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Adding ELPD #144

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ParadaCarleton opened this issue Jul 4, 2021 · 1 comment
Open

Adding ELPD #144

ParadaCarleton opened this issue Jul 4, 2021 · 1 comment

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@ParadaCarleton
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ParadaCarleton commented Jul 4, 2021

Maximizing the expected log posterior density (ELPD) is a common objective function in Bayesian inference and Bayesian neural networks, and I'd be interested in having it as a loss function for a package I'm building. I'd be happy to implement it if someone around here is willing to help me figure out the API (I haven't used JuliaML before; I'm building a package that does efficient LOO-CV for Bayesian models).

(Note: ELPD is the generalization of log-loss/cross-entropy loss to regression, rather than classification, problems.)

@juliohm
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juliohm commented May 22, 2022

@ParadaCarleton please draft a PR and we can discuss details.

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