Speed-up nested cross-validation

问题

In order to speed-up nested cross-validation with sklearn, is it better to fix n_jobs=-1 in inner or outer loop, since nested parallelism is not allowed ?

回答1:

This seems to be an an open question, see e.g. this open issue on scikit-learn's github page.

Another approach is to use a Message Passing Interface (MPI) to exploit multiple processors, see e.g. this blogpost using MPI4PY.

来源：https://stackoverflow.com/questions/49629112/speed-up-nested-cross-validation