quantileloss Class Reference

Inheritance diagram for quantileloss:

Public Member Functions
	quantileloss (float &tau_)
std::string	getType ()
float	getLoss (shared_data *, float prediction, float label)
float	getUpdate (float prediction, float label, float update_scale, float pred_per_update)
float	getUnsafeUpdate (float prediction, float label, float update_scale)
float	getRevertingWeight (shared_data *sd, float prediction, float eta_t)
float	first_derivative (shared_data *, float prediction, float label)
float	getSquareGrad (float prediction, float label)
float	second_derivative (shared_data *, float, float)
Public Member Functions inherited from loss_function
virtual	~loss_function ()

Public Attributes
float	tau

Detailed Description

Definition at line 231 of file loss_functions.cc.

Constructor & Destructor Documentation

quantileloss()

quantileloss::quantileloss ( float &  tau_ )

inline

Definition at line 234 of file loss_functions.cc.

: tau(tau_) {}

Member Function Documentation

first_derivative()

float quantileloss::first_derivative ( shared_data *  , float  prediction, float  label  )

inlinevirtual

Implements loss_function.

Definition at line 286 of file loss_functions.cc.

  {
    float e = label - prediction;
    if (e == 0)
      return 0;
    return e > 0 ? -tau : (1 - tau);
  }

getLoss()

float quantileloss::getLoss ( shared_data *  , float  prediction, float  label  )

inlinevirtual

Implements loss_function.

Definition at line 238 of file loss_functions.cc.

  {
    float e = label - prediction;
    if (e > 0)
      return tau * e;
    else
      return -(1 - tau) * e;
  }

getRevertingWeight()

float quantileloss::getRevertingWeight ( shared_data *  sd, float  prediction, float  eta_t  )

inlinevirtual

Implements loss_function.

Definition at line 275 of file loss_functions.cc.

References shared_data::max_label, and shared_data::min_label.

  {
    float v, t;
    t = 0.5f * (sd->min_label + sd->max_label);
    if (prediction > t)
      v = -(1 - tau);
    else
      v = tau;
    return (t - prediction) / (eta_t * v);
  }

getSquareGrad()

float quantileloss::getSquareGrad ( float  prediction, float  label  )

inlinevirtual

Implements loss_function.

Definition at line 294 of file loss_functions.cc.

References squaredloss::first_derivative().

  {
    float fd = first_derivative(nullptr, prediction, label);
    return fd * fd;
  }

getType()

std::string quantileloss::getType ( )

inlinevirtual

Implements loss_function.

Definition at line 236 of file loss_functions.cc.

{ return "quantile"; }

getUnsafeUpdate()

float quantileloss::getUnsafeUpdate ( float  prediction, float  label, float  update_scale  )

inlinevirtual

Implements loss_function.

Definition at line 265 of file loss_functions.cc.

  {
    float err = label - prediction;
    if (err == 0)
      return 0;
    if (err > 0)
      return tau * update_scale;
    return -(1 - tau) * update_scale;
  }

getUpdate()

float quantileloss::getUpdate ( float  prediction, float  label, float  update_scale, float  pred_per_update  )

inlinevirtual

Implements loss_function.

Definition at line 247 of file loss_functions.cc.

  {
    float err = label - prediction;
    if (err == 0)
      return 0;
    float normal = update_scale * pred_per_update;  // base update size
    if (err > 0)
    {
      normal = tau * normal;
      return (normal < err ? tau * update_scale : err / pred_per_update);
    }
    else
    {
      normal = -(1 - tau) * normal;
      return (normal > err ? (tau - 1) * update_scale : err / pred_per_update);
    }
  }

second_derivative()

float quantileloss::second_derivative ( shared_data *  , float  , float    )

inlinevirtual

Implements loss_function.

Definition at line 300 of file loss_functions.cc.

{ return 0.; }

Member Data Documentation

tau

float quantileloss::tau

Definition at line 302 of file loss_functions.cc.

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The documentation for this class was generated from the following file:

• /mnt/c/w/linux/vowpal_wabbit/vowpalwabbit/loss_functions.cc