LightGBM Earth Mover's Distance

[vruvora]

Thanks for designing such an awesome library. I was curious if you have plans to incorporate Earth Mover's Distance into LightGBM so we can optimize over distributions.

[olofer]

Could you specify more precisely what you have in mind? Even computing the EMD requires solving a linear program if I'm not mistaken.

[chivee]

@vruvora , what's situation/scenario do you want to use Wasserstein/EMD? considering it's normally seen in deep learning scenario.

[vruvora]

I want to train the LightGBM to output a distribution and over a fixed ordered support. Cross-entropy would not account for this ordering e.g. the loss should be aggregated lower closer the index is to actual index.

[StrikerRUS]

Closed in favor of being in #2302. We decided to keep all feature requests in one place.

Welcome to contribute this feature! Please re-open this issue (or post a comment if you are not a topic starter) if you are actively working on implementing this feature.