Class HuberLoss

JSAT/src/jsat/lossfunctions/HuberLoss.java:11–145

The HuberLoss loss function for regression. The HuberLoss loss switches between SquaredLoss and AbsoluteLoss loss based on a threshold value. This function is only partially twice differentiable. @author Edward Raff

 * @author Edward Raff
 */
public class HuberLoss implements LossR
{

    private static final long serialVersionUID = -4463269746356262940L;
    private double c;

    /**
     * Creates a new HuberLoss loss
     *
     * @param c the threshold to switch between the squared and logistic loss at
     */
    public HuberLoss(double c)
    {
        this.c = c;
    }

    /**
     * Creates a new HuberLoss loss thresholded at 1
     */
    public HuberLoss()
    {
        this(1);
    }

    /**
     * Computes the HuberLoss loss
     *
     * @param pred the predicted value
     * @param y the true value
     * @param c the threshold value
     * @return the HuberLoss loss
     */
    public static double loss(double pred, double y, double c)
    {
        final double x = y - pred;
        if (Math.abs(x) <= c)
            return x * x * 0.5;
        else
            return c * (Math.abs(x) - c / 2);
    }

    /**
     * Computes the first derivative of the HuberLoss loss
     *
     * @param pred the predicted value
     * @param y the true value
     * @param c the threshold value
     * @return the first derivative of the HuberLoss loss
     */
    public static double deriv(double pred, double y, double c)
    {
        double x = pred-y;

        if (Math.abs(x) <= c)
            return x;
        else
            return c * Math.signum(x);
    }