Questions tagged [loss-functions]

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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, $...
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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 ...
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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 ...
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