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Fast Cross Validation Via Sequential Analysis - Talk

Fast Cross Validation Via Sequential Analysis - Talk

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Published by Mikio Braun
Talk slides from our talk "Fast Cross-Validation via Sequential Analysis" held at the BigLearning workshop at NIPS 2011 on December 16, 2011 in Sierra Nevada, Spain.
Talk slides from our talk "Fast Cross-Validation via Sequential Analysis" held at the BigLearning workshop at NIPS 2011 on December 16, 2011 in Sierra Nevada, Spain.

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Published by: Mikio Braun on Dec 20, 2011
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02/05/2014

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Fast Cross-Validation via Sequential Analysis
Tammo KruegerDanny PankninMikio Braun
Machine Learning GroupTechnische Universitaet Berlin
16.12.2011 Big Learning Workshop
 
Motivation
Cross-validation is an indispensable tool for applied MLbut unfortunately very time consumingExample
fitted Q iteration
:
Cross-Validation
  
10
×
10
    
parameter
×
10
  
fold
×
50
  
max. iter.
×
10
  
reps.
= 500
,
000 reg. problemsDirectly optimizing the error landscape to avoidcalculations difficult due to noiseOur approach: use increasing subsets of the training data
1
smaller subsets
less training time
2
more training data
better error estimate
3
relative behavior of parameter configurations converges
 
Motivation – Main Idea (Average over 500 Reps.)
log
(
σ
)
   C   l  a  s  s .   E  r  r  o  r
0.10.20.30.4
qqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqqq
4 3 2 1 0 1 2
Size
 
q
501002505007501000

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