Differentiable Spearman in PyTorch (Optimize for CORR directly)

[oraculum]

There is a code for neutralization with pytorch in this thread by @mdo (in the training loop using pytorch’s pinverse):

Optimizing for FNC and TB scores

With the advent of TC many users may wonder how to optimize for metrics beyond correlation and mean-squared error. Here we will show how to directly optimize for metrics like TB200 and FNC. This is intended to be a proof of concept and source of inspiration, not a set of instructions. A previous forum post demonstrated how to optimize for Spearman correlation directly. This work can be extended fairly simply to allow for the optimization of a top/bottom correlation (e.g. TB200) where only the m…