GRIDSEARCH: Stata module to optimize tuning parameter levels with a grid search

gridsearch runs a user-specified statistical learning (aka machine learning) algorithm repeatedly with a grid of values corresponding to one or two tuning parameters. This facilities the tuning of statistical learning algorithms. Examples of statistical learning algorithms that require tuning include support vector machines, gradient boosting, k-nearest neighbors, random forests. After evaluating all combinations of values according to criterion, gridsearch lists the best combination and the corresponding value of the criterion.