On Mon, Mar 19, 2012 at 1:22 AM, Andreas <[email protected]> wrote:

> Are there any other options?

Another solution is to perform cross-validation using non-scaled C
values, select the best one and scale it before refitting with the
entire dataset (to take into account that the entire dataset is bigger
than a train split).
Injecting estimator-specific code in GridSearchCV would be dirty so a
SVCCV class could be added. Note that, in my opinion, such a class
should be added anyway: currently the grid search throws away the
kernel cache even though it could be reused across folds (unless the
parameter is a kernel one). Reusing kernel cache makes it hard to
parallelize the grid search but I wouldn't be surprised if a
sequential approach with shared kernel cache is faster than a parallel
approach with separate kernel cache.

Mathieu

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