feat: Add quantile (pinball) loss - #672
Open
georgeguimaraes wants to merge 2 commits into
Open
georgeguimaraes wants to merge 2 commits into
georgeguimaraes wants to merge 2 commits into
Conversation
georgeguimaraes
force-pushed
the
quantile-loss
branch
from
September 15, 2026 18:41
a47957b to
7966a72
Compare
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Adds
Axon.Losses.quantile/3, the pinball loss. Same shape ashuber: takes:reductionplus a:quantileoption (default 0.5, where it's half the MAE).It's the loss you train quantile regression heads with, so a model predicts the 10th and 90th percentiles instead of the mean and you get prediction intervals out of it. I've been using it in soothsayer for NeuralProphet-style quantile outputs and it felt like it belonged next to the other regression losses here.