Snippet #4 - Nested Cross-Validation Article

nested-cv-article-s4.py

# Loop for each round
for i in range(rounds):

   #Define both cross-validation objects (inner & outer)
   inner_cv = StratifiedKFold(n_splits=5, shuffle=True, random_state=i)
   outer_cv = StratifiedKFold(n_splits=5, shuffle=True, random_state=i)

   # Non-nested parameter search and scoring
   clf = GridSearchCV(estimator=rf, param_grid=rf_param_grid, cv=inner_cv)
   clf.fit(X, y)
   outer_scores[i] = clf.best_score_

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