Cross-validation is a technique used to evaluate machine learning models by splitting the dataset into subsets, training the model on some subsets, and validating it on others. Its primary goal is to assess how well a model generalizes to unseen data while minimizing overfitting. Instead of relying on a single train-test split, cross-validation repeats this process multiple times, providing a more robust estimate of model performance. This approach is especially useful when working with limited data, as it maximizes the use of available samples for both training and evaluation.
A common method is k-fold cross-validation. Here, the dataset is divided into k equally sized subsets (folds). The model is trained k times, each time using k−1 folds for training and the remaining fold for validation. For example, with k=5, the dataset is split into five parts. In the first iteration, folds 1-4 train the model, and fold 5 tests it. This repeats until each fold has served as the test set once. The final performance metric (e.g., accuracy) is the average of all k iterations. Libraries like scikit-learn simplify this process: using KFold to split data and cross_val_score to automate training and scoring. For classification tasks with imbalanced classes, stratified k-fold ensures each fold maintains the same class distribution as the original dataset.
When applying cross-validation, consider practical trade-offs. Larger k values (e.g., k=10) reduce bias but increase computation time. Smaller k (e.g., k=3) is faster but may yield higher variance in performance estimates. For time-series data, use time-series split to preserve temporal order, preventing future data from leaking into training. Additionally, avoid using cross-validation scores directly for hyperparameter tuning; instead, split data into separate training, validation, and test sets to prevent overfitting. If computational resources are limited, hold-out validation (a single train-test split) might suffice for initial experiments. Always ensure data is shuffled (unless order matters) and preprocessed (e.g., scaling) within each fold to prevent data leakage.