Documenting CSV loading into DMatrix (#3137)

* Support CSV file in DMatrix

We'd just need to expose the CSV parser in dmlc-core to the Python wrapper

* Revert extra code; document existing CSV support

CSV support is already there but undocumented

* Add notice about categorical features

doc/conf.py

@@ -78,6 +78,8 @@ master_doc = 'index'
 # Usually you set "language" from the command line for these cases.
 language = None
 
+autoclass_content = 'both'
+
 # There are two options for replacing |today|: either, you set today to some
 # non-false value, then it is used:
 #today = ''

doc/python/python_intro.md

@@ -25,7 +25,9 @@ Data Interface
 --------------
 The XGBoost python module is able to load data from:
 - libsvm txt format file
-- Numpy 2D array, and
+- comma-separated values (CSV) file
+- Numpy 2D array
+- Scipy 2D sparse array, and
 - xgboost binary buffer file.
 
 The data is stored in a ```DMatrix``` object.
@@ -35,6 +37,16 @@ The data is stored in a ```DMatrix``` object.
 dtrain = xgb.DMatrix('train.svm.txt')
 dtest = xgb.DMatrix('test.svm.buffer')
 ```
+* To load a CSV file into ```DMatrix```:
+```python
+# label_column specifies the index of the column containing the true label
+dtrain = xgb.DMatrix('train.csv?format=csv&label_column=0')
+dtest = xgb.DMatrix('test.csv?format=csv&label_column=0')
+```
+(Note that XGBoost does not support categorical features; if your data contains
+categorical features, load it as a numpy array first and then perform
+[one-hot encoding](http://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.OneHotEncoder.html).)
+
 * To load a numpy array into ```DMatrix```:
 ```python
 data = np.random.rand(5, 10)  # 5 entities, each contains 10 features

python-package/xgboost/core.py

@@ -235,8 +235,6 @@ class DMatrix(object):
                  feature_names=None, feature_types=None,
                  nthread=None):
         """
-        Data matrix used in XGBoost.
-
         Parameters
         ----------
         data : string/numpy array/scipy.sparse/pd.DataFrame
@@ -706,7 +704,7 @@ class DMatrix(object):
 
 
 class Booster(object):
-    """"A Booster of of XGBoost.
+    """A Booster of of XGBoost.
 
     Booster is the model of xgboost, that contains low level routines for
     training, prediction and evaluation.
@@ -716,8 +714,7 @@ class Booster(object):
 
     def __init__(self, params=None, cache=(), model_file=None):
         # pylint: disable=invalid-name
-        """Initialize the Booster.
+        """
-
         Parameters
         ----------
         params : dict