"ML Tuning"

2020-01-21

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This section describes how to use MLlib's tooling for tuning ML algorithms and Pipelines. Built-in Cross-Validation and other tooling allow users to optimize hyperparameters in algorithms and Pipelines.

Table of contents

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Model selection (a.k.a. hyperparameter tuning)

An important task in ML is model selection, or using data to find the best model or parameters for a given task. This is also called tuning. Tuning may be done for individual Estimators such as LogisticRegression, or for entire Pipelines which include multiple algorithms, featurization, and other steps. Users can tune an entire Pipeline at once, rather than tuning each element in the Pipeline separately.

MLlib supports model selection using tools such as CrossValidator and TrainValidationSplit. These tools require the following items:

  • Estimator: algorithm or Pipeline to tune
  • Set of ParamMaps: parameters to choose from, sometimes called a "parameter grid" to search over
  • Evaluator: metric to measure how well a fitted Model does on held-out test data

At a high level, these model selection tools work as follows:

  • They split the input data into separate training and test datasets.
  • For each (training, test) pair, they iterate through the set of ParamMaps:
    • For each ParamMap, they fit the Estimator using those parameters, get the fitted Model, and evaluate the Model's performance using the Evaluator.
  • They select the Model produced by the best-performing set of parameters.

The Evaluator can be a RegressionEvaluator for regression problems, a BinaryClassificationEvaluator for binary data, or a MulticlassClassificationEvaluator for multiclass problems. The default metric used to choose the best ParamMap can be overridden by the setMetricName method in each of these evaluators.

To help construct the parameter grid, users can use the ParamGridBuilder utility. By default, sets of parameters from the parameter grid are evaluated in serial. Parameter evaluation can be done in parallel by setting parallelism with a value of 2 or more (a value of 1 will be serial) before running model selection with CrossValidator or TrainValidationSplit. The value of parallelism should be chosen carefully to maximize parallelism without exceeding cluster resources, and larger values may not always lead to improved performance. Generally speaking, a value up to 10 should be sufficient for most clusters.

Cross-Validation

CrossValidator begins by splitting the dataset into a set of folds which are used as separate training and test datasets. E.g., with $k=3$ folds, CrossValidator will generate 3 (training, test) dataset pairs, each of which uses 2/3 of the data for training and 1/3 for testing. To evaluate a particular ParamMap, CrossValidator computes the average evaluation metric for the 3 Models produced by fitting the Estimator on the 3 different (training, test) dataset pairs.

After identifying the best ParamMap, CrossValidator finally re-fits the Estimator using the best ParamMap and the entire dataset.

Examples: model selection via cross-validation

The following example demonstrates using CrossValidator to select from a grid of parameters.

Note that cross-validation over a grid of parameters is expensive. E.g., in the example below, the parameter grid has 3 values for hashingTF.numFeatures and 2 values for lr.regParam, and CrossValidator uses 2 folds. This multiplies out to $(3 \times 2) \times 2 = 12$ different models being trained. In realistic settings, it can be common to try many more parameters and use more folds ($k=3$ and $k=10$ are common). In other words, using CrossValidator can be very expensive. However, it is also a well-established method for choosing parameters which is more statistically sound than heuristic hand-tuning.

Refer to the [`CrossValidator` Scala docs](api/scala/index.html#org.apache.spark.ml.tuning.CrossValidator) for details on the API. {% include_example scala/org/apache/spark/examples/ml/ModelSelectionViaCrossValidationExample.scala %}
Refer to the [`CrossValidator` Java docs](api/java/org/apache/spark/ml/tuning/CrossValidator.html) for details on the API. {% include_example java/org/apache/spark/examples/ml/JavaModelSelectionViaCrossValidationExample.java %}
Refer to the [`CrossValidator` Python docs](api/python/pyspark.ml.html#pyspark.ml.tuning.CrossValidator) for more details on the API. {% include_example python/ml/cross_validator.py %}

Train-Validation Split

In addition to CrossValidator Spark also offers TrainValidationSplit for hyper-parameter tuning. TrainValidationSplit only evaluates each combination of parameters once, as opposed to k times in the case of CrossValidator. It is, therefore, less expensive, but will not produce as reliable results when the training dataset is not sufficiently large.

Unlike CrossValidator, TrainValidationSplit creates a single (training, test) dataset pair. It splits the dataset into these two parts using the trainRatio parameter. For example with $trainRatio=0.75$, TrainValidationSplit will generate a training and test dataset pair where 75% of the data is used for training and 25% for validation.

Like CrossValidator, TrainValidationSplit finally fits the Estimator using the best ParamMap and the entire dataset.

Examples: model selection via train validation split

Refer to the [`TrainValidationSplit` Scala docs](api/scala/index.html#org.apache.spark.ml.tuning.TrainValidationSplit) for details on the API. {% include_example scala/org/apache/spark/examples/ml/ModelSelectionViaTrainValidationSplitExample.scala %}
Refer to the [`TrainValidationSplit` Java docs](api/java/org/apache/spark/ml/tuning/TrainValidationSplit.html) for details on the API. {% include_example java/org/apache/spark/examples/ml/JavaModelSelectionViaTrainValidationSplitExample.java %}
Refer to the [`TrainValidationSplit` Python docs](api/python/pyspark.ml.html#pyspark.ml.tuning.TrainValidationSplit) for more details on the API. {% include_example python/ml/train_validation_split.py %}