Add reference to ngboost paper for RMSEWithUncertainty
@@ -292,6 +292,9 @@ public:
TVector<double>* der,
THessianInfo* der2
) const override {
+ // computes ngboost "natural gradient"
+ // should be regular gradient multiplied by Fisher information
+ // see https://arxiv.org/pdf/1910.03225v1.pdf
const int dim = 2;
Y_ASSERT(target.size() == 1);
const double diff = (target[0] - approx[0]);
