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[D] XGBoost Custom Objective

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.

submitted by /u/mydogissnoring
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Toronto AI is a social and collaborative hub to unite AI innovators of Toronto and surrounding areas. We explore AI technologies in digital art and music, healthcare, marketing, fintech, vr, robotics and more. Toronto AI was founded by Dave MacDonald and Patrick O'Mara.