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> One exercise that remains is: with nested CV, which model do you pick as your "production" model? Why even pick one, just make an ensemble out of all of them
by wongarsu 2y ago
> One exercise that remains is: with nested CV, which model do you pick as your "production" model?
Why even pick one, just make an ensemble out of all of them. Unless you need your model to remain blind to one test or validation set for some reason, but then you should probably choose at random anyways to avoid bias.
Of course this being HN somebody is going to mention some case where they only have the CPU or memory budget for one model. But in general making ensembles of multiple XGBoost models is a great way to get better model performance.