weighted.pinball.numeric.md

weighted.pinball.numeric	R Documentation

Pinball Loss

Description

A generic S3 function to compute the pinball loss score for a regression model. This function dispatches to S3 methods in pinball() and performs no input validation. If you supply NA values or vectors of unequal length (e.g. length(x) != length(y)), the underlying C++ code may trigger undefined behavior and crash your R session.

Defensive measures

Because pinball() operates on raw pointers, pointer-level faults (e.g. from NA or mismatched length) occur before any R-level error handling. Wrapping calls in try() or tryCatch() will not prevent R-session crashes.

To guard against this, wrap pinball() in a "safe" validator that checks for NA values and matching length, for example:

safe_pinball <- function(x, y, ...) {
  stopifnot(
    !anyNA(x), !anyNA(y),
    length(x) == length(y)
  )
  pinball(x, y, ...)
}

Apply the same pattern to any custom metric functions to ensure input sanity before calling the underlying C++ code.

Usage

## S3 method for class 'numeric'
weighted.pinball(actual, predicted, w, alpha = 0.5, deviance = FALSE, ...)

Arguments

actual, predicted	A pair of <double> vectors of length n.
w	A <double> vector of sample weights.
alpha	A <double>-value of length 1 (default: 0.5). The slope of the pinball loss function.
deviance	A <logical>-value of length 1 (default: FALSE). If TRUE the function returns the D^2 loss.
...	Arguments passed into other methods

Value

A <double> value

References

James, Gareth, et al. An introduction to statistical learning. Vol. 112. No. 1. New York: springer, 2013.

Hastie, Trevor. "The elements of statistical learning: data mining, inference, and prediction." (2009).

Virtanen, Pauli, et al. "SciPy 1.0: fundamental algorithms for scientific computing in Python." Nature methods 17.3 (2020): 261-272.

Pedregosa, Fabian, et al. "Scikit-learn: Machine learning in Python." the Journal of machine Learning research 12 (2011): 2825-2830.

Examples

## Generate actual
## and predicted values
actual_values    <- c(1.3, 0.4, 1.2, 1.4, 1.9, 1.0, 1.2)
predicted_values <- c(0.7, 0.5, 1.1, 1.2, 1.8, 1.1, 0.2)

## Generate sample
## weights
sample_weights <- c(0.3, 0.5, 0.3, 0, 0.8, 0.8, 1)

## Evaluate performance
SLmetrics::weighted.pinball(
   actual    = actual_values, 
   predicted = predicted_values,
   w         = sample_weights
)

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