How to use r2-score as a loss function in LightGBM? I am trying to implement a custom loss function in LightGBM for a regression problem. The intrinsic metrics do not help me much, because they penalise for outliers... Is there any way to use r2_score from sklearn as a loss function for LightGBM?
$R^2$ is just a rescaling of mean squared error, the default loss function for LightGBM; so just run as usual.  (You could use another builtin loss (MAE or Huber loss?) instead in order to penalize outliers less.)