Cross validation

In the next few exercises you'll be tuning your logistic regression model using a procedure called k-fold cross validation. This is a method of estimating the model's performance on unseen data (like your test DataFrame).

It works by splitting the training data into a few different partitions. The exact number is up to you, but in this course you'll be using PySpark's default value of three. Once the data is split up, one of the partitions is set aside, and the model is fit to the others. Then the error is measured against the held out partition. This is repeated for each of the partitions, so that every block of data is held out and used as a test set exactly once. Then the error on each of the partitions is averaged. This is called the cross validation error of the model, and is a good estimate of the actual error on the held out data.

You'll be using cross validation to choose the hyperparameters by creating a grid of the possible pairs of values for the two hyperparameters, elasticNetParam and regParam, and using the cross validation error to compare all the different models so you can choose the best one!

What does cross validation allow you to estimate?