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full omp support for regression

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This commit is contained in:
tqchen 2014-03-01 20:56:25 -08:00
parent 550010e9d2
commit 5cdc38648b
9 changed files with 206 additions and 354 deletions
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2
Makefile
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@ -11,7 +11,7 @@ all: $(BIN) $(OBJ)
export LDFLAGS= -pthread -lm export LDFLAGS= -pthread -lm
xgboost.o: booster/xgboost.h booster/xgboost_data.h booster/xgboost.cpp booster/*/*.hpp booster/*/*.h xgboost.o: booster/xgboost.h booster/xgboost_data.h booster/xgboost.cpp booster/*/*.hpp booster/*/*.h
xgboost: regression/xgboost_reg_main.cpp xgboost.o xgboost: regression/xgboost_reg_main.cpp regression/*.h xgboost.o
$(BIN) : $(BIN) :
$(CXX) $(CFLAGS) $(LDFLAGS) -o $@ $(filter %.cpp %.o %.c, $^) $(CXX) $(CFLAGS) $(LDFLAGS) -o $@ $(filter %.cpp %.o %.c, $^)

61
booster/tree/xgboost_tree.hpp
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@ -32,7 +32,9 @@ namespace xgboost{
class RegTreeTrainer : public IBooster{ class RegTreeTrainer : public IBooster{
public: public:
RegTreeTrainer( void ){ RegTreeTrainer( void ){
silent = 0; tree_maker = 1; silent = 0; tree_maker = 1;
// normally we won't have more than 64 OpenMP threads
threadtemp.resize( 64, ThreadEntry() );
} }
virtual ~RegTreeTrainer( void ){} virtual ~RegTreeTrainer( void ){}
public: public:
@ -74,25 +76,25 @@ namespace xgboost{
virtual void PredPath( std::vector<int> &path, const FMatrixS::Line &feat, unsigned gid = 0 ){ virtual void PredPath( std::vector<int> &path, const FMatrixS::Line &feat, unsigned gid = 0 ){
path.clear(); path.clear();
this->InitTmp(); ThreadEntry &e = this->InitTmp();
this->PrepareTmp( feat ); this->PrepareTmp( feat, e );
int pid = (int)gid; int pid = (int)gid;
path.push_back( pid ); path.push_back( pid );
// tranverse tree // tranverse tree
while( !tree[ pid ].is_leaf() ){ while( !tree[ pid ].is_leaf() ){
unsigned split_index = tree[ pid ].split_index(); unsigned split_index = tree[ pid ].split_index();
pid = this->GetNext( pid, tmp_feat[ split_index ], tmp_funknown[ split_index ] ); pid = this->GetNext( pid, e.feat[ split_index ], e.funknown[ split_index ] );
path.push_back( pid ); path.push_back( pid );
} }
this->DropTmp( feat ); this->DropTmp( feat, e );
} }
// make it OpenMP thread safe, but not thread safe in general
virtual float Predict( const FMatrixS::Line &feat, unsigned gid = 0 ){ virtual float Predict( const FMatrixS::Line &feat, unsigned gid = 0 ){
this->InitTmp(); ThreadEntry &e = this->InitTmp();
this->PrepareTmp( feat ); this->PrepareTmp( feat, e );
int pid = this->GetLeafIndex( tmp_feat, tmp_funknown, gid ); int pid = this->GetLeafIndex( e.feat, e.funknown, gid );
this->DropTmp( feat ); this->DropTmp( feat, e );
return tree[ pid ].leaf_value(); return tree[ pid ].leaf_value();
} }
virtual float Predict( const std::vector<float> &feat, virtual float Predict( const std::vector<float> &feat,
@ -102,8 +104,7 @@ namespace xgboost{
"input data smaller than num feature" ); "input data smaller than num feature" );
int pid = this->GetLeafIndex( feat, funknown, gid ); int pid = this->GetLeafIndex( feat, funknown, gid );
return tree[ pid ].leaf_value(); return tree[ pid ].leaf_value();
} }
virtual void DumpModel( FILE *fo ){ virtual void DumpModel( FILE *fo ){
tree.DumpModel( fo ); tree.DumpModel( fo );
} }
@ -137,25 +138,34 @@ namespace xgboost{
RegTree tree; RegTree tree;
TreeParamTrain param; TreeParamTrain param;
private: private:
std::vector<float> tmp_feat; struct ThreadEntry{
std::vector<bool> tmp_funknown; std::vector<float> feat;
inline void InitTmp( void ){ std::vector<bool> funknown;
if( tmp_feat.size() != (size_t)tree.param.num_feature ){ };
tmp_feat.resize( tree.param.num_feature ); std::vector<ThreadEntry> threadtemp;
tmp_funknown.resize( tree.param.num_feature ); private:
std::fill( tmp_funknown.begin(), tmp_funknown.end(), true );
inline ThreadEntry& InitTmp( void ){
const int tid = omp_get_thread_num();
utils::Assert( tid < (int)threadtemp.size(), "RTreeUpdater: threadtemp pool is too small" );
ThreadEntry &e = threadtemp[ tid ];
if( e.feat.size() != (size_t)tree.param.num_feature ){
e.feat.resize( tree.param.num_feature );
e.funknown.resize( tree.param.num_feature );
std::fill( e.funknown.begin(), e.funknown.end(), true );
} }
return e;
} }
inline void PrepareTmp( const FMatrixS::Line &feat ){ inline void PrepareTmp( const FMatrixS::Line &feat, ThreadEntry &e ){
for( unsigned i = 0; i < feat.len; i ++ ){ for( unsigned i = 0; i < feat.len; i ++ ){
utils::Assert( feat[i].findex < (unsigned)tmp_funknown.size() , "input feature execeed bound" ); utils::Assert( feat[i].findex < (unsigned)tree.param.num_feature , "input feature execeed bound" );
tmp_funknown[ feat[i].findex ] = false; e.funknown[ feat[i].findex ] = false;
tmp_feat[ feat[i].findex ] = feat[i].fvalue; e.feat[ feat[i].findex ] = feat[i].fvalue;
} }
} }
inline void DropTmp( const FMatrixS::Line &feat ){ inline void DropTmp( const FMatrixS::Line &feat, ThreadEntry &e ){
for( unsigned i = 0; i < feat.len; i ++ ){ for( unsigned i = 0; i < feat.len; i ++ ){
tmp_funknown[ feat[i].findex ] = true; e.funknown[ feat[i].findex ] = true;
} }
} }
@ -174,4 +184,3 @@ namespace xgboost{
}; };
#endif #endif

4
booster/xgboost.h
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@ -75,7 +75,9 @@ namespace xgboost{
} }
/*! /*!
* \brief predict values for given sparse feature vector * \brief predict values for given sparse feature vector
* NOTE: in tree implementation, this is not threadsafe, used dense version to ensure threadsafety *
* NOTE: in tree implementation, Sparse Predict is OpenMP threadsafe, but not threadsafe in general,
* dense version of Predict to ensures threadsafety
* \param feat vector in sparse format * \param feat vector in sparse format
* \param rid root id of current instance, default = 0 * \param rid root id of current instance, default = 0
* \return prediction * \return prediction

11
booster/xgboost_gbmbase.h
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@ -1,6 +1,7 @@
#ifndef _XGBOOST_GBMBASE_H_ #ifndef _XGBOOST_GBMBASE_H_
#define _XGBOOST_GBMBASE_H_ #define _XGBOOST_GBMBASE_H_
#include <omp.h>
#include <cstring> #include <cstring>
#include "xgboost.h" #include "xgboost.h"
#include "../utils/xgboost_config.h" #include "../utils/xgboost_config.h"
@ -88,6 +89,10 @@ namespace xgboost{
} }
}; };
public: public:
/*! \brief number of thread used */
GBMBaseModel( void ){
this->nthread = 1;
}
/*! \brief destructor */ /*! \brief destructor */
virtual ~GBMBaseModel( void ){ virtual ~GBMBaseModel( void ){
this->FreeSpace(); this->FreeSpace();
@ -104,6 +109,7 @@ namespace xgboost{
if( !strcmp( name, "silent") ){ if( !strcmp( name, "silent") ){
cfg.PushBack( name, val ); cfg.PushBack( name, val );
} }
if( !strcmp( name, "nthread") ) nthread = atoi( val );
if( boosters.size() == 0 ) param.SetParam( name, val ); if( boosters.size() == 0 ) param.SetParam( name, val );
} }
/*! /*!
@ -164,6 +170,9 @@ namespace xgboost{
* this function is reserved for solver to allocate necessary space and do other preparation * this function is reserved for solver to allocate necessary space and do other preparation
*/ */
inline void InitTrainer( void ){ inline void InitTrainer( void ){
if( nthread != 0 ){
omp_set_num_threads( nthread );
}
// make sure all the boosters get the latest parameters // make sure all the boosters get the latest parameters
for( size_t i = 0; i < this->boosters.size(); i ++ ){ for( size_t i = 0; i < this->boosters.size(); i ++ ){
this->ConfigBooster( this->boosters[i] ); this->ConfigBooster( this->boosters[i] );
@ -312,6 +321,8 @@ namespace xgboost{
return boosters.back(); return boosters.back();
} }
protected: protected:
/*! \brief number of OpenMP threads */
int nthread;
/*! \brief model parameters */ /*! \brief model parameters */
Param param; Param param;
/*! \brief component boosters */ /*! \brief component boosters */

123
regression/xgboost_reg.h
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@ -8,7 +8,9 @@
#include <cmath> #include <cmath>
#include <cstdlib> #include <cstdlib>
#include <cstring> #include <cstring>
#include <omp.h>
#include "xgboost_regdata.h" #include "xgboost_regdata.h"
#include "xgboost_regeval.h"
#include "../booster/xgboost_gbmbase.h" #include "../booster/xgboost_gbmbase.h"
#include "../utils/xgboost_utils.h" #include "../utils/xgboost_utils.h"
#include "../utils/xgboost_stream.h" #include "../utils/xgboost_stream.h"
@ -16,11 +18,11 @@
namespace xgboost{ namespace xgboost{
namespace regression{ namespace regression{
/*! \brief class for gradient boosted regression */ /*! \brief class for gradient boosted regression */
class RegBoostLearner{ class RegBoostLearner{
public: public:
/*! \brief constructor */ /*! \brief constructor */
RegBoostLearner( void ){ RegBoostLearner( void ){
silent = 0; silent = 0;
} }
/*! /*!
* \brief a regression booter associated with training and evaluating data * \brief a regression booter associated with training and evaluating data
@ -59,6 +61,8 @@ namespace xgboost{
printf( "buffer_size=%u\n", buffer_size ); printf( "buffer_size=%u\n", buffer_size );
} }
base_model.SetParam( "num_pbuffer",snum_pbuffer ); base_model.SetParam( "num_pbuffer",snum_pbuffer );
this->eval_preds_.resize( evals.size(), std::vector<float>() );
} }
/*! /*!
* \brief set parameters from outside * \brief set parameters from outside
@ -66,7 +70,8 @@ namespace xgboost{
* \param val value of the parameter * \param val value of the parameter
*/ */
inline void SetParam( const char *name, const char *val ){ inline void SetParam( const char *name, const char *val ){
if( !strcmp( name, "silent") ) silent = atoi( val ); if( !strcmp( name, "silent") ) silent = atoi( val );
if( !strcmp( name, "eval_metric") ) evaluator_.AddEval( val );
mparam.SetParam( name, val ); mparam.SetParam( name, val );
base_model.SetParam( name, val ); base_model.SetParam( name, val );
} }
@ -76,6 +81,12 @@ namespace xgboost{
*/ */
inline void InitTrainer( void ){ inline void InitTrainer( void ){
base_model.InitTrainer(); base_model.InitTrainer();
if( mparam.loss_type == kLogisticClassify ){
evaluator_.AddEval( "error" );
}else{
evaluator_.AddEval( "rmse" );
}
evaluator_.Init();
} }
/*! /*!
* \brief initialize the current data storage for model, if the model is used first time, call this function * \brief initialize the current data storage for model, if the model is used first time, call this function
@ -120,12 +131,10 @@ namespace xgboost{
* \param iteration iteration number * \param iteration iteration number
*/ */
inline void UpdateOneIter( int iter ){ inline void UpdateOneIter( int iter ){
std::vector<float> grad, hess, preds; this->PredictBuffer( preds_, *train_, 0 );
this->Predict( preds, *train_, 0 ); this->GetGradient( preds_, train_->labels, grad_, hess_ );
this->GetGradient( preds, train_->labels, grad, hess );
std::vector<unsigned> root_index; std::vector<unsigned> root_index;
base_model.DoBoost(grad,hess,train_->data,root_index); base_model.DoBoost( grad_, hess_, train_->data, root_index );
} }
/*! /*!
* \brief evaluate the model for specific iteration * \brief evaluate the model for specific iteration
@ -133,13 +142,13 @@ namespace xgboost{
* \param fo file to output log * \param fo file to output log
*/ */
inline void EvalOneIter( int iter, FILE *fo = stderr ){ inline void EvalOneIter( int iter, FILE *fo = stderr ){
std::vector<float> preds;
fprintf( fo, "[%d]", iter ); fprintf( fo, "[%d]", iter );
int buffer_offset = static_cast<int>( train_->Size() ); int buffer_offset = static_cast<int>( train_->Size() );
for(size_t i = 0; i < evals_.size();i++){ for( size_t i = 0; i < evals_.size(); ++i ){
this->Predict(preds, *evals_[i], buffer_offset); std::vector<float> &preds = this->eval_preds_[ i ];
this->Eval( fo, evname_[i].c_str(), preds, (*evals_[i]).labels ); this->PredictBuffer( preds, *evals_[i], buffer_offset);
evaluator_.Eval( fo, evname_[i].c_str(), preds, (*evals_[i]).labels );
buffer_offset += static_cast<int>( evals_[i]->Size() ); buffer_offset += static_cast<int>( evals_[i]->Size() );
} }
fprintf( fo,"\n" ); fprintf( fo,"\n" );
@ -148,23 +157,22 @@ namespace xgboost{
/*! \brief get prediction, without buffering */ /*! \brief get prediction, without buffering */
inline void Predict( std::vector<float> &preds, const DMatrix &data ){ inline void Predict( std::vector<float> &preds, const DMatrix &data ){
preds.resize( data.Size() ); preds.resize( data.Size() );
for( size_t j = 0; j < data.Size(); j++ ){
const unsigned ndata = static_cast<unsigned>( data.Size() );
#pragma omp parallel for schedule( static )
for( unsigned j = 0; j < ndata; ++ j ){
preds[j] = mparam.PredTransform preds[j] = mparam.PredTransform
( mparam.base_score + base_model.Predict( data.data[j], -1 ) ); ( mparam.base_score + base_model.Predict( data.data[j], -1 ) );
} }
} }
private: private:
/*! \brief print evaluation results */
inline void Eval( FILE *fo, const char *evname,
const std::vector<float> &preds,
const std::vector<float> &labels ){
const float loss = mparam.Loss( preds, labels );
fprintf( fo, "\t%s:%f", evname, loss );
}
/*! \brief get the transformed predictions, given data */ /*! \brief get the transformed predictions, given data */
inline void Predict( std::vector<float> &preds, const DMatrix &data, unsigned buffer_offset ){ inline void PredictBuffer( std::vector<float> &preds, const DMatrix &data, unsigned buffer_offset ){
preds.resize( data.Size() ); preds.resize( data.Size() );
for( size_t j = 0; j < data.Size(); j++ ){
const unsigned ndata = static_cast<unsigned>( data.Size() );
#pragma omp parallel for schedule( static )
for( unsigned j = 0; j < ndata; ++ j ){
preds[j] = mparam.PredTransform preds[j] = mparam.PredTransform
( mparam.base_score + base_model.Predict( data.data[j], buffer_offset + j ) ); ( mparam.base_score + base_model.Predict( data.data[j], buffer_offset + j ) );
} }
@ -175,13 +183,16 @@ namespace xgboost{
const std::vector<float> &labels, const std::vector<float> &labels,
std::vector<float> &grad, std::vector<float> &grad,
std::vector<float> &hess ){ std::vector<float> &hess ){
grad.clear(); hess.clear(); grad.resize( preds.size() ); hess.resize( preds.size() );
for( size_t j = 0; j < preds.size(); j++ ){
grad.push_back( mparam.FirstOrderGradient (preds[j],labels[j]) ); const unsigned ndata = static_cast<unsigned>( preds.size() );
hess.push_back( mparam.SecondOrderGradient(preds[j],labels[j]) ); #pragma omp parallel for schedule( static )
for( unsigned j = 0; j < ndata; ++ j ){
grad[j] = mparam.FirstOrderGradient( preds[j], labels[j] );
hess[j] = mparam.SecondOrderGradient( preds[j], labels[j] );
} }
} }
private: private:
enum LossType{ enum LossType{
kLinearSquare = 0, kLinearSquare = 0,
@ -262,26 +273,26 @@ namespace xgboost{
} }
/*! /*!
* \brief calculating the loss, given the predictions, labels and the loss type * \brief calculating the loss, given the predictions, labels and the loss type
* \param preds the given predictions * \param preds the given predictions
* \param labels the given labels * \param labels the given labels
* \return the specified loss * \return the specified loss
*/ */
inline float Loss(const std::vector<float> &preds, const std::vector<float> &labels) const{ inline float Loss(const std::vector<float> &preds, const std::vector<float> &labels) const{
switch( loss_type ){ switch( loss_type ){
case kLinearSquare: return SquareLoss(preds,labels); case kLinearSquare: return SquareLoss(preds,labels);
case kLogisticNeglik: return NegLoglikelihoodLoss(preds,labels); case kLogisticNeglik:
case kLogisticClassify: return ClassificationError(preds, labels); case kLogisticClassify: return NegLoglikelihoodLoss(preds,labels);
default: utils::Error("unknown loss_type"); return 0.0f; default: utils::Error("unknown loss_type"); return 0.0f;
} }
} }
/*! /*!
* \brief calculating the square loss, given the predictions and labels * \brief calculating the square loss, given the predictions and labels
* \param preds the given predictions * \param preds the given predictions
* \param labels the given labels * \param labels the given labels
* \return the summation of square loss * \return the summation of square loss
*/ */
inline float SquareLoss(const std::vector<float> &preds, const std::vector<float> &labels) const{ inline float SquareLoss(const std::vector<float> &preds, const std::vector<float> &labels) const{
float ans = 0.0; float ans = 0.0;
for(size_t i = 0; i < preds.size(); i++){ for(size_t i = 0; i < preds.size(); i++){
@ -292,44 +303,30 @@ namespace xgboost{
} }
/*! /*!
* \brief calculating the square loss, given the predictions and labels * \brief calculating the square loss, given the predictions and labels
* \param preds the given predictions * \param preds the given predictions
* \param labels the given labels * \param labels the given labels
* \return the summation of square loss * \return the summation of square loss
*/ */
inline float NegLoglikelihoodLoss(const std::vector<float> &preds, const std::vector<float> &labels) const{ inline float NegLoglikelihoodLoss(const std::vector<float> &preds, const std::vector<float> &labels) const{
float ans = 0.0; float ans = 0.0;
for(size_t i = 0; i < preds.size(); i++) for(size_t i = 0; i < preds.size(); i++)
ans -= labels[i] * logf(preds[i]) + ( 1 - labels[i] ) * logf(1 - preds[i]); ans -= labels[i] * logf(preds[i]) + ( 1 - labels[i] ) * logf(1 - preds[i]);
return ans; return ans;
} }
/*!
* \brief calculating the ClassificationError loss, given the predictions and labels
* \param preds the given predictions
* \param labels the given labels
* \return the summation of square loss
*/
inline float ClassificationError(const std::vector<float> &preds, const std::vector<float> &labels) const{
int nerr = 0;
for(size_t i = 0; i < preds.size(); i++){
if( preds[i] > 0.5f ){
if( labels[i] < 0.5f ) nerr ++;
}else{
if( labels[i] > 0.5f ) nerr ++;
}
}
return (float)nerr/preds.size();
}
}; };
private: private:
int silent; int silent;
EvalSet evaluator_;
booster::GBMBaseModel base_model; booster::GBMBaseModel base_model;
ModelParam mparam; ModelParam mparam;
const DMatrix *train_; const DMatrix *train_;
std::vector<DMatrix *> evals_; std::vector<DMatrix *> evals_;
std::vector<std::string> evname_; std::vector<std::string> evname_;
std::vector<unsigned> buffer_index_; std::vector<unsigned> buffer_index_;
private:
std::vector<float> grad_, hess_, preds_;
std::vector< std::vector<float> > eval_preds_;
}; };
} }
}; };

100
regression/xgboost_reg_test.h
View File

@ -1,100 +0,0 @@
#ifndef _XGBOOST_REG_TEST_H_
#define _XGBOOST_REG_TEST_H_
#include<iostream>
#include<string>
#include<fstream>
#include"../utils/xgboost_config.h"
#include"xgboost_reg.h"
#include"xgboost_regdata.h"
#include"../utils/xgboost_string.h"
using namespace xgboost::utils;
namespace xgboost{
namespace regression{
/*!
* \brief wrapping the testing process of the gradient
boosting regression model,given the configuation
* \author Kailong Chen: chenkl198812@gmail.com
*/
class RegBoostTest{
public:
/*!
* \brief to start the testing process of gradient boosting regression
* model given the configuation, and finally save the prediction
* results to the specified paths.
* \param config_path the location of the configuration
* \param silent whether to print feedback messages
*/
void test(char* config_path,bool silent = false){
reg_boost_learner = new xgboost::regression::RegBoostLearner();
ConfigIterator config_itr(config_path);
//Get the training data and validation data paths, config the Learner
while (config_itr.Next()){
reg_boost_learner->SetParam(config_itr.name(),config_itr.val());
test_param.SetParam(config_itr.name(),config_itr.val());
}
Assert(test_param.test_paths.size() == test_param.test_names.size(),
"The number of test data set paths is not the same as the number of test data set data set names");
//begin testing
reg_boost_learner->InitModel();
char model_path[256];
std::vector<float> preds;
for(size_t i = 0; i < test_param.test_paths.size(); i++){
xgboost::regression::DMatrix test_data;
test_data.LoadText(test_param.test_paths[i].c_str());
sprintf(model_path,"%s/final.model",test_param.model_dir_path);
// BUG: model need to be rb
FileStream fin(fopen(model_path,"r"));
reg_boost_learner->LoadModel(fin);
fin.Close();
reg_boost_learner->Predict(preds,test_data);
}
}
private:
struct TestParam{
/* \brief upperbound of the number of boosters */
int boost_iterations;
/* \brief the period to save the model, -1 means only save the final round model */
int save_period;
/* \brief the path of directory containing the saved models */
char model_dir_path[256];
/* \brief the path of directory containing the output prediction results */
char pred_dir_path[256];
/* \brief the paths of test data sets */
std::vector<std::string> test_paths;
/* \brief the names of the test data sets */
std::vector<std::string> test_names;
/*!
* \brief set parameters from outside
* \param name name of the parameter
* \param val value of the parameter
*/
inline void SetParam(const char *name,const char *val ){
if( !strcmp("model_dir_path", name ) ) strcpy(model_dir_path,val);
if( !strcmp("pred_dir_path", name ) ) strcpy(pred_dir_path,val);
if( !strcmp("test_paths", name) ) {
test_paths = StringProcessing::split(val,';');
}
if( !strcmp("test_names", name) ) {
test_names = StringProcessing::split(val,';');
}
}
};
TestParam test_param;
xgboost::regression::RegBoostLearner* reg_boost_learner;
};
}
}
#endif

132
regression/xgboost_reg_train.h
View File

@ -1,132 +0,0 @@
#ifndef _XGBOOST_REG_TRAIN_H_
#define _XGBOOST_REG_TRAIN_H_
#include <iostream>
#include <string>
#include <fstream>
#include "../utils/xgboost_config.h"
#include "xgboost_reg.h"
#include "xgboost_regdata.h"
#include "../utils/xgboost_string.h"
using namespace xgboost::utils;
namespace xgboost{
namespace regression{
/*!
* \brief wrapping the training process of the gradient
boosting regression model,given the configuation
* \author Kailong Chen: chenkl198812@gmail.com
*/
class RegBoostTrain{
public:
/*!
* \brief to start the training process of gradient boosting regression
* model given the configuation, and finally saved the models
* to the specified model directory
* \param config_path the location of the configuration
* \param silent whether to print feedback messages
*/
void train(char* config_path,bool silent = false){
reg_boost_learner = new xgboost::regression::RegBoostLearner();
ConfigIterator config_itr(config_path);
//Get the training data and validation data paths, config the Learner
while (config_itr.Next()){
printf("%s %s\n",config_itr.name(),config_itr.val());
reg_boost_learner->SetParam(config_itr.name(),config_itr.val());
train_param.SetParam(config_itr.name(),config_itr.val());
}
Assert(train_param.validation_data_paths.size() == train_param.validation_data_names.size(),
"The number of validation paths is not the same as the number of validation data set names");
//Load Data
xgboost::regression::DMatrix train;
printf("%s",train_param.train_path);
train.LoadText(train_param.train_path);
std::vector<const xgboost::regression::DMatrix*> evals;
for(size_t i = 0; i < train_param.validation_data_paths.size(); i++){
xgboost::regression::DMatrix eval;
eval.LoadText(train_param.validation_data_paths[i].c_str());
evals.push_back(&eval);
}
reg_boost_learner->SetData(&train,evals,train_param.validation_data_names);
//begin training
reg_boost_learner->InitTrainer();
char suffix[256];
for(int i = 1; i <= train_param.boost_iterations; i++){
reg_boost_learner->UpdateOneIter(i);
if(train_param.save_period != 0 && i % train_param.save_period == 0){
sprintf(suffix,"%d.model",i);
SaveModel(suffix);
}
}
//save the final round model
SaveModel("final.model");
}
private:
/*! \brief save model in the model directory with specified suffix*/
void SaveModel(const char* suffix){
char model_path[256];
//save the final round model
sprintf(model_path,"%s/%s",train_param.model_dir_path,suffix);
FILE* file = fopen(model_path,"w");
FileStream fin(file);
reg_boost_learner->SaveModel(fin);
fin.Close();
}
struct TrainParam{
/* \brief upperbound of the number of boosters */
int boost_iterations;
/* \brief the period to save the model, -1 means only save the final round model */
int save_period;
/* \brief the path of training data set */
char train_path[256];
/* \brief the path of directory containing the saved models */
char model_dir_path[256];
/* \brief the paths of validation data sets */
std::vector<std::string> validation_data_paths;
/* \brief the names of the validation data sets */
std::vector<std::string> validation_data_names;
/*!
* \brief set parameters from outside
* \param name name of the parameter
* \param val value of the parameter
*/
inline void SetParam(const char *name,const char *val ){
if( !strcmp("boost_iterations", name ) ) boost_iterations = atoi( val );
if( !strcmp("save_period", name ) ) save_period = atoi( val );
if( !strcmp("train_path", name ) ) strcpy(train_path,val);
if( !strcmp("model_dir_path", name ) ) {
strcpy(model_dir_path,val);
}
if( !strcmp("validation_paths", name) ) {
validation_data_paths = StringProcessing::split(val,';');
}
if( !strcmp("validation_names", name) ) {
validation_data_names = StringProcessing::split(val,';');
}
}
};
/*! \brief the parameters of the training process*/
TrainParam train_param;
/*! \brief the gradient boosting regression tree model*/
xgboost::regression::RegBoostLearner* reg_boost_learner;
};
}
}
#endif

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#ifndef _XGBOOST_REGEVAL_H_
#define _XGBOOST_REGEVAL_H_
/*!
* \file xgboost_regeval.h
* \brief evaluation metrics for regression and classification
* \author Kailong Chen: chenkl198812@gmail.com, Tianqi Chen: tianqi.tchen@gmail.com
*/
#include <omp.h>
#include <cmath>
#include <vector>
#include <algorithm>
#include "../utils/xgboost_utils.h"
namespace xgboost{
namespace regression{
/*! \brief evaluator that evaluates the loss metrics */
struct IEvaluator{
/*!
* \brief evaluate a specific metric
* \param preds prediction
* \param labels label
*/
virtual float Eval( const std::vector<float> &preds,
const std::vector<float> &labels ) const= 0;
/*! \return name of metric */
virtual const char *Name( void ) const= 0;
};
/*! \brief RMSE */
struct EvalRMSE : public IEvaluator{
virtual float Eval( const std::vector<float> &preds,
const std::vector<float> &labels ) const{
const unsigned ndata = static_cast<unsigned>( preds.size() );
float sum = 0.0;
#pragma omp parallel for reduction(+:sum) schedule( static )
for( unsigned i = 0; i < ndata; ++ i ){
float diff = preds[i] - labels[i];
sum += diff * diff;
}
return sqrtf( sum / ndata );
}
virtual const char *Name( void ) const{
return "rmse";
}
};
/*! \brief Error */
struct EvalError : public IEvaluator{
virtual float Eval( const std::vector<float> &preds,
const std::vector<float> &labels ) const{
const unsigned ndata = static_cast<unsigned>( preds.size() );
unsigned nerr = 0;
#pragma omp parallel for reduction(+:nerr) schedule( static )
for( unsigned i = 0; i < ndata; ++ i ){
if( preds[i] > 0.5f ){
if( labels[i] < 0.5f ) nerr += 1;
}else{
if( labels[i] > 0.5f ) nerr += 1;
}
}
return static_cast<float>(nerr) / ndata;
}
virtual const char *Name( void ) const{
return "error";
}
};
};
namespace regression{
/*! \brief a set of evaluators */
struct EvalSet{
public:
inline void AddEval( const char *name ){
if( !strcmp( name, "rmse") ) evals_.push_back( &rmse_ );
if( !strcmp( name, "error") ) evals_.push_back( &error_ );
}
inline void Init( void ){
std::sort( evals_.begin(), evals_.end() );
evals_.resize( std::unique( evals_.begin(), evals_.end() ) - evals_.begin() );
}
inline void Eval( FILE *fo, const char *evname,
const std::vector<float> &preds,
const std::vector<float> &labels ) const{
for( size_t i = 0; i < evals_.size(); ++ i ){
float res = evals_[i]->Eval( preds, labels );
fprintf( fo, "\t%s-%s:%f", evname, evals_[i]->Name(), res );
}
}
private:
EvalRMSE rmse_;
EvalError error_;
std::vector<const IEvaluator*> evals_;
};
};
};
#endif

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utils/xgboost_string.h
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#ifndef _XGBOOST_STRING_H_
#define _XGBOOST_STRING_H_
#include<vector>
#include<sstream>
namespace xgboost{
namespace utils{
class StringProcessing{
public:
static std::vector<std::string> &split(const std::string &s, char delim, std::vector<std::string> &elems) {
std::stringstream ss(s);
std::string item;
while (std::getline(ss, item, delim)) {
elems.push_back(item);
}
return elems;
}
static std::vector<std::string> split(const std::string &s, char delim) {
std::vector<std::string> elems;
split(s, delim, elems);
return elems;
}
};
}
}
#endif