Issues
- It's not clear on how many cases to assign to the training and validation sets
- The result might highly depend on the algorithm which is used to split the data into training and validation set
- Notion of "increasing validation error" is ambiguous; it may go up and down numerous times during training. The safest approach is to train to convergence, then determine which iteration had the lowest validation error. This impairs fast training, one of the advantages of early stopping.
Read more about this topic: Early Stopping
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