[scikit-learn] Tuning custom parameters using grid_search

[Piotr Bialecki]

Hi all,

I am currently tuning some parameters of my xgboost model using scikit's grid_search, e.g.:

param_test1 = {'max_depth':range(3,10,2),
                           'min_child_weight':range(1,6,2)
}
gsearch1 = GridSearchCV(estimator = XGBClassifier(learning_rate =0.1, n_estimators=762,
                                                                                     max_depth=5, min_child_weight=1, gamma=0,
                                                                                     subsample=0.8, colsample_bytree=0.8,
                                                                                     objective= 'binary:logistic', nthread=4,
                                                                                     scale_pos_weight=1, seed=2809),
                                            param_grid = param_test1,
                                            scoring='roc_auc',
                                            n_jobs=6,
                                            iid=False, cv=5)

Before that I preprocessed my dataset X with some different methods.
These preprocessing steps have some parameters too, which I would like to tune.
I know that it is possible to tune the parameters of the preprocessing steps,
if they are part pf my pipeline.
E.g. if I am using PCA, I could tune the parameter n_components, right?

But what if I have some "custom" preprocessing code with some parameters?
Is it possible to create a scikit-compatible "object" of my custom code in order to tune the
parameters in the pipeline with grid search?
Imagine I would like to write a custom method FeatureMultiplier() with a parameter multiplier_value.
Is it possible to create a scikit-compatible class out of this method and tune it with grid search?

I thought I saw a talk about exactly this topic at some PyData in 2016 or 2015,
but unfortunately I cannot find the video of it.
Maybe I misunderstood the presentation at that time.


Best regards,
Piotr
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