Xgboost-How to use "mae" as objective function?

user_7955996 0
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I know xgboost need first gradient and second gradient, but anybody else has used "mae" as obj function?

xgboost machine-learning
3 Answers

For the Huber loss above, I think the gradient is missing a negative sign upfront. Should be as 

grad = - d / scale_sqrt
user_88662640

I am running the huber/fair metric from above on ~normally distributed Y, but for some reason with alpha <0 (and all the time for fair) the result prediction will equal to zero...

user_22865970
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