Questions tagged [loss-functions]

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Objective/Cost Function Normalization (MPC)

I am trying to develop an MPC. In this MPC, I predict the temperature and try to bring the sensor value to the desired setpoint temperature. I predict the temperature in the next 180 minutes for the ...
Clankk's user avatar
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2 votes
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Optimization of a noisy loss function

I'm trying to optimize a noisy loss function (experimental) where the absolute value of the gradient changes significantly depending on the direction taken. In other words, some parameters have a ...
Jose Manuel de Frutos's user avatar
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clarification on the definition of loss function

Given $X$ the set of all possible solutions, and $A \subseteq X$ the set of admissible solutions; a cost function is defined like this: $f:X \rightarrow R$. But it is not clear to me what the function ...
Shyvert's user avatar
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9 votes
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How can I model regression with an asymmetric loss function?

Mosek provided a concrete example of using the Huber loss function, Huber loss, which is great! One problem I am trying to tackle is to use asymmetric loss, as described in the answer of asymmetric ...
eight3's user avatar
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12 votes
2 answers

Loss functions for specific probability distributions?

For a random variable $X$ with pdf $f(x)$, the loss function* is defined as $$n(x) = \mathbb{E}[(X-x)^+] = \int_{x}^\infty (y-x)f(y)dy,$$ where $a^+ = \max\{a,0\}$. Or, for a discrete distribution, $...
LarrySnyder610's user avatar