Decision Tree Optimize Deviation From Objective
It is possible, is not an easy task but it's possible.

Custom Loss Function


  Gradient boosting is widely used in industry and has won many Kaggle competitions. The internet already has many good explanations of gradient boosting (we’ve even shared some selected links in the references), but we’ve noticed a lack of information about custom loss functions: the why, when, and how. This post is our attempt to summarize the importance of custom loss functions in many real-world problems — and how to implement them with the LightGBM gradient boosting package.