Cross-validation pitfalls when selecting and assessing regression and classification models
Damjan Krstajić, Ljubomir J. Buturović, David E. Leahy, Simon N. Thomas · Journal of Cheminformatics · 2014
BACKGROUND: We address the problem of selecting and assessing classification and regression models using cross-validation. Current state-of-the-art methods can yield models with high variance, rendering them unsuitable for a number of practical applications including QSAR. In this paper we describe and evaluate best practices which improve reliability and increase confidence in selected models. A key operational component of the proposed methods is cloud computing which enables routine use of previously infeasible approaches. METHODS: We describe in detail an algorithm for repeated grid-search V-fold cross-validation for parameter tuning in classification and regression, and we define a repeated nested cross-validation algorithm for model assessment. As regards variable selection and parameter tuning we define two algorithms (repeated grid-search cross-validation and double cross-validation), and provide arguments for using the repeated grid-search in the general case. RESULTS: We show results of our algorithms on seven QSAR datasets. The variation of the prediction performance, which is the result of choosing different splits of the dataset in V-fold cross-validation, needs to be taken into account when selecting and assessing classification and regression models. CONCLUSIONS: We demonstrate the importance of repeating cross-validation when selecting an optimal model, as well as the importance of repeating nested cross-validation when assessing a prediction error.