I have seen that for xgboost you can write your own loss function, and have even seen the example on the xgboost github. What I am wondering is there an example somewhere about how to go about developing that code?

In other words, say I have some metric (other than say squared loss) that I want my model to optimize and use to determine the weights. It looks like I need to determine the gradient and hessian, but I’m not sure how to figure this out.