{"action":"created","issue":{"url":"https://api.github.com/repos/dmlc/xgboost/issues/603","repository_url":"https://api.github.com/repos/dmlc/xgboost","labels_url":"https://api.github.com/repos/dmlc/xgboost/issues/603/labels{/name}","comments_url":"https://api.github.com/repos/dmlc/xgboost/issues/603/comments","events_url":"https://api.github.com/repos/dmlc/xgboost/issues/603/events","html_url":"https://github.com/dmlc/xgboost/issues/603","id":115498159,"number":603,"title":"Mean absolute error?","user":{"login":"erikbern","id":1027979,"avatar_url":"https://avatars1.githubusercontent.com/u/1027979?v=3","gravatar_id":"","url":"https://api.github.com/users/erikbern","html_url":"https://github.com/erikbern","followers_url":"https://api.github.com/users/erikbern/followers","following_url":"https://api.github.com/users/erikbern/following{/other_user}","gists_url":"https://api.github.com/users/erikbern/gists{/gist_id}","starred_url":"https://api.github.com/users/erikbern/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/erikbern/subscriptions","organizations_url":"https://api.github.com/users/erikbern/orgs","repos_url":"https://api.github.com/users/erikbern/repos","events_url":"https://api.github.com/users/erikbern/events{/privacy}","received_events_url":"https://api.github.com/users/erikbern/received_events","type":"User","site_admin":false},"labels":[{"id":278943668,"url":"https://api.github.com/repos/dmlc/xgboost/labels/discussion","name":"discussion","color":"fad8c7","default":false},{"id":79070789,"url":"https://api.github.com/repos/dmlc/xgboost/labels/enhancement","name":"enhancement","color":"84b6eb","default":true},{"id":170263099,"url":"https://api.github.com/repos/dmlc/xgboost/labels/Python-Package","name":"Python-Package","color":"0052cc","default":false}],"state":"closed","locked":false,"assignee":null,"assignees":[],"milestone":null,"comments":9,"created_at":"2015-11-06T12:45:06Z","updated_at":"2017-05-17T11:55:40Z","closed_at":"2016-01-15T05:22:45Z","body":"I noticed there's an objective for root mean square error but not for mean absolute error? I'm happy to put together a PR for this if you think this would be useful.\n\nActually what I think would be even more useful is to generalize this to quantile loss – happy to include that too. My use case is I want to predict a 90% interval. This could be done by training two separate predictors, quantile loss for 0.05 and 0.95.\n\nLet me know if you think this is a bad idea and I won't attempt it :)\n"},"comment":{"url":"https://api.github.com/repos/dmlc/xgboost/issues/comments/302067655","html_url":"https://github.com/dmlc/xgboost/issues/603#issuecomment-302067655","issue_url":"https://api.github.com/repos/dmlc/xgboost/issues/603","id":302067655,"user":{"login":"arbackus","id":1695242,"avatar_url":"https://avatars3.githubusercontent.com/u/1695242?v=3","gravatar_id":"","url":"https://api.github.com/users/arbackus","html_url":"https://github.com/arbackus","followers_url":"https://api.github.com/users/arbackus/followers","following_url":"https://api.github.com/users/arbackus/following{/other_user}","gists_url":"https://api.github.com/users/arbackus/gists{/gist_id}","starred_url":"https://api.github.com/users/arbackus/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/arbackus/subscriptions","organizations_url":"https://api.github.com/users/arbackus/orgs","repos_url":"https://api.github.com/users/arbackus/repos","events_url":"https://api.github.com/users/arbackus/events{/privacy}","received_events_url":"https://api.github.com/users/arbackus/received_events","type":"User","site_admin":false},"created_at":"2017-05-17T11:55:40Z","updated_at":"2017-05-17T11:55:40Z","body":"The log-cosh objective still suffers from the gradient and hessian for very large off-target predictions being constant, therefore resulting in absence of splits. Here is a blog post on the topic, a possible solution and implementation in Python: http://www.bigdatarepublic.nl/regression-prediction-intervals-with-xgboost/"}}
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