Grid Search and Early Stopping Using Cross Validat

I am fairly new to sci-kit learn and have been trying to hyper-paramater tune XGBoost. My aim is to use early stopping and grid search to tune the model parameters and use early stopping to control the number of trees and avoid overfitting.

As I am using cross validation for the grid search, I was hoping to also use cross-validation in the early stopping criteria. The code I have so far looks like this:

import numpy as np
import pandas as pd
from sklearn import model_selection
import xgboost as xgb

#Import training and test data
train = pd.read_csv("train.csv").fillna(value=-999.0)
test = pd.read_csv("test.csv").fillna(value=-999.0)

# Encode variables
y_train = train.price_doc
x_train = train.drop(["id", "timestamp", "price_doc"], axis=1)

# XGBoost - sklearn method
gbm = xgb.XGBRegressor()

xgb_params = {
'learning_rate': [0.01, 0.1],
'n_estimators': [2000],
'max_depth': [3, 5, 7, 9],
'gamma': [0, 1],
'subsample': [0.7, 1],
'colsample_bytree': [0.7, 1]
}

fit_params = {
'early_stopping_rounds': 30,
'eval_metric': 'mae',
'eval_set': [[x_train,y_train]]
}

grid = model_selection.GridSearchCV(gbm, xgb_params, cv=5, 
fit_params=fit_params)
grid.fit(x_train,y_train)

The problem I am having is the 'eval_set' parameter. I understand that this wants the predictor and response variables but I am not sure how I can use the cross-validation data as the early stopping criteria.

Does anyone know how to overcome this problem? Thanks.

You could pass you early_stopping_rounds, and eval_set as an extra fit_params to GridSearchCV, and that would actually work. However, GridSearchCV will not change the fit_params between the different folds, so you would end up using the same eval_set in all the folds, which might not be what you mean by CV.

model=xgb.XGBClassifier()
clf = GridSearchCV(model, parameters,
                         fit_params={'early_stopping_rounds':20,\
                         'eval_set':[(X,y)]},cv=kfold)

After some tweaking, I found the safest way to integrate early_stopping_rounds and the sklearn API is to implement an early_stopping mechanism your self. You can do it if you do a GridSearchCV with n_rounds as paramter to be tuned. You can then watch the mean_validation_score for the different models with increasing n_rounds. Then you can define a custom heuristic for early stop. it wont save the computational time needed to evaluate all the possible n_rounds though

I think it is also a better approach then using a single split hold-out for this purpose.