adamingas/ordinalgbt

A package to build Gradient boosted trees for ordinal labels

ordinalgbt's Issues

Support for Loss Matrix (Cost Sensitive Classification)

Have you thought on the following case, Cost Sensitive Classification:

$$ \boldsymbol{L} = \begin{bmatrix} l \left( y = 1, \hat{y} = 1 \right) & l \left( y = 1, \hat{y} = 2 \right) & \dots & l \left( y = 1, \hat{y} = K \right) \\ l \left( y = 2, \hat{y} = 1 \right) & l \left( y = 2, \hat{y} = 2 \right) & \dots & l \left( y = 2, \hat{y} = K \right) \\ \vdots & \vdots & \vdots & \vdots \\ l \left( y = K, \hat{y} = 1 \right) & l \left( y = K, \hat{y} = 2 \right) & \dots & l \left( y = K, \hat{y} = K \right) \end{bmatrix} $$

Is there a way to implement is where the Gradient and Hessian are easy to calculate for LightGBM?