Initial Commit

src/losses/__init__.py

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+from .pinball_loss import PinballLoss

src/losses/pinball_loss.py

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+import torch
+from torch import nn
+
+class PinballLoss(nn.Module):
+    """
+    Calculates the quantile loss function.
+
+    Attributes
+    ----------
+    self.pred : torch.tensor
+        Predictions.
+    self.target : torch.tensor
+        Target to predict.
+    self.quantiles : torch.tensor
+    """
+    def __init__(self, quantiles):
+        super(PinballLoss, self).__init__()
+        self.quantiles_tensor = quantiles
+        self.quantiles = quantiles.tolist()
+        
+    def forward(self, pred, target):
+        """
+        Computes the loss for the given prediction.
+        """
+
+        error = target - pred
+        upper =  self.quantiles_tensor * error
+        lower = (self.quantiles_tensor - 1) * error 
+
+        losses = torch.max(lower, upper)
+        loss = torch.mean(torch.sum(losses, dim=1))
+        return loss
+