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Quantitative Finance · Begrippenlijst

Wat is Model selection, hyperparameter search?

Ook bekend als: model selection · hyperparameter search

Definition 3.1 Machine Learning for Markets · Hoofdstuk 3 — Validation

Model selection chooses, among candidate models or configurations, the one expected to generalise best. A hyperparameter search is model selection over a set of hyperparameter values: a grid, random draws (Bergstra and Bengio, 2012), or a sequential search that proposes new values from the scores of the old.

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