I2ML - Nested Resampling

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Finally! a good explanation of this. Nice work

joshuaharrison
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Nice explanation! You are using the same set of HP configurations λi, with i=1, ..., N through fourfold CV (in the innner loop). But, what happend if I would like to use a Bayesian hyperparameter to sample the values of the paramters? For example, for each outer cv with its corresponding inner cv, could I use a Bayesian hyperparameter search? Then the set of HP configuration wouldn't be the same in each inner cv, and then the question is: Can be the set of HP configurations different in each inner cv and is it still valid this nested cross valitadion method?

guillermotorres