metrics and loss function

Sometimes both are same for e.g. MSE. But at times they will be
different since it is hard to define loss function for some metrics.
In XgBoost you can write cusotm loss functions but they should have
smooth derivatives otherwise it will go crazy.

Early stopping - In case we don't know how to write a loss function
for the target metric, there is a simple solution - Early Stopping.
Keep optimizing the loss function but stop when the model starts over
fitting as per the target metric.