Cross-validation metrics in scikit-learn for each data split

Question

I need to get the cross-validation statistics explicitly for each split of the (X_test, y_test) data.

So, to try to do so I did:

kf = KFold(n_splits=n_         


        

Answer 1

There are some issues with your approach.

To start with, you certainly don't have to append the data manually one by one in your training & validation lists (i.e. your 2 inner for loops); simple indexing will do the job.

Additionally, we normally never compute & report the error of the training CV folds - only the error on the validation folds.

Keeping these in mind, and switching the terminology to "validation" instead of "test", here is a simple reproducible example using the Boston data, which should be straighforward to adapt to your case:

from sklearn.model_selection import KFold
from sklearn.datasets import load_boston
from sklearn.metrics import mean_absolute_error
from sklearn.tree import DecisionTreeRegressor

X, y = load_boston(return_X_y=True)
n_splits = 5
kf = KFold(n_splits=n_splits, shuffle=True)
model = DecisionTreeRegressor(criterion='mae')

cv_mae = []

for train_index, val_index in kf.split(X):
    model.fit(X[train_index], y[train_index])
    pred = model.predict(X[val_index])
    err = mean_absolute_error(y[val_index], pred)
    cv_mae.append(err)

after which, your cv_mae should be something like (details will differ due to the random nature of CV):

[3.5294117647058827,
 3.3039603960396042,
 3.5306930693069307,
 2.6910891089108913,
 3.0663366336633664]

Of course, all this explicit stuff is not really necessary; you could do the job much more simply with cross_val_score. There is a small catch though:

from sklearn.model_selection import cross_val_score
cv_mae2 =cross_val_score(model, X, y, cv=n_splits, scoring="neg_mean_absolute_error")
cv_mae2
# result
array([-2.94019608, -3.71980198, -4.92673267, -4.5990099 , -4.22574257])

Apart from the negative sign which is not really an issue, you'll notice that the variance of the results looks significantly higher compared to our cv_mae above; and the reason is that we didn't shuffle our data. Unfortunately, cross_val_score does not provide a shuffling option, so we have to do this manually using shuffle. So our final code should be:

from sklearn.model_selection import cross_val_score
from sklearn.utils import shuffle
X_s, y_s =shuffle(X, y)
cv_mae3 =cross_val_score(model, X_s, y_s, cv=n_splits, scoring="neg_mean_absolute_error")
cv_mae3
# result:
array([-3.24117647, -3.57029703, -3.10891089, -3.45940594, -2.78316832])

which is of significantly less variance between the folds, and much closer to our initial cv_mae...