Patch to improve multithreaded performance scaling (#2493)

* Patch to improve multithreaded performance scaling

Change parallel strategy for histogram construction.
Instead of partitioning data rows among multiple threads, partition feature
columns instead. Useful heuristics for assigning partitions have been adopted
from LightGBM project.

* Add missing header to satisfy MSVC

* Restore max_bin and related parameters to TrainParam

* Fix lint error

* inline functions do not require static keyword

* Feature grouping algorithm accepting FastHistParam

Feature grouping algorithm accepts many parameters (3+), and it gets annoying to
pass them one by one. Instead, simply pass the reference to FastHistParam. The
definition of FastHistParam has been moved to a separate header file to
accomodate this change.

src/common/hist_util.h

@@ -11,6 +11,9 @@
 #include <limits>
 #include <vector>
 #include "row_set.h"
+#include "../tree/fast_hist_param.h"
+
+using xgboost::tree::FastHistParam;
 
 namespace xgboost {
 namespace common {
@@ -24,6 +27,10 @@ struct GHistEntry {
 
   GHistEntry() : sum_grad(0), sum_hess(0) {}
 
+  inline void Clear() {
+    sum_grad = sum_hess = 0;
+  }
+
   /*! \brief add a bst_gpair to the sum */
   inline void Add(const bst_gpair& e) {
     sum_grad += e.grad;
@@ -125,6 +132,48 @@ struct GHistIndexMatrix {
   std::vector<unsigned> hit_count_tloc_;
 };
 
+struct GHistIndexBlock {
+  const unsigned* row_ptr;
+  const unsigned* index;
+
+  inline GHistIndexBlock(const unsigned* row_ptr, const unsigned* index)
+    : row_ptr(row_ptr), index(index) {}
+
+  // get i-th row
+  inline GHistIndexRow operator[](bst_uint i) const {
+    return GHistIndexRow(&index[0] + row_ptr[i], row_ptr[i + 1] - row_ptr[i]);
+  }
+};
+
+class ColumnMatrix;
+
+class GHistIndexBlockMatrix {
+ public:
+  void Init(const GHistIndexMatrix& gmat,
+            const ColumnMatrix& colmat,
+            const FastHistParam& param);
+
+  inline GHistIndexBlock operator[](bst_uint i) const {
+    return GHistIndexBlock(blocks[i].row_ptr_begin, blocks[i].index_begin);
+  }
+
+  inline unsigned GetNumBlock() const {
+    return blocks.size();
+  }
+
+ private:
+  std::vector<unsigned> row_ptr;
+  std::vector<unsigned> index;
+  const HistCutMatrix* cut;
+  struct Block {
+    const unsigned* row_ptr_begin;
+    const unsigned* row_ptr_end;
+    const unsigned* index_begin;
+    const unsigned* index_end;
+  };
+  std::vector<Block> blocks;
+};
+
 /*!
  * \brief histogram of graident statistics for a single node.
  *  Consists of multiple GHistEntry's, each entry showing total graident statistics 
@@ -206,6 +255,12 @@ class GHistBuilder {
                  const GHistIndexMatrix& gmat,
                  const std::vector<bst_uint>& feat_set,
                  GHistRow hist);
+  // same, with feature grouping
+  void BuildBlockHist(const std::vector<bst_gpair>& gpair,
+                      const RowSetCollection::Elem row_indices,
+                      const GHistIndexBlockMatrix& gmatb,
+                      const std::vector<bst_uint>& feat_set,
+                      GHistRow hist);
   // construct a histogram via subtraction trick
   void SubtractionTrick(GHistRow self, GHistRow sibling, GHistRow parent);
 
@@ -215,7 +270,6 @@ class GHistBuilder {
   /*! \brief number of all bins over all features */
   size_t nbins_;
   std::vector<GHistEntry> data_;
-  std::vector<bst_gpair> stat_buf_;
 };