This short explains why there is no such a thing as a free lunch in the ML world.
“All models are wrong but some are useful”
– George Box
In ML, we construct models for a problem and with model comparison, we try to find the best model. However, the free lunch theorem states that there is no universally best model – and this idea is often referred to as No Free Lunch Theorem.
Intuitively, the assumption that made a model the best model for a given problem may be very different from the assumptions of another problem, and hence the model we use now may be completely different from the best model of another problem.
Thus, ML needs to develop many different methods/ models and we need to be able to compare them to find a good one for our purposes.
Thanks for reading!