Pawel Flajszer Slip-boxNotebooksWorkAbout
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Validation set's split structure selects the model

The validation set says: “I’ll tell you which candidate scores best by my criterion”, or answers the question: “Which model is the best?”. Random val? The best interpolator wins. Temporal val? The best forecaster wins. Unit-grouped val? The best new-unit generalizer wins.

The validation set is used in the training loop to evaluate batches of data. Based on those evaluations (specifically the target metric), the best model is chosen, so validation set is actively used during training and has a real impact on the model choice. That chosen model is later evaluated using the test set.

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