Closed RomainBrault closed 4 years ago
do you have full example for multivariate quantile regressing with using model = tf.keras.Model() model.compile('sgd', loss=tfa.losses.PinballLoss(tau=.1))
from https://www.tensorflow.org/addons/api_docs/python/tfa/losses/PinballLoss
Describe the feature and the current behavior/state.
The pinball loss is a very simple modification of the MAE and allows (conditional) quantile regression. This is rather simple to code, and would be of interest for a large community.
This has been submitted to TensorFlow (tensorflow/tensorflow#32871) and redirected here.
A pull request is open (#579)
Relevant information
Which API type would this fall under (layer, metric, optimizer, etc.)
metrics and losses (Keras)
Who will benefit with this feature?
People in econmics, biology. To model data uncertainty / distribution.
Any other info.