Explicit indices for k-fold partitioning

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Anthony Diaco 2020-9-11

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关闭： MATLAB Answer Bot 2021-8-20

Is there any way to explicity provide the indices of each partition in a k-fold partition? I'd like to find optimal hyperparameters, but all the methods seem to either sequentially or randomly divide up the data. My data evolves over time, where each time step has a different number of observations. Doing things either sequentially or randomly results in 'looking into the future'. I'd like the partitions to reflect the information I have up to that time, and predict the response for next time to obtain a kfoldloss.

(Time itself has no relevance however, so this isn't amenable to time-series type analysis. It's a classification problem)

thanks in advance

anthony

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Anthony Diaco 2020-9-14

Yes I came to the same conclusion. Didn't even bother testing it. I can easily make my own partitions. Indeed they're already made. The question is how can I input them into fitcensemble? There should be a way to just say what you want the test sets to be. I can't figure it out. I'd like to use matlabs builtin kfoldloss functionality and ideally their optimizable ensemble methodology. But right now i'm just using my own loop that i know isn't the best.

Anthony Diaco 2020-9-14

thanks so much for your attention on this btw!

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Adam Danz 2020-9-11

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编辑：Adam Danz 2020-9-14

在 MATLAB Online 中打开

Perhaps something like

x = 1:100; % demo vector
k = 5;     % 5-partitions
folds = cell(k,1); 
for i = 1:k
    folds{i} = x(i:k:end);
end

Though, those partitions are far from randomized but they maintain temporal order. To fix that, you could 1) create a grouping variable for each segment, randomize the segments, and the execute the loop above on the randomized segments.

Alternatively, you could use stratified sampling within subgroups using

c = cvpartition(group,'KFold',k)

but that only ensure that each group is represented equally, it will not maintain the temporal order of your data.

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Anthony Diaco 2020-9-11

thanks. i'll investigate that. any other ideas are welcome. i just don't see why there wouldn't be an easy way to just input the indices you want in each partition

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