Note on Free Lunches and Cross-Validation

Abstract

The “no-free-lunch” theorems (Wolpert & Macready, 1995) have sparked heated debate in the computational learning community. A recent communication (Zhu & Rohwer, 1996) attempts to demonstrate the inefficiency of cross-validation on a simple problem. We elaborate on this result by considering a broader class of cross-validation. When used more strictly, cross-validation can yield the expected results on simple examples.