Part of Advances in Neural Information Processing Systems 33 (NeurIPS 2020)
Soumya Ghosh, Will Stephenson, Tin D. Nguyen, Sameer Deshpande, Tamara Broderick
Many modern data analyses benefit from explicitly modeling dependence structure in data -- such as measurements across time or space, ordered words in a sentence, or genes in a genome. A gold standard evaluation technique is structured cross-validation (CV), which leaves out some data subset (such as data within a time interval or data in a geographic region) in each fold. But CV here can be prohibitively slow due to the need to re-run already-expensive learning algorithms many times. Previous work has shown approximate cross-validation (ACV) methods provide a fast and provably accurate alternative in the setting of empirical risk minimization. But this existing ACV work is restricted to simpler models by the assumptions that (i) data across CV folds are independent and (ii) an exact initial model fit is available. In structured data analyses, both these assumptions are often untrue. In the present work, we address (i) by extending ACV to CV schemes with dependence structure between the folds. To address (ii), we verify -- both theoretically and empirically -- that ACV quality deteriorates smoothly with noise in the initial fit. We demonstrate the accuracy and computational benefits of our proposed methods on a diverse set of real-world applications.