search

JuliaML / LossFunctions.jl

Julia package of loss functions for machine learning.
https://juliaml.github.io/LossFunctions.jl/stable
Other
148 stars 34 forks source link

Adding ELPD #144

Open ParadaCarleton opened 3 years ago

ParadaCarleton commented 3 years ago

Maximizing the expected log posterior density (ELPD) is a common objective function in Bayesian inference and Bayesian neural networks, and I'd be interested in having it as a loss function for a package I'm building. I'd be happy to implement it if someone around here is willing to help me figure out the API (I haven't used JuliaML before; I'm building a package that does efficient LOO-CV for Bayesian models).

(Note: ELPD is the generalization of log-loss/cross-entropy loss to regression, rather than classification, problems.)

juliohm commented 2 years ago

@ParadaCarleton please draft a PR and we can discuss details.