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In AUC and AUCPR metrics, detect whether weights are per-instance or per-group (#4216)

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* In AUC and AUCPR metrics, detect whether weights are per-instance or per-group

* Fix C++ style check

* Add a test for weighted AUC
This commit is contained in:
Xin Yin
2019-05-04 03:53:05 -04:00
committed by Philip Hyunsu Cho
parent 9252b686ae
commit 8d1098a983
2 changed files with 144 additions and 14 deletions
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38
tests/python/test_ranking.py
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@@ -25,3 +25,41 @@ def test_ranking_with_unweighted_data():
assert all(p <= q for p, q in zip(auc_rec, auc_rec[1:]))
auc_rec = evals_result['train']['aucpr']
assert all(p <= q for p, q in zip(auc_rec, auc_rec[1:]))
def test_ranking_with_weighted_data():
Xrow = np.array([1, 2, 6, 8, 11, 14, 16, 17])
Xcol = np.array([0, 0, 1, 1, 2, 2, 3, 3])
X = csr_matrix((np.ones(shape=8), (Xrow, Xcol)), shape=(20, 4))
y = np.array([0.0, 1.0, 1.0, 0.0, 0.0,
0.0, 1.0, 0.0, 1.0, 0.0,
0.0, 1.0, 0.0, 0.0, 1.0,
0.0, 1.0, 1.0, 0.0, 0.0])
weights = np.array([1.0, 2.0, 3.0, 4.0])
group = np.array([5, 5, 5, 5], dtype=np.uint)
dtrain = xgboost.DMatrix(X, label=y, weight=weights)
dtrain.set_group(group)
params = {'eta': 1, 'tree_method': 'exact',
'objective': 'rank:pairwise', 'eval_metric': ['auc', 'aucpr'],
'max_depth': 1}
evals_result = {}
bst = xgboost.train(params, dtrain, 10, evals=[(dtrain, 'train')],
evals_result=evals_result)
auc_rec = evals_result['train']['auc']
assert all(p <= q for p, q in zip(auc_rec, auc_rec[1:]))
auc_rec = evals_result['train']['aucpr']
assert all(p <= q for p, q in zip(auc_rec, auc_rec[1:]))
for i in range(1, 11):
pred = bst.predict(dtrain, ntree_limit=i)
# is_sorted[i]: is i-th group correctly sorted by the ranking predictor?
is_sorted = []
for k in range(0, 20, 5):
ind = np.argsort(-pred[k:k+5])
z = y[ind+k]
is_sorted.append(all(i >= j for i, j in zip(z, z[1:])))
# Since we give weights 1, 2, 3, 4 to the four query groups,
# the ranking predictor will first try to correctly sort the last query group
# before correctly sorting other groups.
assert all(p <= q for p, q in zip(is_sorted, is_sorted[1:]))