How to get training & validation loss of Keras scikit-learn wrapper in cross validation?

Question

I know that model.fit in keras returns a callbacks.History object where we can get loss and other metrics from it as follows.

...
train_history = mo         


        

Answer 1

As mentioned explicitly in the documentation, cross_val_score includes a scoring argument, which is

Similar to cross_validate but only a single metric is permitted.

hence it cannot be used for returning all the loss & metric info of Keras model.fit().

The scikit-learn wrapper of Keras is meant as a convenience, provided that you are not really interested in all the underlying details (such as training & validation loss and accuracy). If this is not the case, you should revert to using Keras directly. Here is how you could do that using the example you have linked to and elements of this answer of mine:

import numpy as np
from keras import models, layers
from sklearn.datasets import make_classification
from sklearn.model_selection import KFold

np.random.seed(0)

# Number of features
number_of_features = 100

# Generate features matrix and target vector
features, target = make_classification(n_samples = 10000,
                                       n_features = number_of_features,
                                       n_informative = 3,
                                       n_redundant = 0,
                                       n_classes = 2,
                                       weights = [.5, .5],
                                       random_state = 0)

def create_network():
    network = models.Sequential()
    network.add(layers.Dense(units=16, activation='relu', input_shape=(number_of_features,)))
    network.add(layers.Dense(units=16, activation='relu'))
    network.add(layers.Dense(units=1, activation='sigmoid'))

    network.compile(loss='binary_crossentropy', 
                    optimizer='rmsprop', 
                    metrics=['accuracy']) 

    return network

n_splits = 3
kf = KFold(n_splits=n_splits, shuffle=True)

loss = []
acc = []
val_loss = []
val_acc = []

# cross validate:
for train_index, val_index in kf.split(features):
    model = create_network()
    hist = model.fit(features[train_index], target[train_index],
                     epochs=10,
                     batch_size=100,
                     validation_data = (features[val_index], target[val_index]),
                     verbose=0)
    loss.append(hist.history['loss'])
    acc.append(hist.history['acc'])
    val_loss.append([hist.history['val_loss']])
    val_acc.append(hist.history['val_acc'])

After which, for example loss will be:

[[0.7251979386058971,
  0.6640552306833333,
  0.6190941931069023,
  0.5602273066015956,
  0.48771809028534785,
  0.40796665995284814,
  0.33154681897220617,
  0.2698465999525444,
  0.227492357244586,
  0.1998490962115201],
 [0.7109123742507104,
  0.674812126485093,
  0.6452083222258479,
  0.6074533335751673,
  0.5627432800365635,
  0.51291748379345,
  0.45645068427406726,
  0.3928780094229408,
  0.3282097149542538,
  0.26993170230619656],
 [0.7191790426458682,
  0.6618405645963258,
  0.6253172250296091,
  0.5855853647883192,
  0.5438901918195831,
  0.4999895181964501,
  0.4495182811042725,
  0.3896359298090465,
  0.3210068798340545,
  0.25932698793518183]]

i.e. a list of n_splits lists (here 3), each one of which contains the training loss for each epoch (here 10). Similarly for the other lists...