bokbokbok.eval_metrics.regression

LogCoshMetric(XGBoost=False)

Calculates the Log Cosh Error as an alternative to Mean Absolute Error.

Parameters:

Name	Type	Description	Default
XGBoost	Bool	Set to True if using XGBoost. We assume LightGBM as default use. Note that you should also set maximize=False in the XGBoost train function	False

Source code in bokbokbok/eval_metrics/regression/regression_eval_metrics.py

def LogCoshMetric(XGBoost=False):
    """
    Calculates the [Log Cosh Error](https://openreview.net/pdf?id=rkglvsC9Ym) as an alternative to
    Mean Absolute Error.
    Args:
        XGBoost (Bool): Set to True if using XGBoost. We assume LightGBM as default use.
                        Note that you should also set `maximize=False` in the XGBoost train function

    """
    def log_cosh_error(yhat, dtrain, XGBoost=XGBoost):
        """
        Root Mean Squared Log Error.
        All input labels are required to be greater than -1.

        yhat: Predictions
        dtrain: The XGBoost / LightGBM dataset
        XGBoost (Bool): If XGBoost is to be implemented
        """

        y = dtrain.get_label()
        elements = np.log(np.cosh(yhat - y))
        if XGBoost:
            return 'LogCosh', float(np.sum(elements) / len(y))
        else:
            return 'LogCosh', float(np.sum(elements) / len(y)), False

    return log_cosh_error

RMSPEMetric(XGBoost=False)

Calculates the Root Mean Squared Percentage Error: https://www.kaggle.com/c/optiver-realized-volatility-prediction/overview/evaluation

The corresponding Loss function is Squared Percentage Error.

Parameters:

Name	Type	Description	Default
XGBoost	Bool	Set to True if using XGBoost. We assume LightGBM as default use. Note that you should also set maximize=False in the XGBoost train function	False

Source code in bokbokbok/eval_metrics/regression/regression_eval_metrics.py

def RMSPEMetric(XGBoost=False):
    """
    Calculates the Root Mean Squared Percentage Error:
    https://www.kaggle.com/c/optiver-realized-volatility-prediction/overview/evaluation

    The corresponding Loss function is Squared Percentage Error.
    Args:
        XGBoost (Bool): Set to True if using XGBoost. We assume LightGBM as default use.
                        Note that you should also set `maximize=False` in the XGBoost train function

    """
    def RMSPE(yhat, dtrain, XGBoost=XGBoost):
        """
        Root Mean Squared Log Error.
        All input labels are required to be greater than -1.

        yhat: Predictions
        dtrain: The XGBoost / LightGBM dataset
        XGBoost (Bool): If XGBoost is to be implemented
        """

        y = dtrain.get_label()
        elements = ((y - yhat) / y) ** 2
        if XGBoost:
            return 'RMSPE', float(np.sqrt(np.sum(elements) / len(y)))
        else:
            return 'RMSPE', float(np.sqrt(np.sum(elements) / len(y))), False

    return RMSPE