Michael Shtelma mshtelma
Nikolay-Lysenko
/ xgb_quantile_loss.py
Last active
October 25, 2023 13:26
Customized loss function for quantile regression with XGBoost
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| 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 |