add LMT support via https://github.com/cerlymarco/linear-tree

1 files changed, 89 insertions, 0 deletions

diff --git a/lib/lineartree/_criterion.py b/lib/lineartree/_criterion.py
new file mode 100644
index 0000000..4647285
--- /dev/null
+++ b/lib/lineartree/_criterion.py
@@ -0,0 +1,89 @@
+#!/usr/bin/env python3
+# Copyright (c) 2021 Marco Cerliani, MIT License <https://github.com/cerlymarco/linear-tree>
+
+import numpy as np
+
+
+SCORING = {
+    "linear": lambda y, yh: y - yh,
+    "square": lambda y, yh: np.square(y - yh),
+    "absolute": lambda y, yh: np.abs(y - yh),
+    "exponential": lambda y, yh: 1 - np.exp(-np.abs(y - yh)),
+    "poisson": lambda y, yh: yh.clip(1e-6) - y * np.log(yh.clip(1e-6)),
+    "hamming": lambda y, yh, classes: (y != yh).astype(int),
+    "entropy": lambda y, yh, classes: np.sum(
+        list(
+            map(
+                lambda c: -(y == c[1]).astype(int) * np.log(yh[:, c[0]]),
+                enumerate(classes),
+            )
+        ),
+        axis=0,
+    ),
+}
+
+
+def _normalize_score(scores, weights=None):
+    """Normalize scores according to weights"""
+
+    if weights is None:
+        return scores.mean()
+    else:
+        return np.mean(np.dot(scores.T, weights) / weights.sum())
+
+
+def mse(model, X, y, weights=None, **largs):
+    """Mean Squared Error"""
+
+    pred = model.predict(X)
+    scores = SCORING["square"](y, pred)
+
+    return _normalize_score(scores, weights)
+
+
+def rmse(model, X, y, weights=None, **largs):
+    """Root Mean Squared Error"""
+
+    return np.sqrt(mse(model, X, y, weights, **largs))
+
+
+def mae(model, X, y, weights=None, **largs):
+    """Mean Absolute Error"""
+
+    pred = model.predict(X)
+    scores = SCORING["absolute"](y, pred)
+
+    return _normalize_score(scores, weights)
+
+
+def poisson(model, X, y, weights=None, **largs):
+    """Poisson Loss"""
+
+    if np.any(y < 0):
+        raise ValueError(
+            "Some value(s) of y are negative which is"
+            " not allowed for Poisson regression."
+        )
+
+    pred = model.predict(X)
+    scores = SCORING["poisson"](y, pred)
+
+    return _normalize_score(scores, weights)
+
+
+def hamming(model, X, y, weights=None, **largs):
+    """Hamming Loss"""
+
+    pred = model.predict(X)
+    scores = SCORING["hamming"](y, pred, None)
+
+    return _normalize_score(scores, weights)
+
+
+def crossentropy(model, X, y, classes, weights=None, **largs):
+    """Cross Entropy Loss"""
+
+    pred = model.predict_proba(X).clip(1e-5, 1 - 1e-5)
+    scores = SCORING["entropy"](y, pred, classes)
+
+    return _normalize_score(scores, weights)