Classical models built from the math you already know
Adjusting a shower's hot and cold knobs over a few trial rounds until the temperature feels right is ordinary trial and error. Nobody tests those trial rounds on the one shower that actually matters, tomorrow morning before work. That shower gets used once, with both knobs already settled from tonight's fiddling. Hyperparameter search works the same way: try settings, check them against something safe to experiment on, and save the one real test for last.
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▶ Tuning Model Knobs: Hyperparameter Search Done Right