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I want a loss function which only care about the pecentile head and tail.

for example:

I have a rmse target, but i only care about rmse which y_pred > y_pred.percentile(90) and y_pred < y_pred.percetile(10), in the middle of y_pred, i dont want to consider them in my loss.

here is my code:

class myloss(keras.losses.Loss):
  def __init__(self, coef, name='myloss'):
    super().__init__(name=name)
    self.coef = coef

  def call(self, y, y_pred):
    ## TODO: i want to sum over y_pred > y_pred.percentile(90) and y_pred< y_pred.percentile(10)!!!
    # return tf.math.reduce_mean(tf.square(y * self.coef- y_pred), axis=1)

from util import *
from tensorflow import keras
from tensorflow.keras import layers
import tensorflow as tf
if __name__ == '__main__':
  df = read_cache_data('cache')
  df = df.dropna()
  print(df.shape)
  fv_cols = df.columns[21:-3]
  res_col = 'res_10'
  #model = keras.Sequential([layers.Dense(50, input_shape=(len(fv_cols), ), activation='relu'), layers.Dense(30, activation='relu'), layers.Dense(1)])
  model = keras.Sequential([layers.Dense(1, input_shape=(len(fv_cols), ))])#, activation='relu')])
  model.compile(optimizer=keras.optimizers.Adam(), loss = myloss('loss'))#keras.losses.mean_squared_error)                                                                                                                                           
  model.summary()
  model.fit(df[fv_cols].values, df[res_col], batch_size=288)
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  • $\begingroup$ What you want to do is weird, and i'm not sure i understand it correctly, but i assume you could use the answer to this post. $\endgroup$
    – Ubikuity
    Commented Apr 29, 2021 at 17:17
  • $\begingroup$ The percentiles are taken over an epoch or batch or what? $\endgroup$ Commented Oct 19, 2022 at 8:40

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