added code for instance based weighing for rank objectives (#3379)

* added code for instance based weighing for rank objectives

* Fix lint

src/objective/rank_obj.cc

@@ -37,6 +37,7 @@ class LambdaRankObj : public ObjFunction {
   void Configure(const std::vector<std::pair<std::string, std::string> >& args) override {
     param_.InitAllowUnknown(args);
   }
+
   void GetGradient(HostDeviceVector<bst_float>* preds,
                    const MetaInfo& info,
                    int iter,
@@ -50,6 +51,7 @@ class LambdaRankObj : public ObjFunction {
     const std::vector<unsigned> &gptr = info.group_ptr_.size() == 0 ? tgptr : info.group_ptr_;
     CHECK(gptr.size() != 0 && gptr.back() == info.labels_.size())
         << "group structure not consistent with #rows";
+
     const auto ngroup = static_cast<bst_omp_uint>(gptr.size() - 1);
     #pragma omp parallel
     {
@@ -60,6 +62,11 @@ class LambdaRankObj : public ObjFunction {
       std::vector<LambdaPair> pairs;
       std::vector<ListEntry>  lst;
       std::vector< std::pair<bst_float, unsigned> > rec;
+      bst_float sum_weights = 0;
+      for (bst_omp_uint k = 0; k < ngroup; ++k) {
+        sum_weights += info.GetWeight(k);
+      }
+      bst_float weight_normalization_factor = ngroup/sum_weights;
       #pragma omp for schedule(static)
       for (bst_omp_uint k = 0; k < ngroup; ++k) {
         lst.clear(); pairs.clear();
@@ -85,9 +92,11 @@ class LambdaRankObj : public ObjFunction {
               for (unsigned pid = i; pid < j; ++pid) {
                 unsigned ridx = std::uniform_int_distribution<unsigned>(0, nleft + nright - 1)(rnd);
                 if (ridx < nleft) {
-                  pairs.emplace_back(rec[ridx].second, rec[pid].second);
+                  pairs.emplace_back(rec[ridx].second, rec[pid].second,
+                      info.GetWeight(k) * weight_normalization_factor);
                 } else {
-                  pairs.emplace_back(rec[pid].second, rec[ridx+j-i].second);
+                  pairs.emplace_back(rec[pid].second, rec[ridx+j-i].second,
+                      info.GetWeight(k) * weight_normalization_factor);
                 }
               }
             }
@@ -152,6 +161,9 @@ class LambdaRankObj : public ObjFunction {
     // constructor
     LambdaPair(unsigned pos_index, unsigned neg_index)
         : pos_index(pos_index), neg_index(neg_index), weight(1.0f) {}
+    // constructor
+    LambdaPair(unsigned pos_index, unsigned neg_index, bst_float weight)
+        : pos_index(pos_index), neg_index(neg_index), weight(weight) {}
   };
   /*!
    * \brief get lambda weight for existing pairs
@@ -205,7 +217,7 @@ class LambdaRankObjNDCG : public LambdaRankObj {
             ((1 << neg_label) - 1) * pos_loginv + ((1 << pos_label) - 1) * neg_loginv;
         bst_float delta = (original - changed) * IDCG;
         if (delta < 0.0f) delta = - delta;
-        pair.weight = delta;
+        pair.weight *= delta;
       }
     }
   }
@@ -301,7 +313,7 @@ class LambdaRankObjMAP : public LambdaRankObj {
     std::vector<MAPStats> map_stats;
     GetMAPStats(sorted_list, &map_stats);
     for (auto & pair : pairs) {
-      pair.weight =
+      pair.weight *=
           GetLambdaMAP(sorted_list, pair.pos_index,
                        pair.neg_index, &map_stats);
     }

tests/cpp/helpers.cc

@@ -41,17 +41,13 @@ std::string CreateBigTestData(size_t n_entries) {
   return tmp_file;
 }
 
-void CheckObjFunction(xgboost::ObjFunction * obj,
+void _CheckObjFunction(xgboost::ObjFunction * obj,
                       std::vector<xgboost::bst_float> preds,
                       std::vector<xgboost::bst_float> labels,
                       std::vector<xgboost::bst_float> weights,
+                      xgboost::MetaInfo info,
                       std::vector<xgboost::bst_float> out_grad,
                       std::vector<xgboost::bst_float> out_hess) {
-  xgboost::MetaInfo info;
-  info.num_row_ = labels.size();
-  info.labels_ = labels;
-  info.weights_ = weights;
-
   xgboost::HostDeviceVector<xgboost::bst_float> in_preds(preds);
 
   xgboost::HostDeviceVector<xgboost::GradientPair> out_gpair;
@@ -69,6 +65,37 @@ void CheckObjFunction(xgboost::ObjFunction * obj,
   }
 }
 
+void CheckObjFunction(xgboost::ObjFunction * obj,
+                      std::vector<xgboost::bst_float> preds,
+                      std::vector<xgboost::bst_float> labels,
+                      std::vector<xgboost::bst_float> weights,
+                      std::vector<xgboost::bst_float> out_grad,
+                      std::vector<xgboost::bst_float> out_hess) {
+  xgboost::MetaInfo info;
+  info.num_row_ = labels.size();
+  info.labels_ = labels;
+  info.weights_ = weights;
+
+  _CheckObjFunction(obj, preds, labels, weights, info, out_grad, out_hess);
+}
+
+void CheckRankingObjFunction(xgboost::ObjFunction * obj,
+                      std::vector<xgboost::bst_float> preds,
+                      std::vector<xgboost::bst_float> labels,
+                      std::vector<xgboost::bst_float> weights,
+                      std::vector<xgboost::bst_uint> groups,
+                      std::vector<xgboost::bst_float> out_grad,
+                      std::vector<xgboost::bst_float> out_hess) {
+  xgboost::MetaInfo info;
+  info.num_row_ = labels.size();
+  info.labels_ = labels;
+  info.weights_ = weights;
+  info.group_ptr_ = groups;
+
+  _CheckObjFunction(obj, preds, labels, weights, info, out_grad, out_hess);
+}
+
+
 xgboost::bst_float GetMetricEval(xgboost::Metric * metric,
                                  std::vector<xgboost::bst_float> preds,
                                  std::vector<xgboost::bst_float> labels,

tests/cpp/helpers.h

@@ -32,6 +32,14 @@ void CheckObjFunction(xgboost::ObjFunction * obj,
                       std::vector<xgboost::bst_float> out_grad,
                       std::vector<xgboost::bst_float> out_hess);
 
+void CheckRankingObjFunction(xgboost::ObjFunction * obj,
+                      std::vector<xgboost::bst_float> preds,
+                      std::vector<xgboost::bst_float> labels,
+                      std::vector<xgboost::bst_float> weights,
+                      std::vector<xgboost::bst_uint> groups,
+                      std::vector<xgboost::bst_float> out_grad,
+                      std::vector<xgboost::bst_float> out_hess);
+
 xgboost::bst_float GetMetricEval(
   xgboost::Metric * metric,
   std::vector<xgboost::bst_float> preds,

tests/cpp/objective/test_ranking_obj.cc

@@ -0,0 +1,28 @@
+// Copyright by Contributors
+#include <xgboost/objective.h>
+
+#include "../helpers.h"
+
+TEST(Objective, PairwiseRankingGPair) {
+  xgboost::ObjFunction * obj = xgboost::ObjFunction::Create("rank:pairwise");
+  std::vector<std::pair<std::string, std::string> > args;
+  obj->Configure(args);
+  // Test with setting sample weight to second query group
+  CheckRankingObjFunction(obj,
+                   {0, 0.1f, 0, 0.1f},
+                   {0,   1, 0, 1},
+                   {2.0f, 0.0f},
+                   {0, 2, 4},
+                   {1.9f, -1.9f, 0.0f, 0.0f},
+                   {1.995f, 1.995f, 0.0f, 0.0f});
+
+  CheckRankingObjFunction(obj,
+                   {0, 0.1f, 0, 0.1f},
+                   {0,   1, 0, 1},
+                   {1.0f, 1.0f},
+                   {0, 2, 4},
+                   {0.95f, -0.95f,  0.95f, -0.95f},
+                   {0.9975f, 0.9975f, 0.9975f, 0.9975f});
+
+  ASSERT_NO_THROW(obj->DefaultEvalMetric());
+}