Lot of changes

src/losses/__init__.py

@@ -1 +1,2 @@
-from .pinball_loss import PinballLoss, NonAutoRegressivePinballLoss
+from .pinball_loss import PinballLoss, NonAutoRegressivePinballLoss
+from .crps_metric import CRPSLoss

src/losses/crps_metric.py

@@ -0,0 +1,29 @@
+import torch
+from torch import nn
+import torch
+
+
+class CRPSLoss(nn.Module):
+    def __init__(self, quantiles):
+        super(CRPSLoss, self).__init__()
+
+        if not torch.is_tensor(quantiles):
+            quantiles = torch.tensor(quantiles, dtype=torch.float32)
+        self.quantiles_tensor = quantiles
+
+    def forward(self, preds, target):
+        # preds shape: [batch_size, num_quantiles]
+
+        # unsqueeze target
+        target = target.unsqueeze(-1)
+
+        mask = (preds > target).float()
+        test = self.quantiles_tensor - mask
+        # square them
+        test = test * test
+        crps = torch.trapz(test, x=preds)
+
+        # mean over batch
+        crps = torch.mean(crps)
+
+        return crps