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[OBJ] Add basic objective function and registry

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This commit is contained in:
tqchen 2015-12-30 18:22:15 -08:00
parent 46bcba7173
commit dedd87662b
16 changed files with 965 additions and 836 deletions
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2
dmlc-core

@ -1 +1 @@
Subproject commit 4b951c0378386b7f4d9eae72be2ecd3b9c816afe
Subproject commit 98879773f062e1c5b8a380e002c25672f2b48b13

14
include/xgboost/base.h
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@ -7,6 +7,7 @@
#define XGBOOST_BASE_H_
#include <dmlc/base.h>
#include <dmlc/omp.h>
namespace xgboost {
/*!
@ -17,10 +18,23 @@ typedef uint32_t bst_uint;
/*! \brief float type, used for storing statistics */
typedef float bst_float;
/*! \brief gradient statistics pair usually needed in gradient boosting */
struct bst_gpair {
/*! \brief gradient statistics */
bst_float grad;
/*! \brief second order gradient statistics */
bst_float hess;
bst_gpair() {}
bst_gpair(bst_float grad, bst_float hess) : grad(grad), hess(hess) {}
};
const float rt_eps = 1e-5f;
// min gap between feature values to allow a split happen
const float rt_2eps = rt_eps * 2.0f;
typedef dmlc::omp_ulong omp_ulong;
typedef dmlc::omp_uint bst_omp_uint;
/*!
* \brief define compatible keywords in g++
* Used to support g++-4.6 and g++4.7

5
include/xgboost/data.h
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@ -10,6 +10,7 @@
#include <dmlc/base.h>
#include <dmlc/data.h>
#include <memory>
#include <vector>
#include "./base.h"
namespace xgboost {
@ -261,7 +262,7 @@ class DMatrix {
* \return a Created DMatrix.
*/
static DMatrix* Create(std::unique_ptr<DataSource>&& source,
const char* cache_prefix=nullptr);
const char* cache_prefix = nullptr);
/*!
* \brief Create a DMatrix by loaidng data from parser.
* Parser can later be deleted after the DMatrix i created.
@ -275,7 +276,7 @@ class DMatrix {
* \return A created DMatrix.
*/
static DMatrix* Create(dmlc::Parser<uint32_t>* parser,
const char* cache_prefix=nullptr);
const char* cache_prefix = nullptr);
};
} // namespace xgboost

96
include/xgboost/objective.h Normal file
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@ -0,0 +1,96 @@
/*!
* Copyright 2014 by Contributors
* \file objective.h
* \brief interface of objective function used by xgboost.
* \author Tianqi Chen, Kailong Chen
*/
#ifndef XGBOOST_OBJECTIVE_H_
#define XGBOOST_OBJECTIVE_H_
#include <dmlc/registry.h>
#include <vector>
#include <utility>
#include <string>
#include <functional>
#include "./data.h"
#include "./base.h"
namespace xgboost {
/*! \brief interface of objective function */
class ObjFunction {
public:
/*! \brief virtual destructor */
virtual ~ObjFunction() {}
/*!
* \brief Initialize the objective with the specified parameters.
* \param args arguments to the objective function.
*/
virtual void Init(const std::vector<std::pair<std::string, std::string> >& args) = 0;
/*!
* \brief Get gradient over each of predictions, given existing information.
* \param preds prediction of current round
* \param info information about labels, weights, groups in rank
* \param iteration current iteration number.
* \param out_gpair output of get gradient, saves gradient and second order gradient in
*/
virtual void GetGradient(const std::vector<float>& preds,
const MetaInfo& info,
int iteration,
std::vector<bst_gpair>* out_gpair) = 0;
/*! \return the default evaluation metric for the objective */
virtual const char* DefaultEvalMetric() const = 0;
// the following functions are optional, most of time default implementation is good enough
/*!
* \brief transform prediction values, this is only called when Prediction is called
* \param io_preds prediction values, saves to this vector as well
*/
virtual void PredTransform(std::vector<float> *io_preds) {}
/*!
* \brief transform prediction values, this is only called when Eval is called,
* usually it redirect to PredTransform
* \param io_preds prediction values, saves to this vector as well
*/
virtual void EvalTransform(std::vector<float> *io_preds) {
this->PredTransform(io_preds);
}
/*!
* \brief transform probability value back to margin
* this is used to transform user-set base_score back to margin
* used by gradient boosting
* \return transformed value
*/
virtual float ProbToMargin(float base_score) const {
return base_score;
}
/*!
* \brief Create an objective function according to name.
* \param name Name of the objective.
*/
static ObjFunction* Create(const char* name);
};
/*!
* \brief Registry entry for DataIterator factory functions.
*/
struct ObjFunctionReg
: public dmlc::FunctionRegEntryBase<ObjFunctionReg,
std::function<ObjFunction* ()> > {
};
/*!
* \brief Macro to register objective
*
* \code
* // example of registering a objective
* XGBOOST_REGISTER_OBJECTIVE(LinearRegression, "reg:linear")
* .describe("Linear regression objective")
* .set_body([]() {
* return new RegLossObj(LossType::kLinearSquare);
* });
* \endcode
*/
#define XGBOOST_REGISTER_OBJECTIVE(UniqueId, Name) \
static ::xgboost::ObjFunctionReg & __make_ ## ObjFunctionReg ## _ ## UniqueId ## __ = \
::dmlc::Registry< ::xgboost::ObjFunctionReg>::Get()->__REGISTER__(#Name)
} // namespace xgboost
#endif // XGBOOST_OBJECTIVE_H_

80
old_src/learner/helper_utils.h
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@ -1,80 +0,0 @@
/*!
* Copyright 2014 by Contributors
* \file helper_utils.h
* \brief useful helper functions
* \author Tianqi Chen, Kailong Chen
*/
#ifndef XGBOOST_LEARNER_HELPER_UTILS_H_
#define XGBOOST_LEARNER_HELPER_UTILS_H_
#include <utility>
#include <vector>
#include <cmath>
#include <algorithm>
namespace xgboost {
namespace learner {
// simple helper function to do softmax
inline static void Softmax(std::vector<float>* p_rec) {
std::vector<float> &rec = *p_rec;
float wmax = rec[0];
for (size_t i = 1; i < rec.size(); ++i) {
wmax = std::max(rec[i], wmax);
}
double wsum = 0.0f;
for (size_t i = 0; i < rec.size(); ++i) {
rec[i] = std::exp(rec[i]-wmax);
wsum += rec[i];
}
for (size_t i = 0; i < rec.size(); ++i) {
rec[i] /= static_cast<float>(wsum);
}
}
inline static int FindMaxIndex(const float *rec, size_t size) {
size_t mxid = 0;
for (size_t i = 1; i < size; ++i) {
if (rec[i] > rec[mxid]) {
mxid = i;
}
}
return static_cast<int>(mxid);
}
// simple helper function to do softmax
inline static int FindMaxIndex(const std::vector<float>& rec) {
return FindMaxIndex(BeginPtr(rec), rec.size());
}
// perform numerically safe logsum
inline float LogSum(float x, float y) {
if (x < y) {
return y + std::log(std::exp(x - y) + 1.0f);
} else {
return x + std::log(std::exp(y - x) + 1.0f);
}
}
// numerically safe logsum
inline float LogSum(const float *rec, size_t size) {
float mx = rec[0];
for (size_t i = 1; i < size; ++i) {
mx = std::max(mx, rec[i]);
}
float sum = 0.0f;
for (size_t i = 0; i < size; ++i) {
sum += std::exp(rec[i] - mx);
}
return mx + std::log(sum);
}
// comparator functions for sorting pairs in descending order
inline static bool CmpFirst(const std::pair<float, unsigned> &a,
const std::pair<float, unsigned> &b) {
return a.first > b.first;
}
inline static bool CmpSecond(const std::pair<float, unsigned> &a,
const std::pair<float, unsigned> &b) {
return a.second > b.second;
}
} // namespace learner
} // namespace xgboost
#endif // XGBOOST_LEARNER_HELPER_UTILS_H_

642
old_src/learner/objective-inl.hpp
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@ -1,642 +0,0 @@
/*!
* Copyright 2014 by Contributors
* \file objective-inl.hpp
* \brief objective function implementations
* \author Tianqi Chen, Kailong Chen
*/
#ifndef XGBOOST_LEARNER_OBJECTIVE_INL_HPP_
#define XGBOOST_LEARNER_OBJECTIVE_INL_HPP_
#include <vector>
#include <algorithm>
#include <utility>
#include <cmath>
#include <functional>
#include "../data.h"
#include "./objective.h"
#include "./helper_utils.h"
#include "../utils/random.h"
#include "../utils/omp.h"
namespace xgboost {
namespace learner {
/*! \brief defines functions to calculate some commonly used functions */
struct LossType {
/*! \brief indicate which type we are using */
int loss_type;
// list of constants
static const int kLinearSquare = 0;
static const int kLogisticNeglik = 1;
static const int kLogisticClassify = 2;
static const int kLogisticRaw = 3;
/*!
* \brief transform the linear sum to prediction
* \param x linear sum of boosting ensemble
* \return transformed prediction
*/
inline float PredTransform(float x) const {
switch (loss_type) {
case kLogisticRaw:
case kLinearSquare: return x;
case kLogisticClassify:
case kLogisticNeglik: return 1.0f / (1.0f + std::exp(-x));
default: utils::Error("unknown loss_type"); return 0.0f;
}
}
/*!
* \brief check if label range is valid
*/
inline bool CheckLabel(float x) const {
if (loss_type != kLinearSquare) {
return x >= 0.0f && x <= 1.0f;
}
return true;
}
/*!
* \brief error message displayed when check label fail
*/
inline const char * CheckLabelErrorMsg(void) const {
if (loss_type != kLinearSquare) {
return "label must be in [0,1] for logistic regression";
} else {
return "";
}
}
/*!
* \brief calculate first order gradient of loss, given transformed prediction
* \param predt transformed prediction
* \param label true label
* \return first order gradient
*/
inline float FirstOrderGradient(float predt, float label) const {
switch (loss_type) {
case kLinearSquare: return predt - label;
case kLogisticRaw: predt = 1.0f / (1.0f + std::exp(-predt));
case kLogisticClassify:
case kLogisticNeglik: return predt - label;
default: utils::Error("unknown loss_type"); return 0.0f;
}
}
/*!
* \brief calculate second order gradient of loss, given transformed prediction
* \param predt transformed prediction
* \param label true label
* \return second order gradient
*/
inline float SecondOrderGradient(float predt, float label) const {
// cap second order gradient to positive value
const float eps = 1e-16f;
switch (loss_type) {
case kLinearSquare: return 1.0f;
case kLogisticRaw: predt = 1.0f / (1.0f + std::exp(-predt));
case kLogisticClassify:
case kLogisticNeglik: return std::max(predt * (1.0f - predt), eps);
default: utils::Error("unknown loss_type"); return 0.0f;
}
}
/*!
* \brief transform probability value back to margin
*/
inline float ProbToMargin(float base_score) const {
if (loss_type == kLogisticRaw ||
loss_type == kLogisticClassify ||
loss_type == kLogisticNeglik ) {
utils::Check(base_score > 0.0f && base_score < 1.0f,
"base_score must be in (0,1) for logistic loss");
base_score = -std::log(1.0f / base_score - 1.0f);
}
return base_score;
}
/*! \brief get default evaluation metric for the objective */
inline const char *DefaultEvalMetric(void) const {
if (loss_type == kLogisticClassify) return "error";
if (loss_type == kLogisticRaw) return "auc";
return "rmse";
}
};
/*! \brief objective function that only need to */
class RegLossObj : public IObjFunction {
public:
explicit RegLossObj(int loss_type) {
loss.loss_type = loss_type;
scale_pos_weight = 1.0f;
}
virtual ~RegLossObj(void) {}
virtual void SetParam(const char *name, const char *val) {
using namespace std;
if (!strcmp("scale_pos_weight", name)) {
scale_pos_weight = static_cast<float>(atof(val));
}
}
virtual void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) {
utils::Check(info.labels.size() != 0, "label set cannot be empty");
utils::Check(preds.size() % info.labels.size() == 0,
"labels are not correctly provided");
std::vector<bst_gpair> &gpair = *out_gpair;
gpair.resize(preds.size());
// check if label in range
bool label_correct = true;
// start calculating gradient
const unsigned nstep = static_cast<unsigned>(info.labels.size());
const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size());
#pragma omp parallel for schedule(static)
for (bst_omp_uint i = 0; i < ndata; ++i) {
const unsigned j = i % nstep;
float p = loss.PredTransform(preds[i]);
float w = info.GetWeight(j);
if (info.labels[j] == 1.0f) w *= scale_pos_weight;
if (!loss.CheckLabel(info.labels[j])) label_correct = false;
gpair[i] = bst_gpair(loss.FirstOrderGradient(p, info.labels[j]) * w,
loss.SecondOrderGradient(p, info.labels[j]) * w);
}
utils::Check(label_correct, loss.CheckLabelErrorMsg());
}
virtual const char* DefaultEvalMetric(void) const {
return loss.DefaultEvalMetric();
}
virtual void PredTransform(std::vector<float> *io_preds) {
std::vector<float> &preds = *io_preds;
const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size());
#pragma omp parallel for schedule(static)
for (bst_omp_uint j = 0; j < ndata; ++j) {
preds[j] = loss.PredTransform(preds[j]);
}
}
virtual float ProbToMargin(float base_score) const {
return loss.ProbToMargin(base_score);
}
protected:
float scale_pos_weight;
LossType loss;
};
// poisson regression for count
class PoissonRegression : public IObjFunction {
public:
PoissonRegression(void) {
max_delta_step = 0.0f;
}
virtual ~PoissonRegression(void) {}
virtual void SetParam(const char *name, const char *val) {
using namespace std;
if (!strcmp("max_delta_step", name)) {
max_delta_step = static_cast<float>(atof(val));
}
}
virtual void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) {
utils::Check(max_delta_step != 0.0f,
"PoissonRegression: need to set max_delta_step");
utils::Check(info.labels.size() != 0, "label set cannot be empty");
utils::Check(preds.size() == info.labels.size(),
"labels are not correctly provided");
std::vector<bst_gpair> &gpair = *out_gpair;
gpair.resize(preds.size());
// check if label in range
bool label_correct = true;
// start calculating gradient
const long ndata = static_cast<bst_omp_uint>(preds.size()); // NOLINT(*)
#pragma omp parallel for schedule(static)
for (long i = 0; i < ndata; ++i) { // NOLINT(*)
float p = preds[i];
float w = info.GetWeight(i);
float y = info.labels[i];
if (y >= 0.0f) {
gpair[i] = bst_gpair((std::exp(p) - y) * w,
std::exp(p + max_delta_step) * w);
} else {
label_correct = false;
}
}
utils::Check(label_correct,
"PoissonRegression: label must be nonnegative");
}
virtual void PredTransform(std::vector<float> *io_preds) {
std::vector<float> &preds = *io_preds;
const long ndata = static_cast<long>(preds.size()); // NOLINT(*)
#pragma omp parallel for schedule(static)
for (long j = 0; j < ndata; ++j) { // NOLINT(*)
preds[j] = std::exp(preds[j]);
}
}
virtual void EvalTransform(std::vector<float> *io_preds) {
PredTransform(io_preds);
}
virtual float ProbToMargin(float base_score) const {
return std::log(base_score);
}
virtual const char* DefaultEvalMetric(void) const {
return "poisson-nloglik";
}
private:
float max_delta_step;
};
// softmax multi-class classification
class SoftmaxMultiClassObj : public IObjFunction {
public:
explicit SoftmaxMultiClassObj(int output_prob)
: output_prob(output_prob) {
nclass = 0;
}
virtual ~SoftmaxMultiClassObj(void) {}
virtual void SetParam(const char *name, const char *val) {
using namespace std;
if (!strcmp( "num_class", name )) nclass = atoi(val);
}
virtual void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) {
utils::Check(nclass != 0, "must set num_class to use softmax");
utils::Check(info.labels.size() != 0, "label set cannot be empty");
utils::Check(preds.size() % (static_cast<size_t>(nclass) * info.labels.size()) == 0,
"SoftmaxMultiClassObj: label size and pred size does not match");
std::vector<bst_gpair> &gpair = *out_gpair;
gpair.resize(preds.size());
const unsigned nstep = static_cast<unsigned>(info.labels.size() * nclass);
const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size() / nclass);
int label_error = 0;
#pragma omp parallel
{
std::vector<float> rec(nclass);
#pragma omp for schedule(static)
for (bst_omp_uint i = 0; i < ndata; ++i) {
for (int k = 0; k < nclass; ++k) {
rec[k] = preds[i * nclass + k];
}
Softmax(&rec);
const unsigned j = i % nstep;
int label = static_cast<int>(info.labels[j]);
if (label < 0 || label >= nclass) {
label_error = label; label = 0;
}
const float wt = info.GetWeight(j);
for (int k = 0; k < nclass; ++k) {
float p = rec[k];
const float h = 2.0f * p * (1.0f - p) * wt;
if (label == k) {
gpair[i * nclass + k] = bst_gpair((p - 1.0f) * wt, h);
} else {
gpair[i * nclass + k] = bst_gpair(p* wt, h);
}
}
}
}
utils::Check(label_error >= 0 && label_error < nclass,
"SoftmaxMultiClassObj: label must be in [0, num_class),"\
" num_class=%d but found %d in label", nclass, label_error);
}
virtual void PredTransform(std::vector<float> *io_preds) {
this->Transform(io_preds, output_prob);
}
virtual void EvalTransform(std::vector<float> *io_preds) {
this->Transform(io_preds, 1);
}
virtual const char* DefaultEvalMetric(void) const {
return "merror";
}
private:
inline void Transform(std::vector<float> *io_preds, int prob) {
utils::Check(nclass != 0, "must set num_class to use softmax");
std::vector<float> &preds = *io_preds;
std::vector<float> tmp;
const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size()/nclass);
if (prob == 0) tmp.resize(ndata);
#pragma omp parallel
{
std::vector<float> rec(nclass);
#pragma omp for schedule(static)
for (bst_omp_uint j = 0; j < ndata; ++j) {
for (int k = 0; k < nclass; ++k) {
rec[k] = preds[j * nclass + k];
}
if (prob == 0) {
tmp[j] = static_cast<float>(FindMaxIndex(rec));
} else {
Softmax(&rec);
for (int k = 0; k < nclass; ++k) {
preds[j * nclass + k] = rec[k];
}
}
}
}
if (prob == 0) preds = tmp;
}
// data field
int nclass;
int output_prob;
};
/*! \brief objective for lambda rank */
class LambdaRankObj : public IObjFunction {
public:
LambdaRankObj(void) {
loss.loss_type = LossType::kLogisticRaw;
fix_list_weight = 0.0f;
num_pairsample = 1;
}
virtual ~LambdaRankObj(void) {}
virtual void SetParam(const char *name, const char *val) {
using namespace std;
if (!strcmp( "loss_type", name )) loss.loss_type = atoi(val);
if (!strcmp( "fix_list_weight", name)) fix_list_weight = static_cast<float>(atof(val));
if (!strcmp( "num_pairsample", name)) num_pairsample = atoi(val);
}
virtual void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) {
utils::Check(preds.size() == info.labels.size(), "label size predict size not match");
std::vector<bst_gpair> &gpair = *out_gpair;
gpair.resize(preds.size());
// quick consistency when group is not available
std::vector<unsigned> tgptr(2, 0); tgptr[1] = static_cast<unsigned>(info.labels.size());
const std::vector<unsigned> &gptr = info.group_ptr.size() == 0 ? tgptr : info.group_ptr;
utils::Check(gptr.size() != 0 && gptr.back() == info.labels.size(),
"group structure not consistent with #rows");
const bst_omp_uint ngroup = static_cast<bst_omp_uint>(gptr.size() - 1);
#pragma omp parallel
{
// parall construct, declare random number generator here, so that each
// thread use its own random number generator, seed by thread id and current iteration
random::Random rnd; rnd.Seed(iter* 1111 + omp_get_thread_num());
std::vector<LambdaPair> pairs;
std::vector<ListEntry> lst;
std::vector< std::pair<float, unsigned> > rec;
#pragma omp for schedule(static)
for (bst_omp_uint k = 0; k < ngroup; ++k) {
lst.clear(); pairs.clear();
for (unsigned j = gptr[k]; j < gptr[k+1]; ++j) {
lst.push_back(ListEntry(preds[j], info.labels[j], j));
gpair[j] = bst_gpair(0.0f, 0.0f);
}
std::sort(lst.begin(), lst.end(), ListEntry::CmpPred);
rec.resize(lst.size());
for (unsigned i = 0; i < lst.size(); ++i) {
rec[i] = std::make_pair(lst[i].label, i);
}
std::sort(rec.begin(), rec.end(), CmpFirst);
// enumerate buckets with same label, for each item in the lst, grab another sample randomly
for (unsigned i = 0; i < rec.size(); ) {
unsigned j = i + 1;
while (j < rec.size() && rec[j].first == rec[i].first) ++j;
// bucket in [i,j), get a sample outside bucket
unsigned nleft = i, nright = static_cast<unsigned>(rec.size() - j);
if (nleft + nright != 0) {
int nsample = num_pairsample;
while (nsample --) {
for (unsigned pid = i; pid < j; ++pid) {
unsigned ridx = static_cast<unsigned>(rnd.RandDouble() * (nleft+nright));
if (ridx < nleft) {
pairs.push_back(LambdaPair(rec[ridx].second, rec[pid].second));
} else {
pairs.push_back(LambdaPair(rec[pid].second, rec[ridx+j-i].second));
}
}
}
}
i = j;
}
// get lambda weight for the pairs
this->GetLambdaWeight(lst, &pairs);
// rescale each gradient and hessian so that the lst have constant weighted
float scale = 1.0f / num_pairsample;
if (fix_list_weight != 0.0f) {
scale *= fix_list_weight / (gptr[k+1] - gptr[k]);
}
for (size_t i = 0; i < pairs.size(); ++i) {
const ListEntry &pos = lst[pairs[i].pos_index];
const ListEntry &neg = lst[pairs[i].neg_index];
const float w = pairs[i].weight * scale;
float p = loss.PredTransform(pos.pred - neg.pred);
float g = loss.FirstOrderGradient(p, 1.0f);
float h = loss.SecondOrderGradient(p, 1.0f);
// accumulate gradient and hessian in both pid, and nid
gpair[pos.rindex].grad += g * w;
gpair[pos.rindex].hess += 2.0f * w * h;
gpair[neg.rindex].grad -= g * w;
gpair[neg.rindex].hess += 2.0f * w * h;
}
}
}
}
virtual const char* DefaultEvalMetric(void) const {
return "map";
}
protected:
/*! \brief helper information in a list */
struct ListEntry {
/*! \brief the predict score we in the data */
float pred;
/*! \brief the actual label of the entry */
float label;
/*! \brief row index in the data matrix */
unsigned rindex;
// constructor
ListEntry(float pred, float label, unsigned rindex)
: pred(pred), label(label), rindex(rindex) {}
// comparator by prediction
inline static bool CmpPred(const ListEntry &a, const ListEntry &b) {
return a.pred > b.pred;
}
// comparator by label
inline static bool CmpLabel(const ListEntry &a, const ListEntry &b) {
return a.label > b.label;
}
};
/*! \brief a pair in the lambda rank */
struct LambdaPair {
/*! \brief positive index: this is a position in the list */
unsigned pos_index;
/*! \brief negative index: this is a position in the list */
unsigned neg_index;
/*! \brief weight to be filled in */
float weight;
// constructor
LambdaPair(unsigned pos_index, unsigned neg_index)
: pos_index(pos_index), neg_index(neg_index), weight(1.0f) {}
};
/*!
* \brief get lambda weight for existing pairs
* \param list a list that is sorted by pred score
* \param io_pairs record of pairs, containing the pairs to fill in weights
*/
virtual void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) = 0;
private:
// loss function
LossType loss;
// number of samples peformed for each instance
int num_pairsample;
// fix weight of each elements in list
float fix_list_weight;
};
class PairwiseRankObj: public LambdaRankObj{
public:
virtual ~PairwiseRankObj(void) {}
protected:
virtual void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) {}
};
// beta version: NDCG lambda rank
class LambdaRankObjNDCG : public LambdaRankObj {
public:
virtual ~LambdaRankObjNDCG(void) {}
protected:
virtual void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) {
std::vector<LambdaPair> &pairs = *io_pairs;
float IDCG;
{
std::vector<float> labels(sorted_list.size());
for (size_t i = 0; i < sorted_list.size(); ++i) {
labels[i] = sorted_list[i].label;
}
std::sort(labels.begin(), labels.end(), std::greater<float>());
IDCG = CalcDCG(labels);
}
if (IDCG == 0.0) {
for (size_t i = 0; i < pairs.size(); ++i) {
pairs[i].weight = 0.0f;
}
} else {
IDCG = 1.0f / IDCG;
for (size_t i = 0; i < pairs.size(); ++i) {
unsigned pos_idx = pairs[i].pos_index;
unsigned neg_idx = pairs[i].neg_index;
float pos_loginv = 1.0f / std::log(pos_idx + 2.0f);
float neg_loginv = 1.0f / std::log(neg_idx + 2.0f);
int pos_label = static_cast<int>(sorted_list[pos_idx].label);
int neg_label = static_cast<int>(sorted_list[neg_idx].label);
float original =
((1 << pos_label) - 1) * pos_loginv + ((1 << neg_label) - 1) * neg_loginv;
float changed =
((1 << neg_label) - 1) * pos_loginv + ((1 << pos_label) - 1) * neg_loginv;
float delta = (original - changed) * IDCG;
if (delta < 0.0f) delta = - delta;
pairs[i].weight = delta;
}
}
}
inline static float CalcDCG(const std::vector<float> &labels) {
double sumdcg = 0.0;
for (size_t i = 0; i < labels.size(); ++i) {
const unsigned rel = static_cast<unsigned>(labels[i]);
if (rel != 0) {
sumdcg += ((1 << rel) - 1) / std::log(static_cast<float>(i + 2));
}
}
return static_cast<float>(sumdcg);
}
};
class LambdaRankObjMAP : public LambdaRankObj {
public:
virtual ~LambdaRankObjMAP(void) {}
protected:
struct MAPStats {
/*! \brief the accumulated precision */
float ap_acc;
/*!
* \brief the accumulated precision,
* assuming a positive instance is missing
*/
float ap_acc_miss;
/*!
* \brief the accumulated precision,
* assuming that one more positive instance is inserted ahead
*/
float ap_acc_add;
/* \brief the accumulated positive instance count */
float hits;
MAPStats(void) {}
MAPStats(float ap_acc, float ap_acc_miss, float ap_acc_add, float hits)
: ap_acc(ap_acc), ap_acc_miss(ap_acc_miss), ap_acc_add(ap_acc_add), hits(hits) {}
};
/*!
* \brief Obtain the delta MAP if trying to switch the positions of instances in index1 or index2
* in sorted triples
* \param sorted_list the list containing entry information
* \param index1,index2 the instances switched
* \param map_stats a vector containing the accumulated precisions for each position in a list
*/
inline float GetLambdaMAP(const std::vector<ListEntry> &sorted_list,
int index1, int index2,
std::vector<MAPStats> *p_map_stats) {
std::vector<MAPStats> &map_stats = *p_map_stats;
if (index1 == index2 || map_stats[map_stats.size() - 1].hits == 0) {
return 0.0f;
}
if (index1 > index2) std::swap(index1, index2);
float original = map_stats[index2].ap_acc;
if (index1 != 0) original -= map_stats[index1 - 1].ap_acc;
float changed = 0;
float label1 = sorted_list[index1].label > 0.0f ? 1.0f : 0.0f;
float label2 = sorted_list[index2].label > 0.0f ? 1.0f : 0.0f;
if (label1 == label2) {
return 0.0;
} else if (label1 < label2) {
changed += map_stats[index2 - 1].ap_acc_add - map_stats[index1].ap_acc_add;
changed += (map_stats[index1].hits + 1.0f) / (index1 + 1);
} else {
changed += map_stats[index2 - 1].ap_acc_miss - map_stats[index1].ap_acc_miss;
changed += map_stats[index2].hits / (index2 + 1);
}
float ans = (changed - original) / (map_stats[map_stats.size() - 1].hits);
if (ans < 0) ans = -ans;
return ans;
}
/*
* \brief obtain preprocessing results for calculating delta MAP
* \param sorted_list the list containing entry information
* \param map_stats a vector containing the accumulated precisions for each position in a list
*/
inline void GetMAPStats(const std::vector<ListEntry> &sorted_list,
std::vector<MAPStats> *p_map_acc) {
std::vector<MAPStats> &map_acc = *p_map_acc;
map_acc.resize(sorted_list.size());
float hit = 0, acc1 = 0, acc2 = 0, acc3 = 0;
for (size_t i = 1; i <= sorted_list.size(); ++i) {
if (sorted_list[i - 1].label > 0.0f) {
hit++;
acc1 += hit / i;
acc2 += (hit - 1) / i;
acc3 += (hit + 1) / i;
}
map_acc[i - 1] = MAPStats(acc1, acc2, acc3, hit);
}
}
virtual void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) {
std::vector<LambdaPair> &pairs = *io_pairs;
std::vector<MAPStats> map_stats;
GetMAPStats(sorted_list, &map_stats);
for (size_t i = 0; i < pairs.size(); ++i) {
pairs[i].weight =
GetLambdaMAP(sorted_list, pairs[i].pos_index,
pairs[i].neg_index, &map_stats);
}
}
};
} // namespace learner
} // namespace xgboost
#endif // XGBOOST_LEARNER_OBJECTIVE_INL_HPP_

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/*!
* Copyright 2014 by Contributors
* \file objective.h
* \brief interface of objective function used for gradient boosting
* \author Tianqi Chen, Kailong Chen
*/
#ifndef XGBOOST_LEARNER_OBJECTIVE_H_
#define XGBOOST_LEARNER_OBJECTIVE_H_
#include <vector>
#include "./dmatrix.h"
namespace xgboost {
namespace learner {
/*! \brief interface of objective function */
class IObjFunction{
public:
/*! \brief virtual destructor */
virtual ~IObjFunction(void) {}
/*!
* \brief set parameters from outside
* \param name name of the parameter
* \param val value of the parameter
*/
virtual void SetParam(const char *name, const char *val) = 0;
/*!
* \brief get gradient over each of predictions, given existing information
* \param preds prediction of current round
* \param info information about labels, weights, groups in rank
* \param iter current iteration number
* \param out_gpair output of get gradient, saves gradient and second order gradient in
*/
virtual void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) = 0;
/*! \return the default evaluation metric for the objective */
virtual const char* DefaultEvalMetric(void) const = 0;
// the following functions are optional, most of time default implementation is good enough
/*!
* \brief transform prediction values, this is only called when Prediction is called
* \param io_preds prediction values, saves to this vector as well
*/
virtual void PredTransform(std::vector<float> *io_preds) {}
/*!
* \brief transform prediction values, this is only called when Eval is called,
* usually it redirect to PredTransform
* \param io_preds prediction values, saves to this vector as well
*/
virtual void EvalTransform(std::vector<float> *io_preds) {
this->PredTransform(io_preds);
}
/*!
* \brief transform probability value back to margin
* this is used to transform user-set base_score back to margin
* used by gradient boosting
* \return transformed value
*/
virtual float ProbToMargin(float base_score) const {
return base_score;
}
};
} // namespace learner
} // namespace xgboost
// this are implementations of objective functions
#include "objective-inl.hpp"
// factory function
namespace xgboost {
namespace learner {
/*! \brief factory function to create objective function by name */
inline IObjFunction* CreateObjFunction(const char *name) {
using namespace std;
if (!strcmp("reg:linear", name)) return new RegLossObj(LossType::kLinearSquare);
if (!strcmp("reg:logistic", name)) return new RegLossObj(LossType::kLogisticNeglik);
if (!strcmp("binary:logistic", name)) return new RegLossObj(LossType::kLogisticClassify);
if (!strcmp("binary:logitraw", name)) return new RegLossObj(LossType::kLogisticRaw);
if (!strcmp("count:poisson", name)) return new PoissonRegression();
if (!strcmp("multi:softmax", name)) return new SoftmaxMultiClassObj(0);
if (!strcmp("multi:softprob", name)) return new SoftmaxMultiClassObj(1);
if (!strcmp("rank:pairwise", name )) return new PairwiseRankObj();
if (!strcmp("rank:ndcg", name)) return new LambdaRankObjNDCG();
if (!strcmp("rank:map", name)) return new LambdaRankObjMAP();
utils::Error("unknown objective function type: %s", name);
return NULL;
}
} // namespace learner
} // namespace xgboost
#endif // XGBOOST_LEARNER_OBJECTIVE_H_

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#include <xgboost/c_api.h>

107
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/*!
* Copyright 2015 by Contributors
* \file math.h
* \brief additional math utils
* \author Tianqi Chen
*/
#ifndef XGBOOST_COMMON_MATH_H_
#define XGBOOST_COMMON_MATH_H_
#include <utility>
#include <vector>
#include <cmath>
#include <algorithm>
namespace xgboost {
namespace common {
/*!
* \brief calculate the sigmoid of the input.
* \param x input parameter
* \return the transformed value.
*/
inline float Sigmoid(float x) {
return 1.0f / (1.0f + std::exp(-x));
}
/*!
* \brief do inplace softmax transformaton on p_rec
* \param p_rec the input/output vector of the values.
*/
inline void Softmax(std::vector<float>* p_rec) {
std::vector<float> &rec = *p_rec;
float wmax = rec[0];
for (size_t i = 1; i < rec.size(); ++i) {
wmax = std::max(rec[i], wmax);
}
double wsum = 0.0f;
for (size_t i = 0; i < rec.size(); ++i) {
rec[i] = std::exp(rec[i] - wmax);
wsum += rec[i];
}
for (size_t i = 0; i < rec.size(); ++i) {
rec[i] /= static_cast<float>(wsum);
}
}
/*!
* \brief Find the maximum iterator within the iterators
* \param begin The begining iterator.
* \param end The end iterator.
* \return the iterator point to the maximum value.
* \tparam Iterator The type of the iterator.
*/
template<typename Iterator>
inline Iterator FindMaxIndex(Iterator begin, Iterator end) {
Iterator maxit = begin;
for (Iterator it = begin; it != end; ++it) {
if (*it > *maxit) maxit = it;
}
return maxit;
}
/*!
* \brief perform numerically safe logsum
* \param x left input operand
* \param y right input operand
* \return log(exp(x) + exp(y))
*/
inline float LogSum(float x, float y) {
if (x < y) {
return y + std::log(std::exp(x - y) + 1.0f);
} else {
return x + std::log(std::exp(y - x) + 1.0f);
}
}
/*!
* \brief perform numerically safe logsum
* \param begin The begining iterator.
* \param end The end iterator.
* \return the iterator point to the maximum value.
* \tparam Iterator The type of the iterator.
*/
template<typename Iterator>
inline float LogSum(Iterator begin, Iterator end) {
float mx = *begin;
for (Iterator it = begin; it != end; ++it) {
mx = std::max(mx, *it);
}
float sum = 0.0f;
for (Iterator it = begin; it != end; ++it) {
sum += std::exp(*it - mx);
}
return mx + std::log(sum);
}
// comparator functions for sorting pairs in descending order
inline static bool CmpFirst(const std::pair<float, unsigned> &a,
const std::pair<float, unsigned> &b) {
return a.first > b.first;
}
inline static bool CmpSecond(const std::pair<float, unsigned> &a,
const std::pair<float, unsigned> &b) {
return a.second > b.second;
}
} // namespace common
} // namespace xgboost
#endif // XGBOOST_COMMON_MATH_H_

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/*!
* Copyright 2015 by Contributors
* \file random.h
* \brief Utility related to random.
* \author Tianqi Chen
*/
#ifndef XGBOOST_COMMON_RANDOM_H_
#define XGBOOST_COMMON_RANDOM_H_
#include <random>
namespace xgboost {
namespace common {
/*!
* \brief Random Engine
*/
typedef std::mt19937 RandomEngine;
/*!
* \brief global singleton of a random engine.
* Only use this engine when necessary, not thread-safe.
*/
static RandomEngine* GlobalRandom();
} // namespace common
} // namespace xgboost
#endif // XGBOOST_COMMON_RANDOM_H_

31
src/data/data.cc
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@ -2,8 +2,8 @@
* Copyright 2015 by Contributors
* \file data.cc
*/
#include <cstring>
#include <xgboost/data.h>
#include <cstring>
namespace xgboost {
// implementation of inline functions
@ -35,7 +35,8 @@ void MetaInfo::LoadBinary(dmlc::Stream *fi) {
CHECK_EQ(version, kVersion) << "MetaInfo: invalid format";
CHECK(fi->Read(&num_row, sizeof(num_row)) == sizeof(num_row)) << "MetaInfo: invalid format";
CHECK(fi->Read(&num_col, sizeof(num_col)) == sizeof(num_col)) << "MetaInfo: invalid format";
CHECK(fi->Read(&num_nonzero, sizeof(num_nonzero)) == sizeof(num_nonzero)) << "MetaInfo: invalid format";
CHECK(fi->Read(&num_nonzero, sizeof(num_nonzero)) == sizeof(num_nonzero))
<< "MetaInfo: invalid format";
CHECK(fi->Read(&labels)) << "MetaInfo: invalid format";
CHECK(fi->Read(&group_ptr)) << "MetaInfo: invalid format";
CHECK(fi->Read(&weights)) << "MetaInfo: invalid format";
@ -45,19 +46,19 @@ void MetaInfo::LoadBinary(dmlc::Stream *fi) {
// macro to dispatch according to specified pointer types
#define DISPATCH_CONST_PTR(dtype, old_ptr, cast_ptr, proc) \
switch(dtype) { \
case kFloat32: { \
const float* cast_ptr = reinterpret_cast<const float*>(old_ptr); proc; break; \
} \
case kDouble: { \
const double* cast_ptr = reinterpret_cast<const double*>(old_ptr); proc; break; \
} \
case kUInt32: { \
const uint32_t* cast_ptr = reinterpret_cast<const uint32_t*>(old_ptr); proc; break; \
} \
case kUInt64: { \
const uint64_t* cast_ptr = reinterpret_cast<const uint64_t*>(old_ptr); proc; break; \
} \
switch (dtype) { \
case kFloat32: { \
const float* cast_ptr = reinterpret_cast<const float*>(old_ptr); proc; break; \
} \
case kDouble: { \
const double* cast_ptr = reinterpret_cast<const double*>(old_ptr); proc; break; \
} \
case kUInt32: { \
const uint32_t* cast_ptr = reinterpret_cast<const uint32_t*>(old_ptr); proc; break; \
} \
case kUInt64: { \
const uint64_t* cast_ptr = reinterpret_cast<const uint64_t*>(old_ptr); proc; break; \
} \
default: LOG(FATAL) << "Unknown data type" << dtype; \
} \

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src/data/simple_csr_source.h
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@ -5,13 +5,14 @@
* This is an in-memory data structure that holds the data in row oriented format.
* \author Tianqi Chen
*/
#ifndef XGBOOST_DATA_SIMPLE_CSR_ROW_ITER_H_
#define XGBOOST_DATA_SIMPLE_CSR_ROW_ITER_H_
#ifndef XGBOOST_DATA_SIMPLE_CSR_SOURCE_H_
#define XGBOOST_DATA_SIMPLE_CSR_SOURCE_H_
#include <vector>
#include <algorithm>
#include <xgboost/base.h>
#include <xgboost/data.h>
#include <vector>
#include <algorithm>
namespace xgboost {
/*! \brief namespace of internal data structures*/
@ -78,4 +79,4 @@ class SimpleCSRSource : public DataSource {
};
} // namespace data
} // namespace xgboost
#endif // XGBOOST_DATA_SIMPLE_CSR_ROW_ITER_H_
#endif // XGBOOST_DATA_SIMPLE_CSR_SOURCE_H_

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/*!
* Copyright 2015 by Contributors
* \file multi_class.cc
* \brief Definition of multi-class classification objectives.
* \author Tianqi Chen
*/
#include <dmlc/logging.h>
#include <dmlc/omp.h>
#include <xgboost/objective.h>
#include <vector>
#include <algorithm>
#include <utility>
#include "../common/math.h"
namespace xgboost {
namespace obj {
struct SoftmaxMultiClassParam : public dmlc::Parameter<SoftmaxMultiClassParam> {
int num_class;
// declare parameters
DMLC_DECLARE_PARAMETER(SoftmaxMultiClassParam) {
DMLC_DECLARE_FIELD(num_class).set_lower_bound(1)
.describe("Number of output class in the multi-class classification.");
}
};
class SoftmaxMultiClassObj : public ObjFunction {
public:
explicit SoftmaxMultiClassObj(bool output_prob)
: output_prob_(output_prob) {
}
void Init(const std::vector<std::pair<std::string, std::string> >& args) override {
param_.Init(args);
}
void GetGradient(const std::vector<float>& preds,
const MetaInfo& info,
int iter,
std::vector<bst_gpair>* out_gpair) override {
CHECK_NE(info.labels.size(), 0) << "label set cannot be empty";
CHECK(preds.size() == (static_cast<size_t>(param_.num_class) * info.labels.size()))
<< "SoftmaxMultiClassObj: label size and pred size does not match";
out_gpair->resize(preds.size());
const int nclass = param_.num_class;
const omp_ulong ndata = static_cast<omp_ulong>(preds.size() / nclass);
int label_error = 0;
#pragma omp parallel
{
std::vector<float> rec(nclass);
#pragma omp for schedule(static)
for (omp_ulong i = 0; i < ndata; ++i) {
for (int k = 0; k < nclass; ++k) {
rec[k] = preds[i * nclass + k];
}
common::Softmax(&rec);
int label = static_cast<int>(info.labels[i]);
if (label < 0 || label >= nclass) {
label_error = label; label = 0;
}
const float wt = info.GetWeight(i);
for (int k = 0; k < nclass; ++k) {
float p = rec[k];
const float h = 2.0f * p * (1.0f - p) * wt;
if (label == k) {
out_gpair->at(i * nclass + k) = bst_gpair((p - 1.0f) * wt, h);
} else {
out_gpair->at(i * nclass + k) = bst_gpair(p* wt, h);
}
}
}
}
CHECK(label_error >= 0 && label_error < nclass)
<< "SoftmaxMultiClassObj: label must be in [0, num_class),"
<< " num_class=" << nclass
<< " but found " << label_error << " in label.";
}
void PredTransform(std::vector<float>* io_preds) override {
this->Transform(io_preds, output_prob_);
}
void EvalTransform(std::vector<float>* io_preds) override {
this->Transform(io_preds, true);
}
const char* DefaultEvalMetric() const override {
return "merror";
}
private:
inline void Transform(std::vector<float> *io_preds, bool prob) {
std::vector<float> &preds = *io_preds;
std::vector<float> tmp;
const int nclass = param_.num_class;
const omp_ulong ndata = static_cast<omp_ulong>(preds.size() / nclass);
if (!prob) tmp.resize(ndata);
#pragma omp parallel
{
std::vector<float> rec(nclass);
#pragma omp for schedule(static)
for (omp_ulong j = 0; j < ndata; ++j) {
for (int k = 0; k < nclass; ++k) {
rec[k] = preds[j * nclass + k];
}
if (!prob) {
tmp[j] = static_cast<float>(
common::FindMaxIndex(rec.begin(), rec.end()) - rec.begin());
} else {
common::Softmax(&rec);
for (int k = 0; k < nclass; ++k) {
preds[j * nclass + k] = rec[k];
}
}
}
}
if (!prob) preds = tmp;
}
// output probability
bool output_prob_;
// parameter
SoftmaxMultiClassParam param_;
};
// register the ojective functions
DMLC_REGISTER_PARAMETER(SoftmaxMultiClassParam);
XGBOOST_REGISTER_OBJECTIVE(SoftmaxMultiClass, "multi:softmax")
.describe("Softmax for multi-class classification, output class index.")
.set_body([]() { return new SoftmaxMultiClassObj(false); });
XGBOOST_REGISTER_OBJECTIVE(SoftprobMultiClass, "multi:softprob")
.describe("Softmax for multi-class classification, output probability distribution.")
.set_body([]() { return new SoftmaxMultiClassObj(true); });
} // namespace obj
} // namespace xgboost

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/*!
* Copyright 2015 by Contributors
* \file objective.cc
* \brief global objective function definition.
*/
#include <xgboost/objective.h>
namespace dmlc {
DMLC_REGISTRY_ENABLE(::xgboost::ObjFunctionReg);
} // namespace dmlc
namespace xgboost {
/*! \brief namespace of objective function */
namespace obj {
} // namespace obj
} // namespace xgboost

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/*!
* Copyright 2015 by Contributors
* \file rank.cc
* \brief Definition of rank loss.
* \author Tianqi Chen, Kailong Chen
*/
#include <dmlc/logging.h>
#include <dmlc/omp.h>
#include <xgboost/objective.h>
#include <vector>
#include <algorithm>
#include <utility>
#include "../common/math.h"
#include "../common/random.h"
namespace xgboost {
namespace obj {
struct LambdaRankParam : public dmlc::Parameter<LambdaRankParam> {
int num_pairsample;
float fix_list_weight;
// declare parameters
DMLC_DECLARE_PARAMETER(LambdaRankParam) {
DMLC_DECLARE_FIELD(num_pairsample).set_lower_bound(1).set_default(1)
.describe("Number of pair generated for each instance.");
DMLC_DECLARE_FIELD(fix_list_weight).set_lower_bound(0.0f).set_default(0.0f)
.describe("Normalize the weight of each list by this value,"
" if equals 0, no effect will happen");
}
};
// objective for lambda rank
class LambdaRankObj : public ObjFunction {
public:
void Init(const std::vector<std::pair<std::string, std::string> >& args) override {
param_.Init(args);
}
void GetGradient(const std::vector<float>& preds,
const MetaInfo& info,
int iter,
std::vector<bst_gpair>* out_gpair) override {
CHECK_EQ(preds.size(),info.labels.size()) << "label size predict size not match";
std::vector<bst_gpair>& gpair = *out_gpair;
gpair.resize(preds.size());
// quick consistency when group is not available
std::vector<unsigned> tgptr(2, 0); tgptr[1] = static_cast<unsigned>(info.labels.size());
const std::vector<unsigned> &gptr = info.group_ptr.size() == 0 ? tgptr : info.group_ptr;
CHECK(gptr.size() != 0 && gptr.back() == info.labels.size())
<< "group structure not consistent with #rows";
const bst_omp_uint ngroup = static_cast<bst_omp_uint>(gptr.size() - 1);
#pragma omp parallel
{
// parall construct, declare random number generator here, so that each
// thread use its own random number generator, seed by thread id and current iteration
common::RandomEngine rnd(iter * 1111 + omp_get_thread_num());
std::vector<LambdaPair> pairs;
std::vector<ListEntry> lst;
std::vector< std::pair<float, unsigned> > rec;
#pragma omp for schedule(static)
for (bst_omp_uint k = 0; k < ngroup; ++k) {
lst.clear(); pairs.clear();
for (unsigned j = gptr[k]; j < gptr[k+1]; ++j) {
lst.push_back(ListEntry(preds[j], info.labels[j], j));
gpair[j] = bst_gpair(0.0f, 0.0f);
}
std::sort(lst.begin(), lst.end(), ListEntry::CmpPred);
rec.resize(lst.size());
for (unsigned i = 0; i < lst.size(); ++i) {
rec[i] = std::make_pair(lst[i].label, i);
}
std::sort(rec.begin(), rec.end(), common::CmpFirst);
// enumerate buckets with same label, for each item in the lst, grab another sample randomly
for (unsigned i = 0; i < rec.size(); ) {
unsigned j = i + 1;
while (j < rec.size() && rec[j].first == rec[i].first) ++j;
// bucket in [i,j), get a sample outside bucket
unsigned nleft = i, nright = static_cast<unsigned>(rec.size() - j);
if (nleft + nright != 0) {
int nsample = param_.num_pairsample;
while (nsample --) {
for (unsigned pid = i; pid < j; ++pid) {
unsigned ridx = std::uniform_int_distribution<unsigned>(0, nleft + nright - 1)(rnd);
if (ridx < nleft) {
pairs.push_back(LambdaPair(rec[ridx].second, rec[pid].second));
} else {
pairs.push_back(LambdaPair(rec[pid].second, rec[ridx+j-i].second));
}
}
}
}
i = j;
}
// get lambda weight for the pairs
this->GetLambdaWeight(lst, &pairs);
// rescale each gradient and hessian so that the lst have constant weighted
float scale = 1.0f / param_.num_pairsample;
if (param_.fix_list_weight != 0.0f) {
scale *= param_.fix_list_weight / (gptr[k + 1] - gptr[k]);
}
for (size_t i = 0; i < pairs.size(); ++i) {
const ListEntry &pos = lst[pairs[i].pos_index];
const ListEntry &neg = lst[pairs[i].neg_index];
const float w = pairs[i].weight * scale;
const float eps = 1e-16f;
float p = common::Sigmoid(pos.pred - neg.pred);
float g = p - 1.0f;
float h = std::max(p * (1.0f - p), eps);
// accumulate gradient and hessian in both pid, and nid
gpair[pos.rindex].grad += g * w;
gpair[pos.rindex].hess += 2.0f * w * h;
gpair[neg.rindex].grad -= g * w;
gpair[neg.rindex].hess += 2.0f * w * h;
}
}
}
}
const char* DefaultEvalMetric(void) const override {
return "map";
}
protected:
/*! \brief helper information in a list */
struct ListEntry {
/*! \brief the predict score we in the data */
float pred;
/*! \brief the actual label of the entry */
float label;
/*! \brief row index in the data matrix */
unsigned rindex;
// constructor
ListEntry(float pred, float label, unsigned rindex)
: pred(pred), label(label), rindex(rindex) {}
// comparator by prediction
inline static bool CmpPred(const ListEntry &a, const ListEntry &b) {
return a.pred > b.pred;
}
// comparator by label
inline static bool CmpLabel(const ListEntry &a, const ListEntry &b) {
return a.label > b.label;
}
};
/*! \brief a pair in the lambda rank */
struct LambdaPair {
/*! \brief positive index: this is a position in the list */
unsigned pos_index;
/*! \brief negative index: this is a position in the list */
unsigned neg_index;
/*! \brief weight to be filled in */
float weight;
// constructor
LambdaPair(unsigned pos_index, unsigned neg_index)
: pos_index(pos_index), neg_index(neg_index), weight(1.0f) {}
};
/*!
* \brief get lambda weight for existing pairs
* \param list a list that is sorted by pred score
* \param io_pairs record of pairs, containing the pairs to fill in weights
*/
virtual void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) = 0;
private:
LambdaRankParam param_;
};
class PairwiseRankObj: public LambdaRankObj{
protected:
void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) override {}
};
// beta version: NDCG lambda rank
class LambdaRankObjNDCG : public LambdaRankObj {
protected:
void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) override {
std::vector<LambdaPair> &pairs = *io_pairs;
float IDCG;
{
std::vector<float> labels(sorted_list.size());
for (size_t i = 0; i < sorted_list.size(); ++i) {
labels[i] = sorted_list[i].label;
}
std::sort(labels.begin(), labels.end(), std::greater<float>());
IDCG = CalcDCG(labels);
}
if (IDCG == 0.0) {
for (size_t i = 0; i < pairs.size(); ++i) {
pairs[i].weight = 0.0f;
}
} else {
IDCG = 1.0f / IDCG;
for (size_t i = 0; i < pairs.size(); ++i) {
unsigned pos_idx = pairs[i].pos_index;
unsigned neg_idx = pairs[i].neg_index;
float pos_loginv = 1.0f / std::log(pos_idx + 2.0f);
float neg_loginv = 1.0f / std::log(neg_idx + 2.0f);
int pos_label = static_cast<int>(sorted_list[pos_idx].label);
int neg_label = static_cast<int>(sorted_list[neg_idx].label);
float original =
((1 << pos_label) - 1) * pos_loginv + ((1 << neg_label) - 1) * neg_loginv;
float changed =
((1 << neg_label) - 1) * pos_loginv + ((1 << pos_label) - 1) * neg_loginv;
float delta = (original - changed) * IDCG;
if (delta < 0.0f) delta = - delta;
pairs[i].weight = delta;
}
}
}
inline static float CalcDCG(const std::vector<float> &labels) {
double sumdcg = 0.0;
for (size_t i = 0; i < labels.size(); ++i) {
const unsigned rel = static_cast<unsigned>(labels[i]);
if (rel != 0) {
sumdcg += ((1 << rel) - 1) / std::log(static_cast<float>(i + 2));
}
}
return static_cast<float>(sumdcg);
}
};
class LambdaRankObjMAP : public LambdaRankObj {
protected:
struct MAPStats {
/*! \brief the accumulated precision */
float ap_acc;
/*!
* \brief the accumulated precision,
* assuming a positive instance is missing
*/
float ap_acc_miss;
/*!
* \brief the accumulated precision,
* assuming that one more positive instance is inserted ahead
*/
float ap_acc_add;
/* \brief the accumulated positive instance count */
float hits;
MAPStats(void) {}
MAPStats(float ap_acc, float ap_acc_miss, float ap_acc_add, float hits)
: ap_acc(ap_acc), ap_acc_miss(ap_acc_miss), ap_acc_add(ap_acc_add), hits(hits) {}
};
/*!
* \brief Obtain the delta MAP if trying to switch the positions of instances in index1 or index2
* in sorted triples
* \param sorted_list the list containing entry information
* \param index1,index2 the instances switched
* \param map_stats a vector containing the accumulated precisions for each position in a list
*/
inline float GetLambdaMAP(const std::vector<ListEntry> &sorted_list,
int index1, int index2,
std::vector<MAPStats> *p_map_stats) {
std::vector<MAPStats> &map_stats = *p_map_stats;
if (index1 == index2 || map_stats[map_stats.size() - 1].hits == 0) {
return 0.0f;
}
if (index1 > index2) std::swap(index1, index2);
float original = map_stats[index2].ap_acc;
if (index1 != 0) original -= map_stats[index1 - 1].ap_acc;
float changed = 0;
float label1 = sorted_list[index1].label > 0.0f ? 1.0f : 0.0f;
float label2 = sorted_list[index2].label > 0.0f ? 1.0f : 0.0f;
if (label1 == label2) {
return 0.0;
} else if (label1 < label2) {
changed += map_stats[index2 - 1].ap_acc_add - map_stats[index1].ap_acc_add;
changed += (map_stats[index1].hits + 1.0f) / (index1 + 1);
} else {
changed += map_stats[index2 - 1].ap_acc_miss - map_stats[index1].ap_acc_miss;
changed += map_stats[index2].hits / (index2 + 1);
}
float ans = (changed - original) / (map_stats[map_stats.size() - 1].hits);
if (ans < 0) ans = -ans;
return ans;
}
/*
* \brief obtain preprocessing results for calculating delta MAP
* \param sorted_list the list containing entry information
* \param map_stats a vector containing the accumulated precisions for each position in a list
*/
inline void GetMAPStats(const std::vector<ListEntry> &sorted_list,
std::vector<MAPStats> *p_map_acc) {
std::vector<MAPStats> &map_acc = *p_map_acc;
map_acc.resize(sorted_list.size());
float hit = 0, acc1 = 0, acc2 = 0, acc3 = 0;
for (size_t i = 1; i <= sorted_list.size(); ++i) {
if (sorted_list[i - 1].label > 0.0f) {
hit++;
acc1 += hit / i;
acc2 += (hit - 1) / i;
acc3 += (hit + 1) / i;
}
map_acc[i - 1] = MAPStats(acc1, acc2, acc3, hit);
}
}
void GetLambdaWeight(const std::vector<ListEntry> &sorted_list,
std::vector<LambdaPair> *io_pairs) override {
std::vector<LambdaPair> &pairs = *io_pairs;
std::vector<MAPStats> map_stats;
GetMAPStats(sorted_list, &map_stats);
for (size_t i = 0; i < pairs.size(); ++i) {
pairs[i].weight =
GetLambdaMAP(sorted_list, pairs[i].pos_index,
pairs[i].neg_index, &map_stats);
}
}
};
// register the ojective functions
DMLC_REGISTER_PARAMETER(LambdaRankParam);
XGBOOST_REGISTER_OBJECTIVE(PairwieRankObj, "rank:pairwise")
.describe("Pairwise rank objective.")
.set_body([]() { return new PairwiseRankObj(); });
XGBOOST_REGISTER_OBJECTIVE(LambdaRankNDCG, "rank:ndcg")
.describe("LambdaRank with NDCG as objective.")
.set_body([]() { return new LambdaRankObjNDCG(); });
XGBOOST_REGISTER_OBJECTIVE(LambdaRankObjMAP, "rank:map")
.describe("LambdaRank with MAP as objective.")
.set_body([]() { return new LambdaRankObjMAP(); });
} // namespace obj
} // namespace xgboost

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/*!
* Copyright 2015 by Contributors
* \file regression.cc
* \brief Definition of single-value regression and classification objectives.
* \author Tianqi Chen, Kailong Chen
*/
#include <dmlc/logging.h>
#include <dmlc/omp.h>
#include <xgboost/objective.h>
#include <vector>
#include <algorithm>
#include <utility>
#include "../common/math.h"
namespace xgboost {
namespace obj {
// common regressions
// linear regression
struct LinearSquareLoss {
static float PredTransform(float x) { return x; }
static bool CheckLabel(float x) { return true; }
static float FirstOrderGradient(float predt, float label) { return predt - label; }
static float SecondOrderGradient(float predt, float label) { return 1.0f; }
static float ProbToMargin(float base_score) { return base_score; }
static const char* LabelErrorMsg() { return ""; }
static const char* DefaultEvalMetric() { return "rmse"; }
};
// logistic loss for probability regression task
struct LogisticRegression {
static float PredTransform(float x) { return common::Sigmoid(x); }
static bool CheckLabel(float x) { return x >= 0.0f && x <= 1.0f; }
static float FirstOrderGradient(float predt, float label) { return predt - label; }
static float SecondOrderGradient(float predt, float label) {
const float eps = 1e-16f;
return std::max(predt * (1.0f - predt), eps);
}
static float ProbToMargin(float base_score) {
CHECK(base_score > 0.0f && base_score < 1.0f)
<< "base_score must be in (0,1) for logistic loss";
return -std::log(1.0f / base_score - 1.0f);
}
static const char* LabelErrorMsg() {
return "label must be in [0,1] for logistic regression";
}
static const char* DefaultEvalMetric() { return "rmse"; }
};
// logistic loss for binary classification task.
struct LogisticClassification : public LogisticRegression {
static const char* DefaultEvalMetric() { return "error"; }
};
// logistic loss, but predict un-transformed margin
struct LogisticRaw : public LogisticRegression {
static float PredTransform(float x) { return x; }
static float FirstOrderGradient(float predt, float label) {
predt = common::Sigmoid(predt);
return predt - label;
}
static float SecondOrderGradient(float predt, float label) {
const float eps = 1e-16f;
predt = common::Sigmoid(predt);
return std::max(predt * (1.0f - predt), eps);
}
static const char* DefaultEvalMetric() { return "auc"; }
};
struct RegLossParam : public dmlc::Parameter<RegLossParam> {
float scale_pos_weight;
// declare parameters
DMLC_DECLARE_PARAMETER(RegLossParam) {
DMLC_DECLARE_FIELD(scale_pos_weight).set_default(1.0f).set_lower_bound(0.0f)
.describe("Scale the weight of positive examples by this factor");
}
};
// regression los function
template<typename Loss>
class RegLossObj : public ObjFunction {
public:
void Init(const std::vector<std::pair<std::string, std::string> >& args) override {
param_.Init(args);
}
void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) override {
CHECK_NE(info.labels.size(), 0) << "label set cannot be empty";
CHECK_EQ(preds.size(), info.labels.size()) << "labels are not correctly provided";
out_gpair->resize(preds.size());
// check if label in range
bool label_correct = true;
// start calculating gradient
const omp_ulong ndata = static_cast<omp_ulong>(preds.size());
#pragma omp parallel for schedule(static)
for (omp_ulong i = 0; i < ndata; ++i) {
float p = Loss::PredTransform(preds[i]);
float w = info.GetWeight(i);
if (info.labels[i] == 1.0f) w *= param_.scale_pos_weight;
if (Loss::CheckLabel(info.labels[i])) label_correct = false;
out_gpair->at(i) = bst_gpair(Loss::FirstOrderGradient(p, info.labels[i]) * w,
Loss::SecondOrderGradient(p, info.labels[i]) * w);
}
if (!label_correct) {
LOG(FATAL) << Loss::LabelErrorMsg();
}
}
virtual const char* DefaultEvalMetric() const {
return Loss::DefaultEvalMetric();
}
virtual void PredTransform(std::vector<float> *io_preds) {
std::vector<float> &preds = *io_preds;
const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size());
#pragma omp parallel for schedule(static)
for (bst_omp_uint j = 0; j < ndata; ++j) {
preds[j] = Loss::PredTransform(preds[j]);
}
}
virtual float ProbToMargin(float base_score) const {
return Loss::ProbToMargin(base_score);
}
protected:
RegLossParam param_;
};
// register the ojective functions
DMLC_REGISTER_PARAMETER(RegLossParam);
XGBOOST_REGISTER_OBJECTIVE(LinearRegression, "reg:linear")
.describe("Linear regression.")
.set_body([]() { return new RegLossObj<LinearSquareLoss>(); });
XGBOOST_REGISTER_OBJECTIVE(LogisticRegression, "reg:logistic")
.describe("Logistic regression for probability regression task.")
.set_body([]() { return new RegLossObj<LogisticRegression>(); });
XGBOOST_REGISTER_OBJECTIVE(LogisticClassification, "binary:logistic")
.describe("Logistic regression for binary classification task.")
.set_body([]() { return new RegLossObj<LogisticClassification>(); });
XGBOOST_REGISTER_OBJECTIVE(LogisticRaw, "binary:logitraw")
.describe("Logistic regression for classification, output score before logistic transformation")
.set_body([]() { return new RegLossObj<LogisticRaw>(); });
// declare parameter
struct PoissonRegressionParam : public dmlc::Parameter<PoissonRegressionParam> {
float max_delta_step;
DMLC_DECLARE_PARAMETER(PoissonRegressionParam) {
DMLC_DECLARE_FIELD(max_delta_step).set_lower_bound(0.0f)
.describe("Maximum delta step we allow each weight estimation to be." \
" This parameter is required for possion regression.");
}
};
// poisson regression for count
class PoissonRegression : public ObjFunction {
public:
// declare functions
void Init(const std::vector<std::pair<std::string, std::string> >& args) override {
param_.Init(args);
}
void GetGradient(const std::vector<float> &preds,
const MetaInfo &info,
int iter,
std::vector<bst_gpair> *out_gpair) override {
CHECK_NE(info.labels.size(), 0) << "label set cannot be empty";
CHECK_EQ(preds.size(), info.labels.size()) << "labels are not correctly provided";
out_gpair->resize(preds.size());
// check if label in range
bool label_correct = true;
// start calculating gradient
const omp_ulong ndata = static_cast<omp_ulong>(preds.size()); // NOLINT(*)
#pragma omp parallel for schedule(static)
for (omp_ulong i = 0; i < ndata; ++i) { // NOLINT(*)
float p = preds[i];
float w = info.GetWeight(i);
float y = info.labels[i];
if (y >= 0.0f) {
out_gpair->at(i) = bst_gpair((std::exp(p) - y) * w,
std::exp(p + param_.max_delta_step) * w);
} else {
label_correct = false;
}
}
CHECK(label_correct) << "PoissonRegression: label must be nonnegative";
}
void PredTransform(std::vector<float> *io_preds) override {
std::vector<float> &preds = *io_preds;
const long ndata = static_cast<long>(preds.size()); // NOLINT(*)
#pragma omp parallel for schedule(static)
for (long j = 0; j < ndata; ++j) { // NOLINT(*)
preds[j] = std::exp(preds[j]);
}
}
void EvalTransform(std::vector<float> *io_preds) override {
PredTransform(io_preds);
}
float ProbToMargin(float base_score) const override {
return std::log(base_score);
}
const char* DefaultEvalMetric(void) const override {
return "poisson-nloglik";
}
private:
PoissonRegressionParam param_;
};
// register the ojective functions
DMLC_REGISTER_PARAMETER(PoissonRegressionParam);
XGBOOST_REGISTER_OBJECTIVE(PoissonRegression, "count:poisson")
.describe("Possion regression for count data.")
.set_body([]() { return new PoissonRegression(); });
} // namespace obj
} // namespace xgboost