[METHOD], add tree method option to prefer faster algo

NEWS.md

@@ -12,6 +12,9 @@ This file records the changes in xgboost library in reverse chronological order.
   - Enable registry pattern to allow optionally plugin of objective, metric, tree constructor, data loader.
     - Future plugin modules can be put into xgboost/plugin and register back to the library.
   - Remove most of the raw pointers to smart ptrs, for RAII safety.
+* Add official option to approximate algorithm `tree_method` to parameter.
+  - Change default behavior to switch to prefer faster algorithm.
+  - User will get a message when approximate algorithm is chosen.
 * Change library name to libxgboost.so
 * Backward compatiblity
   - The binary buffer file is not backward compatible with previous version.

doc/parameter.md

@@ -53,6 +53,24 @@ Parameters for Tree Booster
   - L2 regularization term on weights
 * alpha [default=0]
   - L1 regularization term on weights
+* tree_method, string [default='auto']
+  - The tree constructtion algorithm used in XGBoost(see description in the [reference paper](http://arxiv.org/abs/1603.02754))
+  - Distributed and external memory version only support approximate algorithm.
+  - Choices: {'auto', 'exact', 'approx'}
+    - 'auto': Use heuristic to choose faster one.
+      - For small to medium dataset, exact greedy will be used.
+      - For very large-dataset, approximate algorithm will be choosed.
+      - Because old behavior is always use exact greedy in single machine,
+        user will get a message when approximate algorithm is choosed to notify this choice.
+    - 'exact': Exact greedy algorithm.
+    - 'approx': Approximate greedy algorithm using sketching and histogram.
+* sketch_eps, [default=0.03]
+  - This is only used for approximate greedy algorithm.
+  - This roughly translated into ```O(1 / sketch_eps)``` number of bins.
+    Compared to directly select number of bins, this comes with theoretical ganrantee with sketch accuracy.
+  - Usuaully user do not have to tune this.
+    but consider set to lower number for more accurate enumeration.
+  - range: (0, 1)
 
 Parameters for Linear Booster
 -----------------------------

src/learner.cc

@@ -4,6 +4,7 @@
  * \brief Implementation of learning algorithm.
  * \author Tianqi Chen
  */
+#include <xgboost/logging.h>
 #include <xgboost/learner.h>
 #include <dmlc/io.h>
 #include <algorithm>
@@ -69,6 +70,8 @@ struct LearnerTrainParam
   bool seed_per_iteration;
   // data split mode, can be row, col, or none.
   int dsplit;
+  // tree construction method
+  int tree_method;
   // internal test flag
   std::string test_flag;
   // maximum buffered row value
@@ -87,6 +90,11 @@ struct LearnerTrainParam
         .add_enum("col", 1)
         .add_enum("row", 2)
         .describe("Data split mode for distributed trainig. ");
+    DMLC_DECLARE_FIELD(tree_method).set_default(0)
+        .add_enum("auto", 0)
+        .add_enum("approx", 1)
+        .add_enum("exact", 2)
+        .describe("Choice of tree construction method.");
     DMLC_DECLARE_FIELD(test_flag).set_default("")
         .describe("Internal test flag");
     DMLC_DECLARE_FIELD(prob_buffer_row).set_default(1.0f).set_range(0.0f, 1.0f)
@@ -349,21 +357,42 @@ class LearnerImpl : public Learner {
   // check if p_train is ready to used by training.
   // if not, initialize the column access.
   inline void LazyInitDMatrix(DMatrix *p_train) {
-    if (p_train->HaveColAccess()) return;
-    int ncol = static_cast<int>(p_train->info().num_col);
-    std::vector<bool> enabled(ncol, true);
-    // set max row per batch to limited value
-    // in distributed mode, use safe choice otherwise
-    size_t max_row_perbatch = tparam.max_row_perbatch;
-    if (tparam.test_flag == "block" || tparam.dsplit == 2) {
-      max_row_perbatch = std::min(
-        static_cast<size_t>(32UL << 10UL), max_row_perbatch);
+    if (!p_train->HaveColAccess()) {
+      int ncol = static_cast<int>(p_train->info().num_col);
+      std::vector<bool> enabled(ncol, true);
+      // set max row per batch to limited value
+      // in distributed mode, use safe choice otherwise
+      size_t max_row_perbatch = tparam.max_row_perbatch;
+      const size_t safe_max_row = static_cast<size_t>(32UL << 10UL);
+
+      if (tparam.tree_method == 0 &&
+          p_train->info().num_row >= (4UL << 20UL)) {
+        LOG(CONSOLE) << "Tree method is automatically selected to be \'approx\'"
+                     << " for faster speed."
+                     << " to use old behavior(exact greedy algorithm on single machine),"
+                     << " set tree_method to \'exact\'";
+        max_row_perbatch = std::min(max_row_perbatch, safe_max_row);
+      }
+
+      if (tparam.tree_method == 1) {
+        LOG(CONSOLE) << "Tree method is selected to be \'approx\'";
+        max_row_perbatch = std::min(max_row_perbatch, safe_max_row);
+      }
+
+      if (tparam.test_flag == "block" || tparam.dsplit == 2) {
+        max_row_perbatch = std::min(max_row_perbatch, safe_max_row);
+      }
+      // initialize column access
+      p_train->InitColAccess(enabled,
+                             tparam.prob_buffer_row,
+                             max_row_perbatch);
     }
-    // initialize column access
-    p_train->InitColAccess(enabled,
-                           tparam.prob_buffer_row,
-                           max_row_perbatch);
+
     if (!p_train->SingleColBlock() && cfg_.count("updater") == 0) {
+      if (tparam.tree_method == 2) {
+        LOG(CONSOLE) << "tree method is set to be 'exact',"
+                     << " but currently we are only able to proceed with approximate algorithm";
+      }
       cfg_["updater"] = "grow_histmaker,prune";
       if (gbm_.get() != nullptr) {
         gbm_->Configure(cfg_.begin(), cfg_.end());