Easy leave-one-out cross validation with pipelearner

@drsimonj here to show you how to do leave-one-out cross validation using pipelearner.

 Leave-one-out cross validation

Leave-one-out is a type of cross validation whereby the following is done for each observation in the data:

• Run model on all other observations
• Use model to predict value for observation

This means that a model is fitted, and a predicted is made n times where n is the number of observations in your data.

 Leave-one-out in pipelearner

pipelearner is a package for streamlining machine learning pipelines, including cross validation. If you’re new to it, check out blogR for other relevant posts.

To demonstrate, let’s use regression to predict horsepower (hp) with all other variables in the mtcars data set. Set this up in pipelearner as follows:

library(pipelearner)

pl <- pipelearner(mtcars, lm, hp ~ .)

How cross validation is done is handled by learn_cvpairs(). For leave-one-out, specify k = number of rows:

pl <- learn_cvpairs(pl, k = nrow(mtcars))

Finally, learn() the model on all folds:

pl <- learn(pl)

This can all be written in a pipeline:

pl <- pipelearner(mtcars, lm, hp ~ .) %>% 
  learn_cvpairs(k = nrow(mtcars)) %>% 
  learn()

pl
#> # A tibble: 32 × 9
#>    models.id cv_pairs.id train_p      fit target model     params
#>        <chr>       <chr>   <dbl>   <list>  <chr> <chr>     <list>
#> 1          1          01       1 <S3: lm>     hp    lm <list [1]>
#> 2          1          02       1 <S3: lm>     hp    lm <list [1]>
#> 3          1          03       1 <S3: lm>     hp    lm <list [1]>
#> 4          1          04       1 <S3: lm>     hp    lm <list [1]>
#> 5          1          05       1 <S3: lm>     hp    lm <list [1]>
#> 6          1          06       1 <S3: lm>     hp    lm <list [1]>
#> 7          1          07       1 <S3: lm>     hp    lm <list [1]>
#> 8          1          08       1 <S3: lm>     hp    lm <list [1]>
#> 9          1          09       1 <S3: lm>     hp    lm <list [1]>
#> 10         1          10       1 <S3: lm>     hp    lm <list [1]>
#> # ... with 22 more rows, and 2 more variables: train <list>, test <list>

 Evaluating performance

Performance can be evaluated in many ways depending on your model. We will calculate R²:

library(tidyverse)

# Extract true and predicted values of hp for each observation
pl <- pl %>% 
  mutate(true = map2_dbl(test, target, ~as.data.frame(.x)[[.y]]),
         predicted = map2_dbl(fit, test, predict)) 

# Summarise results
results <- pl %>% 
  summarise(
    sse = sum((predicted - true)^2),
    sst = sum(true^2)
  ) %>% 
  mutate(r_squared = 1 - sse / sst)

results
#> # A tibble: 1 × 3
#>        sse    sst r_squared
#>      <dbl>  <dbl>     <dbl>
#> 1 41145.56 834278 0.9506812

Using leave-one-out cross validation, the regression model obtains an R² of 0.95 when generalizing to predict horsepower in new data.

We’ll conclude with a plot of each true data point and it’s predicted value:

pl %>% 
  ggplot(aes(true, predicted)) +
      geom_point(size = 2) +
      geom_abline(intercept = 0, slope = 1, linetype = 2)  +
      theme_minimal() +
      labs(x = "True value", y = "Predicted value") +
      ggtitle("True against predicted values based\non leave-one-one cross validation")

 Sign off

Thanks for reading and I hope this was useful for you.

For updates of recent blog posts, follow @drsimonj on Twitter, or email me at drsimonjackson@gmail.com to get in touch.

If you’d like the code that produced this blog, check out the blogR GitHub repository.