problem is a procedure called cross-validation (CV for short). A test set should still be held out for final evaluation, but the validation set is no longer needed when doing CV. In the basic approach, called k-fold CV, the training set is split into k smaller sets (other approaches are described below, but generally follow the same principles). The following procedure is followed for each of the k “folds”:
A model is trained using of the folds as training data;
the resulting model is validated on the remaining part of the data (i.e., it is used as a test set to compute a performance measure such as accuracy).
The performance measure reported by k-fold cross-validation is then the average of the values computed in the loop. This approach can be computationally expensive, but does not waste too much data (as is the case when fixing an arbitrary validation set), which is a major advantage in problems such as inverse inference where the number of samples is very small.
More over if your model is already biased from starting we have to make it balance by SMOTE /Oversampling of Less Target Variable/Under-sampling of High target variable.
I was testing some network architectures in Keras for classifying the MNIST dataset. I have implemented one that is similar to the LeNet.
I have seen that in the examples that I have found on the internet, there is a step of data normalization. For example:
X_train /= 255
I have performed a test without this normalization and I have seen that the performance (accuracy) of the network has decreased (keeping the same number of epochs). Why has this happened?
If I increase the number of epochs, the accuracy can reach the same level reached by the model trained with normalization?
So, the normalization affects the accuracy, or only the training speed?
The complete source code of my training script is below:
from keras.models import Sequential
from keras.layers.convolutional import Conv2D
from keras.layers.convolutional import MaxPooling2D
from keras.layers.core import Activation
from keras.layers.core import Flatten
from keras.layers.core import Dense
from keras.datasets import mnist
from keras.utils import np_utils
from keras.optimizers import SGD, RMSprop, Adam
import numpy as np
import matplotlib.pyplot as plt
from keras import backend as k
def build(input_shape, classes):
model = Sequential()
model.add(Conv2D(20, kernel_size=5, padding="same",activation='relu',input_shape=input_shape))
model.add(MaxPooling2D(pool_size=(2, 2), strides=(2, 2)))
model.add(Conv2D(50, kernel_size=5, padding="same", activation='relu'))
model.add(MaxPooling2D(pool_size=(2, 2), strides=(2, 2)))
model.add(Flatten())
model.add(Dense(500))
model.add(Activation("relu"))
model.add(Dense(classes))
model.add(Activation("softmax"))
return model
NB_EPOCH = 4 # number of epochs
BATCH_SIZE = 128 # size of the batch
VERBOSE = 1 # set the training phase as verbose
OPTIMIZER = Adam() # optimizer
VALIDATION_SPLIT=0.2 # percentage of the training data used for
evaluating the loss function
IMG_ROWS, IMG_COLS = 28, 28 # input image dimensions
NB_CLASSES = 10 # number of outputs = number of digits
INPUT_SHAPE = (1, IMG_ROWS, IMG_COLS) # shape of the input
(X_train, y_train), (X_test, y_test) = mnist.load_data()
k.set_image_dim_ordering("th")
X_train = X_train.astype('float32')
X_test = X_test.astype('float32')
X_train /= 255
X_test /= 255
X_train = X_train[:, np.newaxis, :, :]
X_test = X_test[:, np.newaxis, :, :]
print(X_train.shape[0], 'train samples')
print(X_test.shape[0], 'test samples')
y_train = np_utils.to_categorical(y_train, NB_CLASSES)
y_test = np_utils.to_categorical(y_test, NB_CLASSES)
model = build(input_shape=INPUT_SHAPE, classes=NB_CLASSES)
model.compile(loss="categorical_crossentropy",
optimizer=OPTIMIZER,metrics=["accuracy"])
history = model.fit(X_train, y_train, batch_size=BATCH_SIZE, epochs=NB_EPOCH, verbose=VERBOSE, validation_split=VALIDATION_SPLIT)
model.save("model2")
score = model.evaluate(X_test, y_test, verbose=VERBOSE)
print('Test accuracy:', score[1])
Normalization is a generic concept not limited only to deep learning or to Keras.
Why to normalize?
Let me take a simple logistic regression example which will be easy to understand and to explain normalization.
Assume we are trying to predict if a customer should be given loan or not. Among many available independent variables lets just consider Age and Income.
Let the equation be of the form:
Y = weight_1 * (Age) + weight_2 * (Income) + some_constant
Just for sake of explanation let Age be usually in range of [0,120] and let us assume Income in range of [10000, 100000]. The scale of Age and Income are very different. If you consider them as is then weights weight_1 and weight_2 may be assigned biased weights. weight_2 might bring more importance to Income as a feature than to what weight_1 brings importance to Age. To scale them to a common level, we can normalize them. For example, we can bring all the ages in range of [0,1] and all incomes in range of [0,1]. Now we can say that Age and Income are given equal importance as a feature.
Does Normalization always increase the accuracy?
Apparently, No. It is not necessary that normalization always increases accuracy. It may or might not, you never really know until you implement. Again it depends on at which stage in you training you apply normalization, on whether you apply normalization after every activation, etc.
As the range of the values of the features gets narrowed down to a particular range because of normalization, its easy to perform computations over a smaller range of values. So, usually the model gets trained a bit faster.
Regarding the number of epochs, accuracy usually increases with number of epochs provided that your model doesn't start over-fitting.
A very good explanation for Normalization/Standardization and related terms is here.
In a nutshell, normalization reduces the complexity of the problem your network is trying to solve. This can potentially increase the accuracy of your model and speed up the training. You bring the data on the same scale and reduce variance. None of the weights in the network are wasted on doing a normalization for you, meaning that they can be used more efficiently to solve the actual task at hand.
As #Shridhar R Kulkarni says, normalization is a general concept and doesn’t only apply to keras.
It’s often applied as part of data preparation for ML learning models to change numeric values in the dataset to fit a standard scale without distorting the differences in their ranges. As such, normalization enhances the cohesion of entity types within a model by reducing the probability of inconsistent data.
However, not every other dataset and use case requires normalization, it’s primarily necessary when features have different ranges. You may use when;
You want to improve your model’s convergence efficiency and make
optimization feasible
When you want to make training less sensitive to scale features, you can better
solve coefficients.
Want to improve analysis from multiple models.
Normalization is not recommended when;
-Using decision tree models or ensembles based on them
-Your data is not normally distributed- you may have to use other data pre-
processing techniques
-If your dataset comprises already scaled variables
In some cases, normalization can improve performance. However, it is not always necessary.
The critical thing is to understand your dataset and scenario first, then you’ll know whether you need it or not. Sometimes, you can experiment to see if it gives you good performance or not.
Check out deepchecks and see how to deal with important data-related checks you come across in ML.
For example, to check duplicated data in your set, you can use the following code detailed code
from deepchecks.checks.integrity.data_duplicates import DataDuplicates
from deepchecks.base import Dataset, Suite
from datetime import datetime
import pandas as pd
I think there are some issue with the convergence of the optimizer function too. Here i show a simple linear regression. Three examples:
First with an array with small values and it works as expected.
Second an array with bigger values and the loss function explodes toward infinity, suggesting the need to normalize. And at the end in model 3 the same array as case two but it has been normalized and we get convergence.
github colab enabled ipython notebook
I've use the MSE optimizer function i don't know if other optimizers suffer the same issues.
I'm implementing a Multilayer Perceptron in Keras and using scikit-learn to perform cross-validation. For this, I was inspired by the code found in the issue Cross Validation in Keras
from sklearn.cross_validation import StratifiedKFold
def load_data():
# load your data using this function
def create model():
# create your model using this function
def train_and_evaluate__model(model, data[train], labels[train], data[test], labels[test)):
# fit and evaluate here.
if __name__ == "__main__":
X, Y = load_model()
kFold = StratifiedKFold(n_splits=10)
for train, test in kFold.split(X, Y):
model = None
model = create_model()
train_evaluate(model, X[train], Y[train], X[test], Y[test])
In my studies on neural networks, I learned that the knowledge representation of the neural network is in the synaptic weights and during the network tracing process, the weights that are updated to thereby reduce the network error rate and improve its performance. (In my case, I'm using Supervised Learning)
For better training and assessment of neural network performance, a common method of being used is cross-validation that returns partitions of the data set for training and evaluation of the model.
My doubt is...
In this code snippet:
for train, test in kFold.split(X, Y):
model = None
model = create_model()
train_evaluate(model, X[train], Y[train], X[test], Y[test])
We define, train and evaluate a new neural net for each of the generated partitions?
If my goal is to fine-tune the network for the entire dataset, why is it not correct to define a single neural network and train it with the generated partitions?
That is, why is this piece of code like this?
for train, test in kFold.split(X, Y):
model = None
model = create_model()
train_evaluate(model, X[train], Y[train], X[test], Y[test])
and not so?
model = None
model = create_model()
for train, test in kFold.split(X, Y):
train_evaluate(model, X[train], Y[train], X[test], Y[test])
Is my understanding of how the code works wrong? Or my theory?
If my goal is to fine-tune the network for the entire dataset
It is not clear what you mean by "fine-tune", or even what exactly is your purpose for performing cross-validation (CV); in general, CV serves one of the following purposes:
Model selection (choose the values of hyperparameters)
Model assessment
Since you don't define any search grid for hyperparameter selection in your code, it would seem that you are using CV in order to get the expected performance of your model (error, accuracy etc).
Anyway, for whatever reason you are using CV, the first snippet is the correct one; your second snippet
model = None
model = create_model()
for train, test in kFold.split(X, Y):
train_evaluate(model, X[train], Y[train], X[test], Y[test])
will train your model sequentially over the different partitions (i.e. train on partition #1, then continue training on partition #2 etc), which essentially is just training on your whole data set, and it is certainly not cross-validation...
That said, a final step after the CV which is often only implied (and frequently missed by beginners) is that, after you are satisfied with your chosen hyperparameters and/or model performance as given by your CV procedure, you go back and train again your model, this time with the entire available data.
You can use wrappers of the Scikit-Learn API with Keras models.
Given inputs x and y, here's an example of repeated 5-fold cross-validation:
from sklearn.model_selection import RepeatedKFold, cross_val_score
from tensorflow.keras.models import *
from tensorflow.keras.layers import *
from tensorflow.keras.wrappers.scikit_learn import KerasRegressor
def buildmodel():
model= Sequential([
Dense(10, activation="relu"),
Dense(5, activation="relu"),
Dense(1)
])
model.compile(optimizer='adam', loss='mse', metrics=['mse'])
return(model)
estimator= KerasRegressor(build_fn=buildmodel, epochs=100, batch_size=10, verbose=0)
kfold= RepeatedKFold(n_splits=5, n_repeats=100)
results= cross_val_score(estimator, x, y, cv=kfold, n_jobs=2) # 2 cpus
results.mean() # Mean MSE
I think many of your questions will be answered if you read about nested cross-validation. This is a good way to "fine tune" the hyper parameters of your model. There's a thread here:
https://stats.stackexchange.com/questions/65128/nested-cross-validation-for-model-selection
The biggest issue to be aware of is "peeking" or circular logic. Essentially - you want to make sure that none of data used to assess model accuracy is seen during training.
One example where this might be problematic is if you are running something like PCA or ICA for feature extraction. If doing something like this, you must be sure to run PCA on your training set, and then apply the transformation matrix from the training set to the test set.
The main idea of testing your model performance is to perform the following steps:
Train a model on a training set.
Evaluate your model on a data not used during training process in order to simulate a new data arrival.
So basically - the data you should finally test your model should mimic the first data portion you'll get from your client/application to apply your model on.
So that's why cross-validation is so powerful - it makes every data point in your whole dataset to be used as a simulation of new data.
And now - to answer your question - every cross-validation should follow the following pattern:
for train, test in kFold.split(X, Y
model = training_procedure(train, ...)
score = evaluation_procedure(model, test, ...)
because after all, you'll first train your model and then use it on a new data. In your second approach - you cannot treat it as a mimicry of a training process because e.g. in second fold your model would have information kept from the first fold - which is not equivalent to your training procedure.
Of course - you could apply a training procedure which uses 10 folds of consecutive training in order to finetune network. But this is not cross-validation then - you'll need to evaluate this procedure using some kind of schema above.
The commented out functions make this a little less obvious, but the idea is to keep track of your model performance as you iterate through your folds and at the end provide either those lower level performance metrics or an averaged global performance. For example:
The train_evaluate function ideally would output some accuracy score for each split, which could be combined at the end.
def train_evaluate(model, x_train, y_train, x_test, y_test):
model.fit(x_train, y_train)
return model.score(x_test, y_test)
X, Y = load_model()
kFold = StratifiedKFold(n_splits=10)
scores = np.zeros(10)
idx = 0
for train, test in kFold.split(X, Y):
model = create_model()
scores[idx] = train_evaluate(model, X[train], Y[train], X[test], Y[test])
idx += 1
print(scores)
print(scores.mean())
So yes you do want to create a new model for each fold as the purpose of this exercise is to determine how your model as it is designed performs on all segments of the data, not just one particular segment that may or may not allow the model to perform well.
This type of approach becomes particularly powerful when applied along with a grid search over hyperparameters. In this approach you train a model with varying hyperparameters using the cross validation splits and keep track of the performance on splits and overall. In the end you will be able to get a much better idea of which hyperparameters allow the model to perform best. For a much more in depth explanation see sklearn Model Selection and pay particular attention to the sections of Cross Validation and Grid Search.