def modelselection_grid_search_libsvr_modular (fm_train=traindat,fm_test=testdat,label_train=label_traindat,\
width=2.1,C=1,epsilon=1e-5,tube_epsilon=1e-2):
from modshogun import CrossValidation, CrossValidationResult
from modshogun import MeanSquaredError
from modshogun import CrossValidationSplitting
from modshogun import RegressionLabels
from modshogun import RealFeatures
from modshogun import GaussianKernel
from modshogun import LibSVR
from modshogun import GridSearchModelSelection
from modshogun import ModelSelectionParameters, R_EXP
from modshogun import ParameterCombination
# training data
features_train = RealFeatures(traindat)
labels = RegressionLabels(label_traindat)
# kernel
kernel = GaussianKernel(features_train, features_train, width)
# print all parameter available for modelselection
# Dont worry if yours is not included but, write to the mailing list
#kernel.print_modsel_params()
labels = RegressionLabels(label_train)
# predictor
predictor = LibSVR(C, tube_epsilon, kernel, labels)
predictor.set_epsilon(epsilon)
# splitting strategy for 5 fold cross-validation (for classification its better
# to use "StratifiedCrossValidation", but the standard
# "StratifiedCrossValidationSplitting" is also available
splitting_strategy = CrossValidationSplitting(labels, 5)
# evaluation method
evaluation_criterium = MeanSquaredError()
# cross-validation instance
cross_validation = CrossValidation(predictor, features_train, labels,
splitting_strategy,
evaluation_criterium)
# (optional) repeat x-val (set larger to get better estimates, at least two
# for confidence intervals)
cross_validation.set_num_runs(2)
# (optional) request 95% confidence intervals for results (not actually
# needed for this toy example)
cross_validation.set_conf_int_alpha(0.05)
# print all parameter available for modelselection
# Dont worry if yours is not included but, write to the mailing list
#predictor.print_modsel_params()
# build parameter tree to select C1 and C2
param_tree_root = ModelSelectionParameters()
c1 = ModelSelectionParameters("C1")
param_tree_root.append_child(c1)
c1.build_values(-1.0, 0.0, R_EXP)
c2 = ModelSelectionParameters("C2")
param_tree_root.append_child(c2)
c2.build_values(-1.0, 0.0, R_EXP)
# model selection instance
model_selection = GridSearchModelSelection(cross_validation,
param_tree_root)
# perform model selection with selected methods
#print "performing model selection of"
#print "parameter tree"
#param_tree_root.print_tree()
#print "starting model selection"
# print the current parameter combination, if no parameter nothing is printed
print_state = False
# lock data before since model selection will not change the kernel matrix
# (use with care) This avoids that the kernel matrix is recomputed in every
# iteration of the model search
predictor.data_lock(labels, features_train)
best_parameters = model_selection.select_model(print_state)
# print best parameters
#print "best parameters:"
#best_parameters.print_tree()
# apply them and print result
best_parameters.apply_to_machine(predictor)
result = cross_validation.evaluate()
