Machine Learning, Gradient Boosting, Data Science, Towards Data Science, Loss Function.
point here. LightGBM → LightGBM with customized training loss This shows that we can make our model optimize what we care about. The default LightGBM is optimizing MSE, hence it gives lower MSE loss (0.24 vs. 0.33). The LightGBM with custom training loss is optimizing asymmetric MSE and hence it