Nested CV

nested-cv.py

from sklearn.datasets import load_iris
from matplotlib import pyplot as plt
from sklearn.svm import SVC
from sklearn.model_selection import GridSearchCV, cross_val_score, KFold
from sklearn.model_selection import StratifiedShuffleSplit
from sklearn.model_selection import ShuffleSplit

import numpy as np
from scipy.stats import sem


# Number of random trials
NUM_TRIALS = 30

# Load the dataset
iris = load_iris()
X_iris = iris.data
y_iris = iris.target
#np.random.seed(12345+1)
np.random.shuffle(y_iris)

# Set up possible values of parameters to optimize over
p_grid = {"C": [1, 10, 100],
          "gamma": [.01, .1]}

# We will use a Support Vector Classifier with "rbf" kernel
svr = SVC(kernel="rbf")

# Arrays to store scores
non_nested_scores = np.zeros(NUM_TRIALS)
nested_scores = np.zeros(NUM_TRIALS)

CVSplit = KFold
#CVSplit = StratifiedShuffleSplit
#CVSplit = ShuffleSplit
# Loop for each trial
for i in range(NUM_TRIALS):
    # Choose cross-validation techniques for the inner and outer loops,
    # independently of the dataset.
    # E.g "LabelKFold", "LeaveOneOut","LeaveOneLabelOut", etc.
    inner_cv = CVSplit(n_splits=4,
                       shuffle=True,
                       random_state=i)
    outer_cv = CVSplit(n_splits=4,
                       shuffle=True,
                       random_state=i + 1)

    # Non_nested parameter search and scoring
    clf = GridSearchCV(estimator=svr, param_grid=p_grid, cv=inner_cv)
    clf.fit(X_iris, y_iris)
    non_nested_scores[i] = clf.best_score_

    # Nested CV with parameter optimization
    nested_score = cross_val_score(clf, X=X_iris, y=y_iris, cv=outer_cv)
    nested_scores[i] = nested_score.mean()

score_difference = non_nested_scores - nested_scores

print('not nested:', non_nested_scores.mean(), '+-', sem(non_nested_scores))
print('nested:', nested_scores.mean(), '+-', sem(nested_scores))
print("Average difference of {0:6f} with std. dev. of {1:6f}."
      .format(score_difference.mean(), score_difference.std()))

# Plot scores on each trial for nested and non-nested CV
plt.figure()
plt.subplot(211)
non_nested_scores_line, = plt.plot(non_nested_scores, color='r')
nested_line, = plt.plot(nested_scores, color='b')
plt.ylabel("score", fontsize="14")
plt.legend([non_nested_scores_line, nested_line],
           ["Non-Nested CV", "Nested CV"],
           bbox_to_anchor=(0, .4, .5, 0))
plt.title("Non-Nested and Nested Cross Validation on Iris Dataset",
          x=.5, y=1.1, fontsize="15")

# Plot bar chart of the difference.
plt.subplot(212)
difference_plot = plt.bar(range(NUM_TRIALS), score_difference)
plt.xlabel("Individual Trial #")
plt.legend([difference_plot],
           ["Non-Nested CV - Nested CV Score"],
           bbox_to_anchor=(0, 1, .8, 0))
plt.ylabel("score difference", fontsize="14")

plt.show()