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GLM negative log likelihood method returns incorrect log likelihood #15719

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tomasfryda opened this issue Aug 28, 2023 · 2 comments
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GLM negative log likelihood method returns incorrect log likelihood #15719

tomasfryda opened this issue Aug 28, 2023 · 2 comments
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@tomasfryda
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model.negative_log_likelihood() reports the fast calculated log likelihood (just the part that's used for the parameter estimation) even when calc_like=True. model.model_performance().loglikelihood() reports the correct log likelihood.

This is confusing especially when AIC is orders of magnitude different than reported by model.negative_log_likelihood(). I think we should make model.negative_log_likelihood() return the correct log likelihood.

@tomasfryda tomasfryda added the bug label Aug 28, 2023
@tomasfryda tomasfryda added this to the 3.42.0.4 milestone Aug 28, 2023
@wendycwong
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image

@wendycwong
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I think @tomasfryda suggestion is the way to go. We will through an warning when user calls the function model.negative_log_likelihood(). Please add a warning to model.negative_log_likelihood() call that says:

This is the simplified negative log likelihood function used during training for speedup. To see the correct values (for loglikelihood and AIC), set calc_like=True and call model.model_performance().loglikelihood() and model.model_performance().aic()

syzonyuliia pushed a commit that referenced this issue Sep 8, 2023
@syzonyuliia syzonyuliia linked a pull request Sep 8, 2023 that will close this issue
syzonyuliia pushed a commit that referenced this issue Sep 11, 2023
syzonyuliia pushed a commit that referenced this issue Sep 18, 2023
syzonyuliia pushed a commit that referenced this issue Sep 18, 2023
syzonyuliia added a commit that referenced this issue Sep 25, 2023
* GH-15719: implement warning in python

* GH-15719: implement warning in R

* GH-15719: add warnings for all functions

* GH-15719: fix whitespaces in R

* GH-15719: fix parameters checks and AIC warnings

* GH-15719: add check for calc_like presence in parameters for AIC function

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Co-authored-by: syzonyuliia <yuliia.syzon@h2o.ai>
@mn-mikke mn-mikke closed this as completed Oct 3, 2023
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4 participants