Hoeffding Races: Accelerating Model Selection Search for Classification and Function Approximation

Part of Advances in Neural Information Processing Systems 6 (NIPS 1993)

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Oded Maron, Andrew Moore


Selecting a good model of a set of input points by cross validation is a computationally intensive process, especially if the number of possible models or the number of training points is high. Tech(cid:173) niques such as gradient descent are helpful in searching through the space of models, but problems such as local minima, and more importantly, lack of a distance metric between various models re(cid:173) duce the applicability of these search methods. Hoeffding Races is a technique for finding a good model for the data by quickly dis(cid:173) carding bad models, and concentrating the computational effort at differentiating between the better ones. This paper focuses on the special case of leave-one-out cross validation applied to memory(cid:173) based learning algorithms, but we also argue that it is applicable to any class of model selection problems.