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NumerAI log loss calculation
Lawrence Barwick
posted
Machine Learning

Hi,

Does anyone have the log loss calculation used by NumerAI?

I have tried this from Grunthus on Kaggle forum, but my results are different order of magnitude to NumerAI.

def logloss(act, pred):
""" Vectorised computation of logloss """ 

#cap in official Kaggle implementation,  
#per forums/t/1576/r-code-for-logloss  
epsilon = 1e-15  
pred = sp.maximum(epsilon, pred)  
pred = sp.minimum(1-epsilon, pred)  

#compute logloss function (vectorised)  
ll = sum(   act*sp.log(pred) +  
            sp.subtract(1,act)*sp.log(sp.subtract(1,pred)))  
ll = ll * -1.0/len(act)  
return ll
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