Add measures for multi-targets
I suppose there are two types of composition here - homogeneous and inhomogeneous, which might be implemented differently:
-
homogeneous: all columns of target have the same scitype and we are we are defining our measure as a n-product of a single fixed uni-target measure
m. Needed for time-series. -
inhomogeneous: any two measures (multi-target or uni-target), one can take their product
m1 x m2, to get a new multi-target measure .
We should keep in mind that multi-target predictions are tables.
Also, one may want to specify per-dimension weights, eg for weighting time series forecasts differently depending on how far in future the forecast is.
Note that user-defined measures are a temporary workaround. See one suggestion posted here