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Quantile loss #8

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tlienart opened this issue Aug 24, 2019 · 0 comments
Open

Quantile loss #8

tlienart opened this issue Aug 24, 2019 · 0 comments

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@tlienart
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One day there may be a refactoring to use LossFunctions, in the mean time it's irrelevant but anyway:

  • -( 1 - tau) * r if r < 0
  • tau * r otherwise

https://www.stat.berkeley.edu/~mmahoney/pubs/quantile-icml13.pdf

For 1/2 it's basically l1

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