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Add possibility to select different bucket types in iterative multivalid methods #133

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merged 50 commits into from
Sep 24, 2023

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@gianlucadetommaso gianlucadetommaso commented Sep 23, 2023

Standard multivalid methods condition on sets of the type {f(x)=v}, where f is a model and v is a possible value. In order to mitigate overfitting, we now add the possibility to also condition on sets such as {f(x)>=v} and {f(x)<=v}, and to do that at the same time, i.e. compute errors for both set and patch the model where the error is largest.

In addition, add pinball loss for BatchMVP. This was currently using MSE, erroneously.

@gianlucadetommaso gianlucadetommaso merged commit fc37649 into main Sep 24, 2023
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