Documentation for custom objective functions (hessian)

[fipelle]

Hi, I am having some troubles understanding the current documentation for custom objective functions. In particular, I am not clear what I should do with the hessian. Is it sufficient to return the second partial derivative with respect to the forecast as a vector, as long as the objective function depends only the predictions, data and some constants? What order should the hessian matrix columns follow in more complicated cases?

[guolinke]

The hessian actually means the diagonal (h_{ii}) of the hessian matrix.
And in most cases, setting hessian to all ones is okay.

[github-actions]

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