microsoft / microsoft/SynapseML
Multiple-quantile regression for LightGBMRegressor
@imatiach-msft is already working on this.
Since Apr 28, 2021.
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Description
**Is your feature request related to a problem? Please describe.**
It would be beneficial to many users to be able to perform multiple quantile regression with one model instead of training multiple models with different alphas. Also, multiple quantile regression can be done in a way that quantile-crossing be penalized which makes all fitted quantiles more accurate.
**Describe the solution you'd like**
Multiple quantile regression would allow the user to specify multiple alphas for a LightGBMRegressor and thus have multiple quantile regressions from one model. If the multiple quantile regressions are non-crossing that would make all quantiles more accurate.
**Additional context**
A simple loss function for non-crossing multiple quantile regression can be found here:
https://stats.stackexchange.com/questions/249874/the-issue-of-quantile-curves-crossing-each-other
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