loss function, cost function, and objective function

https://stats.stackexchange.com/questions/179026/objective-function-cost-function-loss-function-are-they-the-same-thing

These are not very strict terms and they are highly related. However:

Loss function is usually a function defined on a data point, prediction and label, and measures the penalty. For example:
square loss $l(f(x_i|\theta ),y_i)={\left(f(x_i|\theta )-y_i\right)}^2$, used in linear regression
hinge loss $l(f(x_i|\theta ),y_i)=\max (0,1-f(x_i|\theta )y_i)$, used in SVM
0/1 loss $l(f(x_i|\theta ),y_i)=1⟺f(x_i|\theta )\ne y_i$, used in theoretical analysis and definition of accuracy
Cost function is usually more general. It might be a sum of loss functions over your training set plus some model complexity penalty (regularization). For example:
Mean Squared Error $MSE(\theta )=\frac{1}{N}{\sum }_{i=1}^N{\left(f(x_i|\theta )-y_i\right)}^2$
SVM cost function $SVM(\theta )=\Vert \theta {\Vert }^2+C{\sum }_{i=1}^N{\xi }_i$ (there are additional constraints connecting ${\xi }_i$ with $C$ and with training set)
Objective function is the most general term for any function that you optimize during training. For example, a probability of generating training set in maximum likelihood approach is a well defined objective function, but it is not a loss function nor cost function (however you could define an equivalent cost function). For example:
MLE is a type of objective function (which you maximize)
Divergence between classes can be an objective function but it is barely a cost function, unless you define something artificial, like 1-Divergence, and name it a cost
Long story short, I would say that:

A loss function is a part of a cost function which is a type of an objective function.