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Published 20 hours ago • verified publisher icon foges

Quantile loss

Open mhoward2718 opened this issue 2 years ago • 0 comments

Roger Koenker has mentioned POGS as a good choice for solving large scale quantile regression problems. In one paper he mentions that he has ran some experiments with the GPU implementation of POGS.

How can one apply POGS to quantile regression? Were Koenker's experiments using an unpublished POGS implementation of quantile loss? Or is it possible to to define a quantile regression problem using the 16 available functions in prox_lib.sh?

Otherwise, I'd love a bit of direction on how to implement quantile loss in POGS.

mhoward2718 avatar Apr 25 '22 01:04 mhoward2718