From 93fa4009dc042b3c8cb4b9906d8f52852c2dee36 Mon Sep 17 00:00:00 2001
From: Filip Stefaniuk <filip.stefaniuk@gmail.com>
Date: Thu, 5 Sep 2024 15:51:25 +0200
Subject: [PATCH] Add gmadl loss

---
 src/ml/loss.py | 15 +++++++++++++++
 1 file changed, 15 insertions(+)
 create mode 100644 src/ml/loss.py

diff --git a/src/ml/loss.py b/src/ml/loss.py
new file mode 100644
index 0000000..2174c88
--- /dev/null
+++ b/src/ml/loss.py
@@ -0,0 +1,15 @@
+import torch
+
+from pytorch_forecasting.metrics.base_metrics import MultiHorizonMetric
+
+
+class GMADL(MultiHorizonMetric):
+    """GMADL loss function."""
+
+    def __init__(self, a=1000, b=2, **kwargs):
+        super().__init__(**kwargs)
+        self.a = a
+        self.b = b
+
+    def loss(self, y_pred, target):
+        return -1 * (1 / (1 + torch.exp(-self.a * self.to_prediction(y_pred) * target)) - 0.5) * torch.pow(torch.abs(target), self.b)