matlab - Retraining after Cross Validation with libsvm

Question

I know that Cross validation is used for selecting good parameters. After finding them, i need to re-train the whole data without the -v option.

But the problem i face is that after i train with -v option, i get the cross-validation accuracy( e.g 85%). There is no model and i can't see the values of C and gamma. In that case how do i retrain?

Btw i applying 10 fold cross validation. e.g

optimization finished, #iter = 138
nu = 0.612233
obj = -90.291046, rho = -0.367013
nSV = 165, nBSV = 128
Total nSV = 165
Cross Validation Accuracy = 98.1273%

Need some help on it..

To get the best C and gamma, i use this code that is available in the LIBSVM FAQ

bestcv = 0;
for log2c = -6:10,
  for log2g = -6:3,
    cmd = ['-v 5 -c ', num2str(2^log2c), ' -g ', num2str(2^log2g)];
    cv = svmtrain(TrainLabel,TrainVec, cmd);
    if (cv >= bestcv),
      bestcv = cv; bestc = 2^log2c; bestg = 2^log2g;
    end
    fprintf('(best c=%g, g=%g, rate=%g)
',bestc, bestg, bestcv);
  end
end

Another question : Is that cross-validation accuracy after using -v option similar to that we get when we train without -v option and use that model to predict? are the two accuracy similar?

Another question : Cross-validation basically improves the accuracy of the model by avoiding the overfitting. So, it needs to have a model in place before it can improve. Am i right? Besides that, if i have a different model, then the cross-validation accuracy will be different? Am i right?

One more question: In the cross-validation accuracy, what is the value of C and gamma then?

The graph is something like this

Then the values of C are 2 and gamma = 0.0078125. But when i retrain the model with the new parameters. The value is not the same as 99.63%. Could there be any reason? Thanks in advance...

Answer 1

The -v option here is really meant to be used as a way to avoid the overfitting problem (instead of using the whole data for training, perform an N-fold cross-validation training on N-1 folds and testing on the remaining fold, one at-a-time, then report the average accuracy). Thus it only returns the cross-validation accuracy (assuming you have a classification problem, otherwise mean-squared error for regression) as a scalar number instead of an actual SVM model.

If you want to perform model selection, you have to implement a grid search using cross-validation (similar to the grid.py helper python script), to find the best values of C and gamma.

This shouldn't be hard to implement: create a grid of values using MESHGRID, iterate overall all pairs (C,gamma) training an SVM model with say 5-fold cross-validation, and choosing the values with the best CV-accuracy...

Example:

%# read some training data
[labels,data] = libsvmread('./heart_scale');

%# grid of parameters
folds = 5;
[C,gamma] = meshgrid(-5:2:15, -15:2:3);

%# grid search, and cross-validation
cv_acc = zeros(numel(C),1);
for i=1:numel(C)
    cv_acc(i) = svmtrain(labels, data, ...
                    sprintf('-c %f -g %f -v %d', 2^C(i), 2^gamma(i), folds));
end

%# pair (C,gamma) with best accuracy
[~,idx] = max(cv_acc);

%# contour plot of paramter selection
contour(C, gamma, reshape(cv_acc,size(C))), colorbar
hold on
plot(C(idx), gamma(idx), 'rx')
text(C(idx), gamma(idx), sprintf('Acc = %.2f %%',cv_acc(idx)), ...
    'HorizontalAlign','left', 'VerticalAlign','top')
hold off
xlabel('log_2(C)'), ylabel('log_2(gamma)'), title('Cross-Validation Accuracy')

%# now you can train you model using best_C and best_gamma
best_C = 2^C(idx);
best_gamma = 2^gamma(idx);
%# ...