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 <tammokrueger@googlemail.com>

Tammo Krueger, Danny Panknin, and Mikio Braun. Fast cross-validation via sequential testing. Journal of Machine Learning Research 16 (2015) 1103-1155. URL http://jmlr.org/papers/volume16/krueger15a/krueger15a.pdf.

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.

1 2 3 4 | ```
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())
``` |

```
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!
```

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