loss

Documentation

Overview

Package loss provides various loss functions for neural networks.

Package loss provides loss function implementations for training.

Stability: beta

Index

• func QuantileLoss[T tensor.Numeric](preds, targets *tensor.TensorNumeric[T], quantiles []float32) (float32, error)
• func SharpeLoss[T tensor.Numeric](weights, returns_ *tensor.TensorNumeric[T]) (float32, error)
• type BCELoss
  • func NewBCELoss[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *BCELoss[T]
  • func (b *BCELoss[T]) Attributes() map[string]interface{}
  • func (b *BCELoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], ...) ([]*tensor.TensorNumeric[T], error)
  • func (b *BCELoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)
  • func (b *BCELoss[T]) OpType() string
  • func (b *BCELoss[T]) OutputShape() []int
  • func (b *BCELoss[T]) Parameters() []*graph.Parameter[T]
• type CorrLoss
  • func NewCorrLoss[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *CorrLoss[T]
  • func (c *CorrLoss[T]) Attributes() map[string]any
  • func (c *CorrLoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], ...) ([]*tensor.TensorNumeric[T], error)
  • func (c *CorrLoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)
  • func (c *CorrLoss[T]) OpType() string
  • func (c *CorrLoss[T]) OutputShape() []int
  • func (c *CorrLoss[T]) Parameters() []*graph.Parameter[T]
• type CrossEntropyLoss
  • func NewCrossEntropyLoss[T tensor.Numeric](engine compute.Engine[T]) *CrossEntropyLoss[T]
  • func (cel *CrossEntropyLoss[T]) Attributes() map[string]interface{}
  • func (cel *CrossEntropyLoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], ...) ([]*tensor.TensorNumeric[T], error)
  • func (cel *CrossEntropyLoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)
  • func (cel *CrossEntropyLoss[T]) OpType() string
  • func (cel *CrossEntropyLoss[T]) OutputShape() []int
  • func (cel *CrossEntropyLoss[T]) Parameters() []*graph.Parameter[T]
• type Loss
• type MSE
  • func NewMSE[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *MSE[T]
  • func (m *MSE[T]) Attributes() map[string]interface{}
  • func (m *MSE[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], ...) ([]*tensor.TensorNumeric[T], error)
  • func (m *MSE[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)
  • func (m *MSE[T]) OpType() string
  • func (m *MSE[T]) OutputShape() []int
  • func (m *MSE[T]) Parameters() []*graph.Parameter[T]

Functions

func QuantileLoss

func QuantileLoss[T tensor.Numeric](preds, targets *tensor.TensorNumeric[T], quantiles []float32) (float32, error)

QuantileLoss computes the pinball (quantile regression) loss. preds has shape [batch, num_quantiles], targets has shape [batch], and quantiles is a slice of quantile levels (e.g., 0.1, 0.5, 0.9).

For each quantile q and sample i:

error = target_i - pred_i_q
loss_q = q * error   if error >= 0
loss_q = (q-1) * error   if error < 0

Returns the mean loss over all samples and quantiles.

func SharpeLoss

func SharpeLoss[T tensor.Numeric](weights, returns_ *tensor.TensorNumeric[T]) (float32, error)

SharpeLoss computes the negative Sharpe ratio as a differentiable loss for portfolio optimization.

weights has shape [batch, num_assets] — interpreted as portfolio weights (softmax-normalized internally to ensure long-only, sum-to-one constraint). returns_ has shape [batch, num_assets] — per-asset log returns for each time step in the batch.

Portfolio return for time step i = sum_j(w_j * r_ij) Sharpe = mean(portfolio_returns) / std(portfolio_returns) SharpeLoss = -Sharpe (to minimize)

Types

type BCELoss

type BCELoss[T tensor.Numeric] struct {
	// contains filtered or unexported fields
}

BCELoss calculates binary cross-entropy loss between predictions and targets. BCE(y, p) = -[y*log(p) + (1-y)*log(1-p)] Predictions are clamped to [eps, 1-eps] for numerical stability.

func NewBCELoss

func NewBCELoss[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *BCELoss[T]

NewBCELoss creates a new BCELoss loss function.

func (*BCELoss[T]) Attributes

func (b *BCELoss[T]) Attributes() map[string]interface{}

Attributes returns the attributes of the BCELoss function.

func (*BCELoss[T]) Backward

func (b *BCELoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], inputs ...*tensor.TensorNumeric[T]) ([]*tensor.TensorNumeric[T], error)

Backward computes the gradients for BCELoss with respect to predictions. Gradient: -(y/p - (1-y)/(1-p)) / N, chained with upstream dOut.

func (*BCELoss[T]) Forward

func (b *BCELoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)

Forward computes the mean binary cross-entropy loss.

func (*BCELoss[T]) OpType

func (b *BCELoss[T]) OpType() string

OpType returns the operation type of the BCELoss function.

func (*BCELoss[T]) OutputShape

func (b *BCELoss[T]) OutputShape() []int

OutputShape returns the output shape of the BCELoss function.

func (*BCELoss[T]) Parameters

func (b *BCELoss[T]) Parameters() []*graph.Parameter[T]

Parameters returns the parameters of the BCELoss function.

type CorrLoss

type CorrLoss[T tensor.Numeric] struct {
	// contains filtered or unexported fields
}

CorrLoss computes -PearsonCorrelation(predictions, targets) as a differentiable scalar loss. Minimizing this loss maximizes the Pearson correlation between predictions and targets. Since Numerai targets are rank-normalized, Pearson closely approximates Spearman rank correlation.

Forward: loss = -sum(p_c * t_c) / (sqrt(sum(p_c^2) * sum(t_c^2)) + eps)

where p_c = p - mean(p), t_c = t - mean(t)

Backward: grad_i = -(t_c_i / denom - corr * p_c_i / sum_pp) * dOut

All tensor operations use the engine, keeping data on GPU when available. Only scalar intermediate values (means, sums) are read back to CPU.

func NewCorrLoss

func NewCorrLoss[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *CorrLoss[T]

NewCorrLoss creates a new correlation loss function.

func (*CorrLoss[T]) Attributes

func (c *CorrLoss[T]) Attributes() map[string]any

Attributes returns nil (no configurable attributes).

func (*CorrLoss[T]) Backward

func (c *CorrLoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], inputs ...*tensor.TensorNumeric[T]) ([]*tensor.TensorNumeric[T], error)

Backward computes the gradient of -PearsonCorrelation with respect to predictions. Returns [dPredictions, dTargets(zeros)].

func (*CorrLoss[T]) Forward

func (c *CorrLoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)

Forward computes -PearsonCorrelation(predictions, targets).

func (*CorrLoss[T]) OpType

func (c *CorrLoss[T]) OpType() string

OpType returns "CorrLoss".

func (*CorrLoss[T]) OutputShape

func (c *CorrLoss[T]) OutputShape() []int

OutputShape returns [1] (scalar loss).

func (*CorrLoss[T]) Parameters

func (c *CorrLoss[T]) Parameters() []*graph.Parameter[T]

Parameters returns nil (no trainable parameters).

type CrossEntropyLoss

type CrossEntropyLoss[T tensor.Numeric] struct {
	// contains filtered or unexported fields
}

CrossEntropyLoss computes the cross-entropy loss.

func NewCrossEntropyLoss

func NewCrossEntropyLoss[T tensor.Numeric](engine compute.Engine[T]) *CrossEntropyLoss[T]

NewCrossEntropyLoss creates a new CrossEntropyLoss layer.

func (*CrossEntropyLoss[T]) Attributes

func (cel *CrossEntropyLoss[T]) Attributes() map[string]interface{}

Attributes returns the attributes of the CrossEntropyLoss layer.

func (*CrossEntropyLoss[T]) Backward

func (cel *CrossEntropyLoss[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], _ ...*tensor.TensorNumeric[T]) ([]*tensor.TensorNumeric[T], error)

Backward computes the gradients for CrossEntropyLoss.

func (*CrossEntropyLoss[T]) Forward

func (cel *CrossEntropyLoss[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)

Forward computes the cross-entropy loss. Inputs: predictions (logits as T), targets (labels as T that will be converted to int indices).

func (*CrossEntropyLoss[T]) OpType

func (cel *CrossEntropyLoss[T]) OpType() string

OpType returns the operation type of the CrossEntropyLoss layer.

func (*CrossEntropyLoss[T]) OutputShape

func (cel *CrossEntropyLoss[T]) OutputShape() []int

OutputShape returns the output shape of the loss (a scalar).

func (*CrossEntropyLoss[T]) Parameters

func (cel *CrossEntropyLoss[T]) Parameters() []*graph.Parameter[T]

Parameters returns an empty slice as CrossEntropyLoss has no trainable parameters.

type Loss

type Loss[T tensor.Numeric] interface {
	// Forward computes the loss and its gradient.
	Forward(ctx context.Context, predictions, targets *tensor.TensorNumeric[T]) (T, *tensor.TensorNumeric[T], error)
}

Loss defines the interface for loss functions.

type MSE

type MSE[T tensor.Numeric] struct {
	// contains filtered or unexported fields
}

MSE calculates the mean squared error between predictions and targets.

func NewMSE

func NewMSE[T tensor.Numeric](engine compute.Engine[T], ops numeric.Arithmetic[T]) *MSE[T]

NewMSE creates a new MSE loss function.

func (*MSE[T]) Attributes

func (m *MSE[T]) Attributes() map[string]interface{}

Attributes returns the attributes of the MSE loss function.

func (*MSE[T]) Backward

func (m *MSE[T]) Backward(ctx context.Context, _ types.BackwardMode, dOut *tensor.TensorNumeric[T], inputs ...*tensor.TensorNumeric[T]) ([]*tensor.TensorNumeric[T], error)

Backward computes the gradients for MSE with respect to inputs. Returns gradients in the order of inputs: [dPredictions, dTargets(nil)].

func (*MSE[T]) Forward

func (m *MSE[T]) Forward(ctx context.Context, inputs ...*tensor.TensorNumeric[T]) (*tensor.TensorNumeric[T], error)

Forward computes the loss value.

func (*MSE[T]) OpType

func (m *MSE[T]) OpType() string

OpType returns the operation type of the MSE loss function.

func (*MSE[T]) OutputShape

func (m *MSE[T]) OutputShape() []int

OutputShape returns the output shape of the MSE loss function.

func (*MSE[T]) Parameters

func (m *MSE[T]) Parameters() []*graph.Parameter[T]

Parameters returns the parameters of the MSE loss function.