Say I have some arbitrary score function my_func() that I want GridSearchCV
to optimize. Let's say I'm doing classification and not regression.
GridSearchCV will use a classifier's predict() function to make
predictions, and pass those predictions into the my_func, along with the
true values. But what if my_func needs the output of predict_proba to
arrive at its score? Is there any way I can get GridSearchCV use do
predict_proba with my_func?
(In case you're interested, in my case I'm trying to use top decile lift
with logistic regression).
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