Re-implement ROC-AUC. (#6747)

* Re-implement ROC-AUC.

* Binary
* MultiClass
* LTR
* Add documents.

This PR resolves a few issues:
  - Define a value when the dataset is invalid, which can happen if there's an
  empty dataset, or when the dataset contains only positive or negative values.
  - Define ROC-AUC for multi-class classification.
  - Define weighted average value for distributed setting.
  - A correct implementation for learning to rank task.  Previous
  implementation is just binary classification with averaging across groups,
  which doesn't measure ordered learning to rank.
This commit is contained in:
Jiaming Yuan
2021-03-20 16:52:40 +08:00
committed by GitHub
parent 4ee8340e79
commit bcc0277338
27 changed files with 1622 additions and 461 deletions

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@@ -1,11 +1,12 @@
#include <gtest/gtest.h>
#include <xgboost/span.h>
#include "../../../src/common/common.h"
namespace xgboost {
namespace common {
TEST(ArgSort, Basic) {
std::vector<float> inputs {3.0, 2.0, 1.0};
auto ret = ArgSort<bst_feature_t>(inputs);
auto ret = ArgSort<bst_feature_t>(Span<float>{inputs});
std::vector<bst_feature_t> sol{2, 1, 0};
ASSERT_EQ(ret, sol);
}

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@@ -0,0 +1,66 @@
#include <gtest/gtest.h>
#include "../../../src/common/ranking_utils.cuh"
#include "../../../src/common/device_helpers.cuh"
namespace xgboost {
namespace common {
TEST(SegmentedTrapezoidThreads, Basic) {
size_t constexpr kElements = 24, kGroups = 3;
dh::device_vector<size_t> offset_ptr(kGroups + 1, 0);
offset_ptr[0] = 0;
offset_ptr[1] = 8;
offset_ptr[2] = 16;
offset_ptr[kGroups] = kElements;
size_t h = 1;
dh::device_vector<size_t> thread_ptr(kGroups + 1, 0);
size_t total = SegmentedTrapezoidThreads(dh::ToSpan(offset_ptr), dh::ToSpan(thread_ptr), h);
ASSERT_EQ(total, kElements - kGroups);
h = 2;
SegmentedTrapezoidThreads(dh::ToSpan(offset_ptr), dh::ToSpan(thread_ptr), h);
std::vector<size_t> h_thread_ptr(thread_ptr.size());
thrust::copy(thread_ptr.cbegin(), thread_ptr.cend(), h_thread_ptr.begin());
for (size_t i = 1; i < h_thread_ptr.size(); ++i) {
ASSERT_EQ(h_thread_ptr[i] - h_thread_ptr[i - 1], 13);
}
h = 7;
SegmentedTrapezoidThreads(dh::ToSpan(offset_ptr), dh::ToSpan(thread_ptr), h);
thrust::copy(thread_ptr.cbegin(), thread_ptr.cend(), h_thread_ptr.begin());
for (size_t i = 1; i < h_thread_ptr.size(); ++i) {
ASSERT_EQ(h_thread_ptr[i] - h_thread_ptr[i - 1], 28);
}
}
TEST(SegmentedTrapezoidThreads, Unravel) {
size_t i = 0, j = 0;
size_t constexpr kN = 8;
UnravelTrapeziodIdx(6, kN, &i, &j);
ASSERT_EQ(i, 0);
ASSERT_EQ(j, 7);
UnravelTrapeziodIdx(12, kN, &i, &j);
ASSERT_EQ(i, 1);
ASSERT_EQ(j, 7);
UnravelTrapeziodIdx(15, kN, &i, &j);
ASSERT_EQ(i, 2);
ASSERT_EQ(j, 5);
UnravelTrapeziodIdx(21, kN, &i, &j);
ASSERT_EQ(i, 3);
ASSERT_EQ(j, 7);
UnravelTrapeziodIdx(25, kN, &i, &j);
ASSERT_EQ(i, 5);
ASSERT_EQ(j, 6);
UnravelTrapeziodIdx(27, kN, &i, &j);
ASSERT_EQ(i, 6);
ASSERT_EQ(j, 7);
}
} // namespace common
} // namespace xgboost

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@@ -0,0 +1,133 @@
#include <xgboost/metric.h>
#include "../helpers.h"
namespace xgboost {
namespace metric {
TEST(Metric, DeclareUnifiedTest(BinaryAUC)) {
auto tparam = xgboost::CreateEmptyGenericParam(GPUIDX);
std::unique_ptr<Metric> uni_ptr {Metric::Create("auc", &tparam)};
Metric * metric = uni_ptr.get();
ASSERT_STREQ(metric->Name(), "auc");
// Binary
EXPECT_NEAR(GetMetricEval(metric, {0, 1}, {0, 1}), 1.0f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {0, 1}, {1, 0}), 0.0f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {0, 0}, {0, 1}), 0.5f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {1, 1}, {0, 1}), 0.5f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {0, 0}, {1, 0}), 0.5f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {1, 1}, {1, 0}), 0.5f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric, {1, 0, 0}, {0, 0, 1}), 0.25f, 1e-10);
// Invalid dataset
MetaInfo info;
info.labels_ = {0, 0};
float auc = metric->Eval({1, 1}, info, false);
ASSERT_TRUE(std::isnan(auc));
info.labels_ = HostDeviceVector<float>{};
auc = metric->Eval(HostDeviceVector<float>{}, info, false);
ASSERT_TRUE(std::isnan(auc));
EXPECT_NEAR(GetMetricEval(metric, {0, 1, 0, 1}, {0, 1, 0, 1}), 1.0f, 1e-10);
// AUC with instance weights
EXPECT_NEAR(GetMetricEval(metric,
{0.9f, 0.1f, 0.4f, 0.3f},
{0, 0, 1, 1},
{1.0f, 3.0f, 2.0f, 4.0f}),
0.75f, 0.001f);
// regression test case
ASSERT_NEAR(GetMetricEval(
metric,
{0.79523796, 0.5201713, 0.79523796, 0.24273258, 0.53452194,
0.53452194, 0.24273258, 0.5201713, 0.79523796, 0.53452194,
0.24273258, 0.53452194, 0.79523796, 0.5201713, 0.24273258,
0.5201713, 0.5201713, 0.53452194, 0.5201713, 0.53452194},
{0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 0}),
0.5, 1e-10);
}
TEST(Metric, DeclareUnifiedTest(MultiAUC)) {
auto tparam = CreateEmptyGenericParam(GPUIDX);
std::unique_ptr<Metric> uni_ptr{
Metric::Create("auc", &tparam)};
auto metric = uni_ptr.get();
// MultiClass
// 3x3
EXPECT_NEAR(GetMetricEval(metric,
{
1.0f, 0.0f, 0.0f, // p_0
0.0f, 1.0f, 0.0f, // p_1
0.0f, 0.0f, 1.0f // p_2
},
{0, 1, 2}),
1.0f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric,
{
1.0f, 0.0f, 0.0f, // p_0
0.0f, 1.0f, 0.0f, // p_1
0.0f, 0.0f, 1.0f // p_2
},
{2, 1, 0}),
0.5f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric,
{
1.0f, 0.0f, 0.0f, // p_0
0.0f, 1.0f, 0.0f, // p_1
0.0f, 0.0f, 1.0f // p_2
},
{2, 0, 1}),
0.25f, 1e-10);
// invalid dataset
float auc = GetMetricEval(metric,
{
1.0f, 0.0f, 0.0f, // p_0
0.0f, 1.0f, 0.0f, // p_1
0.0f, 0.0f, 1.0f // p_2
},
{0, 1, 1}); // no class 2.
EXPECT_TRUE(std::isnan(auc)) << auc;
}
TEST(Metric, DeclareUnifiedTest(RankingAUC)) {
auto tparam = CreateEmptyGenericParam(GPUIDX);
std::unique_ptr<Metric> metric{Metric::Create("auc", &tparam)};
// single group
EXPECT_NEAR(GetMetricEval(metric.get(), {0.7f, 0.2f, 0.3f, 0.6f},
{1.0f, 0.8f, 0.4f, 0.2f}, /*weights=*/{},
{0, 4}),
0.5f, 1e-10);
// multi group
EXPECT_NEAR(GetMetricEval(metric.get(), {0, 1, 2, 0, 1, 2},
{0, 1, 2, 0, 1, 2}, /*weights=*/{}, {0, 3, 6}),
1.0f, 1e-10);
EXPECT_NEAR(GetMetricEval(metric.get(), {0, 1, 2, 0, 1, 2},
{0, 1, 2, 0, 1, 2}, /*weights=*/{1.0f, 2.0f},
{0, 3, 6}),
1.0f, 1e-10);
// AUC metric for grouped datasets - exception scenarios
ASSERT_TRUE(std::isnan(
GetMetricEval(metric.get(), {0, 1, 2}, {0, 0, 0}, {}, {0, 2, 3})));
// regression case
HostDeviceVector<float> predt{0.33935383, 0.5149714, 0.32138085, 1.4547751,
1.2010975, 0.42651367, 0.23104341, 0.83610827,
0.8494239, 0.07136688, 0.5623144, 0.8086237,
1.5066161, -4.094787, 0.76887935, -2.4082742};
std::vector<bst_group_t> groups{0, 7, 16};
std::vector<float> labels{1., 0., 0., 1., 2., 1., 0., 0.,
0., 0., 0., 0., 1., 0., 1., 0.};
EXPECT_NEAR(GetMetricEval(metric.get(), std::move(predt), labels,
/*weights=*/{}, groups),
0.769841f, 1e-6);
}
} // namespace metric
} // namespace xgboost

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@@ -0,0 +1,5 @@
/*!
* Copyright 2021 XGBoost contributors
*/
// Dummy file to keep the CUDA conditional compile trick.
#include "test_auc.cc"

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@@ -24,49 +24,6 @@ TEST(Metric, AMS) {
}
#endif
TEST(Metric, DeclareUnifiedTest(AUC)) {
auto tparam = xgboost::CreateEmptyGenericParam(GPUIDX);
xgboost::Metric * metric = xgboost::Metric::Create("auc", &tparam);
ASSERT_STREQ(metric->Name(), "auc");
EXPECT_NEAR(GetMetricEval(metric, {0, 1}, {0, 1}), 1, 1e-10);
EXPECT_NEAR(GetMetricEval(metric,
{0.1f, 0.9f, 0.1f, 0.9f},
{ 0, 0, 1, 1}),
0.5f, 0.001f);
EXPECT_ANY_THROW(GetMetricEval(metric, {0, 1}, {}));
EXPECT_ANY_THROW(GetMetricEval(metric, {0, 0}, {0, 0}));
EXPECT_ANY_THROW(GetMetricEval(metric, {0, 1}, {1, 1}));
// AUC with instance weights
EXPECT_NEAR(GetMetricEval(metric,
{0.9f, 0.1f, 0.4f, 0.3f},
{0, 0, 1, 1},
{1.0f, 3.0f, 2.0f, 4.0f}),
0.75f, 0.001f);
// AUC for a ranking task without weights
EXPECT_NEAR(GetMetricEval(metric,
{0.9f, 0.1f, 0.4f, 0.3f, 0.7f},
{0, 1, 0, 1, 1},
{},
{0, 2, 5}),
0.25f, 0.001f);
// AUC for a ranking task with weights/group
EXPECT_NEAR(GetMetricEval(metric,
{0.9f, 0.1f, 0.4f, 0.3f, 0.7f},
{1, 0, 1, 0, 0},
{1, 2},
{0, 2, 5}),
0.75f, 0.001f);
// AUC metric for grouped datasets - exception scenarios
EXPECT_ANY_THROW(GetMetricEval(metric, {0, 1, 2}, {0, 0, 0}, {}, {0, 2, 3}));
EXPECT_ANY_THROW(GetMetricEval(metric, {0, 1, 2}, {1, 1, 1}, {}, {0, 2, 3}));
delete metric;
}
TEST(Metric, DeclareUnifiedTest(AUCPR)) {
auto tparam = xgboost::CreateEmptyGenericParam(GPUIDX);
xgboost::Metric *metric = xgboost::Metric::Create("aucpr", &tparam);

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@@ -42,6 +42,7 @@ def local_cuda_cluster(request, pytestconfig):
def pytest_addoption(parser):
parser.addoption('--use-rmm-pool', action='store_true', default=False, help='Use RMM pool')
def pytest_collection_modifyitems(config, items):
if config.getoption('--use-rmm-pool'):
blocklist = [
@@ -53,3 +54,9 @@ def pytest_collection_modifyitems(config, items):
for item in items:
if any(item.nodeid.startswith(x) for x in blocklist):
item.add_marker(skip_mark)
# mark dask tests as `mgpu`.
mgpu_mark = pytest.mark.mgpu
for item in items:
if item.nodeid.startswith("python-gpu/test_gpu_with_dask.py"):
item.add_marker(mgpu_mark)

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@@ -0,0 +1,47 @@
import sys
import xgboost
import pytest
sys.path.append("tests/python")
import test_eval_metrics as test_em # noqa
class TestGPUEvalMetrics:
cpu_test = test_em.TestEvalMetrics()
@pytest.mark.parametrize("n_samples", [4, 100, 1000])
def test_roc_auc_binary(self, n_samples):
self.cpu_test.run_roc_auc_binary("gpu_hist", n_samples)
@pytest.mark.parametrize("n_samples", [4, 100, 1000])
def test_roc_auc_multi(self, n_samples):
self.cpu_test.run_roc_auc_multi("gpu_hist", n_samples)
@pytest.mark.parametrize("n_samples", [4, 100, 1000])
def test_roc_auc_ltr(self, n_samples):
import numpy as np
rng = np.random.RandomState(1994)
n_samples = n_samples
n_features = 10
X = rng.randn(n_samples, n_features)
y = rng.randint(0, 16, size=n_samples)
group = np.array([n_samples // 2, n_samples // 2])
Xy = xgboost.DMatrix(X, y, group=group)
cpu = xgboost.train(
{"tree_method": "hist", "eval_metric": "auc", "objective": "rank:ndcg"},
Xy,
num_boost_round=10,
)
cpu_auc = float(cpu.eval(Xy).split(":")[1])
gpu = xgboost.train(
{"tree_method": "gpu_hist", "eval_metric": "auc", "objective": "rank:ndcg"},
Xy,
num_boost_round=10,
)
gpu_auc = float(gpu.eval(Xy).split(":")[1])
np.testing.assert_allclose(cpu_auc, gpu_auc)

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@@ -5,6 +5,10 @@ import itertools
import shutil
import urllib.request
import zipfile
import sys
sys.path.append("tests/python")
import testing as tm # noqa
class TestRanking:
@@ -15,9 +19,9 @@ class TestRanking:
"""
from sklearn.datasets import load_svmlight_files
# download the test data
cls.dpath = 'demo/rank/'
cls.dpath = os.path.join(tm.PROJECT_ROOT, "demo/rank/")
src = 'https://s3-us-west-2.amazonaws.com/xgboost-examples/MQ2008.zip'
target = cls.dpath + '/MQ2008.zip'
target = os.path.join(cls.dpath, "MQ2008.zip")
if os.path.exists(cls.dpath) and os.path.exists(target):
print("Skipping dataset download...")
@@ -79,8 +83,8 @@ class TestRanking:
Cleanup test artifacts from download and unpacking
:return:
"""
os.remove(cls.dpath + "MQ2008.zip")
shutil.rmtree(cls.dpath + "MQ2008")
os.remove(os.path.join(cls.dpath, "MQ2008.zip"))
shutil.rmtree(os.path.join(cls.dpath, "MQ2008"))
@classmethod
def __test_training_with_rank_objective(cls, rank_objective, metric_name, tolerance=1e-02):

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@@ -17,6 +17,8 @@ if sys.platform.startswith("win"):
sys.path.append("tests/python")
from test_with_dask import run_empty_dmatrix_reg # noqa
from test_with_dask import run_empty_dmatrix_auc # noqa
from test_with_dask import run_auc # noqa
from test_with_dask import run_boost_from_prediction # noqa
from test_with_dask import run_dask_classifier # noqa
from test_with_dask import run_empty_dmatrix_cls # noqa
@@ -286,6 +288,15 @@ class TestDistributedGPU:
run_empty_dmatrix_reg(client, parameters)
run_empty_dmatrix_cls(client, parameters)
def test_empty_dmatrix_auc(self, local_cuda_cluster: LocalCUDACluster) -> None:
with Client(local_cuda_cluster) as client:
n_workers = len(_get_client_workers(client))
run_empty_dmatrix_auc(client, "gpu_hist", n_workers)
def test_auc(self, local_cuda_cluster: LocalCUDACluster) -> None:
with Client(local_cuda_cluster) as client:
run_auc(client, "gpu_hist")
def test_data_initialization(self, local_cuda_cluster: LocalCUDACluster) -> None:
with Client(local_cuda_cluster) as client:
X, y, _ = generate_array()

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@@ -123,3 +123,90 @@ class TestEvalMetrics:
gamma_dev = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1].split(":")[0])
skl_gamma_dev = mean_gamma_deviance(y, score)
np.testing.assert_allclose(gamma_dev, skl_gamma_dev, rtol=1e-6)
def run_roc_auc_binary(self, tree_method, n_samples):
import numpy as np
from sklearn.datasets import make_classification
from sklearn.metrics import roc_auc_score
rng = np.random.RandomState(1994)
n_samples = n_samples
n_features = 10
X, y = make_classification(
n_samples,
n_features,
n_informative=n_features,
n_redundant=0,
random_state=rng
)
Xy = xgb.DMatrix(X, y)
booster = xgb.train(
{
"tree_method": tree_method,
"eval_metric": "auc",
"objective": "binary:logistic",
},
Xy,
num_boost_round=8,
)
score = booster.predict(Xy)
skl_auc = roc_auc_score(y, score)
auc = float(booster.eval(Xy).split(":")[1])
np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
X = rng.randn(*X.shape)
score = booster.predict(xgb.DMatrix(X))
skl_auc = roc_auc_score(y, score)
auc = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1])
np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
@pytest.mark.skipif(**tm.no_sklearn())
@pytest.mark.parametrize("n_samples", [4, 100, 1000])
def test_roc_auc(self, n_samples):
self.run_roc_auc_binary("hist", n_samples)
def run_roc_auc_multi(self, tree_method, n_samples):
import numpy as np
from sklearn.datasets import make_classification
from sklearn.metrics import roc_auc_score
rng = np.random.RandomState(1994)
n_samples = n_samples
n_features = 10
n_classes = 4
X, y = make_classification(
n_samples,
n_features,
n_informative=n_features,
n_redundant=0,
n_classes=n_classes,
random_state=rng
)
Xy = xgb.DMatrix(X, y)
booster = xgb.train(
{
"tree_method": tree_method,
"eval_metric": "auc",
"objective": "multi:softprob",
"num_class": n_classes,
},
Xy,
num_boost_round=8,
)
score = booster.predict(Xy)
skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
auc = float(booster.eval(Xy).split(":")[1])
np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
X = rng.randn(*X.shape)
score = booster.predict(xgb.DMatrix(X))
skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
auc = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1])
np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
@pytest.mark.parametrize("n_samples", [4, 100, 1000])
def test_roc_auc_multi(self, n_samples):
self.run_roc_auc_multi("hist", n_samples)

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@@ -9,6 +9,7 @@ import scipy
import json
from typing import List, Tuple, Dict, Optional, Type, Any
import asyncio
from functools import partial
from concurrent.futures import ThreadPoolExecutor
import tempfile
from sklearn.datasets import make_classification
@@ -528,9 +529,106 @@ def run_empty_dmatrix_cls(client: "Client", parameters: dict) -> None:
_check_outputs(out, predictions)
def run_empty_dmatrix_auc(client: "Client", tree_method: str, n_workers: int) -> None:
from sklearn import datasets
n_samples = 100
n_features = 97
rng = np.random.RandomState(1994)
make_classification = partial(
datasets.make_classification,
n_features=n_features,
random_state=rng
)
# binary
X_, y_ = make_classification(n_samples=n_samples, random_state=rng)
X = dd.from_array(X_, chunksize=10)
y = dd.from_array(y_, chunksize=10)
n_samples = n_workers - 1
valid_X_, valid_y_ = make_classification(n_samples=n_samples, random_state=rng)
valid_X = dd.from_array(valid_X_, chunksize=n_samples)
valid_y = dd.from_array(valid_y_, chunksize=n_samples)
cls = xgb.dask.DaskXGBClassifier(
tree_method=tree_method, n_estimators=2, use_label_encoder=False
)
cls.fit(X, y, eval_metric="auc", eval_set=[(valid_X, valid_y)])
# multiclass
X_, y_ = make_classification(
n_samples=n_samples,
n_classes=10,
n_informative=n_features,
n_redundant=0,
n_repeated=0
)
X = dd.from_array(X_, chunksize=10)
y = dd.from_array(y_, chunksize=10)
n_samples = n_workers - 1
valid_X_, valid_y_ = make_classification(
n_samples=n_samples,
n_classes=10,
n_informative=n_features,
n_redundant=0,
n_repeated=0
)
valid_X = dd.from_array(valid_X_, chunksize=n_samples)
valid_y = dd.from_array(valid_y_, chunksize=n_samples)
cls = xgb.dask.DaskXGBClassifier(
tree_method=tree_method, n_estimators=2, use_label_encoder=False
)
cls.fit(X, y, eval_metric="auc", eval_set=[(valid_X, valid_y)])
def test_empty_dmatrix_auc() -> None:
with LocalCluster(n_workers=2) as cluster:
with Client(cluster) as client:
run_empty_dmatrix_auc(client, "hist", 2)
def run_auc(client: "Client", tree_method: str) -> None:
from sklearn import datasets
n_samples = 100
n_features = 97
rng = np.random.RandomState(1994)
X_, y_ = datasets.make_classification(
n_samples=n_samples, n_features=n_features, random_state=rng
)
X = dd.from_array(X_, chunksize=10)
y = dd.from_array(y_, chunksize=10)
valid_X_, valid_y_ = datasets.make_classification(
n_samples=n_samples, n_features=n_features, random_state=rng
)
valid_X = dd.from_array(valid_X_, chunksize=10)
valid_y = dd.from_array(valid_y_, chunksize=10)
cls = xgb.XGBClassifier(
tree_method=tree_method, n_estimators=2, use_label_encoder=False
)
cls.fit(X_, y_, eval_metric="auc", eval_set=[(valid_X_, valid_y_)])
dcls = xgb.dask.DaskXGBClassifier(
tree_method=tree_method, n_estimators=2, use_label_encoder=False
)
dcls.fit(X, y, eval_metric="auc", eval_set=[(valid_X, valid_y)])
approx = dcls.evals_result()["validation_0"]["auc"]
exact = cls.evals_result()["validation_0"]["auc"]
for i in range(2):
# approximated test.
assert np.abs(approx[i] - exact[i]) <= 0.06
def test_auc(client: "Client") -> None:
run_auc(client, "hist")
# No test for Exact, as empty DMatrix handling are mostly for distributed
# environment and Exact doesn't support it.
def test_empty_dmatrix_hist() -> None:
with LocalCluster(n_workers=kWorkers) as cluster:
with Client(cluster) as client: