When choosing a loss function for your machine learning task, you should begin by considering whether your problem is a regression or classification task. For regression problems, where the goal is to predict continuous values, you typically select loss functions such as mean squared error (MSE), mean absolute error (MAE), or Huber loss. For classification problems, where the goal is to predict discrete labels, you generally use loss functions like log loss (binary cross-entropy) for binary classification, categorical cross-entropy for multi-class classification, or hinge loss for margin-based classifiers.

To simplify your initial decision, use the following heuristic rules:

• For regression: start with MSE if your data is relatively free of outliers, as it penalizes larger errors more. Use MAE or Huber loss if your data contains outliers or you want more robustness;
• For binary classification: use log loss (binary cross-entropy) if your model outputs probabilities. Use hinge loss if you are working with support vector machines or margin-based methods;
• For multi-class classification: use categorical cross-entropy with softmax outputs;
• Always consider the model architecture and output type when choosing the loss function.

To help you compare the main loss functions, here is a summary table of their properties:

When selecting a loss function, you should be aware of common pitfalls. One frequent mistake is using a loss function that does not match the output of your model—for instance, applying cross-entropy to raw scores instead of probabilities, or using MSE for classification tasks. Another pitfall is ignoring the effect of outliers: using MSE on data with extreme values can lead to unstable training and poor generalization.

Best practices include:

• Always matching the loss function to the model's output and the problem type;
• Visualizing loss curves to understand error penalization;
• Considering the impact of data distribution and noise;
• Testing several loss functions if your initial choice does not yield desired results;
• Always validating your model's performance with appropriate metrics alongside the loss.

Make sure to avoid these pitfalls to ensure your model is both effective and reliable.