Hendrik/xgboost
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Verify strictly positive labels for gamma regression. (#6778)

Browse Source 
Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>
This commit is contained in:
Jiaming Yuan
2021-03-25 11:46:52 +08:00
committed by GitHub
parent 794fd6a46b
commit 1d90577800
3 changed files with 22 additions and 16 deletions
Download Patch File Download Diff File Expand all files Collapse all files

16
src/metric/elementwise_metric.cu
View File

@@ -304,13 +304,17 @@ struct EvalGammaNLogLik {
}
XGBOOST_DEVICE bst_float EvalRow(bst_float y, bst_float py) const {
const bst_float eps = 1e-16f;
if (y < eps) y = eps;
bst_float psi = 1.0;
py = std::max(py, 1e-6f);
// hardcoded dispersion.
float constexpr kPsi = 1.0;
bst_float theta = -1. / py;
bst_float a = psi;
bst_float b = -std::log(-theta);
bst_float c = 1. / psi * std::log(y/psi) - std::log(y) - common::LogGamma(1. / psi);
bst_float a = kPsi;
// b = -std::log(-theta);
float b = 1.0f;
// c = 1. / kPsi * std::log(y/kPsi) - std::log(y) - common::LogGamma(1. / kPsi);
// = 1.0f * std::log(y) - std::log(y) - 0 = 0
float c = 0;
// general form for exponential family.
return -((y * theta - b) / a + c);
}
static bst_float GetFinal(bst_float esum, bst_float wsum) {