Describe the workflow you want to enable

Huber loss is available as an option for GradientBoostingRegressor and works great when training on data with frequent outliers (thank you!). HistGradientBoostingRegressor however does not support Huber loss, which may be required when scaling to larger datasets.

Describe your proposed solution

Add HuberLoss as an option for the HistGradientBoostingRegressor class.

Describe alternatives you've considered, if relevant

Possibly allow custom loss functions for the HistGradientBoostingRegressor

Additional context

No response