Deep Learning Quantile Regression - Keras

The loss function is simple as doing the following. Which is simply the pin-ball loss function.

def tilted_loss(q,y,f):
    e = (y-f)
    return K.mean(K.maximum(q*e, (q-1)*e), axis=-1)

When it comes to compiling the neural network, just simply do:

model.compile(loss=lambda y,f: tilted_loss(0.5,y,f), optimizer='adagrad')

I chose 0.5 which is the median, but you can try whichever quantile that you are after. Word of caution, which applies to any quantile regression method; you may find that the quantile output might be extreme/ unexpected when you take extreme quantiles (eg. 0.001 or 0.999).

A more complete working example can be found here.