lambda rank added
This commit is contained in:
295
rank/xgboost_rank.h
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295
rank/xgboost_rank.h
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#ifndef XGBOOST_RANK_H
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#define XGBOOST_RANK_H
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/*!
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* \file xgboost_rank.h
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* \brief class for gradient boosting ranking
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* \author Kailong Chen: chenkl198812@gmail.com, Tianqi Chen: tianqi.tchen@gmail.com
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*/
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#include <cmath>
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#include <cstdlib>
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#include <vector>
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#include "xgboost_sample.h"
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#include "xgboost_rank_eval.h"
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#include "../base/xgboost_data_instance.h"
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#include "../utils/xgboost_omp.h"
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#include "../booster/xgboost_gbmbase.h"
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#include "../utils/xgboost_utils.h"
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#include "../utils/xgboost_stream.h"
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#include "../base/xgboost_learner.h"
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namespace xgboost {
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namespace rank {
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/*! \brief class for gradient boosted regression */
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class RankBoostLearner :public base::BoostLearner{
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public:
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/*! \brief constructor */
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RankBoostLearner(void) {
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BoostLearner();
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}
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/*!
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* \brief a rank booster associated with training and evaluating data
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* \param train pointer to the training data
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* \param evals array of evaluating data
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* \param evname name of evaluation data, used print statistics
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*/
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RankBoostLearner(const base::DMatrix *train,
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const std::vector<base::DMatrix *> &evals,
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const std::vector<std::string> &evname) {
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BoostLearner(train, evals, evname);
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}
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/*!
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* \brief initialize solver before training, called before training
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* this function is reserved for solver to allocate necessary space
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* and do other preparation
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*/
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inline void InitTrainer(void) {
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BoostLearner::InitTrainer();
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if (mparam.loss_type == PAIRWISE) {
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evaluator_.AddEval("PAIR");
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}
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else if (mparam.loss_type == MAP) {
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evaluator_.AddEval("MAP");
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}
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else {
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evaluator_.AddEval("NDCG");
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}
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evaluator_.Init();
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}
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void EvalOneIter(int iter, FILE *fo = stderr) {
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fprintf(fo, "[%d]", iter);
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int buffer_offset = static_cast<int>(train_->Size());
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for (size_t i = 0; i < evals_.size(); ++i) {
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std::vector<float> &preds = this->eval_preds_[i];
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this->PredictBuffer(preds, *evals_[i], buffer_offset);
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evaluator_.Eval(fo, evname_[i].c_str(), preds, (*evals_[i]).labels, (*evals_[i]).group_index);
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buffer_offset += static_cast<int>(evals_[i]->Size());
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}
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fprintf(fo, "\n");
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}
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virtual inline void SetParam(const char *name, const char *val){
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BoostLearner::SetParam(name,val);
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if (!strcmp(name, "eval_metric")) evaluator_.AddEval(val);
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if (!strcmp(name, "rank:sampler")) sampler.AssignSampler(atoi(val));
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}
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private:
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inline std::vector< Triple<float,float,int> > GetSortedTuple(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index,
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int group){
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std::vector< Triple<float,float,int> > sorted_triple;
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for(int j = group_index[group]; j < group_index[group+1]; j++){
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sorted_triple.push_back(Triple<float,float,int>(preds[j],labels[j],j));
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}
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std::sort(sorted_triple.begin(),sorted_triple.end(),Triplef1Comparer);
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return sorted_triple;
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}
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inline std::vector<int> GetIndexMap(std::vector< Triple<float,float,int> > sorted_triple,int start){
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std::vector<int> index_remap;
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index_remap.resize(sorted_triple.size());
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for(int i = 0; i < sorted_triple.size(); i++){
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index_remap[sorted_triple[i].f3_-start] = i;
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}
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return index_remap;
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}
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inline float GetLambdaMAP(const std::vector< Triple<float,float,int> > sorted_triple,
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int index1,int index2,
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std::vector< Quadruple<float,float,float,float> > map_acc){
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if(index1 > index2) std::swap(index1,index2);
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float original = map_acc[index2].f1_;
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if(index1 != 0) original -= map_acc[index1 - 1].f1_;
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float changed = 0;
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if(sorted_triple[index1].f2_ < sorted_triple[index2].f2_){
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changed += map_acc[index2 - 1].f3_ - map_acc[index1].f3_;
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changed += (map_acc[index1].f4_ + 1.0f)/(index1 + 1);
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}else{
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changed += map_acc[index2 - 1].f2_ - map_acc[index1].f2_;
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changed += map_acc[index2].f4_/(index2 + 1);
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}
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float ans = (changed - original)/(map_acc[map_acc.size() - 1].f4_);
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if(ans < 0) ans = -ans;
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return ans;
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}
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inline float GetLambdaNDCG(const std::vector< Triple<float,float,int> > sorted_triple,
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int index1,
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int index2,float IDCG){
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float original = pow(2,sorted_triple[index1].f2_)/log(index1+2)
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+ pow(2,sorted_triple[index2].f2_)/log(index2+2);
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float changed = pow(2,sorted_triple[index2].f2_)/log(index1+2)
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+ pow(2,sorted_triple[index1].f2_)/log(index2+2);
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float ans = (original - changed)/IDCG;
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if(ans < 0) ans = -ans;
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return ans;
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}
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inline float GetIDCG(const std::vector< Triple<float,float,int> > sorted_triple){
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std::vector<float> labels;
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for(int i = 0; i < sorted_triple.size(); i++){
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labels.push_back(sorted_triple[i].f2_);
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}
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std::sort(labels.begin(),labels.end(),std::greater<float>());
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return EvalNDCG::DCG(labels);
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}
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inline std::vector< Quadruple<float,float,float,float> > GetMAPAcc(const std::vector< Triple<float,float,int> > sorted_triple){
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std::vector< Quadruple<float,float,float,float> > map_acc;
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float hit = 0,acc1 = 0,acc2 = 0,acc3 = 0;
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for(int i = 0; i < sorted_triple.size(); i++){
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if(sorted_triple[i].f2_ == 1) {
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hit++;
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acc1 += hit /( i + 1 );
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acc2 += (hit - 1)/(i+1);
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acc3 += (hit + 1)/(i+1);
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}
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map_acc.push_back(Quadruple<float,float,float,float>(acc1,acc2,acc3,hit));
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}
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return map_acc;
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}
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inline void GetGroupGradient(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index,
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std::vector<float> &grad,
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std::vector<float> &hess,
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const std::vector< Triple<float,float,int> > sorted_triple,
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const std::vector<int> index_remap,
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const sample::Pairs& pairs,
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int group){
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bool j_better;
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float IDCG, pred_diff, pred_diff_exp, delta;
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float first_order_gradient, second_order_gradient;
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std::vector< Quadruple<float,float,float,float> > map_acc;
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if(mparam.loss_type == NDCG){
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IDCG = GetIDCG(sorted_triple);
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}else if(mparam.loss_type == MAP){
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map_acc = GetMAPAcc(sorted_triple);
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}
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for (int j = group_index[group]; j < group_index[group + 1]; j++){
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std::vector<int> pair_instance = pairs.GetPairs(j);
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for (int k = 0; k < pair_instance.size(); k++){
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j_better = labels[j] > labels[pair_instance[k]];
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if (j_better){
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switch(mparam.loss_type){
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case PAIRWISE: delta = 1.0;break;
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case MAP: delta = GetLambdaMAP(sorted_triple,index_remap[j - group_index[group]],index_remap[pair_instance[k]-group_index[group]],map_acc);break;
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case NDCG: delta = GetLambdaNDCG(sorted_triple,index_remap[j - group_index[group]],index_remap[pair_instance[k]-group_index[group]],IDCG);break;
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default: utils::Error("Cannot find the specified loss type");
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}
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pred_diff = preds[preds[j] - pair_instance[k]];
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pred_diff_exp = j_better ? expf(-pred_diff) : expf(pred_diff);
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first_order_gradient = delta * FirstOrderGradient(pred_diff_exp);
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second_order_gradient = 2 * delta * SecondOrderGradient(pred_diff_exp);
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hess[j] += second_order_gradient;
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grad[j] += first_order_gradient;
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hess[pair_instance[k]] += second_order_gradient;
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grad[pair_instance[k]] += -first_order_gradient;
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}
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}
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}
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}
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public:
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/*! \brief get the first order and second order gradient, given the
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* intransformed predictions and labels */
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inline void GetGradient(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index,
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std::vector<float> &grad,
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std::vector<float> &hess) {
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grad.resize(preds.size());
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hess.resize(preds.size());
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for (int i = 0; i < group_index.size() - 1; i++){
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sample::Pairs pairs = sampler.GenPairs(preds, labels, group_index[i], group_index[i + 1]);
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//pairs.GetPairs()
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std::vector< Triple<float,float,int> > sorted_triple = GetSortedTuple(preds,labels,group_index,i);
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std::vector<int> index_remap = GetIndexMap(sorted_triple,group_index[i]);
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GetGroupGradient(preds,labels,group_index,
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grad,hess,sorted_triple,index_remap,pairs,i);
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}
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}
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inline void UpdateInteract(std::string action) {
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this->InteractPredict(preds_, *train_, 0);
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int buffer_offset = static_cast<int>(train_->Size());
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for (size_t i = 0; i < evals_.size(); ++i){
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std::vector<float> &preds = this->eval_preds_[i];
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this->InteractPredict(preds, *evals_[i], buffer_offset);
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buffer_offset += static_cast<int>(evals_[i]->Size());
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}
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if (action == "remove"){
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base_gbm.DelteBooster(); return;
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}
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this->GetGradient(preds_, train_->labels,train_->group_index, grad_, hess_);
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std::vector<unsigned> root_index;
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base_gbm.DoBoost(grad_, hess_, train_->data, root_index);
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this->InteractRePredict(*train_, 0);
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buffer_offset = static_cast<int>(train_->Size());
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for (size_t i = 0; i < evals_.size(); ++i){
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this->InteractRePredict(*evals_[i], buffer_offset);
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buffer_offset += static_cast<int>(evals_[i]->Size());
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}
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}
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private:
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enum LossType {
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PAIRWISE = 0,
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MAP = 1,
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NDCG = 2
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};
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/*!
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* \brief calculate first order gradient of pairwise loss function(f(x) = ln(1+exp(-x)),
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* given the exponential of the difference of intransformed pair predictions
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* \param the intransformed prediction of positive instance
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* \param the intransformed prediction of negative instance
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* \return first order gradient
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*/
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inline float FirstOrderGradient(float pred_diff_exp) const {
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return -pred_diff_exp / (1 + pred_diff_exp);
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}
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/*!
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* \brief calculate second order gradient of pairwise loss function(f(x) = ln(1+exp(-x)),
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* given the exponential of the difference of intransformed pair predictions
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* \param the intransformed prediction of positive instance
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* \param the intransformed prediction of negative instance
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* \return second order gradient
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*/
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inline float SecondOrderGradient(float pred_diff_exp) const {
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return pred_diff_exp / pow(1 + pred_diff_exp, 2);
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}
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private:
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RankEvalSet evaluator_;
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sample::PairSamplerWrapper sampler;
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};
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};
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};
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#endif
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237
rank/xgboost_rank_eval.h
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237
rank/xgboost_rank_eval.h
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#ifndef XGBOOST_RANK_EVAL_H
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#define XGBOOST_RANK_EVAL_H
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/*!
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* \file xgboost_rank_eval.h
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* \brief evaluation metrics for ranking
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* \author Kailong Chen: chenkl198812@gmail.com, Tianqi Chen: tianqi.tchen@gmail.com
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*/
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#include <cmath>
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#include <vector>
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#include <algorithm>
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#include "../utils/xgboost_utils.h"
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#include "../utils/xgboost_omp.h"
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namespace xgboost {
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namespace rank {
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/*! \brief evaluator that evaluates the loss metrics */
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class IRankEvaluator {
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public:
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/*!
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* \brief evaluate a specific metric
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* \param preds prediction
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* \param labels label
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*/
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virtual float Eval(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index) const = 0;
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/*! \return name of metric */
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virtual const char *Name(void) const = 0;
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};
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class Pair{
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public:
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float key_;
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float value_;
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Pair(float key, float value):key_(key),value_(value){
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}
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};
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bool PairKeyComparer(const Pair &a, const Pair &b){
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return a.key_ < b.key_;
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}
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bool PairValueComparer(const Pair &a, const Pair &b){
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return a.value_ < b.value_;
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}
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template<typename T1,typename T2,typename T3>
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class Triple{
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public:
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T1 f1_;
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T2 f2_;
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T3 f3_;
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Triple(T1 f1,T2 f2,T3 f3):f1_(f1),f2_(f2),f3_(f3){
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}
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};
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template<typename T1,typename T2,typename T3,typename T4>
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class Quadruple{
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public:
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T1 f1_;
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T2 f2_;
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T3 f3_;
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T4 f4_;
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Quadruple(T1 f1,T2 f2,T3 f3,T4 f4):f1_(f1),f2_(f2),f3_(f3),f4_(f4){
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}
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};
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bool Triplef1Comparer(const Triple<float,float,int> &a, const Triple<float,float,int> &b){
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return a.f1_< b.f1_;
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}
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/*! \brief Mean Average Precision */
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class EvalMAP : public IRankEvaluator {
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public:
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float Eval(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index) const {
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if (group_index.size() <= 1) return 0;
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float acc = 0;
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std::vector<Pair> pairs_sort;
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for (int i = 0; i < group_index.size() - 1; i++){
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for (int j = group_index[i]; j < group_index[i + 1]; j++){
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Pair pair(preds[j], labels[j]);
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pairs_sort.push_back(pair);
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}
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acc += average_precision(pairs_sort);
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}
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return acc / (group_index.size() - 1);
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}
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virtual const char *Name(void) const {
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return "MAP";
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}
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private:
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float average_precision(std::vector<Pair> pairs_sort) const{
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std::sort(pairs_sort.begin(), pairs_sort.end(), PairKeyComparer);
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float hits = 0;
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float average_precision = 0;
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for (int j = 0; j < pairs_sort.size(); j++){
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if (pairs_sort[j].value_ == 1){
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hits++;
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average_precision += hits / (j + 1);
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}
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}
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if (hits != 0) average_precision /= hits;
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return average_precision;
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}
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};
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class EvalPair : public IRankEvaluator{
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public:
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float Eval(const std::vector<float> &preds,
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const std::vector<float> &labels,
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const std::vector<int> &group_index) const {
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if (group_index.size() <= 1) return 0;
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float acc = 0;
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for (int i = 0; i < group_index.size() - 1; i++){
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acc += Count_Inversion(preds,labels,
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group_index[i],group_index[i+1]);
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}
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return acc / (group_index.size() - 1);
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}
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const char *Name(void) const {
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return "PAIR";
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}
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private:
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float Count_Inversion(const std::vector<float> &preds,
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const std::vector<float> &labels,int begin,int end
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) const{
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float ans = 0;
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for(int i = begin; i < end; i++){
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for(int j = i + 1; j < end; j++){
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if(preds[i] > preds[j] && labels[i] < labels[j])
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ans++;
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}
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}
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return ans;
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}
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};
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/*! \brief Normalized DCG */
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class EvalNDCG : public IRankEvaluator {
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||||
public:
|
||||
float Eval(const std::vector<float> &preds,
|
||||
const std::vector<float> &labels,
|
||||
const std::vector<int> &group_index) const {
|
||||
if (group_index.size() <= 1) return 0;
|
||||
float acc = 0;
|
||||
std::vector<Pair> pairs_sort;
|
||||
for (int i = 0; i < group_index.size() - 1; i++){
|
||||
for (int j = group_index[i]; j < group_index[i + 1]; j++){
|
||||
Pair pair(preds[j], labels[j]);
|
||||
pairs_sort.push_back(pair);
|
||||
}
|
||||
acc += NDCG(pairs_sort);
|
||||
}
|
||||
return acc / (group_index.size() - 1);
|
||||
}
|
||||
|
||||
static float DCG(const std::vector<float> &labels){
|
||||
float ans = 0.0;
|
||||
for (int i = 0; i < labels.size(); i++){
|
||||
ans += (pow(2,labels[i]) - 1 ) / log(i + 2);
|
||||
}
|
||||
return ans;
|
||||
}
|
||||
|
||||
virtual const char *Name(void) const {
|
||||
return "NDCG";
|
||||
}
|
||||
|
||||
private:
|
||||
float NDCG(std::vector<Pair> pairs_sort) const{
|
||||
std::sort(pairs_sort.begin(), pairs_sort.end(), PairKeyComparer);
|
||||
float dcg = DCG(pairs_sort);
|
||||
std::sort(pairs_sort.begin(), pairs_sort.end(), PairValueComparer);
|
||||
float IDCG = DCG(pairs_sort);
|
||||
if (IDCG == 0) return 0;
|
||||
return dcg / IDCG;
|
||||
}
|
||||
|
||||
float DCG(std::vector<Pair> pairs_sort) const{
|
||||
std::vector<float> labels;
|
||||
for (int i = 1; i < pairs_sort.size(); i++){
|
||||
labels.push_back(pairs_sort[i].value_);
|
||||
}
|
||||
return DCG(labels);
|
||||
}
|
||||
|
||||
|
||||
};
|
||||
|
||||
};
|
||||
|
||||
namespace rank {
|
||||
/*! \brief a set of evaluators */
|
||||
class RankEvalSet {
|
||||
public:
|
||||
inline void AddEval(const char *name) {
|
||||
if (!strcmp(name, "PAIR")) evals_.push_back(&pair_);
|
||||
if (!strcmp(name, "MAP")) evals_.push_back(&map_);
|
||||
if (!strcmp(name, "NDCG")) evals_.push_back(&ndcg_);
|
||||
}
|
||||
|
||||
inline void Init(void) {
|
||||
std::sort(evals_.begin(), evals_.end());
|
||||
evals_.resize(std::unique(evals_.begin(), evals_.end()) - evals_.begin());
|
||||
}
|
||||
|
||||
inline void Eval(FILE *fo, const char *evname,
|
||||
const std::vector<float> &preds,
|
||||
const std::vector<float> &labels,
|
||||
const std::vector<int> &group_index) const {
|
||||
for (size_t i = 0; i < evals_.size(); ++i) {
|
||||
float res = evals_[i]->Eval(preds, labels, group_index);
|
||||
fprintf(fo, "\t%s-%s:%f", evname, evals_[i]->Name(), res);
|
||||
}
|
||||
}
|
||||
|
||||
private:
|
||||
EvalPair pair_;
|
||||
EvalMAP map_;
|
||||
EvalNDCG ndcg_;
|
||||
std::vector<const IRankEvaluator*> evals_;
|
||||
};
|
||||
};
|
||||
};
|
||||
#endif
|
||||
22
rank/xgboost_rank_main.cpp
Normal file
22
rank/xgboost_rank_main.cpp
Normal file
@@ -0,0 +1,22 @@
|
||||
#define _CRT_SECURE_NO_WARNINGS
|
||||
#define _CRT_SECURE_NO_DEPRECATE
|
||||
#include <ctime>
|
||||
#include <string>
|
||||
#include <cstring>
|
||||
#include "../base/xgboost_learner.h"
|
||||
#include "../utils/xgboost_fmap.h"
|
||||
#include "../utils/xgboost_random.h"
|
||||
#include "../utils/xgboost_config.h"
|
||||
#include "../base/xgboost_learner.h"
|
||||
#include "../base/xgboost_boost_task.h"
|
||||
#include "xgboost_rank.h"
|
||||
#include "../regression/xgboost_reg.h"
|
||||
#include "../regression/xgboost_reg_main.cpp"
|
||||
#include "../base/xgboost_data_instance.h"
|
||||
|
||||
int main(int argc, char *argv[]) {
|
||||
xgboost::random::Seed(0);
|
||||
xgboost::base::BoostTask rank_tsk;
|
||||
rank_tsk.SetLearner(new xgboost::rank::RankBoostLearner);
|
||||
return rank_tsk.Run(argc, argv);
|
||||
}
|
||||
128
rank/xgboost_sample.h
Normal file
128
rank/xgboost_sample.h
Normal file
@@ -0,0 +1,128 @@
|
||||
#ifndef _XGBOOST_SAMPLE_H_
|
||||
#define _XGBOOST_SAMPLE_H_
|
||||
|
||||
#include <vector>
|
||||
#include"../utils/xgboost_utils.h"
|
||||
|
||||
namespace xgboost {
|
||||
namespace rank {
|
||||
namespace sample {
|
||||
|
||||
/*
|
||||
* \brief the data structure to maintain the sample pairs
|
||||
*/
|
||||
struct Pairs {
|
||||
|
||||
/*
|
||||
* \brief constructor given the start and end offset of the sampling group
|
||||
* in overall instances
|
||||
* \param start the begin index of the group
|
||||
* \param end the end index of the group
|
||||
*/
|
||||
Pairs(int start, int end) :start_(start), end_(end){
|
||||
for (int i = start; i < end; i++){
|
||||
std::vector<int> v;
|
||||
pairs_.push_back(v);
|
||||
}
|
||||
}
|
||||
/*
|
||||
* \brief retrieve the related pair information of an data instances
|
||||
* \param index, the index of retrieved instance
|
||||
* \return the index of instances paired
|
||||
*/
|
||||
std::vector<int> GetPairs(int index) const{
|
||||
utils::Assert(index >= start_ && index < end_, "The query index out of sampling bound");
|
||||
return pairs_[index - start_];
|
||||
}
|
||||
|
||||
/*
|
||||
* \brief add in a sampled pair
|
||||
* \param index the index of the instance to sample a friend
|
||||
* \param paired_index the index of the instance sampled as a friend
|
||||
*/
|
||||
void push(int index, int paired_index){
|
||||
pairs_[index - start_].push_back(paired_index);
|
||||
}
|
||||
|
||||
std::vector< std::vector<int> > pairs_;
|
||||
int start_;
|
||||
int end_;
|
||||
};
|
||||
|
||||
/*
|
||||
* \brief the interface of pair sampler
|
||||
*/
|
||||
struct IPairSampler {
|
||||
/*
|
||||
* \brief Generate sample pairs given the predcions, labels, the start and the end index
|
||||
* of a specified group
|
||||
* \param preds, the predictions of all data instances
|
||||
* \param labels, the labels of all data instances
|
||||
* \param start, the start index of a specified group
|
||||
* \param end, the end index of a specified group
|
||||
* \return the generated pairs
|
||||
*/
|
||||
virtual Pairs GenPairs(const std::vector<float> &preds,
|
||||
const std::vector<float> &labels,
|
||||
int start, int end) = 0;
|
||||
|
||||
};
|
||||
|
||||
enum{
|
||||
BINARY_LINEAR_SAMPLER
|
||||
};
|
||||
|
||||
/*! \brief A simple pair sampler when the rank relevence scale is binary
|
||||
* for each positive instance, we will pick a negative
|
||||
* instance and add in a pair. When using binary linear sampler,
|
||||
* we should guarantee the labels are 0 or 1
|
||||
*/
|
||||
struct BinaryLinearSampler :public IPairSampler{
|
||||
virtual Pairs GenPairs(const std::vector<float> &preds,
|
||||
const std::vector<float> &labels,
|
||||
int start, int end) {
|
||||
Pairs pairs(start, end);
|
||||
int pointer = 0, last_pointer = 0, index = start, interval = end - start;
|
||||
for (int i = start; i < end; i++){
|
||||
if (labels[i] == 1){
|
||||
while (true){
|
||||
index = (++pointer) % interval + start;
|
||||
if (labels[index] == 0) break;
|
||||
if (pointer - last_pointer > interval) return pairs;
|
||||
}
|
||||
pairs.push(i, index);
|
||||
pairs.push(index, i);
|
||||
last_pointer = pointer;
|
||||
}
|
||||
}
|
||||
return pairs;
|
||||
}
|
||||
};
|
||||
|
||||
|
||||
/*! \brief Pair Sampler Wrapper*/
|
||||
struct PairSamplerWrapper{
|
||||
public:
|
||||
inline void AssignSampler(int sampler_index){
|
||||
|
||||
switch (sampler_index){
|
||||
case BINARY_LINEAR_SAMPLER:sampler_ = &binary_linear_sampler; break;
|
||||
|
||||
default:utils::Error("Cannot find the specified sampler");
|
||||
}
|
||||
}
|
||||
|
||||
Pairs GenPairs(const std::vector<float> &preds,
|
||||
const std::vector<float> &labels,
|
||||
int start, int end){
|
||||
utils::Assert(sampler_ != NULL,"Not config the sampler yet. Add rank:sampler in the config file\n");
|
||||
return sampler_->GenPairs(preds, labels, start, end);
|
||||
}
|
||||
private:
|
||||
BinaryLinearSampler binary_linear_sampler;
|
||||
IPairSampler *sampler_;
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
#endif
|
||||
Reference in New Issue
Block a user