[scikit-learn] custom loss function

Greetings, I know this is a recurrent question, but I would like to use my own loss function either in a MLPRegressor or in an SVR. For the MLPRegressor case so far my conclusion was that it is not possible unless you modify the source code. On the other hand, for the SVR I was looking at setting

Re: [scikit-learn] custom loss function

Hi Thomas, > For the MLPRegressor case so far my conclusion was that it is not possible > unless you modify the source code. Also, I suspect that this would be non-trivial. I haven't looked to closely at how the MLPClassifier/MLPRegressor are implemented but since you perform the weight update