add an example for gridtune

examples/gridtune.jl

@@ -0,0 +1,43 @@
+# A simple example to demonstrate the use of gridtune
+
+using MLBase
+using MultivariateStats
+
+## prepare data
+
+n_tr = 20  # number of training samples
+n_te = 10  # number of testing samples
+d = 5      # dimension of observations
+
+theta = randn(d)
+X_tr = randn(n_tr, d)
+y_tr = X_tr * theta + 0.1 * randn(n_tr)
+X_te = randn(n_te, d)
+y_te = X_te * theta + 0.1 * randn(n_te)
+
+## tune the model
+
+function estfun(regcoef, bias)
+    s = ridge(X_tr, y_tr, regcoef; bias=bias)
+    return bias ? (s[1:end-1], s[end]) : (s, 0.0)
+end
+
+evalfun(m) = msd(X_te * m[1] + m[2], y_te) 
+
+r = gridtune(estfun, evalfun, 
+            ("regcoef", [1.0e-3, 1.0e-2, 1.0e-1, 1.0]), 
+            ("bias", (true, false)); 
+            ord=Reverse,
+            verbose=true)
+
+best_model, best_cfg, best_score = r
+
+## print results
+
+θ, b = best_model
+println("Best model:") 
+println("  θ = $(θ')"), 
+println("  b = $b")
+println("Best config: regcoef = $(best_cfg[1]), bias = $(best_cfg[2])")
+println("Best score: $(best_score)")
+