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feat: add pinball
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#' @title Average Pinball Loss | ||
#' | ||
#' @details | ||
#' The pinball loss for quantile regression is defined as \deqn{ | ||
#' \text{Average Pinball Loss} = \frac{1}{n} \sum_{i=1}^{n} w_{i} | ||
#' \begin{cases} | ||
#' q \cdot (t_i - r_i) & \text{if } t_i \geq r_i \\ | ||
#'(1 - q) \cdot (r_i - t_i) & \text{if } t_i < r_i | ||
#' \end{cases} | ||
#' } | ||
#' where \eqn{q} is the quantile and \eqn{w_i} are normalized sample weights. | ||
#' | ||
#' | ||
#' @templateVar mid pinball | ||
#' @template regr_template | ||
#' | ||
#' @inheritParams regr_params | ||
#' | ||
#' @param alpha `numeric(1)`\cr | ||
#' The quantile to compute the pinball loss. | ||
#' | ||
#' @template regr_example | ||
#' @export | ||
pinball = function(truth, response, sample_weights = NULL, alpha = 0.5, ...) { | ||
assert_regr(truth, response = response) | ||
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diff = truth - response | ||
wmean(ifelse(diff >= 0, alpha * diff, (1 - alpha) * -diff), sample_weights) | ||
} | ||
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#' @include measures.R | ||
add_measure(pinball, "Pinball", "regr", -Inf, Inf, TRUE) |
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