quantile_loss_tensor: Tensor quantile loss function for training a QRN network

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Tensor quantile loss function for training a QRN network

Description

Tensor quantile loss function for training a QRN network

Usage

quantile_loss_tensor(
  out,
  y,
  q = 0.5,
  return_agg = c("mean", "sum", "vector", "nanmean", "nansum")
)

Arguments

out	Batch tensor of the quantile output by the network.
y	Batch tensor of corresponding response variable.
q	Probability level of the predicted quantile
return_agg	The return aggregation of the computed loss over the batch. Must be one of ⁠"mean", "sum", "vector", "nanmean", "nansum"⁠.

Value

The quantile loss over the batch between the network output ans the observed responses as a torch::Tensor, whose dimensions depend on return_agg.

EQRN documentation built on April 4, 2025, 12:45 a.m.