Refactor linear modelling and add new coordinate descent updater (#3103)

* Refactor linear modelling and add new coordinate descent updater

* Allow unsorted column iterator

* Add prediction cacheing to gblinear

include/xgboost/data.h

@@ -274,14 +274,16 @@ class DMatrix {
    * \param subsample subsample ratio when generating column access.
    * \param max_row_perbatch auxiliary information, maximum row used in each column batch.
    *         this is a hint information that can be ignored by the implementation.
+   * \param sorted If column features should be in sorted order           
    * \return Number of column blocks in the column access.
    */
+
   virtual void InitColAccess(const std::vector<bool>& enabled,
                              float subsample,
-                             size_t max_row_perbatch) = 0;
+                             size_t max_row_perbatch, bool sorted) = 0;
   // the following are column meta data, should be able to answer them fast.
   /*! \return whether column access is enabled */
-  virtual bool HaveColAccess() const = 0;
+  virtual bool HaveColAccess(bool sorted) const = 0;
   /*! \return Whether the data columns single column block. */
   virtual bool SingleColBlock() const = 0;
   /*! \brief get number of non-missing entries in column */

include/xgboost/linear_updater.h

@@ -0,0 +1,66 @@
+/*
+ * Copyright 2018 by Contributors
+ */
+#pragma once
+
+#include <dmlc/registry.h>
+#include <xgboost/base.h>
+#include <xgboost/data.h>
+#include <functional>
+#include <string>
+#include <utility>
+#include <vector>
+#include "../../src/gbm/gblinear_model.h"
+
+namespace xgboost {
+/*!
+ * \brief interface of linear updater
+ */
+class LinearUpdater {
+ public:
+  /*! \brief virtual destructor */
+  virtual ~LinearUpdater() {}
+  /*!
+   * \brief Initialize the updater with given arguments.
+   * \param args arguments to the objective function.
+   */
+  virtual void Init(
+      const std::vector<std::pair<std::string, std::string> >& args) = 0;
+
+  /**
+   * \brief Updates linear model given gradients.
+   *
+   * \param in_gpair            The gradient pair statistics of the data.
+   * \param data                Input data matrix.
+   * \param model               Model to be updated.
+   * \param sum_instance_weight The sum instance weights, used to normalise l1/l2 penalty.
+   */
+
+  virtual void Update(std::vector<bst_gpair>* in_gpair, DMatrix* data,
+                      gbm::GBLinearModel* model,
+                      double sum_instance_weight) = 0;
+
+  /*!
+   * \brief Create a linear updater given name
+   * \param name Name of the linear updater.
+   */
+  static LinearUpdater* Create(const std::string& name);
+};
+
+/*!
+ * \brief Registry entry for linear updater.
+ */
+struct LinearUpdaterReg
+    : public dmlc::FunctionRegEntryBase<LinearUpdaterReg,
+                                        std::function<LinearUpdater*()> > {};
+
+/*!
+ * \brief Macro to register linear updater.
+ */
+#define XGBOOST_REGISTER_LINEAR_UPDATER(UniqueId, Name)                        \
+  static DMLC_ATTRIBUTE_UNUSED ::xgboost::LinearUpdaterReg&                    \
+      __make_##LinearUpdaterReg##_##UniqueId##__ =                             \
+          ::dmlc::Registry< ::xgboost::LinearUpdaterReg>::Get()->__REGISTER__( \
+              Name)
+
+}  // namespace xgboost