CVST-package: Fast Cross-Validation via Sequential Testing

Description Details Author(s) References Examples


The fast cross-validation via sequential testing (CVST) procedure is an improved cross-validation procedure which uses non-parametric testing coupled with sequential analysis to determine the best parameter set on linearly increasing subsets of the data. By eliminating under-performing candidates quickly and keeping promising candidates as long as possible, the method speeds up the computation while preserving the capability of a full cross-validation. Additionally to the CVST the package contains an implementation of the ordinary k-fold cross-validation with a flexible and powerful set of helper objects and methods to handle the overall model selection process. The implementations of the Cochran's Q test with permutations and the sequential testing framework of Wald are generic and can therefore also be used in other contexts.


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Tammo Krueger, Mikio Braun

Maintainer: Tammo Krueger <>


Tammo Krueger, Danny Panknin, and Mikio Braun. Fast cross-validation via sequential testing. Journal of Machine Learning Research 16 (2015) 1103-1155. URL

Abraham Wald. Sequential Analysis. Wiley, 1947.

W. G. Cochran. The comparison of percentages in matched samples. Biometrika, 37 (3-4):256–266, 1950.

M. Friedman. The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32 (200):675–701, 1937.


ns = noisySine(100)
svm = constructSVMLearner()
params = constructParams(kernel="rbfdot", sigma=10^(-3:3), nu=c(0.05, 0.1, 0.2, 0.3))
opt = fastCV(ns, svm, params, constructCVSTModel())

Example output

Loading required package: kernlab
Loading required package: Matrix
Total number of params: 28 
(sim: 26 alpha: 0.05 left: 28 )(sim: 14 alpha: 0.05 left: 28 )Skipped configurations: 0  (sim: 14 alpha: 0.05 left: 28 )Skipped configurations: 2  (sim: 12 alpha: 0.05 left: 26 )Skipped configurations: 2  (sim: 9 alpha: 0.05 left: 26 )Skipped configurations: 14  EARLY STOPPING!

CVST documentation built on May 2, 2019, 3:43 p.m.