Clean up xvalidation API

[karlnapf]

• Let's make the splitting strategy an iterator
• let's rename generate_subset_indices and generate_subset_inverse to something like get_train and get_validation or even better train and validation
• Let's get rid of the build_subsets method (and do it in the constructor or lazily when the first index set is requested)
• make the methods that return indices const and make then return a const vector (which then can be a read-only view on some pre-allocated array)

Probably more to come. Have a look at the sklearn splittings at e.g. here
See also #3965

[karlnapf]

Good example for time-series splitting based on simple iterator approach
https://github.com/scikit-learn/scikit-learn/blob/ea6ea815e1071bfb9de18953fea98b136a7fa8ed/sklearn/model_selection/_split.py#L770

[braceletboy]

@karlnapf I wanna take this up.

[karlnapf]

Go for it

[luisffranca]

Hi @karlnapf !

By "make the splitting strategy an iterator" you mean creating a method (like split on sklearn's example) that would return iterators for the training (and test) set indices for that subset index? Such a method would internally call generate_subset_indices and generate_subset_inverse (with their new names as you suggested). Is my understanding correct?

[karlnapf]

An iterator would be a next step, much cleaner, yes