[OBJ] Add basic objective function and registry

include/xgboost/base.h

@@ -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

include/xgboost/data.h

@@ -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

include/xgboost/objective.h

@@ -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_