autogluon / autogluon/autogluon
[Tabular] Add cross-validation support out of the box
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enhancement
module: tabular
priority: 0
- Dominant language
- Python
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Description
It would be useful to allow the user to run true cross-validation out of the box in TabularPredictor.
True cross-validation would ensure that the validation data is never used for any early stopping or ensembling logic, to avoid any kind of overfitting.
This could be implemented in several ways.
Most elegantly, we could implemented nested bagging, with models using the inner bag validation data for early stopping and ensembling, and never using the outer bag validation folds.
Nested bagging should also help improve ensembling performance on small datasets by avoiding overfitting.
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