# What loss function to use when labels are probabilities?

What loss function is most appropriate when training a model with target values that are probabilities? For example, I have a 3-output model. I want to train it with a feature vector $$x=[x_1, x_2, \dots, x_N]$$ and a target $$y=[0.2, 0.3, 0.5]$$.

It seems like something like cross-entropy doesn't make sense here since it assumes that a single target is the correct label.

Would something like MSE (after applying softmax) make sense, or is there a better loss function?

Actually, the cross-entropy loss function would be appropriate here, since it measures the "distance" between a distribution $$q$$ and the "true" distribution $$p$$.
$$H(p,q)=-\sum_{x\in X} p(x) \log q(x).$$ 
Note that one-hot labels would mean that $$p(x) = \begin{cases} 1 & \text{if }x \text{ is the true label}\\ 0 & \text{otherwise} \end{cases}$$
which causes the cross-entropy $$H(p,q)$$ to reduce to the form you're familiar with:
$$H(p,q) = -\log q(x_{label})$$