[breaking] Add prediction fucntion for DMatrix and use inplace predict for dask. (#6668)

* Add a new API function for predicting on `DMatrix`.  This function aligns
with rest of the `XGBoosterPredictFrom*` functions on semantic of function
arguments.
* Purge `ntree_limit` from libxgboost, use iteration instead.
* [dask] Use `inplace_predict` by default for dask sklearn models.
* [dask] Run prediction shape inference on worker instead of client.

The breaking change is in the Python sklearn `apply` function, I made it to be
consistent with other prediction functions where `best_iteration` is used by
default.
This commit is contained in:
Jiaming Yuan
2021-02-08 18:26:32 +08:00
committed by GitHub
parent dbb5208a0a
commit 4656b09d5d
29 changed files with 1134 additions and 604 deletions

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@@ -34,6 +34,7 @@ dependencies:
- llvmlite
- pip:
- shap
- ipython # required by shap at import time.
- guzzle_sphinx_theme
- datatable
- modin[all]

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@@ -51,6 +51,53 @@ TEST(GBTree, SelectTreeMethod) {
#endif // XGBOOST_USE_CUDA
}
TEST(GBTree, PredictionCache) {
size_t constexpr kRows = 100, kCols = 10;
GenericParameter generic_param;
generic_param.UpdateAllowUnknown(Args{});
LearnerModelParam mparam;
mparam.base_score = 0.5;
mparam.num_feature = kCols;
mparam.num_output_group = 1;
std::unique_ptr<GradientBooster> p_gbm {
GradientBooster::Create("gbtree", &generic_param, &mparam)};
auto& gbtree = dynamic_cast<gbm::GBTree&> (*p_gbm);
gbtree.Configure({{"tree_method", "hist"}});
auto p_m = RandomDataGenerator{kRows, kCols, 0}.GenerateDMatrix();
auto gpair = GenerateRandomGradients(kRows);
PredictionCacheEntry out_predictions;
gbtree.DoBoost(p_m.get(), &gpair, &out_predictions);
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 0, 0);
ASSERT_EQ(1, out_predictions.version);
std::vector<float> first_iter = out_predictions.predictions.HostVector();
// Add 1 more boosted round
gbtree.DoBoost(p_m.get(), &gpair, &out_predictions);
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 0, 0);
ASSERT_EQ(2, out_predictions.version);
// Update the cache for all rounds
out_predictions.version = 0;
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 0, 0);
ASSERT_EQ(2, out_predictions.version);
gbtree.DoBoost(p_m.get(), &gpair, &out_predictions);
// drop the cache.
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 1, 2);
ASSERT_EQ(0, out_predictions.version);
// half open set [1, 3)
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 1, 3);
ASSERT_EQ(0, out_predictions.version);
// iteration end
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 0, 2);
ASSERT_EQ(2, out_predictions.version);
// restart the cache when end iteration is smaller than cache version
gbtree.PredictBatch(p_m.get(), &out_predictions, false, 0, 1);
ASSERT_EQ(1, out_predictions.version);
ASSERT_EQ(out_predictions.predictions.HostVector(), first_iter);
}
TEST(GBTree, WrongUpdater) {
size_t constexpr kRows = 17;
size_t constexpr kCols = 15;

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@@ -32,7 +32,7 @@ TEST(CpuPredictor, Basic) {
// Test predict batch
PredictionCacheEntry out_predictions;
cpu_predictor->PredictBatch(dmat.get(), &out_predictions, model, 0);
ASSERT_EQ(model.trees.size(), out_predictions.version);
std::vector<float>& out_predictions_h = out_predictions.predictions.HostVector();
for (size_t i = 0; i < out_predictions.predictions.Size(); i++) {
ASSERT_EQ(out_predictions_h[i], 1.5);
@@ -215,7 +215,7 @@ TEST(CpuPredictor, UpdatePredictionCache) {
PredictionCacheEntry out_predictions;
// perform fair prediction on the same input data, should be equal to cached result
gbm->PredictBatch(dmat.get(), &out_predictions, false, 0);
gbm->PredictBatch(dmat.get(), &out_predictions, false, 0, 0);
std::vector<float> &out_predictions_h = out_predictions.predictions.HostVector();
std::vector<float> &predtion_cache_from_train = predtion_cache.predictions.HostVector();

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@@ -45,7 +45,6 @@ TEST(GPUPredictor, Basic) {
PredictionCacheEntry cpu_out_predictions;
gpu_predictor->PredictBatch(dmat.get(), &gpu_out_predictions, model, 0);
ASSERT_EQ(model.trees.size(), gpu_out_predictions.version);
cpu_predictor->PredictBatch(dmat.get(), &cpu_out_predictions, model, 0);
std::vector<float>& gpu_out_predictions_h = gpu_out_predictions.predictions.HostVector();

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@@ -64,10 +64,10 @@ void TestTrainingPrediction(size_t rows, size_t bins,
}
HostDeviceVector<float> from_full;
learner->Predict(p_full, false, &from_full);
learner->Predict(p_full, false, &from_full, 0, 0);
HostDeviceVector<float> from_hist;
learner->Predict(p_hist, false, &from_hist);
learner->Predict(p_hist, false, &from_hist, 0, 0);
for (size_t i = 0; i < rows; ++i) {
EXPECT_NEAR(from_hist.ConstHostVector()[i],
@@ -157,20 +157,20 @@ void TestPredictionWithLesserFeatures(std::string predictor_name) {
learner->SaveConfig(&config);
ASSERT_EQ(get<String>(config["learner"]["gradient_booster"]["gbtree_train_param"]["predictor"]), predictor_name);
learner->Predict(m_test, false, &prediction);
learner->Predict(m_test, false, &prediction, 0, 0);
ASSERT_EQ(prediction.Size(), kRows);
auto m_invalid = RandomDataGenerator(kRows, kTrainCols + 1, 0.5).GenerateDMatrix(false);
ASSERT_THROW({learner->Predict(m_invalid, false, &prediction);}, dmlc::Error);
ASSERT_THROW({learner->Predict(m_invalid, false, &prediction, 0, 0);}, dmlc::Error);
#if defined(XGBOOST_USE_CUDA)
HostDeviceVector<float> from_cpu;
learner->SetParam("predictor", "cpu_predictor");
learner->Predict(m_test, false, &from_cpu);
learner->Predict(m_test, false, &from_cpu, 0, 0);
HostDeviceVector<float> from_cuda;
learner->SetParam("predictor", "gpu_predictor");
learner->Predict(m_test, false, &from_cuda);
learner->Predict(m_test, false, &from_cuda, 0, 0);
auto const& h_cpu = from_cpu.ConstHostVector();
auto const& h_gpu = from_cuda.ConstHostVector();

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@@ -221,9 +221,10 @@ TEST(Learner, MultiThreadedPredict) {
auto &entry = learner->GetThreadLocal().prediction_entry;
HostDeviceVector<float> predictions;
for (size_t iter = 0; iter < kIters; ++iter) {
learner->Predict(p_data, false, &entry.predictions);
learner->Predict(p_data, false, &predictions, 0, true); // leaf
learner->Predict(p_data, false, &predictions, 0, false, true); // contribs
learner->Predict(p_data, false, &entry.predictions, 0, 0);
learner->Predict(p_data, false, &predictions, 0, 0, false, true); // leaf
learner->Predict(p_data, false, &predictions, 0, 0, false, false, true); // contribs
}
});
}

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@@ -112,17 +112,24 @@ def _test_cupy_metainfo(DMatrixT):
@pytest.mark.skipif(**tm.no_sklearn())
def test_cupy_training_with_sklearn():
import cupy as cp
np.random.seed(1)
cp.random.seed(1)
X = cp.random.randn(50, 10, dtype='float32')
y = (cp.random.randn(50, dtype='float32') > 0).astype('int8')
X = cp.random.randn(50, 10, dtype="float32")
y = (cp.random.randn(50, dtype="float32") > 0).astype("int8")
weights = np.random.random(50) + 1
cupy_weights = cp.array(weights)
base_margin = np.random.random(50)
cupy_base_margin = cp.array(base_margin)
clf = xgb.XGBClassifier(gpu_id=0, tree_method='gpu_hist', use_label_encoder=False)
clf.fit(X, y, sample_weight=cupy_weights, base_margin=cupy_base_margin, eval_set=[(X, y)])
clf = xgb.XGBClassifier(gpu_id=0, tree_method="gpu_hist", use_label_encoder=False)
clf.fit(
X,
y,
sample_weight=cupy_weights,
base_margin=cupy_base_margin,
eval_set=[(X, y)],
)
pred = clf.predict(X)
assert np.array_equal(np.unique(pred), np.array([0, 1]))

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@@ -16,13 +16,15 @@ if sys.platform.startswith("win"):
pytest.skip("Skipping dask tests on Windows", allow_module_level=True)
sys.path.append("tests/python")
from test_with_dask import run_empty_dmatrix_reg # noqa
from test_with_dask import run_empty_dmatrix_cls # noqa
from test_with_dask import _get_client_workers # noqa
from test_with_dask import generate_array # noqa
from test_with_dask import kCols as random_cols # noqa
from test_with_dask import suppress # noqa
import testing as tm # noqa
from test_with_dask import run_empty_dmatrix_reg # noqa
from test_with_dask import run_boost_from_prediction # noqa
from test_with_dask import run_dask_classifier # noqa
from test_with_dask import run_empty_dmatrix_cls # noqa
from test_with_dask import _get_client_workers # noqa
from test_with_dask import generate_array # noqa
from test_with_dask import kCols as random_cols # noqa
from test_with_dask import suppress # noqa
import testing as tm # noqa
try:
@@ -132,9 +134,9 @@ def run_gpu_hist(
num_rounds: int,
dataset: tm.TestDataset,
DMatrixT: Type,
client: Client
client: Client,
) -> None:
params['tree_method'] = 'gpu_hist'
params["tree_method"] = "gpu_hist"
params = dataset.set_params(params)
# It doesn't make sense to distribute a completely
# empty dataset.
@@ -143,26 +145,40 @@ def run_gpu_hist(
chunk = 128
X = to_cp(dataset.X, DMatrixT)
X = da.from_array(X,
chunks=(chunk, dataset.X.shape[1]))
X = da.from_array(X, chunks=(chunk, dataset.X.shape[1]))
y = to_cp(dataset.y, DMatrixT)
y = da.from_array(y, chunks=(chunk, ))
y = da.from_array(y, chunks=(chunk,))
if dataset.w is not None:
w = to_cp(dataset.w, DMatrixT)
w = da.from_array(w, chunks=(chunk, ))
w = da.from_array(w, chunks=(chunk,))
else:
w = None
if DMatrixT is dxgb.DaskDeviceQuantileDMatrix:
m = DMatrixT(client, data=X, label=y, weight=w,
max_bin=params.get('max_bin', 256))
m = DMatrixT(
client, data=X, label=y, weight=w, max_bin=params.get("max_bin", 256)
)
else:
m = DMatrixT(client, data=X, label=y, weight=w)
history = dxgb.train(client, params=params, dtrain=m,
num_boost_round=num_rounds,
evals=[(m, 'train')])['history']
history = dxgb.train(
client,
params=params,
dtrain=m,
num_boost_round=num_rounds,
evals=[(m, "train")],
)["history"]
note(history)
assert tm.non_increasing(history['train'][dataset.metric])
assert tm.non_increasing(history["train"][dataset.metric])
def test_boost_from_prediction(local_cuda_cluster: LocalCUDACluster) -> None:
import cudf
from sklearn.datasets import load_breast_cancer
with Client(local_cuda_cluster) as client:
X_, y_ = load_breast_cancer(return_X_y=True)
X = dd.from_array(X_, chunksize=100).map_partitions(cudf.from_pandas)
y = dd.from_array(y_, chunksize=100).map_partitions(cudf.from_pandas)
run_boost_from_prediction(X, y, "gpu_hist", client)
class TestDistributedGPU:
@@ -246,6 +262,20 @@ class TestDistributedGPU:
dump = booster.get_dump(dump_format='json')
assert len(dump) - booster.best_iteration == early_stopping_rounds + 1
@pytest.mark.skipif(**tm.no_cudf())
@pytest.mark.skipif(**tm.no_dask())
@pytest.mark.skipif(**tm.no_dask_cuda())
@pytest.mark.parametrize("model", ["boosting"])
def test_dask_classifier(self, model, local_cuda_cluster: LocalCUDACluster) -> None:
import dask_cudf
with Client(local_cuda_cluster) as client:
X_, y_, w_ = generate_array(with_weights=True)
y_ = (y_ * 10).astype(np.int32)
X = dask_cudf.from_dask_dataframe(dd.from_dask_array(X_))
y = dask_cudf.from_dask_dataframe(dd.from_dask_array(y_))
w = dask_cudf.from_dask_dataframe(dd.from_dask_array(w_))
run_dask_classifier(X, y, w, model, client)
@pytest.mark.skipif(**tm.no_dask())
@pytest.mark.skipif(**tm.no_dask_cuda())
@pytest.mark.mgpu

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@@ -434,7 +434,13 @@ class TestModels:
booster[...:end] = booster
sliced_0 = booster[1:3]
np.testing.assert_allclose(
booster.predict(dtrain, iteration_range=(1, 3)), sliced_0.predict(dtrain)
)
sliced_1 = booster[3:7]
np.testing.assert_allclose(
booster.predict(dtrain, iteration_range=(3, 7)), sliced_1.predict(dtrain)
)
predt_0 = sliced_0.predict(dtrain, output_margin=True)
predt_1 = sliced_1.predict(dtrain, output_margin=True)

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@@ -47,30 +47,27 @@ def run_predict_leaf(predictor):
empty_leaf = booster.predict(empty, pred_leaf=True)
assert empty_leaf.shape[0] == 0
leaf = booster.predict(m, pred_leaf=True)
leaf = booster.predict(m, pred_leaf=True, strict_shape=True)
assert leaf.shape[0] == rows
assert leaf.shape[1] == classes * num_parallel_tree * num_boost_round
assert leaf.shape[1] == num_boost_round
assert leaf.shape[2] == classes
assert leaf.shape[3] == num_parallel_tree
for i in range(rows):
row = leaf[i, ...]
for j in range(num_boost_round):
start = classes * num_parallel_tree * j
end = classes * num_parallel_tree * (j + 1)
layer = row[start: end]
for c in range(classes):
tree_group = layer[c * num_parallel_tree: (c + 1) * num_parallel_tree]
for k in range(classes):
tree_group = leaf[i, j, k, :]
assert tree_group.shape[0] == num_parallel_tree
# no subsampling so tree in same forest should output same
# leaf.
# No sampling, all trees within forest are the same
assert np.all(tree_group == tree_group[0])
ntree_limit = 2
sliced = booster.predict(
m, pred_leaf=True, ntree_limit=num_parallel_tree * ntree_limit
m, pred_leaf=True, ntree_limit=num_parallel_tree * ntree_limit, strict_shape=True
)
first = sliced[0, ...]
assert first.shape[0] == classes * num_parallel_tree * ntree_limit
assert np.prod(first.shape) == classes * num_parallel_tree * ntree_limit
return leaf
@@ -78,6 +75,23 @@ def test_predict_leaf():
run_predict_leaf('cpu_predictor')
def test_predict_shape():
from sklearn.datasets import load_boston
X, y = load_boston(return_X_y=True)
reg = xgb.XGBRegressor(n_estimators=1)
reg.fit(X, y)
predt = reg.get_booster().predict(xgb.DMatrix(X), strict_shape=True)
assert len(predt.shape) == 2
assert predt.shape[0] == X.shape[0]
assert predt.shape[1] == 1
contrib = reg.get_booster().predict(
xgb.DMatrix(X), pred_contribs=True, strict_shape=True
)
assert len(contrib.shape) == 3
assert contrib.shape[1] == 1
class TestInplacePredict:
'''Tests for running inplace prediction'''
@classmethod
@@ -92,8 +106,7 @@ class TestInplacePredict:
dtrain = xgb.DMatrix(cls.X, cls.y)
cls.booster = xgb.train({'tree_method': 'hist'},
dtrain, num_boost_round=10)
cls.booster = xgb.train({'tree_method': 'hist'}, dtrain, num_boost_round=10)
cls.test = xgb.DMatrix(cls.X[:10, ...])

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@@ -159,12 +159,9 @@ def test_dask_predict_shape_infer(client: "Client") -> None:
assert prediction.shape[1] == 3
@pytest.mark.parametrize("tree_method", ["hist", "approx"])
def test_boost_from_prediction(tree_method: str, client: "Client") -> None:
from sklearn.datasets import load_breast_cancer
X_, y_ = load_breast_cancer(return_X_y=True)
X, y = dd.from_array(X_, chunksize=100), dd.from_array(y_, chunksize=100)
def run_boost_from_prediction(
X: xgb.dask._DaskCollection, y: xgb.dask._DaskCollection, tree_method: str, client: "Client"
) -> None:
model_0 = xgb.dask.DaskXGBClassifier(
learning_rate=0.3, random_state=0, n_estimators=4,
tree_method=tree_method)
@@ -202,6 +199,30 @@ def test_boost_from_prediction(tree_method: str, client: "Client") -> None:
assert margined_res[i] < unmargined_res[i]
@pytest.mark.parametrize("tree_method", ["hist", "approx"])
def test_boost_from_prediction(tree_method: str, client: "Client") -> None:
from sklearn.datasets import load_breast_cancer
X_, y_ = load_breast_cancer(return_X_y=True)
X, y = dd.from_array(X_, chunksize=100), dd.from_array(y_, chunksize=100)
run_boost_from_prediction(X, y, tree_method, client)
def test_inplace_predict(client: "Client") -> None:
from sklearn.datasets import load_boston
X_, y_ = load_boston(return_X_y=True)
X, y = dd.from_array(X_, chunksize=32), dd.from_array(y_, chunksize=32)
reg = xgb.dask.DaskXGBRegressor(n_estimators=4).fit(X, y)
booster = reg.get_booster()
base_margin = y
inplace = xgb.dask.inplace_predict(
client, booster, X, base_margin=base_margin
).compute()
Xy = xgb.dask.DaskDMatrix(client, X, base_margin=base_margin)
copied = xgb.dask.predict(client, booster, Xy).compute()
np.testing.assert_allclose(inplace, copied)
def test_dask_missing_value_reg(client: "Client") -> None:
X_0 = np.ones((20 // 2, kCols))
X_1 = np.zeros((20 // 2, kCols))
@@ -288,10 +309,13 @@ def test_dask_regressor(model: str, client: "Client") -> None:
assert forest == 2
@pytest.mark.parametrize("model", ["boosting", "rf"])
def test_dask_classifier(model: str, client: "Client") -> None:
X, y, w = generate_array(with_weights=True)
y = (y * 10).astype(np.int32)
def run_dask_classifier(
X: xgb.dask._DaskCollection,
y: xgb.dask._DaskCollection,
w: xgb.dask._DaskCollection,
model: str,
client: "Client",
) -> None:
if model == "boosting":
classifier = xgb.dask.DaskXGBClassifier(
verbosity=1, n_estimators=2, eval_metric="merror"
@@ -306,14 +330,13 @@ def test_dask_classifier(model: str, client: "Client") -> None:
classifier.client = client
classifier.fit(X, y, sample_weight=w, eval_set=[(X, y)])
prediction = classifier.predict(X)
prediction = classifier.predict(X).compute()
assert prediction.ndim == 1
assert prediction.shape[0] == kRows
history = classifier.evals_result()
assert isinstance(prediction, da.Array)
assert isinstance(history, dict)
assert list(history.keys())[0] == "validation_0"
@@ -332,7 +355,7 @@ def test_dask_classifier(model: str, client: "Client") -> None:
assert forest == 2
# Test .predict_proba()
probas = classifier.predict_proba(X)
probas = classifier.predict_proba(X).compute()
assert classifier.n_classes_ == 10
assert probas.ndim == 2
assert probas.shape[0] == kRows
@@ -341,18 +364,33 @@ def test_dask_classifier(model: str, client: "Client") -> None:
cls_booster = classifier.get_booster()
single_node_proba = cls_booster.inplace_predict(X.compute())
np.testing.assert_allclose(single_node_proba, probas.compute())
# test shared by CPU and GPU
if isinstance(single_node_proba, np.ndarray):
np.testing.assert_allclose(single_node_proba, probas)
else:
import cupy
cupy.testing.assert_allclose(single_node_proba, probas)
# Test with dataframe.
X_d = dd.from_dask_array(X)
y_d = dd.from_dask_array(y)
classifier.fit(X_d, y_d)
# Test with dataframe, not shared with GPU as cupy doesn't work well with da.unique.
if isinstance(X, da.Array):
X_d: dd.DataFrame = X.to_dask_dataframe()
assert classifier.n_classes_ == 10
prediction = classifier.predict(X_d).compute()
assert classifier.n_classes_ == 10
prediction_df = classifier.predict(X_d).compute()
assert prediction.ndim == 1
assert prediction.shape[0] == kRows
assert prediction_df.ndim == 1
assert prediction_df.shape[0] == kRows
np.testing.assert_allclose(prediction_df, prediction)
probas = classifier.predict_proba(X).compute()
np.testing.assert_allclose(single_node_proba, probas)
@pytest.mark.parametrize("model", ["boosting", "rf"])
def test_dask_classifier(model: str, client: "Client") -> None:
X, y, w = generate_array(with_weights=True)
y = (y * 10).astype(np.int32)
run_dask_classifier(X, y, w, model, client)
@pytest.mark.skipif(**tm.no_sklearn())
@@ -913,9 +951,9 @@ class TestWithDask:
train = xgb.dask.DaskDMatrix(client, dX, dy)
dX = dd.from_array(X)
dX = client.persist(dX, workers={dX: workers[1]})
dX = client.persist(dX, workers=workers[1])
dy = dd.from_array(y)
dy = client.persist(dy, workers={dy: workers[1]})
dy = client.persist(dy, workers=workers[1])
valid = xgb.dask.DaskDMatrix(client, dX, dy)
merged = xgb.dask._get_workers_from_data(train, evals=[(valid, 'Valid')])
@@ -1060,6 +1098,16 @@ class TestWithDask:
assert_shape(shap.shape)
assert np.allclose(np.sum(shap, axis=len(shap.shape) - 1), margin, 1e-5, 1e-5)
X = dd.from_dask_array(X).repartition(npartitions=32)
y = dd.from_dask_array(y).repartition(npartitions=32)
shap_df = xgb.dask.predict(
client, booster, X, pred_contribs=True, validate_features=False
).compute()
assert_shape(shap_df.shape)
assert np.allclose(
np.sum(shap_df, axis=len(shap_df.shape) - 1), margin, 1e-5, 1e-5
)
def run_shap_cls_sklearn(self, X: Any, y: Any, client: "Client") -> None:
X, y = da.from_array(X, chunks=(32, -1)), da.from_array(y, chunks=32)
cls = xgb.dask.DaskXGBClassifier(n_estimators=4)