In regression problems, you can use various different metrics to check how well your model is doing:
- Mean Absolute Deviation (MAD): In $[0, \infty)$, the smaller the better
- Root Mean Squared Error (RMSE): In $[0, \infty)$, the smaller the better
- Median Absolute Error (MAE): In $[0, \infty)$, the smaller the better
- Mean Squared Log Error (MSLE): In $[0, \infty)$, the smaller the better
- R², coefficient of determination: In $(-\infty, 1]$, the bigger the better not necessarily the bigger the better
Are there any strong reasons not to use one or the other?