Adding RMSE With Uncertainty loss to CatBoost #1044
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jonasracine
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hrzn,
tomasvanpottelbergh,
dennisbader and
brunnedu
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Codecov Report
@@ Coverage Diff @@
## master #1044 +/- ##
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+ Coverage 91.35% 91.39% +0.04%
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Files 78 78
Lines 7931 7941 +10
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+ Hits 7245 7258 +13
+ Misses 686 683 -3
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hrzn
reviewed
Jun 29, 2022
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| model_output = self.model.predict(x, **kwargs) | ||
| output_dim = len(model_output.shape) | ||
| chunk_len = self.output_chunk_length |
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I'd recommend you get rid of this variable and simply use self.output_chunk_length.
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So in view of the tutorial you posted, what sort of "knowledge uncertainty" is this version capturing? It'd be nice to document this. |
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In this PR, CatBoostModel and RegressionModel were modified to support CatBoost's RMSE With Uncertainty loss function.
With this loss, CatBoost output not a single value but a [mean, variance] list. Most of the work here was concerned with wrangling output shapes, especially in the multivariate case and with output chunks > 1.
This PR depends on the original CatBoost PR and should be merged after it.