I wonder if we can set up an "optional" step in sklearn.pipeline. For example, for a classification problem, I may want to try an ExtraTreesClassifier with AND without a PCA transformation ahead of it. In practice, it might be a pipeline with an extra parameter specifying the toggle of the PCA step, so that I can optimize on it via GridSearch and etc. I don't see such an implementation in sklearn source, but is there any work-around?
Furthermore, since the possible parameter values of a following step in pipeline might depend on the parameters in a previous step (e.g., valid values of ExtraTreesClassifier.max_features depend on PCA.n_components), is it possible to specify such a conditional dependency in sklearn.pipeline and sklearn.grid_search?
Thank you!
Pipeline steps cannot currently be made optional in a grid search but you could wrap the PCA class into your own OptionalPCA component with a boolean parameter to turn off PCA when requested as a quick workaround. You might want to have a look at hyperopt to setup more complex search spaces. I think it has good sklearn integration to support this kind of patterns by default but I cannot find the doc anymore. Maybe have a look at this talk.
For the dependent parameters problem, GridSearchCV supports trees of parameters to handle this case as demonstrated in the documentation.