MAE vs MSE

Basically MAE is more robust to outlier than is MSE. MAE assigns equal weight to the data whereas MSE emphasizes the extremes - the square of a very small number (smaller than 1) is even smaller, and the square of a big number is even bigger.

https://www.kaggle.com/c/allstate-claims-severity/discussion/24293

Same here. MAE is non-differentiable and solving for it is therefore less efficient (a lot less in this case!).

It also uses more memory. In my case, memory usage continues to increase and at some point the system runs out of free memory and the process crashes.