【Scikit-Learn 中文文档】交叉验证 - 模型选择和评估 - 用户指南 | ApacheCN

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中文文档: http://sklearn.apachecn.org/cn/stable/modules/cross_validation.html

英文文档: http://sklearn.apachecn.org/en/stable/modules/cross_validation.html

官方文档: http://scikit-learn.org/stable/

GitHub: https://github.com/apachecn/scikit-learn-doc-zh（觉得不错麻烦给个 Star，我们一直在努力）

贡献者: https://github.com/apachecn/scikit-learn-doc-zh#贡献者

关于我们: http://www.apachecn.org/organization/209.html

注意: 该文档正在翻译中。。。

3.1. 交叉验证: 评估（衡量）机器学习模型的性能

学习一个预测函数的参数，并在相同数据集上进行测试是一种错误的做法: 一个仅给出测试用例标签的模型将会获得极高的分数，但对于尚未出现过的数据它则无法预测出任何有用的信息。这种情况称为“过拟合”（overfitting）. 为了避免这种情况，在进行（监督）机器学习实验时，通常取出部分可利用数据作为实验测试集（test set）： X_test, y_test。

需要强调的是这里说的“实验（experiment）”并不仅限于学术（academic），因为即使是在商业场景下机器学习也往往是从实验开始的。

利用scikit-learn包中的`train_test_split`辅助函数可以很快地将实验数据集划分为任何训练集（training sets）和测试集（test sets）。下面让我们载入 iris 数据集，并在此数据集上训练出线性支持向量机:

 
   >>> 
   >>> import numpy as np
>>> from sklearn.model_selection import train_test_split
>>> from sklearn import datasets
>>> from sklearn import svm

>>> iris = datasets.load_iris()
>>> iris.data.shape, iris.target.shape
((150, 4), (150,))
 
  

我们能快速采样到原数据集的40%作为测试集，从而测试（评估）我们的分类器:

 
   >>> 
   >>> X_train, X_test, y_train, y_test = train_test_split(
...     iris.data, iris.target, test_size=0.4, random_state=0)

>>> X_train.shape, y_train.shape
((90, 4), (90,))
>>> X_test.shape, y_test.shape
((60, 4), (60,))

>>> clf = svm.SVC(kernel='linear', C=1).fit(X_train, y_train)
>>> clf.score(X_test, y_test)                           
0.96...
 
  

当评价估计器的不同设置（超参数）时，例如手动为SVM设置的“C”参数，由于在训练集上，通过调整参数设置使估计器的性能达到了最佳状态；但在测试集上可能会出现过拟合的情况。此时，测试集上的信息反馈足以颠覆训练好的模型，评估的指标不再有效反映出模型的泛化性能。为了解决此类问题，还应该准备另一部分被称为“验证集”的数据集，模型训练完成以后在验证集上对模型进行评估。当验证集上的评估实验比较成功时，在测试集上进行最后的评估。

然而，通过将原始数据分为3个数据集合，我们就大大减少了可用于模型学习的样本数量，并且得到的结果依赖于集合对（训练，验证）的随机选择。

这个问题可以通过交叉验证（CV 缩写）来解决。交叉验证仍需要测试集做最后的模型评估，但不再需要验证集。

最基本的方法被称之为，k-折交叉验证。 k-折交叉验证将训练集划分为 k 个较小的集合（其他方法会在下面描述，主要原则基本相同）。每一个*k*折都会遵循下面的过程：

将k-1份训练集子集作为训练集训练模型，
将剩余的1份训练集子集作为验证集用于模型验证（也就是利用该数据集计算模型的性能指标，例如准确率）。

k-折交叉验证得出的性能指标是循环计算中每个值的平均值。该方法虽然计算代价很高，但是它不会浪费太多的数据（就像是固定了一个任意的测试集），在处理样本数据集较少的问题（例如，逆向推理）时比较有优势。

3.1.1. 计算交叉验证的指标

最简单的方式 The simplest way to use cross-validation is to call the cross_val_score helper function on the estimator and the dataset.

The following example demonstrates how to estimate the accuracy of a linear kernel support vector machine on the iris dataset by splitting the data, fitting a model and computing the score 5 consecutive times (with different splits each time):

 
    >>> 
    >>> from sklearn.model_selection import cross_val_score
>>> clf = svm.SVC(kernel='linear', C=1)
>>> scores = cross_val_score(clf, iris.data, iris.target, cv=5)
>>> scores                                              
array([ 0.96...,  1.  ...,  0.96...,  0.96...,  1.        ])
 
   

The mean score and the 95% confidence interval of the score estimate are hence given by:

 
    >>> 
    >>> print("Accuracy: %0.2f (+/- %0.2f)" % (scores.mean(), scores.std() * 2))
Accuracy: 0.98 (+/- 0.03)

By default, the score computed at each CV iteration is the score method of the estimator. It is possible to change this by using the scoring parameter:

 
    >>> 
    >>> from sklearn import metrics
>>> scores = cross_val_score(
...     clf, iris.data, iris.target, cv=5, scoring='f1_macro')
>>> scores                                              
array([ 0.96...,  1.  ...,  0.96...,  0.96...,  1.        ])
 
   

See scoring 参数: 定义模型评估规则 for details. In the case of the Iris dataset, the samples are balanced across target classes hence the accuracy and the F1-score are almost equal.

When the cv argument is an integer, cross_val_score uses the KFold or StratifiedKFold strategies by default, the latter being used if the estimator derives from ClassifierMixin.

It is also possible to use other cross validation strategies by passing a cross validation iterator instead, for instance:

 
    >>> 
    >>> from sklearn.model_selection import ShuffleSplit
>>> n_samples = iris.data.shape[0]
>>> cv = ShuffleSplit(n_splits=3, test_size=0.3, random_state=0)
>>> cross_val_score(clf, iris.data, iris.target, cv=cv)
...                                                     
array([ 0.97...,  0.97...,  1.        ])
 
   

Data transformation with held out data

Just as it is important to test a predictor on data held-out from training, preprocessing (such as standardization, feature selection, etc.) and similar data transformations similarly should be learnt from a training set and applied to held-out data for prediction:

 
     >>> 
     >>> from sklearn import preprocessing
>>> X_train, X_test, y_train, y_test = train_test_split(
...     iris.data, iris.target, test_size=0.4, random_state=0)
>>> scaler = preprocessing.StandardScaler().fit(X_train)
>>> X_train_transformed = scaler.transform(X_train)
>>> clf = svm.SVC(C=1).fit(X_train_transformed, y_train)
>>> X_test_transformed = scaler.transform(X_test)
>>> clf.score(X_test_transformed, y_test)  
0.9333...
 
    

A Pipeline makes it easier to compose estimators, providing this behavior under cross-validation:

 
     >>> 
     >>> from sklearn.pipeline import make_pipeline
>>> clf = make_pipeline(preprocessing.StandardScaler(), svm.SVC(C=1))
>>> cross_val_score(clf, iris.data, iris.target, cv=cv)
...                                                 
array([ 0.97...,  0.93...,  0.95...])
 
    

See Pipeline（管道）和 FeatureUnion（特征联合）: 合并的评估器.

3.1.1.1. The cross_validate function and multiple metric evaluation

The cross_validate function differs from cross_val_score in two ways -

It allows specifying multiple metrics for evaluation.
It returns a dict containing training scores, fit-times and score-times in addition to the test score.

For single metric evaluation, where the scoring parameter is a string, callable or None, the keys will be - ['test_score', 'fit_time', 'score_time']

And for multiple metric evaluation, the return value is a dict with the following keys -['test_<scorer1_name>', 'test_<scorer2_name>', 'test_<scorer...>', 'fit_time', 'score_time']

return_train_score is set to True by default. It adds train score keys for all the scorers. If train scores are not needed, this should be set to False explicitly.

The multiple metrics can be specified either as a list, tuple or set of predefined scorer names:

 
     >>> 
     >>> from sklearn.model_selection import cross_validate
>>> from sklearn.metrics import recall_score
>>> scoring = ['precision_macro', 'recall_macro']
>>> clf = svm.SVC(kernel='linear', C=1, random_state=0)
>>> scores = cross_validate(clf, iris.data, iris.target, scoring=scoring,
...                         cv=5, return_train_score=False)
>>> sorted(scores.keys())
['fit_time', 'score_time', 'test_precision_macro', 'test_recall_macro']
>>> scores['test_recall_macro']                       
array([ 0.96...,  1.  ...,  0.96...,  0.96...,  1.        ])
 
    

Or as a dict mapping scorer name to a predefined or custom scoring function:

 
     >>> 
     >>> from sklearn.metrics.scorer import make_scorer
>>> scoring = {'prec_macro': 'precision_macro',
...            'rec_micro': make_scorer(recall_score, average='macro')}
>>> scores = cross_validate(clf, iris.data, iris.target, scoring=scoring,
...                         cv=5, return_train_score=True)
>>> sorted(scores.keys())                 
['fit_time', 'score_time', 'test_prec_macro', 'test_rec_micro',
 'train_prec_macro', 'train_rec_micro']
>>> scores['train_rec_micro']                         
array([ 0.97...,  0.97...,  0.99...,  0.98...,  0.98...])
 
    

Here is an example of cross_validate using a single metric:

 
     >>> 
     >>> scores = cross_validate(clf, iris.data, iris.target,
...                         scoring='precision_macro')
>>> sorted(scores.keys())
['fit_time', 'score_time', 'test_score', 'train_score']
 
    

3.1.1.2. 通过交叉验证获取预测

The function cross_val_predict has a similar interface to cross_val_score, but returns, for each element in the input, the prediction that was obtained for that element when it was in the test set. Only cross-validation strategies that assign all elements to a test set exactly once can be used (otherwise, an exception is raised).

These prediction can then be used to evaluate the classifier:

 
     >>> 
     >>> from sklearn.model_selection import cross_val_predict
>>> predicted = cross_val_predict(clf, iris.data, iris.target, cv=10)
>>> metrics.accuracy_score(iris.target, predicted) 
0.973...
 
    

Note that the result of this computation may be slightly different from those obtained using cross_val_score as the elements are grouped in different ways.

The available cross validation iterators are introduced in the following section.

Examples

3.1.2. 交叉验证迭代器

The following sections list utilities to generate indices that can be used to generate dataset splits according to different cross validation strategies.

3.1.3. 交叉验证迭代器–循环遍历数据

Assuming that some data is Independent and Identically Distributed (i.i.d.) is making the assumption that all samples stem from the same generative process and that the generative process is assumed to have no memory of past generated samples.

The following cross-validators can be used in such cases.

NOTE

While i.i.d. data is a common assumption in machine learning theory, it rarely holds in practice. If one knows that the samples have been generated using a time-dependent process, it’s safer to use a time-series aware cross-validation scheme Similarly if we know that the generative process has a group structure (samples from collected from different subjects, experiments, measurement devices) it safer to use group-wise cross-validation.

3.1.3.1. K-fold

KFold divides all the samples in $k$ groups of samples, called folds (if $k = n$ , this is equivalent to the Leave One Outstrategy), of equal sizes (if possible). The prediction function is learned using $k - 1$ folds, and the fold left out is used for test.

Example of 2-fold cross-validation on a dataset with 4 samples:

 
     >>> 
     >>> import numpy as np
>>> from sklearn.model_selection import KFold

>>> X = ["a", "b", "c", "d"]
>>> kf = KFold(n_splits=2)
>>> for train, test in kf.split(X):
...     print("%s %s" % (train, test))
[2 3] [0 1]
[0 1] [2 3]
 
    

Each fold is constituted by two arrays: the first one is related to the training set, and the second one to the test set. Thus, one can create the training/test sets using numpy indexing:

 
     >>> 
     >>> X = np.array([[0., 0.], [1., 1.], [-1., -1.], [2., 2.]])
>>> y = np.array([0, 1, 0, 1])
>>> X_train, X_test, y_train, y_test = X[train], X[test], y[train], y[test]

3.1.3.2. 重复 K-折交叉验证

RepeatedKFold repeats K-Fold n times. It can be used when one requires to run KFold n times, producing different splits in each repetition.

Example of 2-fold K-Fold repeated 2 times:

 
     >>> 
     >>> import numpy as np
>>> from sklearn.model_selection import RepeatedKFold
>>> X = np.array([[1, 2], [3, 4], [1, 2], [3, 4]])
>>> random_state = 12883823
>>> rkf = RepeatedKFold(n_splits=2, n_repeats=2, random_state=random_state)
>>> for train, test in rkf.split(X):
...     print("%s %s" % (train, test))
...
[2 3] [0 1]
[0 1] [2 3]
[0 2] [1 3]
[1 3] [0 2]
 
    

Similarly, RepeatedStratifiedKFold repeats Stratified K-Fold n times with different randomization in each repetition.

3.1.3.3. 留一交叉验证 (LOO)

LeaveOneOut (or LOO) is a simple cross-validation. Each learning set is created by taking all the samples except one, the test set being the sample left out. Thus, for $n$ samples, we have $n$ different training sets and $n$ different tests set. This cross-validation procedure does not waste much data as only one sample is removed from the training set:

 
     >>> 
     >>> from sklearn.model_selection import LeaveOneOut

>>> X = [1, 2, 3, 4]
>>> loo = LeaveOneOut()
>>> for train, test in loo.split(X):
...     print("%s %s" % (train, test))
[1 2 3] [0]
[0 2 3] [1]
[0 1 3] [2]
[0 1 2] [3]
 
    

Potential users of LOO for model selection should weigh a few known caveats. When compared with $k$ -fold cross validation, one builds $n$ models from $n$ samples instead of $k$ models, where $n > k$ . Moreover, each is trained on $n - 1$ samples rather than $(k-1) n / k$ . In both ways, assuming $k$ is not too large and $k < n$ , LOO is more computationally expensive than $k$ -fold cross validation.

In terms of accuracy, LOO often results in high variance as an estimator for the test error. Intuitively, since $n - 1$ of the $n$ samples are used to build each model, models constructed from folds are virtually identical to each other and to the model built from the entire training set.

However, if the learning curve is steep for the training size in question, then 5- or 10- fold cross validation can overestimate the generalization error.

As a general rule, most authors, and empirical evidence, suggest that 5- or 10- fold cross validation should be preferred to LOO.

References:

http://www.faqs.org/faqs/ai-faq/neural-nets/part3/section-12.html;
T. Hastie, R. Tibshirani, J. Friedman, The Elements of Statistical Learning, Springer 2009
L. Breiman, P. Spector Submodel selection and evaluation in regression: The X-random case, International Statistical Review 1992;
R. Kohavi, A Study of Cross-Validation and Bootstrap for Accuracy Estimation and Model Selection, Intl. Jnt. Conf. AI
R. Bharat Rao, G. Fung, R. Rosales, On the Dangers of Cross-Validation. An Experimental Evaluation, SIAM 2008;
G. James, D. Witten, T. Hastie, R Tibshirani, An Introduction to Statistical Learning, Springer 2013.

3.1.3.4. Leave P Out (LPO)

LeavePOut is very similar to LeaveOneOut as it creates all the possible training/test sets by removing $p$ samples from the complete set. For $n$ samples, this produces ${n \choose p}$ train-test pairs. Unlike LeaveOneOut and KFold, the test sets will overlap for $p > 1$ .

Example of Leave-2-Out on a dataset with 4 samples:

 
     >>> 
     >>> from sklearn.model_selection import LeavePOut

>>> X = np.ones(4)
>>> lpo = LeavePOut(p=2)
>>> for train, test in lpo.split(X):
...     print("%s %s" % (train, test))
[2 3] [0 1]
[1 3] [0 2]
[1 2] [0 3]
[0 3] [1 2]
[0 2] [1 3]
[0 1] [2 3]
 
    

3.1.3.5. Random permutations cross-validation a.k.a. Shuffle & Split

ShuffleSplit

The ShuffleSplit iterator will generate a user defined number of independent train / test dataset splits. Samples are first shuffled and then split into a pair of train and test sets.

It is possible to control the randomness for reproducibility of the results by explicitly seeding the random_state pseudo random number generator.

Here is a usage example:

 
     >>> 
     >>> from sklearn.model_selection import ShuffleSplit
>>> X = np.arange(5)
>>> ss = ShuffleSplit(n_splits=3, test_size=0.25,
...     random_state=0)
>>> for train_index, test_index in ss.split(X):
...     print("%s %s" % (train_index, test_index))
...
[1 3 4] [2 0]
[1 4 3] [0 2]
[4 0 2] [1 3]
 
    

ShuffleSplit is thus a good alternative to KFold cross validation that allows a finer control on the number of iterations and the proportion of samples on each side of the train / test split.

3.1.4. 基于类标签、具有分层的交叉验证迭代器

Some classification problems can exhibit a large imbalance in the distribution of the target classes: for instance there could be several times more negative samples than positive samples. In such cases it is recommended to use stratified sampling as implemented in StratifiedKFold and StratifiedShuffleSplit to ensure that relative class frequencies is approximately preserved in each train and validation fold.

3.1.4.1. Stratified k-fold

StratifiedKFold is a variation of k-fold which returns stratified folds: each set contains approximately the same percentage of samples of each target class as the complete set.

Example of stratified 3-fold cross-validation on a dataset with 10 samples from two slightly unbalanced classes:

 
     >>> 
     >>> from sklearn.model_selection import StratifiedKFold

>>> X = np.ones(10)
>>> y = [0, 0, 0, 0, 1, 1, 1, 1, 1, 1]
>>> skf = StratifiedKFold(n_splits=3)
>>> for train, test in skf.split(X, y):
...     print("%s %s" % (train, test))
[2 3 6 7 8 9] [0 1 4 5]
[0 1 3 4 5 8 9] [2 6 7]
[0 1 2 4 5 6 7] [3 8 9]
 
    

RepeatedStratifiedKFold can be used to repeat Stratified K-Fold n times with different randomization in each repetition.

3.1.4.2. Stratified Shuffle Split

StratifiedShuffleSplit is a variation of ShuffleSplit, which returns stratified splits, i.e which creates splits by preserving the same percentage for each target class as in the complete set.

3.1.5. 用于分组数据的交叉验证迭代器

The i.i.d. assumption is broken if the underlying generative process yield groups of dependent samples.

Such a grouping of data is domain specific. An example would be when there is medical data collected from multiple patients, with multiple samples taken from each patient. And such data is likely to be dependent on the individual group. In our example, the patient id for each sample will be its group identifier.

In this case we would like to know if a model trained on a particular set of groups generalizes well to the unseen groups. To measure this, we need to ensure that all the samples in the validation fold come from groups that are not represented at all in the paired training fold.

The following cross-validation splitters can be used to do that. The grouping identifier for the samples is specified via the groups parameter.

3.1.5.1. Group k-fold

GroupKFold is a variation of k-fold which ensures that the same group is not represented in both testing and training sets. For example if the data is obtained from different subjects with several samples per-subject and if the model is flexible enough to learn from highly person specific features it could fail to generalize to new subjects. GroupKFold makes it possible to detect this kind of overfitting situations.

Imagine you have three subjects, each with an associated number from 1 to 3:

 
     >>> 
     >>> from sklearn.model_selection import GroupKFold

>>> X = [0.1, 0.2, 2.2, 2.4, 2.3, 4.55, 5.8, 8.8, 9, 10]
>>> y = ["a", "b", "b", "b", "c", "c", "c", "d", "d", "d"]
>>> groups = [1, 1, 1, 2, 2, 2, 3, 3, 3, 3]

>>> gkf = GroupKFold(n_splits=3)
>>> for train, test in gkf.split(X, y, groups=groups):
...     print("%s %s" % (train, test))
[0 1 2 3 4 5] [6 7 8 9]
[0 1 2 6 7 8 9] [3 4 5]
[3 4 5 6 7 8 9] [0 1 2]
 
    

Each subject is in a different testing fold, and the same subject is never in both testing and training. Notice that the folds do not have exactly the same size due to the imbalance in the data.

3.1.5.2. Leave One Group Out

LeaveOneGroupOut is a cross-validation scheme which holds out the samples according to a third-party provided array of integer groups. This group information can be used to encode arbitrary domain specific pre-defined cross-validation folds.

Each training set is thus constituted by all the samples except the ones related to a specific group.

For example, in the cases of multiple experiments, LeaveOneGroupOut can be used to create a cross-validation based on the different experiments: we create a training set using the samples of all the experiments except one:

 
     >>> 
     >>> from sklearn.model_selection import LeaveOneGroupOut

>>> X = [1, 5, 10, 50, 60, 70, 80]
>>> y = [0, 1, 1, 2, 2, 2, 2]
>>> groups = [1, 1, 2, 2, 3, 3, 3]
>>> logo = LeaveOneGroupOut()
>>> for train, test in logo.split(X, y, groups=groups):
...     print("%s %s" % (train, test))
[2 3 4 5 6] [0 1]
[0 1 4 5 6] [2 3]
[0 1 2 3] [4 5 6]
 
    

Another common application is to use time information: for instance the groups could be the year of collection of the samples and thus allow for cross-validation against time-based splits.

3.1.5.3. Leave P Groups Out

LeavePGroupsOut is similar as LeaveOneGroupOut, but removes samples related to $P$ groups for each training/test set.

Example of Leave-2-Group Out:

 
     >>> 
     >>> from sklearn.model_selection import LeavePGroupsOut

>>> X = np.arange(6)
>>> y = [1, 1, 1, 2, 2, 2]
>>> groups = [1, 1, 2, 2, 3, 3]
>>> lpgo = LeavePGroupsOut(n_groups=2)
>>> for train, test in lpgo.split(X, y, groups=groups):
...     print("%s %s" % (train, test))
[4 5] [0 1 2 3]
[2 3] [0 1 4 5]
[0 1] [2 3 4 5]
 
    

3.1.5.4. Group Shuffle Split

The GroupShuffleSplit iterator behaves as a combination of ShuffleSplit and LeavePGroupsOut, and generates a sequence of randomized partitions in which a subset of groups are held out for each split.

Here is a usage example:

 
     >>> 
     >>> from sklearn.model_selection import GroupShuffleSplit

>>> X = [0.1, 0.2, 2.2, 2.4, 2.3, 4.55, 5.8, 0.001]
>>> y = ["a", "b", "b", "b", "c", "c", "c", "a"]
>>> groups = [1, 1, 2, 2, 3, 3, 4, 4]
>>> gss = GroupShuffleSplit(n_splits=4, test_size=0.5, random_state=0)
>>> for train, test in gss.split(X, y, groups=groups):
...     print("%s %s" % (train, test))
...
[0 1 2 3] [4 5 6 7]
[2 3 6 7] [0 1 4 5]
[2 3 4 5] [0 1 6 7]
[4 5 6 7] [0 1 2 3]
 
    

This class is useful when the behavior of LeavePGroupsOut is desired, but the number of groups is large enough that generating all possible partitions with $P$ groups withheld would be prohibitively expensive. In such a scenario, GroupShuffleSplit provides a random sample (with replacement) of the train / test splits generated by LeavePGroupsOut.

3.1.6. 预定义的折叠 / 验证集

For some datasets, a pre-defined split of the data into training- and validation fold or into several cross-validation folds already exists. Using PredefinedSplit it is possible to use these folds e.g. when searching for hyperparameters.

For example, when using a validation set, set the test_fold to 0 for all samples that are part of the validation set, and to -1 for all other samples.

3.1.7. 交叉验证在时间序列数据中应用

Time series data is characterised by the correlation between observations that are near in time (autocorrelation). However, classical cross-validation techniques such as KFold and ShuffleSplit assume the samples are independent and identically distributed, and would result in unreasonable correlation between training and testing instances (yielding poor estimates of generalisation error) on time series data. Therefore, it is very important to evaluate our model for time series data on the “future” observations least like those that are used to train the model. To achieve this, one solution is provided by TimeSeriesSplit.

3.1.7.1. Time Series Split

TimeSeriesSplit is a variation of k-fold which returns first $k$ folds as train set and the $(k+1)$ th fold as test set. Note that unlike standard cross-validation methods, successive training sets are supersets of those that come before them. Also, it adds all surplus data to the first training partition, which is always used to train the model.

This class can be used to cross-validate time series data samples that are observed at fixed time intervals.

Example of 3-split time series cross-validation on a dataset with 6 samples:

 
     >>> 
     >>> from sklearn.model_selection import TimeSeriesSplit

>>> X = np.array([[1, 2], [3, 4], [1, 2], [3, 4], [1, 2], [3, 4]])
>>> y = np.array([1, 2, 3, 4, 5, 6])
>>> tscv = TimeSeriesSplit(n_splits=3)
>>> print(tscv)  
TimeSeriesSplit(max_train_size=None, n_splits=3)
>>> for train, test in tscv.split(X):
...     print("%s %s" % (train, test))
[0 1 2] [3]
[0 1 2 3] [4]
[0 1 2 3 4] [5]
 
    

3.1.8. A note on shuffling

If the data ordering is not arbitrary (e.g. samples with the same class label are contiguous), shuffling it first may be essential to get a meaningful cross- validation result. However, the opposite may be true if the samples are not independently and identically distributed. For example, if samples correspond to news articles, and are ordered by their time of publication, then shuffling the data will likely lead to a model that is overfit and an inflated validation score: it will be tested on samples that are artificially similar (close in time) to training samples.

Some cross validation iterators, such as KFold, have an inbuilt option to shuffle the data indices before splitting them. Note that:

This consumes less memory than shuffling the data directly.
By default no shuffling occurs, including for the (stratified) K fold cross- validation performed by specifying cv=some_integer to cross_val_score, grid search, etc. Keep in mind that train_test_split still returns a random split.
The random_state parameter defaults to None, meaning that the shuffling will be different every time KFold(..., shuffle=True) is iterated. However, GridSearchCV will use the same shuffling for each set of parameters validated by a single call to its fit method.
To get identical results for each split, set random_state to an integer.

3.1.9. 交叉验证和模型选择

Cross validation iterators can also be used to directly perform model selection using Grid Search for the optimal hyperparameters of the model. This is the topic of the next section: 调整估计器的超参数.