[R] Enable multi-output objectives (#9839)

R-package/R/utils.R

@@ -160,23 +160,24 @@ xgb.iter.update <- function(booster_handle, dtrain, iter, obj) {
     )
     gpair <- obj(pred, dtrain)
     n_samples <- dim(dtrain)[1]
+    grad <- gpair$grad
+    hess <- gpair$hess
 
-    msg <- paste(
-      "Since 2.1.0, the shape of the gradient and hessian is required to be ",
-      "(n_samples, n_targets) or (n_samples, n_classes).",
-      sep = ""
-    )
-    if (is.matrix(gpair$grad) && dim(gpair$grad)[1] != n_samples) {
-      warning(msg)
-    }
-    if (is.numeric(gpair$grad) && length(gpair$grad) != n_samples) {
-      warning(msg)
+    if ((is.matrix(grad) && dim(grad)[1] != n_samples) ||
+        (is.vector(grad) && length(grad) != n_samples) ||
+        (is.vector(grad) != is.vector(hess))) {
+      warning(paste(
+        "Since 2.1.0, the shape of the gradient and hessian is required to be ",
+        "(n_samples, n_targets) or (n_samples, n_classes). Will reshape assuming ",
+        "column-major order.",
+        sep = ""
+      ))
+      grad <- matrix(grad, nrow = n_samples)
+      hess <- matrix(hess, nrow = n_samples)
     }
 
-    gpair$grad <- matrix(gpair$grad, nrow = n_samples)
-    gpair$hess <- matrix(gpair$hess, nrow = n_samples)
     .Call(
-      XGBoosterBoostOneIter_R, booster_handle, dtrain, iter, gpair$grad, gpair$hess
+      XGBoosterTrainOneIter_R, booster_handle, dtrain, iter, grad, hess
     )
   }
   return(TRUE)

R-package/R/xgb.DMatrix.R

@@ -243,6 +243,9 @@ getinfo.xgb.DMatrix <- function(object, name, ...) {
     ret <- .Call(XGDMatrixGetStrFeatureInfo_R, object, name)
   } else if (name != "nrow") {
     ret <- .Call(XGDMatrixGetInfo_R, object, name)
+    if (length(ret) > nrow(object)) {
+      ret <- matrix(ret, nrow = nrow(object), byrow = TRUE)
+    }
   } else {
     ret <- nrow(object)
   }
@@ -286,9 +289,9 @@ setinfo <- function(object, ...) UseMethod("setinfo")
 #' @export
 setinfo.xgb.DMatrix <- function(object, name, info, ...) {
   if (name == "label") {
-    if (length(info) != nrow(object))
+    if (NROW(info) != nrow(object))
       stop("The length of labels must equal to the number of rows in the input data")
-    .Call(XGDMatrixSetInfo_R, object, name, as.numeric(info))
+    .Call(XGDMatrixSetInfo_R, object, name, info)
     return(TRUE)
   }
   if (name == "label_lower_bound") {

R-package/src/init.c

@@ -52,7 +52,7 @@ extern SEXP XGBGetGlobalConfig_R(void);
 extern SEXP XGBoosterFeatureScore_R(SEXP, SEXP);
 
 static const R_CallMethodDef CallEntries[] = {
-  {"XGBoosterBoostOneIter_R",     (DL_FUNC) &XGBoosterTrainOneIter_R,     5},
+  {"XGBoosterTrainOneIter_R",     (DL_FUNC) &XGBoosterTrainOneIter_R,     5},
   {"XGBoosterCreate_R",           (DL_FUNC) &XGBoosterCreate_R,           1},
   {"XGBoosterCreateInEmptyObj_R", (DL_FUNC) &XGBoosterCreateInEmptyObj_R, 2},
   {"XGBoosterDumpModel_R",        (DL_FUNC) &XGBoosterDumpModel_R,        4},

R-package/src/xgboost_R.cc

@@ -342,9 +342,11 @@ XGB_DLL SEXP XGDMatrixSaveBinary_R(SEXP handle, SEXP fname, SEXP silent) {
 XGB_DLL SEXP XGDMatrixSetInfo_R(SEXP handle, SEXP field, SEXP array) {
   R_API_BEGIN();
   SEXP field_ = PROTECT(Rf_asChar(field));
+  SEXP arr_dim = Rf_getAttrib(array, R_DimSymbol);
   int res_code;
   {
-    const std::string array_str = MakeArrayInterfaceFromRVector(array);
+    const std::string array_str = Rf_isNull(arr_dim)?
+      MakeArrayInterfaceFromRVector(array) : MakeArrayInterfaceFromRMat(array);
     res_code = XGDMatrixSetInfoFromInterface(
       R_ExternalPtrAddr(handle), CHAR(field_), array_str.c_str());
   }
@@ -513,20 +515,14 @@ XGB_DLL SEXP XGBoosterTrainOneIter_R(SEXP handle, SEXP dtrain, SEXP iter, SEXP g
   R_API_BEGIN();
   CHECK_EQ(Rf_xlength(grad), Rf_xlength(hess)) << "gradient and hess must have same length.";
   SEXP gdim = getAttrib(grad, R_DimSymbol);
-  auto n_samples = static_cast<std::size_t>(INTEGER(gdim)[0]);
-  auto n_targets = static_cast<std::size_t>(INTEGER(gdim)[1]);
-
   SEXP hdim = getAttrib(hess, R_DimSymbol);
-  CHECK_EQ(INTEGER(hdim)[0], n_samples) << "mismatched size between gradient and hessian";
-  CHECK_EQ(INTEGER(hdim)[1], n_targets) << "mismatched size between gradient and hessian";
-  double const *d_grad = REAL(grad);
-  double const *d_hess = REAL(hess);
 
   int res_code;
   {
-    auto ctx = xgboost::detail::BoosterCtx(R_ExternalPtrAddr(handle));
-    auto [s_grad, s_hess] = xgboost::detail::MakeGradientInterface(
-        ctx, d_grad, d_hess, xgboost::linalg::kF, n_samples, n_targets);
+    const std::string s_grad = Rf_isNull(gdim)?
+      MakeArrayInterfaceFromRVector(grad) : MakeArrayInterfaceFromRMat(grad);
+    const std::string s_hess = Rf_isNull(hdim)?
+      MakeArrayInterfaceFromRVector(hess) : MakeArrayInterfaceFromRMat(hess);
     res_code = XGBoosterTrainOneIter(R_ExternalPtrAddr(handle), R_ExternalPtrAddr(dtrain),
                                      asInteger(iter), s_grad.c_str(), s_hess.c_str());
   }

R-package/tests/testthat/test_basic.R

@@ -565,3 +565,54 @@ test_that("'predict' accepts CSR data", {
   expect_equal(p_csc, p_csr)
   expect_equal(p_csc, p_spv)
 })
+
+test_that("Can use multi-output labels with built-in objectives", {
+  data("mtcars")
+  y <- mtcars$mpg
+  x <- as.matrix(mtcars[, -1])
+  y_mirrored <- cbind(y, -y)
+  dm <- xgb.DMatrix(x, label = y_mirrored, nthread = n_threads)
+  model <- xgb.train(
+    params = list(
+      tree_method = "hist",
+      multi_strategy = "multi_output_tree",
+      objective = "reg:squarederror",
+      nthread = n_threads
+    ),
+    data = dm,
+    nrounds = 5
+  )
+  pred <- predict(model, x, reshape = TRUE)
+  expect_equal(pred[, 1], -pred[, 2])
+  expect_true(cor(y, pred[, 1]) > 0.9)
+  expect_true(cor(y, pred[, 2]) < -0.9)
+})
+
+test_that("Can use multi-output labels with custom objectives", {
+  data("mtcars")
+  y <- mtcars$mpg
+  x <- as.matrix(mtcars[, -1])
+  y_mirrored <- cbind(y, -y)
+  dm <- xgb.DMatrix(x, label = y_mirrored, nthread = n_threads)
+  model <- xgb.train(
+    params = list(
+      tree_method = "hist",
+      multi_strategy = "multi_output_tree",
+      base_score = 0,
+      objective = function(pred, dtrain) {
+        y <- getinfo(dtrain, "label")
+        grad <- pred - y
+        hess <- rep(1, nrow(grad) * ncol(grad))
+        hess <- matrix(hess, nrow = nrow(grad))
+        return(list(grad = grad, hess = hess))
+      },
+      nthread = n_threads
+    ),
+    data = dm,
+    nrounds = 5
+  )
+  pred <- predict(model, x, reshape = TRUE)
+  expect_equal(pred[, 1], -pred[, 2])
+  expect_true(cor(y, pred[, 1]) > 0.9)
+  expect_true(cor(y, pred[, 2]) < -0.9)
+})