Chen Qin chenqin
chenqin
/ xgb_quantile_loss.py
Created
September 25, 2018 06:00
— forked from Nikolay-Lysenko/xgb_quantile_loss.py
Customized loss function for quantile regression with XGBoost
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| import numpy as np | |
| def xgb_quantile_eval(preds, dmatrix, quantile=0.2): | |
| """ | |
| Customized evaluational metric that equals | |
| to quantile regression loss (also known as | |
| pinball loss). | |
| Quantile regression is regression that |