shrinkage::cross_validation
Shrinkage for Rust · rust · 0.3.0
Source: src/cross_validation.rs
Training-only regularization paths, held-out scoring, and model selection.
Each fold fits preprocessing and an entire warm-start path on its training rows. Explicit candidates retain their complete penalties. Automatic paths align by fractions of independently fitted training-fold anchors and disable early stopping. Selection uses equal-weight fold means and their sample standard errors. Only then is a fresh path fitted on all observations.
Explicit candidates must be ordered from most to least preferred for simplicity. Ties choose the first candidate. The one-standard-error rule chooses the first candidate within one standard error of the minimum. This ordering is caller-defined for independent strengths or weight profiles; no scalar ordering is inferred from a multi-parameter penalty.