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The question is answered in the book Elements of statistical learning page 222.

The validation set is used for model selection, the test set for final model (the model which was selected by selection process) prediction error. If you have two sets taken in separate locations wouldn't it be better to take one as training set and the other as the test set?

You then need a 3rd test set to assess the final performance of the model.

In other words, validation set is the training set for human.

In a typical setting the test set is only used to estimate the final performance; ideally one is not even allowed to look at it.

Then from the remaining data I can run cross-validation multiple times, each time selecting training set and cross-validation set randomly. choose one option among several options), you must have an additional set/partition to gauge the accuracy of your choice so that you do not simply pick the most favorable result of randomness and mistake the tail-end of the distribution for the center . In that case, your validation step would be your test step.

all parameters are the same or all algorithms are the same), hence my reference to the distribution.

I think the first sentence captures the fundamental answer to this question better than any of the other answers.

Cross-Validation set (20% of the original data set): This data set is used to compare the performances of the prediction algorithms that were created based on the training set.

We choose the algorithm that has the best performance.




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