Futility Analysis in the Cross-Validation of Machine Learning Models

Abstract: Many machine learning models have important structural tuning parameters that cannot be directly estimated from the data. The common tactic for setting these parameters is to use resampling methods, such as cross--validation or the bootstrap, to evaluate a candidate set of values and choose the best based on some pre--defined criterion. Unfortunately, this process can be time consuming. However, the model tuning process can be streamlined by adaptively resampling candidate values so that settings that are clearly sub-optimal can be discarded. The notion of futility analysis is introduced in this context. An example is shown that illustrates how adaptive resampling can be used to reduce training time. Simulation studies are used to understand how the potential speed--up is affected by parallel processing techniques.