Implementation of hinge loss for binary classification (#3477)

src/objective/hinge.cc

@@ -0,0 +1,71 @@
+/*!
+ * Copyright 2018 by Contributors
+ * \file hinge.cc
+ * \brief Provides an implementation of the hinge loss function
+ * \author Henry Gouk
+ */
+#include <xgboost/objective.h>
+#include "../common/math.h"
+
+namespace xgboost {
+namespace obj {
+
+DMLC_REGISTRY_FILE_TAG(hinge);
+
+class HingeObj : public ObjFunction {
+ public:
+  HingeObj() = default;
+
+  void Configure(
+      const std::vector<std::pair<std::string, std::string> > &args) override {
+    // This objective does not take any parameters
+  }
+
+  void GetGradient(HostDeviceVector<bst_float> *preds,
+                   const MetaInfo &info,
+                   int iter,
+                   HostDeviceVector<GradientPair> *out_gpair) override {
+    CHECK_NE(info.labels_.size(), 0U) << "label set cannot be empty";
+    CHECK_EQ(preds->Size(), info.labels_.size())
+        << "labels are not correctly provided"
+        << "preds.size=" << preds->Size()
+        << ", label.size=" << info.labels_.size();
+    auto& preds_h = preds->HostVector();
+
+    out_gpair->Resize(preds_h.size());
+    auto& gpair = out_gpair->HostVector();
+
+    for (size_t i = 0; i < preds_h.size(); ++i) {
+      auto y = info.labels_[i] * 2.0 - 1.0;
+      bst_float p = preds_h[i];
+      bst_float w = info.GetWeight(i);
+      bst_float g, h;
+      if (p * y < 1.0) {
+        g = -y * w;
+        h = w;
+      } else {
+        g = 0.0;
+        h = std::numeric_limits<bst_float>::min();
+      }
+      gpair[i] = GradientPair(g, h);
+    }
+  }
+
+  void PredTransform(HostDeviceVector<bst_float> *io_preds) override {
+    std::vector<bst_float> &preds = io_preds->HostVector();
+    for (auto& p : preds) {
+      p = p > 0.0 ? 1.0 : 0.0;
+    }
+  }
+
+  const char* DefaultEvalMetric() const override {
+    return "error";
+  }
+};
+
+XGBOOST_REGISTER_OBJECTIVE(HingeObj, "binary:hinge")
+.describe("Hinge loss. Expects labels to be in [0,1f]")
+.set_body([]() { return new HingeObj(); });
+
+}  // namespace obj
+}  // namespace xgboost

src/objective/objective.cc

@@ -36,5 +36,6 @@ DMLC_REGISTRY_LINK_TAG(regression_obj);
 #endif
 DMLC_REGISTRY_LINK_TAG(multiclass_obj);
 DMLC_REGISTRY_LINK_TAG(rank_obj);
+DMLC_REGISTRY_LINK_TAG(hinge);
 }  // namespace obj
 }  // namespace xgboost