5-fold Crossvalidation

Cross-validation is a technique to evaluate predictive models by partitioning the original sample into a training set to train the model, and a test set to evaluate it.

In k-fold cross-validation, the original sample is randomly partitioned into k equal size subsamples. Of the k subsamples, a single subsample is retained as the validation data for testing the model, and the remaining k-1 subsamples are used as training data. The cross-validation process is then repeated k times (the folds), with each of the k subsamples used exactly once as the validation data. The k results from the folds can then be averaged (or otherwise combined) to produce a single estimation. The advantage of this method is that all observations are used for both training and validation, and each observation is used for validation exactly once.

For classification problems, one typically uses stratified k-fold cross-validation, in which the folds are selected so that each fold contains roughly the same proportions of class labels.

In repeated cross-validation, the cross-validation procedure is repeated n times, yielding n random partitions of the original sample. The n results are again averaged (or otherwise combined) to produce a single estimation.

OpenML generates train-test splits given the number of folds and repeats, so that different users can evaluate their models with the same splits. Stratification is applied by default for classification problems (unless otherwise specified). The splits are given as part of the task description as an ARFF file with the row id, fold number, repeat number and the class (TRAIN or TEST). The uploaded predictions should be labeled with the fold and repeat number of the test instance, so that the results can be properly evaluated and aggregated. OpenML stores both the per fold/repeat results and the aggregated scores.

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