In the Tuning hyperparameters using grid search and cross-validation recipe in Chapter 8, Identifying Credit Default with Machine Learning, we described how to use grid search and randomized search to find the (possibly) best set of hyperparameters for our model. In this recipe, we introduce another approach to finding the optimal set of hyperparameters, this time based on the Bayesian methodology. The main motivation for the Bayesian approach is that both grid search and randomized search make uninformed choices, either through exhaustive search over all combinations or through a random sample. This way, they spend a lot of time evaluating bad (far from optimal) combinations, thus basically wasting time. That is why the Bayesian approach makes informed choices of the next set of hyperparameters to evaluate, this way reducing the time spent...
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You're reading from Python for Finance Cookbook
Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer.
Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson
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Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer.
Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson