Does the EBM model support customized loss functions (objectives)?

[oddwang]

Hello, I would like to know if EBM is able to customize the loss function and how to do that?

[paulbkoch]

Hi @oddwang -- We do support a number of alternative built-in loss functions, but to fully customize the loss function you currently need to modify the C++ slightly. I have made an effort to make this process as easy as possible though as a bridge until we support python based customized loss functions.

There's a description of how to do it in this other thread:
#281 (comment)