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DEEPCHECKS GLOSSARY

Holdout Data

What is Holdout Data?

When training a machine learning model, holdout data is data that is intentionally excluded from the dataset.

  • The trained model’s efficacy on novel, unseen data is assessed using the holdout method.

Validation refers to the process of assessing a model’s accuracy by comparing it to a holdout set. If the model matches the training data too closely and cannot generalize to new data, this is known as overfitting, and the holdout technique is used to identify and avoid it during validation.

Usually, a small subset of the data is removed as “holdouts” before training the model, and the remaining data is utilized. The length of the holdout period and the number of observations required for the model both affect the amount of the holdout set. Depending on the nature of the issue at hand, it’s typical practice to put aside 20-30% of the sample as holdout data.

Machine learning experts may check whether their models can generalize to new data beyond what they’ve already trained them on by employing the hold-out method for evaluation. This is crucial for maintaining the precision and dependability of machine learning models in practical settings.

Hold-out vs. Cross-validation

Performance evaluation methods for machine learning models include holdout and cross-validation.

  • Holdout

    The dataset is divided into a training set and a validation set. The model is “trained” on the training set, and its “performance” is “validated” on the validation set. Although the holdout approach is quick and easy to use, it may provide large estimates of error when the dataset size is small.

  • Cross-validation

    In contrast, cross-validation requires splitting the dataset into a number of “folds,” or smaller subgroups. The model is trained on k minus one folds and tested on the final fold. Each fold is utilized as the validation set just once during the k iterations of this procedure. The model’s output is then normalized over the k iterations. Especially when the dataset size is limited, cross-validation provides a more accurate assessment of the model’s efficacy. Yet, it might be resource intensive on the computer, particularly with big data and complicated models.

When the dataset is big and the model is simple, holdout testing is a suitable option, whereas cross-validation is preferable when the dataset size is small, and the model is complicated. Both methods have advantages and disadvantages, so choosing one over the other ultimately comes down to the nature of the issue at hand and the availability of resources.

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Importance of Holdout Data

There are several applications of holdout data in machine learning.

  • Avoiding Overfitting When a model fits the training data too closely, it is said to be overfitting, and this may lead to subpar results when applied to fresh data. Overfitting may be found and avoided with the use of the holdout technique, which is used to assess how well the model works with additional information.
  • Model Performance Evaluation Measure the efficacy of a machine learning model on previously unknown data with the use of a holdout approach. This is crucial to make sure the model can adapt to new information and isn’t just a glorified data sponge.
  • Model Comparison The performance of several machine learning models on the same dataset may be compared using the holdout technique. This may be useful in finding the most effective model for a certain issue.
  • Tuning Model Parameters To fine-tune a machine learning model’s settings, such as its learning rate or regularization strength, the holdout method may be employed. As a result, the model’s efficiency and accuracy on fresh data may be enhanced.

Overall, holdout data is crucial for testing the robustness and accuracy of machine learning models in production settings. Machine learning practitioners may make sure their models can generalize to new data by utilizing the holdout approach to test and improve their models’ performance.