I have tried the search-grid and BayesSearchCV for tuning my lightGBM algorithm (for binary classification).
I have used 10 iterations. And I have indicated scoring ="roc_auc"
In the first iteration, I have got:
best score (e.g :0.71...) and best param (e.g: max-depth: 10 , learning-rate: 0.17..., num-leave:175, n-estimators: 176, ....)
In the 10th iteration, I have got :
best score (e.g :0.72...) and best param (e.g: max-depth: 9 , learning-rate: 0.19..., num-leave:168, n-estimators: 172, ....)
Then I tried to train my LightGBM classifier with the 10th param (which supposed that it get the best score!!). I have got :
AUC : (0.7541... , 0.6467...) Accuracy: 0.7338.. RMSE: 0.5216..
Then because I had some curiosity, I have tried to train my classifier with (best param) of the First iteration (which considerate as worst score)!. I had surprised by the result that I have got:
AUC : (0.7545... , 0.6592....) Accuracy: 0.7332.. RMSE: 0.5152..
Because I have fixed previously scoring by roc-auc I should get AUC in the 10th iteration better than the first iteration but I have got the contrary.
I have supposed that it is considered AUC train of 10th iteration 0.7541 as better than 0.7545 of the 1st because of the overfitting. But when I tried to check the 3rd and the 5th iteration I get on the 3rd 0.7532 and in the 5th 0.7548.
So I don’t know what the best score in this algorithm means. And why we should if it get values as the described situation. (I had tried then many times with other tuning parameters but I get the same case. I don’t know where is the problem exactly.