MSRDL / Deep4Cast

Probabilistic Multivariate Time Series Forecast using Deep Learning
BSD 3-Clause "New" or "Revised" License
94 stars 22 forks source link

Implement negative log likelihood loss function #40

Closed bischtob closed 5 years ago

bischtob commented 6 years ago

We need to have a custom loss function similar to the ones from this paper: https://arxiv.org/abs/1703.04977

zer0n commented 6 years ago

Here's a better paper (I think) regarding this: https://publications.aston.ac.uk/373/1/NCRG_94_004.pdf

It's a high priority item to me (independent of AI-611). Dropout alone provides crude uncertainty estimate but there's nothing in our current implementation that evaluates the uncertainty or enforces that we will have the right uncertainty.

Nhat, my intern, is implementing this for our RL project. You can ask him for tips to get it right.

bischtob commented 6 years ago

Cool!