Quantile DMatrix for CPU. (#8130)

- Add a new `QuantileDMatrix` that works for both CPU and GPU.
- Deprecate `DeviceQuantileDMatrix`.

doc/python/python_api.rst

@@ -22,6 +22,9 @@ Core Data Structure
     :members:
     :show-inheritance:
 
+.. autoclass:: xgboost.QuantileDMatrix
+    :show-inheritance:
+
 .. autoclass:: xgboost.DeviceQuantileDMatrix
     :show-inheritance:
 

include/xgboost/c_api.h

@@ -415,28 +415,26 @@ XGB_EXTERN_C typedef void DataIterResetCallback(DataIterHandle handle); // NOLIN
  *
  * \return 0 when success, -1 when failure happens
  */
-XGB_DLL int XGDMatrixCreateFromCallback(DataIterHandle iter,
+XGB_DLL int XGDMatrixCreateFromCallback(DataIterHandle iter, DMatrixHandle proxy,
-                                        DMatrixHandle proxy,
+                                        DataIterResetCallback *reset, XGDMatrixCallbackNext *next,
-                                        DataIterResetCallback *reset,
+                                        char const *c_json_config, DMatrixHandle *out);
-                                        XGDMatrixCallbackNext *next,
-                                        char const* c_json_config,
-                                        DMatrixHandle *out);
 
 /*!
  * \brief Create a Quantile DMatrix with data iterator.
  *
- * Short note for how to use the second set of callback for GPU Hist tree method:
+ * Short note for how to use the second set of callback for (GPU)Hist tree method:
  *
  * - Step 0: Define a data iterator with 2 methods `reset`, and `next`.
  * - Step 1: Create a DMatrix proxy by `XGProxyDMatrixCreate` and hold the handle.
  * - Step 2: Pass the iterator handle, proxy handle and 2 methods into
- *           `XGDeviceQuantileDMatrixCreateFromCallback`.
+ *           `XGQuantileDMatrixCreateFromCallback`.
  * - Step 3: Call appropriate data setters in `next` functions.
  *
- * See test_iterative_device_dmatrix.cu or Python interface for examples.
+ * See test_iterative_dmatrix.cu or Python interface for examples.
  *
  * \param iter     A handle to external data iterator.
  * \param proxy    A DMatrix proxy handle created by `XGProxyDMatrixCreate`.
+ * \param ref      Reference DMatrix for providing quantile information.
  * \param reset    Callback function resetting the iterator state.
  * \param next     Callback function yielding the next batch of data.
  * \param missing  Which value to represent missing value
@@ -446,11 +444,21 @@ XGB_DLL int XGDMatrixCreateFromCallback(DataIterHandle iter,
  *
  * \return 0 when success, -1 when failure happens
  */
-XGB_DLL int XGDeviceQuantileDMatrixCreateFromCallback(
+XGB_DLL int XGQuantileDMatrixCreateFromCallback(DataIterHandle iter, DMatrixHandle proxy,
-    DataIterHandle iter, DMatrixHandle proxy, DataIterResetCallback *reset,
+                                                DataIterHandle ref, DataIterResetCallback *reset,
-    XGDMatrixCallbackNext *next, float missing, int nthread, int max_bin,
+                                                XGDMatrixCallbackNext *next, char const *config,
                                                 DMatrixHandle *out);
 
+/*!
+ * \brief Create a Device Quantile DMatrix with data iterator.
+ * \deprecated since 2.0
+ * \see XGQuantileDMatrixCreateFromCallback()
+ */
+XGB_DLL int XGDeviceQuantileDMatrixCreateFromCallback(DataIterHandle iter, DMatrixHandle proxy,
+                                                      DataIterResetCallback *reset,
+                                                      XGDMatrixCallbackNext *next, float missing,
+                                                      int nthread, int max_bin, DMatrixHandle *out);
+
 /*!
  * \brief Set data on a DMatrix proxy.
  *

python-package/xgboost/__init__.py

@@ -6,6 +6,7 @@ Contributors: https://github.com/dmlc/xgboost/blob/master/CONTRIBUTORS.md
 from .core import (
     DMatrix,
     DeviceQuantileDMatrix,
+    QuantileDMatrix,
     Booster,
     DataIter,
     build_info,
@@ -33,6 +34,7 @@ __all__ = [
     # core
     "DMatrix",
     "DeviceQuantileDMatrix",
+    "QuantileDMatrix",
     "Booster",
     "DataIter",
     "train",

python-package/xgboost/core.py

@@ -1146,7 +1146,7 @@ class DMatrix:  # pylint: disable=too-many-instance-attributes
 
         Parameters
         ----------
-        feature_types : list or None
+        feature_types :
             Labels for features. None will reset existing feature names
 
         """
@@ -1189,7 +1189,7 @@ class DMatrix:  # pylint: disable=too-many-instance-attributes
 
 
 class _ProxyDMatrix(DMatrix):
-    """A placeholder class when DMatrix cannot be constructed (DeviceQuantileDMatrix,
+    """A placeholder class when DMatrix cannot be constructed (QuantileDMatrix,
     inplace_predict).
 
     """
@@ -1234,17 +1234,35 @@ class _ProxyDMatrix(DMatrix):
         )
 
 
-class DeviceQuantileDMatrix(DMatrix):
+class QuantileDMatrix(DMatrix):
-    """Device memory Data Matrix used in XGBoost for training with tree_method='gpu_hist'. Do
+    """A DMatrix variant that generates quantilized data directly from input for
-    not use this for test/validation tasks as some information may be lost in
+    ``hist`` and ``gpu_hist`` tree methods. This DMatrix is primarily designed to save
-    quantisation. This DMatrix is primarily designed to save memory in training from
+    memory in training by avoiding intermediate storage. Set ``max_bin`` to control the
-    device memory inputs by avoiding intermediate storage. Set max_bin to control the
+    number of bins during quantisation, which should be consistent with the training
-    number of bins during quantisation.  See doc string in :py:obj:`xgboost.DMatrix` for
+    parameter ``max_bin``. When ``QuantileDMatrix`` is used for validation/test dataset,
-    documents on meta info.
+    ``ref`` should be another ``QuantileDMatrix``(or ``DMatrix``, but not recommended as
+    it defeats the purpose of saving memory) constructed from training dataset.  See
+    :py:obj:`xgboost.DMatrix` for documents on meta info.
 
-    You can construct DeviceQuantileDMatrix from cupy/cudf/dlpack.
+    .. note::
 
-    .. versionadded:: 1.1.0
+        Do not use ``QuantileDMatrix`` as validation/test dataset without supplying a
+        reference (the training dataset) ``QuantileDMatrix`` using ``ref`` as some
+        information may be lost in quantisation.
+
+    .. versionadded:: 2.0.0
+
+    Parameters
+    ----------
+    max_bin :
+        The number of histogram bin, should be consistent with the training parameter
+        ``max_bin``.
+
+    ref :
+        The training dataset that provides quantile information, needed when creating
+        validation/test dataset with ``QuantileDMatrix``. Supplying the training DMatrix
+        as a reference means that the same quantisation applied to the training data is
+        applied to the validation/test data
 
     """
 
@@ -1261,7 +1279,8 @@ class DeviceQuantileDMatrix(DMatrix):
         feature_names: Optional[FeatureNames] = None,
         feature_types: Optional[FeatureTypes] = None,
         nthread: Optional[int] = None,
-        max_bin: int = 256,
+        max_bin: Optional[int] = None,
+        ref: Optional[DMatrix] = None,
         group: Optional[ArrayLike] = None,
         qid: Optional[ArrayLike] = None,
         label_lower_bound: Optional[ArrayLike] = None,
@@ -1269,9 +1288,9 @@ class DeviceQuantileDMatrix(DMatrix):
         feature_weights: Optional[ArrayLike] = None,
         enable_categorical: bool = False,
     ) -> None:
-        self.max_bin = max_bin
+        self.max_bin: int = max_bin if max_bin is not None else 256
         self.missing = missing if missing is not None else np.nan
-        self.nthread = nthread if nthread is not None else 1
+        self.nthread = nthread if nthread is not None else -1
         self._silent = silent  # unused, kept for compatibility
 
         if isinstance(data, ctypes.c_void_p):
@@ -1280,12 +1299,13 @@ class DeviceQuantileDMatrix(DMatrix):
 
         if qid is not None and group is not None:
             raise ValueError(
-                'Only one of the eval_qid or eval_group for each evaluation '
+                "Only one of the eval_qid or eval_group for each evaluation "
-                'dataset should be provided.'
+                "dataset should be provided."
             )
 
         self._init(
             data,
+            ref=ref,
             label=label,
             weight=weight,
             base_margin=base_margin,
@@ -1299,7 +1319,13 @@ class DeviceQuantileDMatrix(DMatrix):
             enable_categorical=enable_categorical,
         )
 
-    def _init(self, data: DataType, enable_categorical: bool, **meta: Any) -> None:
+    def _init(
+        self,
+        data: DataType,
+        ref: Optional[DMatrix],
+        enable_categorical: bool,
+        **meta: Any,
+    ) -> None:
         from .data import (
             _is_dlpack,
             _transform_dlpack,
@@ -1317,20 +1343,26 @@ class DeviceQuantileDMatrix(DMatrix):
             it = SingleBatchInternalIter(data=data, **meta)
 
         handle = ctypes.c_void_p()
-        reset_callback, next_callback = it.get_callbacks(False, enable_categorical)
+        reset_callback, next_callback = it.get_callbacks(True, enable_categorical)
         if it.cache_prefix is not None:
             raise ValueError(
-                "DeviceQuantileDMatrix doesn't cache data, remove the cache_prefix "
+                "QuantileDMatrix doesn't cache data, remove the cache_prefix "
                 "in iterator to fix this error."
             )
-        ret = _LIB.XGDeviceQuantileDMatrixCreateFromCallback(
+
+        args = {
+            "nthread": self.nthread,
+            "missing": self.missing,
+            "max_bin": self.max_bin,
+        }
+        config = from_pystr_to_cstr(json.dumps(args))
+        ret = _LIB.XGQuantileDMatrixCreateFromCallback(
             None,
             it.proxy.handle,
+            ref.handle if ref is not None else ref,
             reset_callback,
             next_callback,
-            ctypes.c_float(self.missing),
+            config,
-            ctypes.c_int(self.nthread),
-            ctypes.c_int(self.max_bin),
             ctypes.byref(handle),
         )
         it.reraise()
@@ -1339,6 +1371,20 @@ class DeviceQuantileDMatrix(DMatrix):
         self.handle = handle
 
 
+class DeviceQuantileDMatrix(QuantileDMatrix):
+    """ Use `QuantileDMatrix` instead.
+
+    .. deprecated:: 2.0.0
+
+    .. versionadded:: 1.1.0
+
+    """
+
+    def __init__(self, *args: Any, **kwargs: Any) -> None:
+        warnings.warn("Please use `QuantileDMatrix` instead.", FutureWarning)
+        super().__init__(*args, **kwargs)
+
+
 Objective = Callable[[np.ndarray, DMatrix], Tuple[np.ndarray, np.ndarray]]
 Metric = Callable[[np.ndarray, DMatrix], Tuple[str, float]]
 

python-package/xgboost/dask.py

@@ -35,6 +35,7 @@ import collections
 import logging
 import platform
 import socket
+import warnings
 from collections import defaultdict
 from contextlib import contextmanager
 from functools import partial, update_wrapper
@@ -64,10 +65,10 @@ from .compat import DataFrame, LazyLoader, concat, lazy_isinstance
 from .core import (
     Booster,
     DataIter,
-    DeviceQuantileDMatrix,
     DMatrix,
     Metric,
     Objective,
+    QuantileDMatrix,
     _deprecate_positional_args,
     _expect,
     _has_categorical,
@@ -495,7 +496,7 @@ async def map_worker_partitions(
     client: Optional["distributed.Client"],
     func: Callable[..., _MapRetT],
     *refs: Any,
-    workers: List[str],
+    workers: Sequence[str],
 ) -> List[_MapRetT]:
     """Map a function onto partitions of each worker."""
     # Note for function purity:
@@ -628,22 +629,7 @@ class DaskPartitionIter(DataIter):  # pylint: disable=R0902
         return 1
 
 
-class DaskDeviceQuantileDMatrix(DaskDMatrix):
+class DaskQuantileDMatrix(DaskDMatrix):
-    """Specialized data type for `gpu_hist` tree method.  This class is used to reduce
-    the memory usage by eliminating data copies.  Internally the all partitions/chunks
-    of data are merged by weighted GK sketching.  So the number of partitions from dask
-    may affect training accuracy as GK generates bounded error for each merge.  See doc
-    string for :py:obj:`xgboost.DeviceQuantileDMatrix` and :py:obj:`xgboost.DMatrix` for
-    other parameters.
-
-    .. versionadded:: 1.2.0
-
-    Parameters
-    ----------
-    max_bin : Number of bins for histogram construction.
-
-    """
-
     @_deprecate_positional_args
     def __init__(
         self,
@@ -657,7 +643,8 @@ class DaskDeviceQuantileDMatrix(DaskDMatrix):
         silent: bool = False,  # disable=unused-argument
         feature_names: Optional[FeatureNames] = None,
         feature_types: Optional[Union[Any, List[Any]]] = None,
-        max_bin: int = 256,
+        max_bin: Optional[int] = None,
+        ref: Optional[DMatrix] = None,
         group: Optional[_DaskCollection] = None,
         qid: Optional[_DaskCollection] = None,
         label_lower_bound: Optional[_DaskCollection] = None,
@@ -684,14 +671,31 @@ class DaskDeviceQuantileDMatrix(DaskDMatrix):
         )
         self.max_bin = max_bin
         self.is_quantile = True
+        self._ref: Optional[int] = id(ref) if ref is not None else None
 
     def _create_fn_args(self, worker_addr: str) -> Dict[str, Any]:
         args = super()._create_fn_args(worker_addr)
         args["max_bin"] = self.max_bin
+        if self._ref is not None:
+            args["ref"] = self._ref
         return args
 
 
-def _create_device_quantile_dmatrix(
+class DaskDeviceQuantileDMatrix(DaskQuantileDMatrix):
+    """Use `DaskQuantileDMatrix` instead.
+
+    .. deprecated:: 2.0.0
+
+    .. versionadded:: 1.2.0
+
+    """
+
+    def __init__(self, *args: Any, **kwargs: Any) -> None:
+        warnings.warn("Please use `DaskQuantileDMatrix` instead.", FutureWarning)
+        super().__init__(*args, **kwargs)
+
+
+def _create_quantile_dmatrix(
     feature_names: Optional[FeatureNames],
     feature_types: Optional[Union[Any, List[Any]]],
     feature_weights: Optional[Any],
@@ -700,18 +704,20 @@ def _create_device_quantile_dmatrix(
     parts: Optional[_DataParts],
     max_bin: int,
     enable_categorical: bool,
-) -> DeviceQuantileDMatrix:
+    ref: Optional[DMatrix] = None,
+) -> QuantileDMatrix:
     worker = distributed.get_worker()
     if parts is None:
         msg = f"worker {worker.address} has an empty DMatrix."
         LOGGER.warning(msg)
         import cupy
 
-        d = DeviceQuantileDMatrix(
+        d = QuantileDMatrix(
             cupy.zeros((0, 0)),
             feature_names=feature_names,
             feature_types=feature_types,
             max_bin=max_bin,
+            ref=ref,
             enable_categorical=enable_categorical,
         )
         return d
@@ -719,13 +725,14 @@ def _create_device_quantile_dmatrix(
     unzipped_dict = _get_worker_parts(parts)
     it = DaskPartitionIter(**unzipped_dict)
 
-    dmatrix = DeviceQuantileDMatrix(
+    dmatrix = QuantileDMatrix(
         it,
         missing=missing,
         feature_names=feature_names,
         feature_types=feature_types,
         nthread=nthread,
         max_bin=max_bin,
+        ref=ref,
         enable_categorical=enable_categorical,
     )
     dmatrix.set_info(feature_weights=feature_weights)
@@ -786,11 +793,9 @@ def _create_dmatrix(
     return dmatrix
 
 
-def _dmatrix_from_list_of_parts(
+def _dmatrix_from_list_of_parts(is_quantile: bool, **kwargs: Any) -> DMatrix:
-    is_quantile: bool, **kwargs: Any
-) -> Union[DMatrix, DeviceQuantileDMatrix]:
     if is_quantile:
-        return _create_device_quantile_dmatrix(**kwargs)
+        return _create_quantile_dmatrix(**kwargs)
     return _create_dmatrix(**kwargs)
 
 
@@ -921,6 +926,17 @@ async def _train_async(
                 if evals_id[i] == train_id:
                     evals.append((Xy, evals_name[i]))
                     continue
+                if ref.get("ref", None) is not None:
+                    if ref["ref"] != train_id:
+                        raise ValueError(
+                            "The training DMatrix should be used as a reference"
+                            " to evaluation `QuantileDMatrix`."
+                        )
+                    del ref["ref"]
+                    eval_Xy = _dmatrix_from_list_of_parts(
+                        **ref, nthread=n_threads, ref=Xy
+                    )
+                else:
                     eval_Xy = _dmatrix_from_list_of_parts(**ref, nthread=n_threads)
                 evals.append((eval_Xy, evals_name[i]))
 
@@ -960,12 +976,14 @@ async def _train_async(
         results = await map_worker_partitions(
             client,
             dispatched_train,
+            # extra function parameters
             params,
             _rabit_args,
             id(dtrain),
             evals_name,
             evals_id,
             *([dtrain] + evals_data),
+            # workers to be used for training
             workers=workers,
         )
         return list(filter(lambda ret: ret is not None, results))[0]

python-package/xgboost/data.py

@@ -1167,6 +1167,7 @@ def _proxy_transform(
     if _is_dlpack(data):
         return _transform_dlpack(data), None, feature_names, feature_types
     if _is_numpy_array(data):
+        data, _ = _ensure_np_dtype(data, data.dtype)
         return data, None, feature_names, feature_types
     if _is_scipy_csr(data):
         return data, None, feature_names, feature_types

src/c_api/c_api.cc

@@ -281,11 +281,36 @@ XGB_DLL int XGDeviceQuantileDMatrixCreateFromCallback(DataIterHandle iter, DMatr
                                                       int nthread, int max_bin,
                                                       DMatrixHandle *out) {
   API_BEGIN();
+  LOG(WARNING) << __func__ << " is deprecated. Use `XGQuantileDMatrixCreateFromCallback` instead.";
   *out = new std::shared_ptr<xgboost::DMatrix>{
       xgboost::DMatrix::Create(iter, proxy, nullptr, reset, next, missing, nthread, max_bin)};
   API_END();
 }
 
+XGB_DLL int XGQuantileDMatrixCreateFromCallback(DataIterHandle iter, DMatrixHandle proxy,
+                                                DataIterHandle ref, DataIterResetCallback *reset,
+                                                XGDMatrixCallbackNext *next, char const *config,
+                                                DMatrixHandle *out) {
+  API_BEGIN();
+  std::shared_ptr<DMatrix> _ref{nullptr};
+  if (ref) {
+    auto pp_ref = static_cast<std::shared_ptr<xgboost::DMatrix> *>(ref);
+    StringView err{"Invalid handle to ref."};
+    CHECK(pp_ref) << err;
+    _ref = *pp_ref;
+    CHECK(_ref) << err;
+  }
+
+  auto jconfig = Json::Load(StringView{config});
+  auto missing = GetMissing(jconfig);
+  auto n_threads = OptionalArg<Integer, int64_t>(jconfig, "nthread", common::OmpGetNumThreads(0));
+  auto max_bin = OptionalArg<Integer, int64_t>(jconfig, "max_bin", 256);
+
+  *out = new std::shared_ptr<xgboost::DMatrix>{
+      xgboost::DMatrix::Create(iter, proxy, _ref, reset, next, missing, n_threads, max_bin)};
+  API_END();
+}
+
 XGB_DLL int XGProxyDMatrixCreate(DMatrixHandle* out) {
   API_BEGIN();
   *out = new std::shared_ptr<xgboost::DMatrix>(new xgboost::data::DMatrixProxy);;

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -1,4 +1,3 @@
-# -*- coding: utf-8 -*-
 import numpy as np
 import xgboost as xgb
 import pytest
@@ -6,16 +5,14 @@ import sys
 
 sys.path.append("tests/python")
 import testing as tm
+import test_quantile_dmatrix as tqd
 
 
 class TestDeviceQuantileDMatrix:
-    def test_dmatrix_numpy_init(self):
+    cputest = tqd.TestQuantileDMatrix()
-        data = np.random.randn(5, 5)
-        with pytest.raises(TypeError, match='is not supported'):
-            xgb.DeviceQuantileDMatrix(data, np.ones(5, dtype=np.float64))
 
     @pytest.mark.skipif(**tm.no_cupy())
-    def test_dmatrix_feature_weights(self):
+    def test_dmatrix_feature_weights(self) -> None:
         import cupy as cp
         rng = cp.random.RandomState(1994)
         data = rng.randn(5, 5)
@@ -29,7 +26,7 @@ class TestDeviceQuantileDMatrix:
             feature_weights.astype(np.float32))
 
     @pytest.mark.skipif(**tm.no_cupy())
-    def test_dmatrix_cupy_init(self):
+    def test_dmatrix_cupy_init(self) -> None:
         import cupy as cp
         data = cp.random.randn(5, 5)
         xgb.DeviceQuantileDMatrix(data, cp.ones(5, dtype=np.float64))
@@ -55,3 +52,10 @@ class TestDeviceQuantileDMatrix:
 
         cp.testing.assert_allclose(fw, got_fw)
         cp.testing.assert_allclose(labels, got_labels)
+
+    @pytest.mark.skipif(**tm.no_cupy())
+    @pytest.mark.skipif(**tm.no_cudf())
+    def test_ref_dmatrix(self) -> None:
+        import cupy as cp
+        rng = cp.random.RandomState(1994)
+        self.cputest.run_ref_dmatrix(rng, "gpu_hist", False)

tests/python-gpu/test_gpu_with_dask.py

@@ -429,9 +429,10 @@ class TestDistributedGPU:
         sig = OrderedDict(signature(dxgb.DaskDMatrix).parameters)
         del sig["client"]
         ddm_names = list(sig.keys())
-        sig = OrderedDict(signature(dxgb.DaskDeviceQuantileDMatrix).parameters)
+        sig = OrderedDict(signature(dxgb.DaskQuantileDMatrix).parameters)
         del sig["client"]
         del sig["max_bin"]
+        del sig["ref"]
         ddqdm_names = list(sig.keys())
         assert len(ddm_names) == len(ddqdm_names)
 
@@ -442,9 +443,10 @@ class TestDistributedGPU:
         sig = OrderedDict(signature(xgb.DMatrix).parameters)
         del sig["nthread"]      # no nthread in dask
         dm_names = list(sig.keys())
-        sig = OrderedDict(signature(xgb.DeviceQuantileDMatrix).parameters)
+        sig = OrderedDict(signature(xgb.QuantileDMatrix).parameters)
         del sig["nthread"]
         del sig["max_bin"]
+        del sig["ref"]
         dqdm_names = list(sig.keys())
 
         # between single node
@@ -499,7 +501,6 @@ class TestDistributedGPU:
             for arg in rabit_args:
                 if arg.decode('utf-8').startswith('DMLC_TRACKER_PORT'):
                     port_env = arg.decode('utf-8')
-                    port_env = arg.decode('utf-8')
                 if arg.decode("utf-8").startswith("DMLC_TRACKER_URI"):
                     uri_env = arg.decode("utf-8")
             port = port_env.split('=')

tests/python/test_data_iterator.py

@@ -1,32 +1,12 @@
 import xgboost as xgb
 from xgboost.data import SingleBatchInternalIter as SingleBatch
 import numpy as np
-from testing import IteratorForTest, non_increasing
+from testing import IteratorForTest, non_increasing, make_batches
-from typing import Tuple, List
 import pytest
 from hypothesis import given, strategies, settings
 from scipy.sparse import csr_matrix
 
 
-def make_batches(
-    n_samples_per_batch: int, n_features: int, n_batches: int, use_cupy: bool = False
-) -> Tuple[List[np.ndarray], List[np.ndarray]]:
-    X = []
-    y = []
-    if use_cupy:
-        import cupy
-
-        rng = cupy.random.RandomState(1994)
-    else:
-        rng = np.random.RandomState(1994)
-    for i in range(n_batches):
-        _X = rng.randn(n_samples_per_batch, n_features)
-        _y = rng.randn(n_samples_per_batch)
-        X.append(_X)
-        y.append(_y)
-    return X, y
-
-
 def test_single_batch(tree_method: str = "approx") -> None:
     from sklearn.datasets import load_breast_cancer
 
@@ -111,8 +91,8 @@ def run_data_iterator(
     if not subsample:
         assert non_increasing(results_from_it["Train"]["rmse"])
 
-    X, y = it.as_arrays()
+    X, y, w = it.as_arrays()
-    Xy = xgb.DMatrix(X, y)
+    Xy = xgb.DMatrix(X, y, weight=w)
     assert Xy.num_row() == n_samples_per_batch * n_batches
     assert Xy.num_col() == n_features
 

tests/python/test_quantile_dmatrix.py

@@ -0,0 +1,212 @@
+from typing import Dict, List, Any
+
+import numpy as np
+import pytest
+from scipy import sparse
+from testing import IteratorForTest, make_batches, make_batches_sparse, make_categorical
+
+import xgboost as xgb
+
+
+class TestQuantileDMatrix:
+    def test_basic(self) -> None:
+        n_samples = 234
+        n_features = 8
+
+        rng = np.random.default_rng()
+        X = rng.normal(loc=0, scale=3, size=n_samples * n_features).reshape(
+            n_samples, n_features
+        )
+        y = rng.normal(0, 3, size=n_samples)
+        Xy = xgb.QuantileDMatrix(X, y)
+        assert Xy.num_row() == n_samples
+        assert Xy.num_col() == n_features
+
+        X = sparse.random(n_samples, n_features, density=0.1, format="csr")
+        Xy = xgb.QuantileDMatrix(X, y)
+        assert Xy.num_row() == n_samples
+        assert Xy.num_col() == n_features
+
+        X = sparse.random(n_samples, n_features, density=0.8, format="csr")
+        Xy = xgb.QuantileDMatrix(X, y)
+        assert Xy.num_row() == n_samples
+        assert Xy.num_col() == n_features
+
+    @pytest.mark.parametrize("sparsity", [0.0, 0.1, 0.8, 0.9])
+    def test_with_iterator(self, sparsity: float) -> None:
+        n_samples_per_batch = 317
+        n_features = 8
+        n_batches = 7
+
+        if sparsity == 0.0:
+            it = IteratorForTest(
+                *make_batches(n_samples_per_batch, n_features, n_batches, False), None
+            )
+        else:
+            it = IteratorForTest(
+                *make_batches_sparse(
+                    n_samples_per_batch, n_features, n_batches, sparsity
+                ),
+                None
+            )
+        Xy = xgb.QuantileDMatrix(it)
+        assert Xy.num_row() == n_samples_per_batch * n_batches
+        assert Xy.num_col() == n_features
+
+    @pytest.mark.parametrize("sparsity", [0.0, 0.1, 0.5, 0.8, 0.9])
+    def test_training(self, sparsity: float) -> None:
+        n_samples_per_batch = 317
+        n_features = 8
+        n_batches = 7
+        if sparsity == 0.0:
+            it = IteratorForTest(
+                *make_batches(n_samples_per_batch, n_features, n_batches, False), None
+            )
+        else:
+            it = IteratorForTest(
+                *make_batches_sparse(
+                    n_samples_per_batch, n_features, n_batches, sparsity
+                ),
+                None
+            )
+
+        parameters = {"tree_method": "hist", "max_bin": 256}
+        Xy_it = xgb.QuantileDMatrix(it, max_bin=parameters["max_bin"])
+        from_it = xgb.train(parameters, Xy_it)
+
+        X, y, w = it.as_arrays()
+        w_it = Xy_it.get_weight()
+        np.testing.assert_allclose(w_it, w)
+
+        Xy_arr = xgb.DMatrix(X, y, weight=w)
+        from_arr = xgb.train(parameters, Xy_arr)
+
+        np.testing.assert_allclose(from_arr.predict(Xy_it), from_it.predict(Xy_arr))
+
+        y -= y.min()
+        y += 0.01
+        Xy = xgb.QuantileDMatrix(X, y, weight=w)
+        with pytest.raises(ValueError, match=r"Only.*hist.*"):
+            parameters = {
+                "tree_method": "approx",
+                "max_bin": 256,
+                "objective": "reg:gamma",
+            }
+            xgb.train(parameters, Xy)
+
+    def run_ref_dmatrix(self, rng: Any, tree_method: str, enable_cat: bool) -> None:
+        n_samples, n_features = 2048, 17
+        if enable_cat:
+            X, y = make_categorical(
+                n_samples, n_features, n_categories=13, onehot=False
+            )
+            if tree_method == "gpu_hist":
+                import cudf
+                X = cudf.from_pandas(X)
+                y = cudf.from_pandas(y)
+        else:
+            X = rng.normal(loc=0, scale=3, size=n_samples * n_features).reshape(
+                n_samples, n_features
+            )
+            y = rng.normal(0, 3, size=n_samples)
+
+        # Use ref
+        Xy = xgb.QuantileDMatrix(X, y, enable_categorical=enable_cat)
+        Xy_valid = xgb.QuantileDMatrix(X, y, ref=Xy, enable_categorical=enable_cat)
+        qdm_results: Dict[str, Dict[str, List[float]]] = {}
+        xgb.train(
+            {"tree_method": tree_method},
+            Xy,
+            evals=[(Xy, "Train"), (Xy_valid, "valid")],
+            evals_result=qdm_results,
+        )
+        np.testing.assert_allclose(
+            qdm_results["Train"]["rmse"], qdm_results["valid"]["rmse"]
+        )
+        # No ref
+        Xy_valid = xgb.QuantileDMatrix(X, y, enable_categorical=enable_cat)
+        qdm_results = {}
+        xgb.train(
+            {"tree_method": tree_method},
+            Xy,
+            evals=[(Xy, "Train"), (Xy_valid, "valid")],
+            evals_result=qdm_results,
+        )
+        np.testing.assert_allclose(
+            qdm_results["Train"]["rmse"], qdm_results["valid"]["rmse"]
+        )
+
+        # Different number of features
+        Xy = xgb.QuantileDMatrix(X, y, enable_categorical=enable_cat)
+        dXy = xgb.DMatrix(X, y, enable_categorical=enable_cat)
+
+        n_samples, n_features = 256, 15
+        X = rng.normal(loc=0, scale=3, size=n_samples * n_features).reshape(
+            n_samples, n_features
+        )
+        y = rng.normal(0, 3, size=n_samples)
+        with pytest.raises(ValueError, match=r".*features\."):
+            xgb.QuantileDMatrix(X, y, ref=Xy, enable_categorical=enable_cat)
+
+        # Compare training results
+        n_samples, n_features = 256, 17
+        if enable_cat:
+            X, y = make_categorical(n_samples, n_features, 13, onehot=False)
+            if tree_method == "gpu_hist":
+                import cudf
+                X = cudf.from_pandas(X)
+                y = cudf.from_pandas(y)
+        else:
+            X = rng.normal(loc=0, scale=3, size=n_samples * n_features).reshape(
+                n_samples, n_features
+            )
+            y = rng.normal(0, 3, size=n_samples)
+        Xy_valid = xgb.QuantileDMatrix(X, y, ref=Xy, enable_categorical=enable_cat)
+        # use DMatrix as ref
+        Xy_valid_d = xgb.QuantileDMatrix(X, y, ref=dXy, enable_categorical=enable_cat)
+        dXy_valid = xgb.DMatrix(X, y, enable_categorical=enable_cat)
+
+        qdm_results = {}
+        xgb.train(
+            {"tree_method": tree_method},
+            Xy,
+            evals=[(Xy, "Train"), (Xy_valid, "valid")],
+            evals_result=qdm_results,
+        )
+
+        dm_results: Dict[str, Dict[str, List[float]]] = {}
+        xgb.train(
+            {"tree_method": tree_method},
+            dXy,
+            evals=[(dXy, "Train"), (dXy_valid, "valid"), (Xy_valid_d, "dvalid")],
+            evals_result=dm_results,
+        )
+        np.testing.assert_allclose(
+            dm_results["Train"]["rmse"], qdm_results["Train"]["rmse"]
+        )
+        np.testing.assert_allclose(
+            dm_results["valid"]["rmse"], qdm_results["valid"]["rmse"]
+        )
+        np.testing.assert_allclose(
+            dm_results["dvalid"]["rmse"], qdm_results["valid"]["rmse"]
+        )
+
+    def test_ref_dmatrix(self) -> None:
+        rng = np.random.RandomState(1994)
+        self.run_ref_dmatrix(rng, "hist", True)
+        self.run_ref_dmatrix(rng, "hist", False)
+
+    def test_predict(self) -> None:
+        n_samples, n_features = 16, 2
+        X, y = make_categorical(
+            n_samples, n_features, n_categories=13, onehot=False
+        )
+        Xy = xgb.DMatrix(X, y, enable_categorical=True)
+
+        booster = xgb.train({"tree_method": "hist"}, Xy)
+
+        Xy = xgb.DMatrix(X, y, enable_categorical=True)
+        a = booster.predict(Xy)
+        qXy = xgb.QuantileDMatrix(X, y, enable_categorical=True)
+        b = booster.predict(qXy)
+        np.testing.assert_allclose(a, b)

tests/python/test_with_dask.py

@@ -1382,6 +1382,42 @@ class TestWithDask:
         num_rounds = 30
         self.run_updater_test(client, params, num_rounds, dataset, 'hist')
 
+    def test_quantile_dmatrix(self, client: Client) -> None:
+        X, y = make_categorical(client, 10000, 30, 13)
+
+        Xy = xgb.dask.DaskDMatrix(client, X, y, enable_categorical=True)
+        valid_Xy = xgb.dask.DaskDMatrix(client, X, y, enable_categorical=True)
+
+        output = xgb.dask.train(
+            client,
+            {"tree_method": "hist"},
+            Xy,
+            num_boost_round=10,
+            evals=[(Xy, "Train"), (valid_Xy, "Valid")]
+        )
+        dmatrix_hist = output["history"]
+
+        Xy = xgb.dask.DaskQuantileDMatrix(client, X, y, enable_categorical=True)
+        valid_Xy = xgb.dask.DaskQuantileDMatrix(
+            client, X, y, enable_categorical=True, ref=Xy
+        )
+
+        output = xgb.dask.train(
+            client,
+            {"tree_method": "hist"},
+            Xy,
+            num_boost_round=10,
+            evals=[(Xy, "Train"), (valid_Xy, "Valid")]
+        )
+        quantile_hist = output["history"]
+
+        np.testing.assert_allclose(
+            quantile_hist["Train"]["rmse"], dmatrix_hist["Train"]["rmse"]
+        )
+        np.testing.assert_allclose(
+            quantile_hist["Valid"]["rmse"], dmatrix_hist["Valid"]["rmse"]
+        )
+
     @given(params=exact_parameter_strategy,
            dataset=tm.dataset_strategy)
     @settings(deadline=None, suppress_health_check=suppress, print_blob=True)

tests/python/testing.py

@@ -1,11 +1,11 @@
 from concurrent.futures import ThreadPoolExecutor
 import os
 import multiprocessing
-from typing import Tuple, Union
+from typing import Tuple, Union, List, Sequence, Callable
 import urllib
 import zipfile
 import sys
-from typing import Optional
+from typing import Optional, Dict, Any
 from contextlib import contextmanager
 from io import StringIO
 from xgboost.compat import SKLEARN_INSTALLED, PANDAS_INSTALLED
@@ -180,79 +180,148 @@ def skip_s390x():
 
 
 class IteratorForTest(xgb.core.DataIter):
-    def __init__(self, X, y):
+    def __init__(
+        self,
+        X: Sequence,
+        y: Sequence,
+        w: Optional[Sequence],
+        cache: Optional[str] = "./"
+    ) -> None:
         assert len(X) == len(y)
         self.X = X
         self.y = y
+        self.w = w
         self.it = 0
-        super().__init__("./")
+        super().__init__(cache)
 
-    def next(self, input_data):
+    def next(self, input_data: Callable) -> int:
         if self.it == len(self.X):
             return 0
         # Use copy to make sure the iterator doesn't hold a reference to the data.
-        input_data(data=self.X[self.it].copy(), label=self.y[self.it].copy())
+        input_data(
+            data=self.X[self.it].copy(),
+            label=self.y[self.it].copy(),
+            weight=self.w[self.it].copy() if self.w else None,
+        )
         gc.collect()  # clear up the copy, see if XGBoost access freed memory.
         self.it += 1
         return 1
 
-    def reset(self):
+    def reset(self) -> None:
         self.it = 0
 
-    def as_arrays(self):
+    def as_arrays(
+        self,
+    ) -> Tuple[Union[np.ndarray, sparse.csr_matrix], np.ndarray, np.ndarray]:
+        if isinstance(self.X[0], sparse.csr_matrix):
+            X = sparse.vstack(self.X, format="csr")
+        else:
             X = np.concatenate(self.X, axis=0)
         y = np.concatenate(self.y, axis=0)
-        return X, y
+        w = np.concatenate(self.w, axis=0)
+        return X, y, w
+
+
+def make_batches(
+    n_samples_per_batch: int, n_features: int, n_batches: int, use_cupy: bool = False
+) -> Tuple[List[np.ndarray], List[np.ndarray], List[np.ndarray]]:
+    X = []
+    y = []
+    w = []
+    if use_cupy:
+        import cupy
+
+        rng = cupy.random.RandomState(1994)
+    else:
+        rng = np.random.RandomState(1994)
+    for i in range(n_batches):
+        _X = rng.randn(n_samples_per_batch, n_features)
+        _y = rng.randn(n_samples_per_batch)
+        _w = rng.uniform(low=0, high=1, size=n_samples_per_batch)
+        X.append(_X)
+        y.append(_y)
+        w.append(_w)
+    return X, y, w
+
+
+def make_batches_sparse(
+    n_samples_per_batch: int, n_features: int, n_batches: int, sparsity: float
+) -> Tuple[List[sparse.csr_matrix], List[np.ndarray], List[np.ndarray]]:
+    X = []
+    y = []
+    w = []
+    rng = np.random.RandomState(1994)
+    for i in range(n_batches):
+        _X = sparse.random(
+            n_samples_per_batch,
+            n_features,
+            1.0 - sparsity,
+            format="csr",
+            dtype=np.float32,
+            random_state=rng,
+        )
+        _y = rng.randn(n_samples_per_batch)
+        _w = rng.uniform(low=0, high=1, size=n_samples_per_batch)
+        X.append(_X)
+        y.append(_y)
+        w.append(_w)
+    return X, y, w
 
 
 # Contains a dataset in numpy format as well as the relevant objective and metric
 class TestDataset:
-    def __init__(self, name, get_dataset, objective, metric):
+    def __init__(
+        self, name: str, get_dataset: Callable, objective: str, metric: str
+    ) -> None:
         self.name = name
         self.objective = objective
         self.metric = metric
         self.X, self.y = get_dataset()
-        self.w = None
+        self.w: Optional[np.ndarray] = None
         self.margin: Optional[np.ndarray] = None
 
-    def set_params(self, params_in):
+    def set_params(self, params_in: Dict[str, Any]) -> Dict[str, Any]:
         params_in['objective'] = self.objective
         params_in['eval_metric'] = self.metric
         if self.objective == "multi:softmax":
             params_in["num_class"] = int(np.max(self.y) + 1)
         return params_in
 
-    def get_dmat(self):
+    def get_dmat(self) -> xgb.DMatrix:
         return xgb.DMatrix(
             self.X, self.y, self.w, base_margin=self.margin, enable_categorical=True
         )
 
-    def get_device_dmat(self):
+    def get_device_dmat(self) -> xgb.DeviceQuantileDMatrix:
         w = None if self.w is None else cp.array(self.w)
         X = cp.array(self.X, dtype=np.float32)
         y = cp.array(self.y, dtype=np.float32)
         return xgb.DeviceQuantileDMatrix(X, y, w, base_margin=self.margin)
 
-    def get_external_dmat(self):
+    def get_external_dmat(self) -> xgb.DMatrix:
         n_samples = self.X.shape[0]
         n_batches = 10
         per_batch = n_samples // n_batches + 1
 
         predictor = []
         response = []
+        weight = []
         for i in range(n_batches):
             beg = i * per_batch
             end = min((i + 1) * per_batch, n_samples)
             assert end != beg
             X = self.X[beg: end, ...]
             y = self.y[beg: end]
+            w = self.w[beg: end] if self.w is not None else None
             predictor.append(X)
             response.append(y)
+            if w is not None:
+                weight.append(w)
 
-        it = IteratorForTest(predictor, response)
+        it = IteratorForTest(predictor, response, weight if weight else None)
         return xgb.DMatrix(it)
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         return self.name
 
 

tests/python/with_omp_limit.py

@@ -1,4 +1,3 @@
-import os
 import xgboost as xgb
 from sklearn.datasets import make_classification
 from sklearn.metrics import roc_auc_score