在评价模型性能时,我们经常会采用MAE/MAPE/RMSE等指标进行对比,下面给出它们详细的定义
- MAE
Mean Absolute Error (MAE) = 1 n ∑ i = 1 n ∣ y i − y i ^ ∣ \frac{1}{n}\sum_{i=1}^{n} |y_i - \hat{y_i}| n1∑i=1n∣yi−yi^∣ - MAPE
Mean Absolute Percentage Error(MAPE) = 1 n ∑ i = 1 n ∣ y i − y i ^ y i ∣ \frac{1}{n} \sum_{i=1}^n |\frac{y_i - \hat{y_i}}{y_i}| n1∑i=1n∣yiyi−yi^∣ - RMSE
Root Mean Squared Error (RMSE) = 1 n ∑ i = 1 n ( y i − y i ^ ) 2 \sqrt{\frac{1}{n}\sum_{i=1}^n (y_i - \hat{y_i})^2} n1∑i=1n(yi−yi^)2 - RSE
Root Relative Squared Error (RSE) = ∑ ( i , t ) ∈ Ω T e s t ( Y i t − Y ^ i t ) 2 ∑ ( i , t ) ∈ Ω T e s t ( Y i t − mean ( Y ) ) 2 \frac{\sqrt{\sum(i, t) \in \Omega_{T e s t}\left(Y_{i t}-\hat{Y}_{i t}\right)^{2}}}{\sqrt{\sum(i, t) \in \Omega_{T e s t}\left(Y_{i t}-\operatorname{mean}(Y)\right)^{2}}} ∑(i,t)∈ΩTest(Yit−mean(Y))2∑(i,t)∈ΩTest(Yit−Y^it)2