Calculate base_score based on input labels for mae. (#8107)

Fit an intercept as base score for abs loss.

amalgamation/xgboost-all0.cc

@@ -75,19 +75,20 @@
 #include "../src/collective/communicator.cc"
 
 // common
-#include "../src/common/common.cc"
-#include "../src/common/column_matrix.cc"
-#include "../src/common/random.cc"
 #include "../src/common/charconv.cc"
-#include "../src/common/timer.cc"
+#include "../src/common/column_matrix.cc"
-#include "../src/common/quantile.cc"
+#include "../src/common/common.cc"
-#include "../src/common/host_device_vector.cc"
 #include "../src/common/hist_util.cc"
+#include "../src/common/host_device_vector.cc"
 #include "../src/common/io.cc"
 #include "../src/common/json.cc"
+#include "../src/common/numeric.cc"
 #include "../src/common/pseudo_huber.cc"
+#include "../src/common/quantile.cc"
+#include "../src/common/random.cc"
 #include "../src/common/survival_util.cc"
 #include "../src/common/threading_utils.cc"
+#include "../src/common/timer.cc"
 #include "../src/common/version.cc"
 
 // c_api

include/xgboost/learner.h

@@ -8,10 +8,9 @@
 #ifndef XGBOOST_LEARNER_H_
 #define XGBOOST_LEARNER_H_
 
-#include <dmlc/any.h>
 #include <xgboost/base.h>
 #include <xgboost/feature_map.h>
-#include <xgboost/generic_parameters.h>
+#include <xgboost/generic_parameters.h>  // Context
 #include <xgboost/host_device_vector.h>
 #include <xgboost/model.h>
 #include <xgboost/predictor.h>
@@ -274,7 +273,7 @@ class Learner : public Model, public Configurable, public dmlc::Serializable {
   /**
    * \brief Return the context object of this Booster.
    */
-  virtual GenericParameter const* Ctx() const = 0;
+  virtual Context const* Ctx() const = 0;
   /*!
    * \brief Get configuration arguments currently stored by the learner
    * \return Key-value pairs representing configuration arguments
@@ -289,7 +288,7 @@ class Learner : public Model, public Configurable, public dmlc::Serializable {
   /*! \brief The evaluation metrics used to evaluate the model. */
   std::vector<std::unique_ptr<Metric> > metrics_;
   /*! \brief Training parameter. */
-  GenericParameter generic_parameters_;
+  Context ctx_;
 };
 
 struct LearnerModelParamLegacy;
@@ -298,8 +297,14 @@ struct LearnerModelParamLegacy;
  * \brief Basic Model Parameters, used to describe the booster.
  */
 struct LearnerModelParam {
-  /* \brief global bias */
+ private:
-  bst_float base_score { 0.5f };
+  /**
+   * \brief Global bias, this is just a scalar value but can be extended to vector when we
+   *        support multi-class and multi-target.
+   */
+  linalg::Tensor<float, 1> base_score_;
+
+ public:
   /* \brief number of features  */
   uint32_t num_feature { 0 };
   /* \brief number of classes, if it is multi-class classification  */
@@ -310,7 +315,18 @@ struct LearnerModelParam {
   LearnerModelParam() = default;
   // As the old `LearnerModelParamLegacy` is still used by binary IO, we keep
   // this one as an immutable copy.
-  LearnerModelParam(LearnerModelParamLegacy const& user_param, float base_margin, ObjInfo t);
+  LearnerModelParam(Context const* ctx, LearnerModelParamLegacy const& user_param,
+                    linalg::Tensor<float, 1> base_margin, ObjInfo t);
+  LearnerModelParam(LearnerModelParamLegacy const& user_param, ObjInfo t);
+  LearnerModelParam(bst_feature_t n_features, linalg::Tensor<float, 1> base_margin,
+                    uint32_t n_groups)
+      : base_score_{std::move(base_margin)}, num_feature{n_features}, num_output_group{n_groups} {}
+
+  linalg::TensorView<float const, 1> BaseScore(Context const* ctx) const;
+  linalg::TensorView<float const, 1> BaseScore(int32_t device) const;
+
+  void Copy(LearnerModelParam const& that);
+
   /* \brief Whether this parameter is initialized with LearnerModelParamLegacy. */
   bool Initialized() const { return num_feature != 0; }
 };

include/xgboost/linalg.h

@@ -8,6 +8,7 @@
 
 #include <dmlc/endian.h>
 #include <xgboost/base.h>
+#include <xgboost/generic_parameters.h>
 #include <xgboost/host_device_vector.h>
 #include <xgboost/json.h>
 #include <xgboost/span.h>
@@ -16,6 +17,7 @@
 #include <cassert>
 #include <limits>
 #include <string>
+#include <tuple>
 #include <type_traits>
 #include <utility>
 #include <vector>
@@ -213,6 +215,22 @@ LINALG_HD decltype(auto) constexpr Apply(Fn &&f, Tup &&t) {
   constexpr auto kSize = std::tuple_size<Tup>::value;
   return Apply(std::forward<Fn>(f), std::forward<Tup>(t), std::make_index_sequence<kSize>{});
 }
+
+/**
+ * C++ 17 conjunction
+ */
+template <class...>
+struct Conjunction : std::true_type {};
+template <class B1>
+struct Conjunction<B1> : B1 {};
+template <class B1, class... Bn>
+struct Conjunction<B1, Bn...> : std::conditional_t<bool(B1::value), Conjunction<Bn...>, B1> {};
+
+template <typename... Index>
+using IsAllIntegral = Conjunction<std::is_integral<std::remove_reference_t<Index>>...>;
+
+template <typename... Index>
+using EnableIfIntegral = std::enable_if_t<IsAllIntegral<Index...>::value>;
 }  // namespace detail
 
 /**
@@ -406,7 +424,7 @@ class TensorView {
    *
    * \endcode
    */
-  template <typename... Index>
+  template <typename... Index, detail::EnableIfIntegral<Index...> * = nullptr>
   LINALG_HD T &operator()(Index &&...index) {
     static_assert(sizeof...(index) <= kDim, "Invalid index.");
     size_t offset = detail::Offset<0ul>(stride_, 0ul, std::forward<Index>(index)...);
@@ -416,7 +434,7 @@ class TensorView {
   /**
    * \brief Index the tensor to obtain a scalar value.
    */
-  template <typename... Index>
+  template <typename... Index, detail::EnableIfIntegral<Index...> * = nullptr>
   LINALG_HD T const &operator()(Index &&...index) const {
     static_assert(sizeof...(index) <= kDim, "Invalid index.");
     size_t offset = detail::Offset<0ul>(stride_, 0ul, std::forward<Index>(index)...);
@@ -656,7 +674,7 @@ class Tensor {
     }
     if (device >= 0) {
       data_.SetDevice(device);
-      data_.DevicePointer();  // Pull to device;
+      data_.ConstDevicePointer();  // Pull to device;
     }
     CHECK_EQ(data_.Size(), detail::CalcSize(shape_));
   }
@@ -702,12 +720,29 @@ class Tensor {
   }
 
   template <typename I, int32_t D>
-  explicit Tensor(std::initializer_list<T> data, I const (&shape)[D], int32_t device) {
+  explicit Tensor(std::initializer_list<T> data, I const (&shape)[D],
+                  int32_t device = Context::kCpuId) {
     auto &h_vec = data_.HostVector();
     h_vec = data;
     // shape
     this->Initialize(shape, device);
   }
+  /**
+   * \brief Index operator. Not thread safe, should not be used in performance critical
+   *        region. For more efficient indexing, consider getting a view first.
+   */
+  template <typename... Index>
+  T &operator()(Index &&...idx) {
+    return this->HostView()(std::forward<Index>(idx)...);
+  }
+  /**
+   * \brief Index operator. Not thread safe, should not be used in performance critical
+   *        region. For more efficient indexing, consider getting a view first.
+   */
+  template <typename... Index>
+  T const &operator()(Index &&...idx) const {
+    return this->HostView()(std::forward<Index>(idx)...);
+  }
 
   /**
    * \brief Get a \ref TensorView for this tensor.
@@ -761,7 +796,7 @@ class Tensor {
    *
    *    If the total size is changed, then data in this tensor is no longer valid.
    */
-  template <typename... S>
+  template <typename... S, detail::EnableIfIntegral<S...> * = nullptr>
   void Reshape(S &&...s) {
     static_assert(sizeof...(S) <= kDim, "Invalid shape.");
     detail::ReshapeImpl<0>(shape_, std::forward<S>(s)...);
@@ -777,15 +812,20 @@ class Tensor {
    *
    *    If the total size is changed, then data in this tensor is no longer valid.
    */
-  template <int32_t D>
+  template <size_t D>
-  void Reshape(size_t (&shape)[D]) {
+  void Reshape(common::Span<size_t const, D> shape) {
     static_assert(D <= kDim, "Invalid shape.");
-    std::copy(shape, shape + D, this->shape_);
+    std::copy(shape.data(), shape.data() + D, this->shape_);
     std::fill(shape_ + D, shape_ + kDim, 1);
     auto n = detail::CalcSize(shape_);
     data_.Resize(n);
   }
 
+  template <size_t D>
+  void Reshape(size_t (&shape)[D]) {
+    this->Reshape(common::Span<size_t const, D>{shape});
+  }
+
   /**
    * \brief Set device ordinal for this tensor.
    */

include/xgboost/objective.h

@@ -27,7 +27,10 @@ class RegTree;
 /*! \brief interface of objective function */
 class ObjFunction : public Configurable {
  protected:
-  GenericParameter const* ctx_;
+  Context const* ctx_;
+
+ public:
+  static constexpr float DefaultBaseScore() { return 0.5f; }
 
  public:
   /*! \brief virtual destructor */
@@ -75,6 +78,13 @@ class ObjFunction : public Configurable {
   virtual bst_float ProbToMargin(bst_float base_score) const {
     return base_score;
   }
+  /**
+   * \brief Make initialize estimation of prediction.
+   *
+   * \param info MetaInfo that contains label.
+   * \param base_score Output estimation.
+   */
+  virtual void InitEstimation(MetaInfo const& info, linalg::Tensor<float, 1>* base_score) const;
   /*!
    * \brief Return task of this objective.
    */

include/xgboost/predictor.h

@@ -102,13 +102,10 @@ class PredictionContainer {
  */
 class Predictor {
  protected:
-  /*
+  Context const* ctx_;
-   * \brief Runtime parameters.
-   */
-  GenericParameter const* ctx_;
 
  public:
-  explicit Predictor(GenericParameter const* ctx) : ctx_{ctx} {}
+  explicit Predictor(Context const* ctx) : ctx_{ctx} {}
 
   virtual ~Predictor() = default;
 

src/common/algorithm.h

@@ -1,7 +1,8 @@
 /*!
  * Copyright 2022 by XGBoost Contributors
  */
-#pragma once
+#ifndef XGBOOST_COMMON_ALGORITHM_H_
+#define XGBOOST_COMMON_ALGORITHM_H_
 #include <algorithm>  // std::upper_bound
 #include <cinttypes>  // std::size_t
 
@@ -14,3 +15,4 @@ auto SegmentId(It first, It last, Idx idx) {
 }
 }  // namespace common
 }  // namespace xgboost
+#endif  // XGBOOST_COMMON_ALGORITHM_H_

src/common/common.h

@@ -265,6 +265,7 @@ struct OptionalWeights {
   explicit OptionalWeights(float w) : dft{w} {}
 
   XGBOOST_DEVICE float operator[](size_t i) const { return weights.empty() ? dft : weights[i]; }
+  auto Empty() const { return weights.empty(); }
 };
 
 /**
@@ -276,7 +277,7 @@ XGBOOST_DEVICE size_t LastOf(size_t group, Indexable const &indptr) {
 }
 
 /**
- * @brief A CRTP (curiously recurring template pattern) helper function.
+ * \brief A CRTP (curiously recurring template pattern) helper function.
  *
  * https://www.fluentcpp.com/2017/05/19/crtp-helper/
  *
@@ -284,7 +285,7 @@ XGBOOST_DEVICE size_t LastOf(size_t group, Indexable const &indptr) {
  * 1. Makes "crtp" explicit in the inheritance structure of a CRTP base class.
  * 2. Avoids having to `static_cast` in a lot of places.
  *
- * @tparam T The derived class in a CRTP hierarchy.
+ * \tparam T The derived class in a CRTP hierarchy.
  */
 template <typename T>
 struct Crtp {
@@ -292,6 +293,13 @@ struct Crtp {
   T const &Underlying() const { return static_cast<T const &>(*this); }
 };
 
+/**
+ * \brief C++17 std::as_const
+ */
+template <typename T>
+typename std::add_const<T>::type &AsConst(T &v) noexcept {  // NOLINT(runtime/references)
+  return v;
+}
 }  // namespace common
 }  // namespace xgboost
 #endif  // XGBOOST_COMMON_COMMON_H_

src/common/linalg_op.h

@@ -4,6 +4,7 @@
 #ifndef XGBOOST_COMMON_LINALG_OP_H_
 #define XGBOOST_COMMON_LINALG_OP_H_
 #include <type_traits>
+#include <cstdint>  // std::int32_t
 
 #include "common.h"
 #include "threading_utils.h"
@@ -59,6 +60,31 @@ void ElementWiseKernel(GenericParameter const* ctx, linalg::TensorView<T, D> t,
   ElementWiseKernelHost(t, ctx->Threads(), fn);
 }
 #endif  // !defined(XGBOOST_USE_CUDA)
+
+template <typename T, std::int32_t kDim>
+auto cbegin(TensorView<T, kDim> v) {  // NOLINT
+  auto it = common::MakeIndexTransformIter([&](size_t i) -> std::remove_cv_t<T> const& {
+    return linalg::detail::Apply(v, linalg::UnravelIndex(i, v.Shape()));
+  });
+  return it;
+}
+
+template <typename T, std::int32_t kDim>
+auto cend(TensorView<T, kDim> v) {  // NOLINT
+  return cbegin(v) + v.Size();
+}
+
+template <typename T, std::int32_t kDim>
+auto begin(TensorView<T, kDim> v) {  // NOLINT
+  auto it = common::MakeIndexTransformIter(
+      [&](size_t i) -> T& { return linalg::detail::Apply(v, linalg::UnravelIndex(i, v.Shape())); });
+  return it;
+}
+
+template <typename T, std::int32_t kDim>
+auto end(TensorView<T, kDim> v) {  // NOLINT
+  return begin(v) + v.Size();
+}
 }  // namespace linalg
 }  // namespace xgboost
 #endif  // XGBOOST_COMMON_LINALG_OP_H_

src/common/numeric.cc

@@ -0,0 +1,28 @@
+/*!
+ * Copyright 2022 by XGBoost Contributors
+ */
+#include "numeric.h"
+
+#include <numeric>      // std::accumulate
+#include <type_traits>  // std::is_same
+
+#include "threading_utils.h"             // MemStackAllocator, ParallelFor, DefaultMaxThreads
+#include "xgboost/generic_parameters.h"  // Context
+#include "xgboost/host_device_vector.h"  // HostDeviceVector
+
+namespace xgboost {
+namespace common {
+double Reduce(Context const* ctx, HostDeviceVector<float> const& values) {
+  if (ctx->IsCPU()) {
+    auto const& h_values = values.ConstHostVector();
+    MemStackAllocator<double, DefaultMaxThreads()> result_tloc(ctx->Threads(), 0);
+    ParallelFor(h_values.size(), ctx->Threads(),
+                [&](auto i) { result_tloc[omp_get_thread_num()] += h_values[i]; });
+    auto result = std::accumulate(result_tloc.cbegin(), result_tloc.cend(), 0.0);
+    static_assert(std::is_same<decltype(result), double>::value, "");
+    return result;
+  }
+  return cuda::Reduce(ctx, values);
+}
+}  // namespace common
+}  // namespace xgboost

src/common/numeric.cu

@@ -0,0 +1,25 @@
+/*!
+ * Copyright 2022 by XGBoost Contributors
+ */
+#include <thrust/execution_policy.h>
+#include <thrust/functional.h>  // thrust:plus
+
+#include "device_helpers.cuh"  // dh::Reduce, safe_cuda, dh::XGBCachingDeviceAllocator
+#include "numeric.h"
+#include "xgboost/generic_parameters.h"  // Context
+#include "xgboost/host_device_vector.h"  // HostDeviceVector
+
+namespace xgboost {
+namespace common {
+namespace cuda {
+double Reduce(Context const* ctx, HostDeviceVector<float> const& values) {
+  values.SetDevice(ctx->gpu_id);
+  auto const d_values = values.ConstDeviceSpan();
+  dh::XGBCachingDeviceAllocator<char> alloc;
+  auto res = dh::Reduce(thrust::cuda::par(alloc), d_values.data(),
+                        d_values.data() + d_values.size(), 0.0, thrust::plus<double>{});
+  return res;
+}
+}  // namespace cuda
+}  // namespace common
+}  // namespace xgboost

src/common/numeric.h

@@ -8,8 +8,10 @@
 #include <iterator>   // std::iterator_traits
 #include <vector>
 
-#include "threading_utils.h"
+#include "common.h"                      // AssertGPUSupport
-#include "xgboost/generic_parameters.h"
+#include "threading_utils.h"             // MemStackAllocator, DefaultMaxThreads
+#include "xgboost/generic_parameters.h"  // Context
+#include "xgboost/host_device_vector.h"  // HostDeviceVector
 
 namespace xgboost {
 namespace common {
@@ -18,8 +20,8 @@ namespace common {
  * \brief Run length encode on CPU, input must be sorted.
  */
 template <typename Iter, typename Idx>
-void RunLengthEncode(Iter begin, Iter end, std::vector<Idx> *p_out) {
+void RunLengthEncode(Iter begin, Iter end, std::vector<Idx>* p_out) {
-  auto &out = *p_out;
+  auto& out = *p_out;
   out = std::vector<Idx>{0};
   size_t n = std::distance(begin, end);
   for (size_t i = 1; i < n; ++i) {
@@ -45,7 +47,7 @@ void PartialSum(int32_t n_threads, InIt begin, InIt end, T init, OutIt out_it) {
   auto n = static_cast<size_t>(std::distance(begin, end));
   const size_t batch_threads =
       std::max(static_cast<size_t>(1), std::min(n, static_cast<size_t>(n_threads)));
-  common::MemStackAllocator<T, 128> partial_sums(batch_threads);
+  MemStackAllocator<T, DefaultMaxThreads()> partial_sums(batch_threads);
 
   size_t block_size = n / batch_threads;
 
@@ -90,6 +92,20 @@ void PartialSum(int32_t n_threads, InIt begin, InIt end, T init, OutIt out_it) {
   }
   exc.Rethrow();
 }
+
+namespace cuda {
+double Reduce(Context const* ctx, HostDeviceVector<float> const& values);
+#if !defined(XGBOOST_USE_CUDA)
+inline double Reduce(Context const*, HostDeviceVector<float> const&) {
+  AssertGPUSupport();
+  return 0;
+}
+#endif  // !defined(XGBOOST_USE_CUDA)
+}  // namespace cuda
+/**
+ * \brief Reduction with summation.
+ */
+double Reduce(Context const* ctx, HostDeviceVector<float> const& values);
 }  // namespace common
 }  // namespace xgboost
 

src/common/stats.cu

@@ -0,0 +1,47 @@
+/*!
+ * Copyright 2022 by XGBoost Contributors
+ */
+
+#include <thrust/iterator/counting_iterator.h>  // thrust::make_counting_iterator
+
+#include "common.h"            // common::OptionalWeights
+#include "device_helpers.cuh"  // dh::MakeTransformIterator, tcbegin, tcend
+#include "stats.cuh"           // common::SegmentedQuantile, common::SegmentedWeightedQuantile
+#include "xgboost/generic_parameters.h"  // Context
+#include "xgboost/host_device_vector.h"  // HostDeviceVector
+#include "xgboost/linalg.h"              // linalg::TensorView, UnravelIndex, Apply
+
+namespace xgboost {
+namespace common {
+namespace cuda {
+float Median(Context const* ctx, linalg::TensorView<float const, 2> t,
+             common::OptionalWeights weights) {
+  HostDeviceVector<size_t> segments{0, t.Size()};
+  segments.SetDevice(ctx->gpu_id);
+  auto d_segments = segments.ConstDeviceSpan();
+  auto val_it = dh::MakeTransformIterator<float>(
+      thrust::make_counting_iterator(0ul), [=] XGBOOST_DEVICE(size_t i) {
+        return linalg::detail::Apply(t, linalg::UnravelIndex(i, t.Shape()));
+      });
+
+  HostDeviceVector<float> quantile{0};
+  quantile.SetDevice(ctx->gpu_id);
+  if (weights.Empty()) {
+    common::SegmentedQuantile(ctx, 0.5, dh::tcbegin(d_segments), dh::tcend(d_segments), val_it,
+                              val_it + t.Size(), &quantile);
+  } else {
+    CHECK_NE(t.Shape(1), 0);
+    auto w_it = dh::MakeTransformIterator<float>(thrust::make_counting_iterator(0ul),
+                                                 [=] XGBOOST_DEVICE(size_t i) {
+                                                   auto sample_idx = i / t.Shape(1);
+                                                   return weights[sample_idx];
+                                                 });
+    common::SegmentedWeightedQuantile(ctx, 0.5, dh::tcbegin(d_segments), dh::tcend(d_segments),
+                                      val_it, val_it + t.Size(), w_it, w_it + t.Size(), &quantile);
+  }
+  CHECK_EQ(quantile.Size(), 1);
+  return quantile.HostVector().front();
+}
+}  // namespace cuda
+}  // namespace common
+}  // namespace xgboost

src/common/stats.h

@@ -8,7 +8,8 @@
 #include <limits>
 #include <vector>
 
-#include "common.h"
+#include "common.h"  // AssertGPUSupport
+#include "xgboost/generic_parameters.h"
 #include "xgboost/linalg.h"
 
 namespace xgboost {
@@ -90,6 +91,44 @@ float WeightedQuantile(double alpha, Iter begin, Iter end, WeightIter weights) {
   idx = std::min(idx, static_cast<size_t>(n - 1));
   return val(idx);
 }
+
+namespace cuda {
+float Median(Context const* ctx, linalg::TensorView<float const, 2> t,
+             common::OptionalWeights weights);
+#if !defined(XGBOOST_USE_CUDA)
+inline float Median(Context const*, linalg::TensorView<float const, 2>, common::OptionalWeights) {
+  AssertGPUSupport();
+  return 0;
+}
+#endif  // !defined(XGBOOST_USE_CUDA)
+}  // namespace cuda
+
+inline float Median(Context const* ctx, linalg::Tensor<float, 2> const& t,
+                    HostDeviceVector<float> const& weights) {
+  if (!ctx->IsCPU()) {
+    weights.SetDevice(ctx->gpu_id);
+    auto opt_weights = OptionalWeights(weights.ConstDeviceSpan());
+    auto t_v = t.View(ctx->gpu_id);
+    return cuda::Median(ctx, t_v, opt_weights);
+  }
+
+  auto opt_weights = OptionalWeights(weights.ConstHostSpan());
+  auto t_v = t.HostView();
+  auto iter = common::MakeIndexTransformIter(
+      [&](size_t i) { return linalg::detail::Apply(t_v, linalg::UnravelIndex(i, t_v.Shape())); });
+  float q{0};
+  if (opt_weights.Empty()) {
+    q = common::Quantile(0.5, iter, iter + t_v.Size());
+  } else {
+    CHECK_NE(t_v.Shape(1), 0);
+    auto w_it = common::MakeIndexTransformIter([&](size_t i) {
+      auto sample_idx = i / t_v.Shape(1);
+      return opt_weights[sample_idx];
+    });
+    q = common::WeightedQuantile(0.5, iter, iter + t_v.Size(), w_it);
+  }
+  return q;
+}
 }  // namespace common
 }  // namespace xgboost
 #endif  // XGBOOST_COMMON_STATS_H_

src/common/threading_utils.h

@@ -8,6 +8,7 @@
 #include <dmlc/omp.h>
 
 #include <algorithm>
+#include <cstdint>  // std::int32_t
 #include <limits>
 #include <type_traits>  // std::is_signed
 #include <vector>
@@ -253,7 +254,7 @@ inline int32_t OmpGetNumThreads(int32_t n_threads) {
  * MaxStackSize, it will be allocated inside the stack. Otherwise, it will be
  * heap-allocated.
  */
-template <typename T, size_t MaxStackSize>
+template <typename T, std::size_t MaxStackSize>
 class MemStackAllocator {
  public:
   explicit MemStackAllocator(size_t required_size) : required_size_(required_size) {
@@ -278,11 +279,23 @@ class MemStackAllocator {
   T& operator[](size_t i) { return ptr_[i]; }
   T const& operator[](size_t i) const { return ptr_[i]; }
 
+  auto data() const { return ptr_; }                   // NOLINT
+  auto data() { return ptr_; }                         // NOLINT
+  std::size_t size() const { return required_size_; }  // NOLINT
+
+  auto cbegin() const { return data(); }         // NOLINT
+  auto cend() const { return data() + size(); }  // NOLINT
+
  private:
   T* ptr_ = nullptr;
   size_t required_size_;
   T stack_mem_[MaxStackSize];
 };
+
+/**
+ * \brief Constant that can be used for initializing static thread local memory.
+ */
+std::int32_t constexpr DefaultMaxThreads() { return 128; }
 }  // namespace common
 }  // namespace xgboost
 

src/data/array_interface.h

@@ -345,8 +345,8 @@ struct ToDType<int64_t> {
 };
 
 #if !defined(XGBOOST_USE_CUDA)
-inline void ArrayInterfaceHandler::SyncCudaStream(int64_t stream) { common::AssertGPUSupport(); }
+inline void ArrayInterfaceHandler::SyncCudaStream(int64_t) { common::AssertGPUSupport(); }
-inline bool ArrayInterfaceHandler::IsCudaPtr(void const *ptr) { return false; }
+inline bool ArrayInterfaceHandler::IsCudaPtr(void const *) { return false; }
 #endif  // !defined(XGBOOST_USE_CUDA)
 
 /**

src/gbm/gblinear.cc

@@ -161,9 +161,10 @@ class GBLinear : public GradientBooster {
                        uint32_t layer_begin, uint32_t) override {
     LinearCheckLayer(layer_begin);
     const int ngroup = model_.learner_model_param->num_output_group;
+
+    auto base_score = learner_model_param_->BaseScore(ctx_);
     for (int gid = 0; gid < ngroup; ++gid) {
-      this->Pred(inst, dmlc::BeginPtr(*out_preds), gid,
+      this->Pred(inst, dmlc::BeginPtr(*out_preds), gid, base_score(0));
-                 learner_model_param_->base_score);
     }
   }
 
@@ -184,6 +185,7 @@ class GBLinear : public GradientBooster {
     contribs.resize(p_fmat->Info().num_row_ * ncolumns * ngroup);
     // make sure contributions is zeroed, we could be reusing a previously allocated one
     std::fill(contribs.begin(), contribs.end(), 0);
+    auto base_score = learner_model_param_->BaseScore(ctx_);
     // start collecting the contributions
     for (const auto &batch : p_fmat->GetBatches<SparsePage>()) {
       // parallel over local batch
@@ -202,8 +204,8 @@ class GBLinear : public GradientBooster {
           }
           // add base margin to BIAS
           p_contribs[ncolumns - 1] =
-              model_.Bias()[gid] + ((base_margin.Size() != 0) ? base_margin(row_idx, gid)
+              model_.Bias()[gid] +
-                                                              : learner_model_param_->base_score);
+              ((base_margin.Size() != 0) ? base_margin(row_idx, gid) : base_score(0));
         }
       });
     }
@@ -268,10 +270,12 @@ class GBLinear : public GradientBooster {
     monitor_.Start("PredictBatchInternal");
     model_.LazyInitModel();
     std::vector<bst_float> &preds = *out_preds;
-    auto base_margin = p_fmat->Info().base_margin_.View(GenericParameter::kCpuId);
+    auto base_margin = p_fmat->Info().base_margin_.View(Context::kCpuId);
     // start collecting the prediction
     const int ngroup = model_.learner_model_param->num_output_group;
     preds.resize(p_fmat->Info().num_row_ * ngroup);
+
+    auto base_score = learner_model_param_->BaseScore(Context::kCpuId);
     for (const auto &page : p_fmat->GetBatches<SparsePage>()) {
       auto const& batch = page.GetView();
       // output convention: nrow * k, where nrow is number of rows
@@ -285,8 +289,7 @@ class GBLinear : public GradientBooster {
         const size_t ridx = page.base_rowid + i;
         // loop over output groups
         for (int gid = 0; gid < ngroup; ++gid) {
-          float margin =
+          float margin = (base_margin.Size() != 0) ? base_margin(ridx, gid) : base_score(0);
-              (base_margin.Size() != 0) ? base_margin(ridx, gid) : learner_model_param_->base_score;
           this->Pred(batch[i], &preds[ridx * ngroup], gid, margin);
         }
       });

src/gbm/gbtree.cc

@@ -638,13 +638,12 @@ void GPUDartPredictInc(common::Span<float> out_predts,
 }
 #endif
 
-void GPUDartInplacePredictInc(common::Span<float> out_predts,
+void GPUDartInplacePredictInc(common::Span<float> /*out_predts*/, common::Span<float> /*predts*/,
-                              common::Span<float> predts, float tree_w,
+                              float /*tree_w*/, size_t /*n_rows*/,
-                              size_t n_rows, float base_score,
+                              linalg::TensorView<float const, 1> /*base_score*/,
-                              bst_group_t n_groups,
+                              bst_group_t /*n_groups*/, bst_group_t /*group*/)
-                              bst_group_t group)
 #if defined(XGBOOST_USE_CUDA)
-;  // NOLINT
+    ;  // NOLINT
 #else
 {
   common::AssertGPUSupport();
@@ -850,15 +849,17 @@ class Dart : public GBTree {
       size_t n_rows = p_fmat->Info().num_row_;
       if (predts.predictions.DeviceIdx() != Context::kCpuId) {
         p_out_preds->predictions.SetDevice(predts.predictions.DeviceIdx());
+        auto base_score = model_.learner_model_param->BaseScore(predts.predictions.DeviceIdx());
         GPUDartInplacePredictInc(p_out_preds->predictions.DeviceSpan(),
-                                 predts.predictions.DeviceSpan(), w, n_rows,
+                                 predts.predictions.DeviceSpan(), w, n_rows, base_score, n_groups,
-                                 model_.learner_model_param->base_score, n_groups, group);
+                                 group);
       } else {
+        auto base_score = model_.learner_model_param->BaseScore(Context::kCpuId);
         auto& h_predts = predts.predictions.HostVector();
         auto& h_out_predts = p_out_preds->predictions.HostVector();
         common::ParallelFor(n_rows, ctx_->Threads(), [&](auto ridx) {
           const size_t offset = ridx * n_groups + group;
-          h_out_predts[offset] += (h_predts[offset] - model_.learner_model_param->base_score) * w;
+          h_out_predts[offset] += (h_predts[offset] - base_score(0)) * w;
         });
       }
     }

src/gbm/gbtree.cu

@@ -31,13 +31,14 @@ void GPUDartPredictInc(common::Span<float> out_predts,
   });
 }
 
-void GPUDartInplacePredictInc(common::Span<float> out_predts,
+void GPUDartInplacePredictInc(common::Span<float> out_predts, common::Span<float> predts,
-                              common::Span<float> predts, float tree_w,
+                              float tree_w, size_t n_rows,
-                              size_t n_rows, float base_score,
+                              linalg::TensorView<float const, 1> base_score, bst_group_t n_groups,
-                              bst_group_t n_groups, bst_group_t group) {
+                              bst_group_t group) {
+  CHECK_EQ(base_score.Size(), 1);
   dh::LaunchN(n_rows, [=] XGBOOST_DEVICE(size_t ridx) {
     const size_t offset = ridx * n_groups + group;
-    out_predts[offset] += (predts[offset] - base_score) * tree_w;
+    out_predts[offset] += (predts[offset] - base_score(0)) * tree_w;
   });
 }
 }  // namespace gbm

src/learner.cc

@@ -4,47 +4,48 @@
  * \brief Implementation of learning algorithm.
  * \author Tianqi Chen
  */
+#include "xgboost/learner.h"
+
+#include <dmlc/any.h>
 #include <dmlc/io.h>
 #include <dmlc/parameter.h>
 #include <dmlc/thread_local.h>
 
-#include <atomic>
-#include <mutex>
 #include <algorithm>
+#include <atomic>
 #include <iomanip>
-#include <limits>
+#include <limits>  // std::numeric_limits
 #include <memory>
+#include <mutex>
 #include <sstream>
-#include <string>
 #include <stack>
+#include <string>
 #include <utility>
 #include <vector>
 
-#include "dmlc/any.h"
+#include "common/charconv.h"
+#include "common/common.h"
+#include "common/io.h"
+#include "common/linalg_op.h"
+#include "common/observer.h"
+#include "common/random.h"
+#include "common/threading_utils.h"
+#include "common/timer.h"
+#include "common/version.h"
 #include "xgboost/base.h"
 #include "xgboost/c_api.h"
 #include "xgboost/data.h"
-#include "xgboost/model.h"
-#include "xgboost/predictor.h"
 #include "xgboost/feature_map.h"
 #include "xgboost/gbm.h"
 #include "xgboost/generic_parameters.h"
 #include "xgboost/host_device_vector.h"
 #include "xgboost/json.h"
-#include "xgboost/learner.h"
 #include "xgboost/logging.h"
 #include "xgboost/metric.h"
+#include "xgboost/model.h"
 #include "xgboost/objective.h"
 #include "xgboost/parameter.h"
-
+#include "xgboost/predictor.h"
-#include "common/common.h"
-#include "common/io.h"
-#include "common/observer.h"
-#include "common/random.h"
-#include "common/timer.h"
-#include "common/charconv.h"
-#include "common/version.h"
-#include "common/threading_utils.h"
 
 namespace {
 
@@ -85,26 +86,29 @@ struct LearnerModelParamLegacy : public dmlc::Parameter<LearnerModelParamLegacy>
   uint32_t minor_version;
 
   uint32_t num_target{1};
+
+  int32_t base_score_estimated{0};
   /*! \brief reserved field */
-  int reserved[26];
+  int reserved[25];
   /*! \brief constructor */
   LearnerModelParamLegacy() {
     std::memset(this, 0, sizeof(LearnerModelParamLegacy));
-    base_score = 0.5f;
+    base_score = ObjFunction::DefaultBaseScore();
     num_target = 1;
     major_version = std::get<0>(Version::Self());
     minor_version = std::get<1>(Version::Self());
+    base_score_estimated = 0;
     static_assert(sizeof(LearnerModelParamLegacy) == 136,
                   "Do not change the size of this struct, as it will break binary IO.");
   }
+
   // Skip other legacy fields.
   Json ToJson() const {
     Object obj;
     char floats[NumericLimits<float>::kToCharsSize];
     auto ret = to_chars(floats, floats + NumericLimits<float>::kToCharsSize, base_score);
-    CHECK(ret.ec == std::errc());
+    CHECK(ret.ec == std::errc{});
-    obj["base_score"] =
+    obj["base_score"] = std::string{floats, static_cast<size_t>(std::distance(floats, ret.ptr))};
-        std::string{floats, static_cast<size_t>(std::distance(floats, ret.ptr))};
 
     char integers[NumericLimits<int64_t>::kToCharsSize];
     ret = to_chars(integers, integers + NumericLimits<int64_t>::kToCharsSize,
@@ -136,10 +140,14 @@ struct LearnerModelParamLegacy : public dmlc::Parameter<LearnerModelParamLegacy>
     }
 
     this->Init(m);
+
     std::string str = get<String const>(j_param.at("base_score"));
     from_chars(str.c_str(), str.c_str() + str.size(), base_score);
+    // It can only be estimated during the first training, we consider it estimated afterward
+    base_score_estimated = 1;
   }
-  inline LearnerModelParamLegacy ByteSwap() const {
+
+  LearnerModelParamLegacy ByteSwap() const {
     LearnerModelParamLegacy x = *this;
     dmlc::ByteSwap(&x.base_score, sizeof(x.base_score), 1);
     dmlc::ByteSwap(&x.num_feature, sizeof(x.num_feature), 1);
@@ -149,14 +157,30 @@ struct LearnerModelParamLegacy : public dmlc::Parameter<LearnerModelParamLegacy>
     dmlc::ByteSwap(&x.major_version, sizeof(x.major_version), 1);
     dmlc::ByteSwap(&x.minor_version, sizeof(x.minor_version), 1);
     dmlc::ByteSwap(&x.num_target, sizeof(x.num_target), 1);
+    dmlc::ByteSwap(&x.base_score_estimated, sizeof(x.base_score_estimated), 1);
     dmlc::ByteSwap(x.reserved, sizeof(x.reserved[0]), sizeof(x.reserved) / sizeof(x.reserved[0]));
     return x;
   }
 
+  template <typename Container>
+  Args UpdateAllowUnknown(Container const& kwargs) {
+    // Detect whether user has made their own base score.
+    if (std::find_if(kwargs.cbegin(), kwargs.cend(),
+                     [](auto const& kv) { return kv.first == "base_score"; }) != kwargs.cend()) {
+      base_score_estimated = true;
+    }
+    if (std::find_if(kwargs.cbegin(), kwargs.cend(), [](auto const& kv) {
+          return kv.first == "base_score_estimated";
+        }) != kwargs.cend()) {
+      LOG(FATAL) << "`base_score_estimated` cannot be specified as hyper-parameter.";
+    }
+    return dmlc::Parameter<LearnerModelParamLegacy>::UpdateAllowUnknown(kwargs);
+  }
+
   // declare parameters
   DMLC_DECLARE_PARAMETER(LearnerModelParamLegacy) {
     DMLC_DECLARE_FIELD(base_score)
-        .set_default(0.5f)
+        .set_default(ObjFunction::DefaultBaseScore())
         .describe("Global bias of the model.");
     DMLC_DECLARE_FIELD(num_feature)
         .set_default(0)
@@ -170,12 +194,12 @@ struct LearnerModelParamLegacy : public dmlc::Parameter<LearnerModelParamLegacy>
         .set_default(1)
         .set_lower_bound(1)
         .describe("Number of target for multi-target regression.");
+    DMLC_DECLARE_FIELD(base_score_estimated).set_default(0);
   }
 };
 
-LearnerModelParam::LearnerModelParam(LearnerModelParamLegacy const& user_param, float base_margin,
+LearnerModelParam::LearnerModelParam(LearnerModelParamLegacy const& user_param, ObjInfo t)
-                                     ObjInfo t)
+    : num_feature{user_param.num_feature}, task{t} {
-    : base_score{base_margin}, num_feature{user_param.num_feature}, task{t} {
   auto n_classes = std::max(static_cast<uint32_t>(user_param.num_class), 1u);
   auto n_targets = user_param.num_target;
   num_output_group = std::max(n_classes, n_targets);
@@ -185,6 +209,53 @@ LearnerModelParam::LearnerModelParam(LearnerModelParamLegacy const& user_param,
       << ", n_targets:" << n_targets;
 }
 
+LearnerModelParam::LearnerModelParam(Context const* ctx, LearnerModelParamLegacy const& user_param,
+                                     linalg::Tensor<float, 1> base_margin, ObjInfo t)
+    : LearnerModelParam{user_param, t} {
+  std::swap(base_score_, base_margin);
+  // Make sure read access everywhere for thread-safe prediction.
+  common::AsConst(base_score_).HostView();
+  if (!ctx->IsCPU()) {
+    common::AsConst(base_score_).View(ctx->gpu_id);
+  }
+  CHECK(common::AsConst(base_score_).Data()->HostCanRead());
+}
+
+linalg::TensorView<float const, 1> LearnerModelParam::BaseScore(int32_t device) const {
+  // multi-class is not yet supported.
+  CHECK_EQ(base_score_.Size(), 1);
+  if (device == Context::kCpuId) {
+    // Make sure that we won't run into race condition.
+    CHECK(base_score_.Data()->HostCanRead());
+    return base_score_.HostView();
+  }
+  // Make sure that we won't run into race condition.
+  CHECK(base_score_.Data()->DeviceCanRead());
+  auto v = base_score_.View(device);
+  CHECK(base_score_.Data()->HostCanRead());  // make sure read access is not removed.
+  return v;
+}
+
+linalg::TensorView<float const, 1> LearnerModelParam::BaseScore(Context const* ctx) const {
+  return this->BaseScore(ctx->gpu_id);
+}
+
+void LearnerModelParam::Copy(LearnerModelParam const& that) {
+  base_score_.Reshape(that.base_score_.Shape());
+  base_score_.Data()->SetDevice(that.base_score_.DeviceIdx());
+  base_score_.Data()->Copy(*that.base_score_.Data());
+  common::AsConst(base_score_).HostView();
+  if (that.base_score_.DeviceIdx() != Context::kCpuId) {
+    common::AsConst(base_score_).View(that.base_score_.DeviceIdx());
+  }
+  CHECK_EQ(base_score_.Data()->DeviceCanRead(), that.base_score_.Data()->DeviceCanRead());
+  CHECK(base_score_.Data()->HostCanRead());
+
+  num_feature = that.num_feature;
+  num_output_group = that.num_output_group;
+  task = that.task;
+}
+
 struct LearnerTrainParam : public XGBoostParameter<LearnerTrainParam> {
   // data split mode, can be row, col, or none.
   DataSplitMode dsplit {DataSplitMode::kAuto};
@@ -308,8 +379,61 @@ class LearnerConfiguration : public Learner {
   LearnerModelParamLegacy mparam_;
   LearnerModelParam learner_model_param_;
   LearnerTrainParam tparam_;
+  // Initial prediction.
   std::vector<std::string> metric_names_;
 
+  /**
+   * \brief Calculate the `base_score` based on input data.
+   *
+   * \param p_fmat The training DMatrix used to estimate the base score.
+   */
+  void InitBaseScore(DMatrix const* p_fmat) {
+    // Before 1.0.0, we save `base_score` into binary as a transformed value by objective.
+    // After 1.0.0 we save the value provided by user and keep it immutable instead.  To
+    // keep the stability, we initialize it in binary LoadModel instead of configuration.
+    // Under what condition should we omit the transformation:
+    //
+    // - base_score is loaded from old binary model.
+    //
+    // What are the other possible conditions:
+    //
+    // - model loaded from new binary or JSON.
+    // - model is created from scratch.
+    // - model is configured second time due to change of parameter
+    CHECK(obj_);
+    if (!mparam_.base_score_estimated) {
+      if (p_fmat) {
+        // We estimate it from input data.
+        linalg::Tensor<float, 1> base_score;
+        obj_->InitEstimation(p_fmat->Info(), &base_score);
+        mparam_.base_score = base_score(0);
+        CHECK(!std::isnan(mparam_.base_score));
+      } else {
+        mparam_.base_score = ObjFunction::DefaultBaseScore();
+      }
+      mparam_.base_score_estimated = true;
+      // Update the shared model parameter
+      this->ConfigureModelParam();
+    }
+  }
+
+  // Convert mparam to learner_model_param
+  void ConfigureModelParam() {
+    this->ConfigureTargets();
+
+    CHECK(obj_);
+    auto task = obj_->Task();
+    linalg::Tensor<float, 1> base_score({1}, Ctx()->gpu_id);
+    auto h_base_score = base_score.HostView();
+
+    // transform to margin
+    h_base_score(0) = obj_->ProbToMargin(mparam_.base_score);
+    // move it to model param, which is shared with all other components.
+    learner_model_param_ = LearnerModelParam(Ctx(), mparam_, std::move(base_score), task);
+    CHECK(learner_model_param_.Initialized());
+    CHECK_NE(learner_model_param_.BaseScore(Ctx()).Size(), 0);
+  }
+
  public:
   explicit LearnerConfiguration(std::vector<std::shared_ptr<DMatrix> > cache)
       : need_configuration_{true} {
@@ -329,22 +453,24 @@ class LearnerConfiguration : public Learner {
   // Configuration before data is known.
   void Configure() override {
     // Varient of double checked lock
-    if (!this->need_configuration_) { return; }
+    if (!this->need_configuration_) {
+      return;
+    }
     std::lock_guard<std::mutex> guard(config_lock_);
-    if (!this->need_configuration_) { return; }
+    if (!this->need_configuration_) {
+      return;
+    }
 
     monitor_.Start("Configure");
     auto old_tparam = tparam_;
     Args args = {cfg_.cbegin(), cfg_.cend()};
 
     tparam_.UpdateAllowUnknown(args);
-    auto mparam_backup = mparam_;
-
     mparam_.UpdateAllowUnknown(args);
 
-    auto initialized = generic_parameters_.GetInitialised();
+    auto initialized = ctx_.GetInitialised();
-    auto old_seed = generic_parameters_.seed;
+    auto old_seed = ctx_.seed;
-    generic_parameters_.UpdateAllowUnknown(args);
+    ctx_.UpdateAllowUnknown(args);
 
     ConsoleLogger::Configure(args);
 
@@ -355,8 +481,8 @@ class LearnerConfiguration : public Learner {
     }
 
     // set seed only before the model is initialized
-    if (!initialized || generic_parameters_.seed != old_seed) {
+    if (!initialized || ctx_.seed != old_seed) {
-      common::GlobalRandom().seed(generic_parameters_.seed);
+      common::GlobalRandom().seed(ctx_.seed);
     }
 
     // must precede configure gbm since num_features is required for gbm
@@ -364,31 +490,15 @@ class LearnerConfiguration : public Learner {
     args = {cfg_.cbegin(), cfg_.cend()};  // renew
     this->ConfigureObjective(old_tparam, &args);
 
-    auto task = this->ConfigureTargets();
+    learner_model_param_.task = obj_->Task();  // required by gbm configuration.
-
-    // Before 1.0.0, we save `base_score` into binary as a transformed value by objective.
-    // After 1.0.0 we save the value provided by user and keep it immutable instead.  To
-    // keep the stability, we initialize it in binary LoadModel instead of configuration.
-    // Under what condition should we omit the transformation:
-    //
-    // - base_score is loaded from old binary model.
-    //
-    // What are the other possible conditions:
-    //
-    // - model loaded from new binary or JSON.
-    // - model is created from scratch.
-    // - model is configured second time due to change of parameter
-    if (!learner_model_param_.Initialized() || mparam_.base_score != mparam_backup.base_score) {
-      learner_model_param_ =
-          LearnerModelParam(mparam_, obj_->ProbToMargin(mparam_.base_score), task);
-    }
-
     this->ConfigureGBM(old_tparam, args);
-    generic_parameters_.ConfigureGpuId(this->gbm_->UseGPU());
+    ctx_.ConfigureGpuId(this->gbm_->UseGPU());
+    this->ConfigureModelParam();
+
     this->ConfigureMetrics(args);
 
     this->need_configuration_ = false;
-    if (generic_parameters_.validate_parameters) {
+    if (ctx_.validate_parameters) {
       this->ValidateParameters();
     }
 
@@ -396,6 +506,11 @@ class LearnerConfiguration : public Learner {
     monitor_.Stop("Configure");
   }
 
+  void CheckModelInitialized() const {
+    CHECK(learner_model_param_.Initialized()) << "Model not yet initialized.";
+    CHECK_NE(learner_model_param_.BaseScore(this->Ctx()).Size(), 0);
+  }
+
   virtual PredictionContainer* GetPredictionCache() const {
     return &((*ThreadLocalPredictionCache::Get())[this]);
   }
@@ -417,7 +532,7 @@ class LearnerConfiguration : public Learner {
 
     auto const& objective_fn = learner_parameters.at("objective");
     if (!obj_) {
-      obj_.reset(ObjFunction::Create(tparam_.objective, &generic_parameters_));
+      obj_.reset(ObjFunction::Create(tparam_.objective, &ctx_));
     }
     obj_->LoadConfig(objective_fn);
     learner_model_param_.task = obj_->Task();
@@ -425,7 +540,7 @@ class LearnerConfiguration : public Learner {
     tparam_.booster = get<String>(gradient_booster["name"]);
     if (!gbm_) {
       gbm_.reset(GradientBooster::Create(tparam_.booster,
-                                         &generic_parameters_, &learner_model_param_));
+                                         &ctx_, &learner_model_param_));
     }
     gbm_->LoadConfig(gradient_booster);
 
@@ -441,15 +556,15 @@ class LearnerConfiguration : public Learner {
       } else {
         metric_names_[i] = get<String>(j_metrics[i]["name"]);
       }
-      metrics_[i] = std::unique_ptr<Metric>(Metric::Create(metric_names_[i], &generic_parameters_));
+      metrics_[i] = std::unique_ptr<Metric>(Metric::Create(metric_names_[i], &ctx_));
       if (!old_serialization) {
         metrics_[i]->LoadConfig(j_metrics[i]);
       }
     }
 
-    FromJson(learner_parameters.at("generic_param"), &generic_parameters_);
+    FromJson(learner_parameters.at("generic_param"), &ctx_);
     // make sure the GPU ID is valid in new environment before start running configure.
-    generic_parameters_.ConfigureGpuId(false);
+    ctx_.ConfigureGpuId(false);
 
     this->need_configuration_ = true;
   }
@@ -478,7 +593,7 @@ class LearnerConfiguration : public Learner {
     }
     learner_parameters["metrics"] = Array(std::move(metrics));
 
-    learner_parameters["generic_param"] = ToJson(generic_parameters_);
+    learner_parameters["generic_param"] = ToJson(ctx_);
   }
 
   void SetParam(const std::string& key, const std::string& value) override {
@@ -551,7 +666,7 @@ class LearnerConfiguration : public Learner {
     return cfg_;
   }
 
-  GenericParameter const* Ctx() const override { return &generic_parameters_; }
+  Context const* Ctx() const override { return &ctx_; }
 
  private:
   void ValidateParameters() {
@@ -654,7 +769,7 @@ class LearnerConfiguration : public Learner {
 
   void ConfigureGBM(LearnerTrainParam const& old, Args const& args) {
     if (gbm_ == nullptr || old.booster != tparam_.booster) {
-      gbm_.reset(GradientBooster::Create(tparam_.booster, &generic_parameters_,
+      gbm_.reset(GradientBooster::Create(tparam_.booster, &ctx_,
                                          &learner_model_param_));
     }
     gbm_->Configure(args);
@@ -678,7 +793,7 @@ class LearnerConfiguration : public Learner {
       cfg_["max_delta_step"] = kMaxDeltaStepDefaultValue;
     }
     if (obj_ == nullptr || tparam_.objective != old.objective) {
-      obj_.reset(ObjFunction::Create(tparam_.objective, &generic_parameters_));
+      obj_.reset(ObjFunction::Create(tparam_.objective, &ctx_));
     }
     auto& args = *p_args;
     args = {cfg_.cbegin(), cfg_.cend()};  // renew
@@ -691,7 +806,7 @@ class LearnerConfiguration : public Learner {
                         return m->Name() != name;
                       };
       if (std::all_of(metrics_.begin(), metrics_.end(), DupCheck)) {
-        metrics_.emplace_back(std::unique_ptr<Metric>(Metric::Create(name, &generic_parameters_)));
+        metrics_.emplace_back(std::unique_ptr<Metric>(Metric::Create(name, &ctx_)));
         mparam_.contain_eval_metrics = 1;
       }
     }
@@ -703,7 +818,7 @@ class LearnerConfiguration : public Learner {
   /**
    * Get number of targets from objective function.
    */
-  ObjInfo ConfigureTargets() {
+  void ConfigureTargets() {
     CHECK(this->obj_);
     auto const& cache = this->GetPredictionCache()->Container();
     size_t n_targets = 1;
@@ -722,7 +837,6 @@ class LearnerConfiguration : public Learner {
     } else {
       mparam_.num_target = n_targets;
     }
-    return this->obj_->Task();
   }
 };
 
@@ -754,14 +868,14 @@ class LearnerIO : public LearnerConfiguration {
 
     std::string name = get<String>(objective_fn["name"]);
     tparam_.UpdateAllowUnknown(Args{{"objective", name}});
-    obj_.reset(ObjFunction::Create(name, &generic_parameters_));
+    obj_.reset(ObjFunction::Create(name, &ctx_));
     obj_->LoadConfig(objective_fn);
 
     auto const& gradient_booster = learner.at("gradient_booster");
     name = get<String>(gradient_booster["name"]);
     tparam_.UpdateAllowUnknown(Args{{"booster", name}});
     gbm_.reset(
-        GradientBooster::Create(tparam_.booster, &generic_parameters_, &learner_model_param_));
+        GradientBooster::Create(tparam_.booster, &ctx_, &learner_model_param_));
     gbm_->LoadModel(gradient_booster);
 
     auto const& j_attributes = get<Object const>(learner.at("attributes"));
@@ -791,6 +905,7 @@ class LearnerIO : public LearnerConfiguration {
 
   void SaveModel(Json* p_out) const override {
     CHECK(!this->need_configuration_) << "Call Configure before saving model.";
+    this->CheckModelInitialized();
 
     Version::Save(p_out);
     Json& out { *p_out };
@@ -826,7 +941,7 @@ class LearnerIO : public LearnerConfiguration {
 
   // About to be deprecated by JSON format
   void LoadModel(dmlc::Stream* fi) override {
-    generic_parameters_.UpdateAllowUnknown(Args{});
+    ctx_.UpdateAllowUnknown(Args{});
     tparam_.Init(std::vector<std::pair<std::string, std::string>>{});
     // TODO(tqchen) mark deprecation of old format.
     common::PeekableInStream fp(fi);
@@ -881,8 +996,8 @@ class LearnerIO : public LearnerConfiguration {
     CHECK(fi->Read(&tparam_.objective)) << "BoostLearner: wrong model format";
     CHECK(fi->Read(&tparam_.booster)) << "BoostLearner: wrong model format";
 
-    obj_.reset(ObjFunction::Create(tparam_.objective, &generic_parameters_));
+    obj_.reset(ObjFunction::Create(tparam_.objective, &ctx_));
-    gbm_.reset(GradientBooster::Create(tparam_.booster, &generic_parameters_,
+    gbm_.reset(GradientBooster::Create(tparam_.booster, &ctx_,
                                        &learner_model_param_));
     gbm_->Load(fi);
     if (mparam_.contain_extra_attrs != 0) {
@@ -925,7 +1040,14 @@ class LearnerIO : public LearnerConfiguration {
     }
 
     learner_model_param_ =
-        LearnerModelParam(mparam_, obj_->ProbToMargin(mparam_.base_score), obj_->Task());
+        LearnerModelParam(&ctx_, mparam_,
+                          linalg::Tensor<float, 1>{{std::isnan(mparam_.base_score)
+                                                        ? std::numeric_limits<float>::quiet_NaN()
+                                                        : obj_->ProbToMargin(mparam_.base_score)},
+                                                   {1},
+                                                   Context::kCpuId},
+                          obj_->Task());
+
     if (attributes_.find("objective") != attributes_.cend()) {
       auto obj_str = attributes_.at("objective");
       auto j_obj = Json::Load({obj_str.c_str(), obj_str.size()});
@@ -969,6 +1091,8 @@ class LearnerIO : public LearnerConfiguration {
   // Save model into binary format.  The code is about to be deprecated by more robust
   // JSON serialization format.
   void SaveModel(dmlc::Stream* fo) const override {
+    this->CheckModelInitialized();
+
     LearnerModelParamLegacy mparam = mparam_;  // make a copy to potentially modify
     std::vector<std::pair<std::string, std::string> > extra_attr;
     mparam.contain_extra_attrs = 1;
@@ -1000,6 +1124,7 @@ class LearnerIO : public LearnerConfiguration {
       }
       extra_attr.emplace_back("metrics", os.str());
     }
+
     std::string header {"binf"};
     fo->Write(header.data(), 4);
     if (DMLC_IO_NO_ENDIAN_SWAP) {
@@ -1022,6 +1147,8 @@ class LearnerIO : public LearnerConfiguration {
   }
 
   void Save(dmlc::Stream* fo) const override {
+    this->CheckModelInitialized();
+
     Json memory_snapshot{Object()};
     memory_snapshot["Model"] = Object();
     auto& model = memory_snapshot["Model"];
@@ -1108,28 +1235,30 @@ class LearnerImpl : public LearnerIO {
     }
   }
 
-  std::vector<std::string> DumpModel(const FeatureMap& fmap,
+  std::vector<std::string> DumpModel(const FeatureMap& fmap, bool with_stats,
-                                     bool with_stats,
                                      std::string format) override {
     this->Configure();
+    this->CheckModelInitialized();
+
     return gbm_->DumpModel(fmap, with_stats, format);
   }
 
-  Learner *Slice(int32_t begin_layer, int32_t end_layer, int32_t step,
+  Learner* Slice(int32_t begin_layer, int32_t end_layer, int32_t step,
-                 bool *out_of_bound) override {
+                 bool* out_of_bound) override {
     this->Configure();
+    this->CheckModelInitialized();
+
     CHECK_NE(this->learner_model_param_.num_feature, 0);
     CHECK_GE(begin_layer, 0);
-    auto *out_impl = new LearnerImpl({});
+    auto* out_impl = new LearnerImpl({});
-    out_impl->learner_model_param_ = this->learner_model_param_;
+    out_impl->learner_model_param_.Copy(this->learner_model_param_);
-    out_impl->generic_parameters_ = this->generic_parameters_;
+    out_impl->ctx_ = this->ctx_;
     auto gbm = std::unique_ptr<GradientBooster>(GradientBooster::Create(
-        this->tparam_.booster, &out_impl->generic_parameters_,
+        this->tparam_.booster, &out_impl->ctx_, &out_impl->learner_model_param_));
-        &out_impl->learner_model_param_));
     this->gbm_->Slice(begin_layer, end_layer, step, gbm.get(), out_of_bound);
     out_impl->gbm_ = std::move(gbm);
 
-    Json config { Object() };
+    Json config{Object()};
     this->SaveConfig(&config);
     out_impl->mparam_ = this->mparam_;
     out_impl->attributes_ = this->attributes_;
@@ -1156,15 +1285,17 @@ class LearnerImpl : public LearnerIO {
     monitor_.Start("UpdateOneIter");
     TrainingObserver::Instance().Update(iter);
     this->Configure();
-    if (generic_parameters_.seed_per_iteration) {
+    this->InitBaseScore(train.get());
-      common::GlobalRandom().seed(generic_parameters_.seed * kRandSeedMagic + iter);
+
+    if (ctx_.seed_per_iteration) {
+      common::GlobalRandom().seed(ctx_.seed * kRandSeedMagic + iter);
     }
 
     this->CheckDataSplitMode();
     this->ValidateDMatrix(train.get(), true);
 
     auto local_cache = this->GetPredictionCache();
-    auto& predt = local_cache->Cache(train, generic_parameters_.gpu_id);
+    auto& predt = local_cache->Cache(train, ctx_.gpu_id);
 
     monitor_.Start("PredictRaw");
     this->PredictRaw(train.get(), &predt, true, 0, 0);
@@ -1184,14 +1315,18 @@ class LearnerImpl : public LearnerIO {
                     HostDeviceVector<GradientPair>* in_gpair) override {
     monitor_.Start("BoostOneIter");
     this->Configure();
-    if (generic_parameters_.seed_per_iteration) {
+    // Should have been set to default in the first prediction.
-      common::GlobalRandom().seed(generic_parameters_.seed * kRandSeedMagic + iter);
+    CHECK(mparam_.base_score_estimated);
+
+    if (ctx_.seed_per_iteration) {
+      common::GlobalRandom().seed(ctx_.seed * kRandSeedMagic + iter);
     }
 
     this->CheckDataSplitMode();
     this->ValidateDMatrix(train.get(), true);
+
     auto local_cache = this->GetPredictionCache();
-    local_cache->Cache(train, generic_parameters_.gpu_id);
+    local_cache->Cache(train, ctx_.gpu_id);
 
     gbm_->DoBoost(train.get(), in_gpair, &local_cache->Entry(train.get()), obj_.get());
     monitor_.Stop("BoostOneIter");
@@ -1202,23 +1337,24 @@ class LearnerImpl : public LearnerIO {
                           const std::vector<std::string>& data_names) override {
     monitor_.Start("EvalOneIter");
     this->Configure();
+    this->CheckModelInitialized();
 
     std::ostringstream os;
     os.precision(std::numeric_limits<double>::max_digits10);
     os << '[' << iter << ']' << std::setiosflags(std::ios::fixed);
     if (metrics_.size() == 0 && tparam_.disable_default_eval_metric <= 0) {
-      metrics_.emplace_back(Metric::Create(obj_->DefaultEvalMetric(), &generic_parameters_));
+      metrics_.emplace_back(Metric::Create(obj_->DefaultEvalMetric(), &ctx_));
       metrics_.back()->Configure({cfg_.begin(), cfg_.end()});
     }
 
     auto local_cache = this->GetPredictionCache();
     for (size_t i = 0; i < data_sets.size(); ++i) {
       std::shared_ptr<DMatrix> m = data_sets[i];
-      auto &predt = local_cache->Cache(m, generic_parameters_.gpu_id);
+      auto &predt = local_cache->Cache(m, ctx_.gpu_id);
       this->ValidateDMatrix(m.get(), false);
       this->PredictRaw(m.get(), &predt, false, 0, 0);
 
-      auto &out = output_predictions_.Cache(m, generic_parameters_.gpu_id).predictions;
+      auto &out = output_predictions_.Cache(m, ctx_.gpu_id).predictions;
       out.Resize(predt.predictions.Size());
       out.Copy(predt.predictions);
 
@@ -1241,6 +1377,9 @@ class LearnerImpl : public LearnerIO {
                                static_cast<int>(pred_interactions) +
                                static_cast<int>(pred_contribs);
     this->Configure();
+    this->InitBaseScore(nullptr);
+    this->CheckModelInitialized();
+
     CHECK_LE(multiple_predictions, 1) << "Perform one kind of prediction at a time.";
     if (pred_contribs) {
       gbm_->PredictContribution(data.get(), out_preds, layer_begin, layer_end, approx_contribs);
@@ -1251,10 +1390,10 @@ class LearnerImpl : public LearnerIO {
       gbm_->PredictLeaf(data.get(), out_preds, layer_begin, layer_end);
     } else {
       auto local_cache = this->GetPredictionCache();
-      auto& prediction = local_cache->Cache(data, generic_parameters_.gpu_id);
+      auto& prediction = local_cache->Cache(data, ctx_.gpu_id);
       this->PredictRaw(data.get(), &prediction, training, layer_begin, layer_end);
       // Copy the prediction cache to output prediction. out_preds comes from C API
-      out_preds->SetDevice(generic_parameters_.gpu_id);
+      out_preds->SetDevice(ctx_.gpu_id);
       out_preds->Resize(prediction.predictions.Size());
       out_preds->Copy(prediction.predictions);
       if (!output_margin) {
@@ -1268,8 +1407,10 @@ class LearnerImpl : public LearnerIO {
     CHECK(!this->need_configuration_);
     return this->gbm_->BoostedRounds();
   }
+
   uint32_t Groups() const override {
     CHECK(!this->need_configuration_);
+    this->CheckModelInitialized();
     return this->learner_model_param_.num_output_group;
   }
 
@@ -1281,6 +1422,9 @@ class LearnerImpl : public LearnerIO {
                       HostDeviceVector<bst_float>** out_preds, uint32_t iteration_begin,
                       uint32_t iteration_end) override {
     this->Configure();
+    this->InitBaseScore(nullptr);
+    this->CheckModelInitialized();
+
     auto& out_predictions = this->GetThreadLocal().prediction_entry;
     this->gbm_->InplacePredict(p_m, missing, &out_predictions, iteration_begin, iteration_end);
     if (type == PredictionType::kValue) {
@@ -1296,6 +1440,8 @@ class LearnerImpl : public LearnerIO {
   void CalcFeatureScore(std::string const& importance_type, common::Span<int32_t const> trees,
                         std::vector<bst_feature_t>* features, std::vector<float>* scores) override {
     this->Configure();
+    this->CheckModelInitialized();
+
     gbm_->FeatureScore(importance_type, trees, features, scores);
   }
 
@@ -1315,17 +1461,17 @@ class LearnerImpl : public LearnerIO {
   void PredictRaw(DMatrix *data, PredictionCacheEntry *out_preds, bool training,
                   unsigned layer_begin, unsigned layer_end) const {
     CHECK(gbm_ != nullptr) << "Predict must happen after Load or configuration";
+    this->CheckModelInitialized();
     this->ValidateDMatrix(data, false);
     gbm_->PredictBatch(data, out_preds, training, layer_begin, layer_end);
   }
 
   void ValidateDMatrix(DMatrix* p_fmat, bool is_training) const {
     MetaInfo const& info = p_fmat->Info();
-    info.Validate(generic_parameters_.gpu_id);
+    info.Validate(ctx_.gpu_id);
 
     auto const row_based_split = [this]() {
-      return tparam_.dsplit == DataSplitMode::kRow ||
+      return tparam_.dsplit == DataSplitMode::kRow || tparam_.dsplit == DataSplitMode::kAuto;
-             tparam_.dsplit == DataSplitMode::kAuto;
     };
     if (row_based_split()) {
       if (is_training) {

src/objective/adaptive.h

@@ -7,6 +7,7 @@
 #include <limits>
 #include <vector>
 
+#include "../common/common.h"
 #include "rabit/rabit.h"
 #include "xgboost/generic_parameters.h"
 #include "xgboost/host_device_vector.h"

src/objective/objective.cc

@@ -1,10 +1,10 @@
 /*!
- * Copyright 2015 by Contributors
+ * Copyright 2015-2022 by Contributors
  * \file objective.cc
  * \brief Registry of all objective functions.
  */
-#include <xgboost/objective.h>
 #include <dmlc/registry.h>
+#include <xgboost/objective.h>
 
 #include <sstream>
 
@@ -31,6 +31,11 @@ ObjFunction* ObjFunction::Create(const std::string& name, GenericParameter const
   return pobj;
 }
 
+void ObjFunction::InitEstimation(MetaInfo const&, linalg::Tensor<float, 1>* base_score) const {
+  CHECK(base_score);
+  base_score->Reshape(1);
+  (*base_score)(0) = DefaultBaseScore();
+}
 }  // namespace xgboost
 
 namespace xgboost {

src/objective/regression_obj.cu

@@ -15,7 +15,9 @@
 
 #include "../common/common.h"
 #include "../common/linalg_op.h"
+#include "../common/numeric.h"  // Reduce
 #include "../common/pseudo_huber.h"
+#include "../common/stats.h"
 #include "../common/threading_utils.h"
 #include "../common/transform.h"
 #include "./regression_loss.h"
@@ -37,14 +39,18 @@
 namespace xgboost {
 namespace obj {
 namespace {
-void CheckRegInputs(MetaInfo const& info, HostDeviceVector<bst_float> const& preds) {
+void CheckInitInputs(MetaInfo const& info) {
   CHECK_EQ(info.labels.Shape(0), info.num_row_) << "Invalid shape of labels.";
-  CHECK_EQ(info.labels.Size(), preds.Size()) << "Invalid shape of labels.";
   if (!info.weights_.Empty()) {
     CHECK_EQ(info.weights_.Size(), info.num_row_)
         << "Number of weights should be equal to number of data points.";
   }
 }
+
+void CheckRegInputs(MetaInfo const& info, HostDeviceVector<bst_float> const& preds) {
+  CheckInitInputs(info);
+  CHECK_EQ(info.labels.Size(), preds.Size()) << "Invalid shape of labels.";
+}
 }  // anonymous namespace
 
 #if defined(XGBOOST_USE_CUDA)
@@ -698,6 +704,33 @@ class MeanAbsoluteError : public ObjFunction {
     });
   }
 
+  void InitEstimation(MetaInfo const& info, linalg::Tensor<float, 1>* base_margin) const override {
+    CheckInitInputs(info);
+    base_margin->Reshape(1);
+    auto out = base_margin->HostView();
+
+    double w{0.0};
+    if (info.weights_.Empty()) {
+      w = static_cast<double>(info.num_row_);
+    } else {
+      w = common::Reduce(ctx_, info.weights_);
+    }
+
+    if (info.num_row_ == 0) {
+      out(0) = 0;
+    } else {
+      // weighted avg
+      out(0) = common::Median(ctx_, info.labels, info.weights_) * w;
+    }
+
+    // Weighted average base score across all workers
+    rabit::Allreduce<rabit::op::Sum>(out.Values().data(), out.Values().size());
+    rabit::Allreduce<rabit::op::Sum>(&w, 1);
+
+    std::transform(linalg::cbegin(out), linalg::cend(out), linalg::begin(out),
+                   [w](float v) { return v / w; });
+  }
+
   void UpdateTreeLeaf(HostDeviceVector<bst_node_t> const& position, MetaInfo const& info,
                       HostDeviceVector<float> const& prediction, RegTree* p_tree) const override {
     if (ctx_->IsCPU()) {

src/predictor/cpu_predictor.cc

@@ -429,11 +429,12 @@ class CPUPredictor : public Predictor {
     }
     out_preds->resize(model.learner_model_param->num_output_group *
                       (model.param.size_leaf_vector + 1));
+    auto base_score = model.learner_model_param->BaseScore(ctx_)(0);
     // loop over output groups
     for (uint32_t gid = 0; gid < model.learner_model_param->num_output_group; ++gid) {
-      (*out_preds)[gid] = PredValue(inst, model.trees, model.tree_info, gid,
+      (*out_preds)[gid] =
-                                    &feat_vecs[0], 0, ntree_limit) +
+          PredValue(inst, model.trees, model.tree_info, gid, &feat_vecs[0], 0, ntree_limit) +
-                          model.learner_model_param->base_score;
+          base_score;
     }
   }
 
@@ -504,7 +505,8 @@ class CPUPredictor : public Predictor {
     common::ParallelFor(ntree_limit, n_threads, [&](bst_omp_uint i) {
       FillNodeMeanValues(model.trees[i].get(), &(mean_values[i]));
     });
-    auto base_margin = info.base_margin_.View(GenericParameter::kCpuId);
+    auto base_margin = info.base_margin_.View(Context::kCpuId);
+    auto base_score = model.learner_model_param->BaseScore(Context::kCpuId)(0);
     // start collecting the contributions
     for (const auto &batch : p_fmat->GetBatches<SparsePage>()) {
       auto page = batch.GetView();
@@ -548,7 +550,7 @@ class CPUPredictor : public Predictor {
             CHECK_EQ(base_margin.Shape(1), ngroup);
             p_contribs[ncolumns - 1] += base_margin(row_idx, gid);
           } else {
-            p_contribs[ncolumns - 1] += model.learner_model_param->base_score;
+            p_contribs[ncolumns - 1] += base_score;
           }
         }
       });

src/predictor/gpu_predictor.cu

@@ -511,7 +511,7 @@ void ExtractPaths(
           n = d_nodes[n.Parent() + tree_offset];
           path_length++;
         }
-        return PathInfo{int64_t(idx), path_length, tree_idx};
+        return PathInfo{static_cast<int64_t>(idx), path_length, tree_idx};
       });
   auto end = thrust::copy_if(
       thrust::cuda::par(alloc), nodes_transform,
@@ -859,13 +859,13 @@ class GPUPredictor : public xgboost::Predictor {
     // Add the base margin term to last column
     p_fmat->Info().base_margin_.SetDevice(ctx_->gpu_id);
     const auto margin = p_fmat->Info().base_margin_.Data()->ConstDeviceSpan();
-    float base_score = model.learner_model_param->base_score;
+
-    dh::LaunchN(
+    auto base_score = model.learner_model_param->BaseScore(ctx_);
-        p_fmat->Info().num_row_ * model.learner_model_param->num_output_group,
+    dh::LaunchN(p_fmat->Info().num_row_ * model.learner_model_param->num_output_group,
-        [=] __device__(size_t idx) {
+                [=] __device__(size_t idx) {
-          phis[(idx + 1) * contributions_columns - 1] +=
+                  phis[(idx + 1) * contributions_columns - 1] +=
-              margin.empty() ? base_score : margin[idx];
+                      margin.empty() ? base_score(0) : margin[idx];
-        });
+                });
   }
 
   void PredictInteractionContributions(DMatrix* p_fmat,
@@ -918,17 +918,17 @@ class GPUPredictor : public xgboost::Predictor {
     // Add the base margin term to last column
     p_fmat->Info().base_margin_.SetDevice(ctx_->gpu_id);
     const auto margin = p_fmat->Info().base_margin_.Data()->ConstDeviceSpan();
-    float base_score = model.learner_model_param->base_score;
+
+    auto base_score = model.learner_model_param->BaseScore(ctx_);
     size_t n_features = model.learner_model_param->num_feature;
-    dh::LaunchN(
+    dh::LaunchN(p_fmat->Info().num_row_ * model.learner_model_param->num_output_group,
-        p_fmat->Info().num_row_ * model.learner_model_param->num_output_group,
+                [=] __device__(size_t idx) {
-        [=] __device__(size_t idx) {
+                  size_t group = idx % ngroup;
-          size_t group = idx % ngroup;
+                  size_t row_idx = idx / ngroup;
-          size_t row_idx = idx / ngroup;
+                  phis[gpu_treeshap::IndexPhiInteractions(row_idx, ngroup, group, n_features,
-          phis[gpu_treeshap::IndexPhiInteractions(
+                                                          n_features, n_features)] +=
-              row_idx, ngroup, group, n_features, n_features, n_features)] +=
+                      margin.empty() ? base_score(0) : margin[idx];
-              margin.empty() ? base_score : margin[idx];
+                });
-        });
   }
 
   void PredictInstance(const SparsePage::Inst&,

src/predictor/predictor.cc

@@ -80,14 +80,15 @@ void Predictor::InitOutPredictions(const MetaInfo& info, HostDeviceVector<bst_fl
   if (ctx_->gpu_id >= 0) {
     out_preds->SetDevice(ctx_->gpu_id);
   }
-  if (base_margin->Size() != 0) {
+  if (!base_margin->Empty()) {
     out_preds->Resize(n);
     ValidateBaseMarginShape(info.base_margin_, info.num_row_, n_classes);
     out_preds->Copy(*base_margin);
   } else {
-    out_preds->Resize(n);
     // cannot rely on the Resize to fill as it might skip if the size is already correct.
-    out_preds->Fill(model.learner_model_param->base_score);
+    out_preds->Resize(n);
+    auto base_score = model.learner_model_param->BaseScore(Context::kCpuId)(0);
+    out_preds->Fill(base_score);
   }
 }
 }  // namespace xgboost

tests/cpp/common/test_numeric.cc

@@ -29,5 +29,15 @@ TEST(Numeric, PartialSum) {
     ASSERT_EQ(sol, result);
   }
 }
+
+TEST(Numeric, Reduce) {
+  Context ctx;
+  ASSERT_TRUE(ctx.IsCPU());
+  HostDeviceVector<float> values(20);
+  auto& h_values = values.HostVector();
+  std::iota(h_values.begin(), h_values.end(), 0.0f);
+  auto sum = Reduce(&ctx, values);
+  ASSERT_EQ(sum, (values.Size() - 1) * values.Size() / 2);
+}
 }  // namespace common
 }  // namespace xgboost

tests/cpp/common/test_stats.cc

@@ -54,5 +54,20 @@ TEST(Stats, WeightedQuantile) {
   q = WeightedQuantile(1.0, beg, end, w);
   ASSERT_EQ(q, 5);
 }
+
+TEST(Stats, Median) {
+  linalg::Tensor<float, 2> values{{.0f, .0f, 1.f, 2.f}, {4}, Context::kCpuId};
+  Context ctx;
+  HostDeviceVector<float> weights;
+  auto m = Median(&ctx, values, weights);
+  ASSERT_EQ(m, .5f);
+
+#if defined(XGBOOST_USE_CUDA)
+  ctx.gpu_id = 0;
+  ASSERT_FALSE(ctx.IsCPU());
+  m = Median(&ctx, values, weights);
+  ASSERT_EQ(m, .5f);
+#endif  // defined(XGBOOST_USE_CUDA)
+}
 }  // namespace common
 }  // namespace xgboost

tests/cpp/gbm/test_gblinear.cc

@@ -19,15 +19,11 @@ namespace gbm {
 TEST(GBLinear, JsonIO) {
   size_t constexpr kRows = 16, kCols = 16;
 
-  LearnerModelParam param;
+  Context ctx;
-  param.num_feature = kCols;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  param.num_output_group = 1;
 
-  GenericParameter gparam;
+  std::unique_ptr<GradientBooster> gbm{
-  gparam.Init(Args{});
+      CreateTrainedGBM("gblinear", Args{}, kRows, kCols, &mparam, &ctx)};
-
-  std::unique_ptr<GradientBooster> gbm {
-    CreateTrainedGBM("gblinear", Args{}, kRows, kCols, &param, &gparam) };
   Json model { Object() };
   gbm->SaveModel(&model);
   ASSERT_TRUE(IsA<Object>(model));

tests/cpp/gbm/test_gbtree.cc

@@ -18,15 +18,11 @@ namespace xgboost {
 TEST(GBTree, SelectTreeMethod) {
   size_t constexpr kCols = 10;
 
-  GenericParameter generic_param;
+  Context ctx;
-  generic_param.UpdateAllowUnknown(Args{});
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  LearnerModelParam mparam;
-  mparam.base_score = 0.5;
-  mparam.num_feature = kCols;
-  mparam.num_output_group = 1;
 
   std::unique_ptr<GradientBooster> p_gbm {
-    GradientBooster::Create("gbtree", &generic_param, &mparam)};
+    GradientBooster::Create("gbtree", &ctx, &mparam)};
   auto& gbtree = dynamic_cast<gbm::GBTree&> (*p_gbm);
 
   // Test if `tree_method` can be set
@@ -45,7 +41,7 @@ TEST(GBTree, SelectTreeMethod) {
   ASSERT_EQ(tparam.updater_seq, "grow_quantile_histmaker");
 
 #ifdef XGBOOST_USE_CUDA
-  generic_param.UpdateAllowUnknown(Args{{"gpu_id", "0"}});
+  ctx.UpdateAllowUnknown(Args{{"gpu_id", "0"}});
   gbtree.Configure({{"tree_method", "gpu_hist"}});
   ASSERT_EQ(tparam.updater_seq, "grow_gpu_hist");
   gbtree.Configure({{"booster", "dart"}, {"tree_method", "gpu_hist"}});
@@ -55,15 +51,11 @@ TEST(GBTree, SelectTreeMethod) {
 
 TEST(GBTree, PredictionCache) {
   size_t constexpr kRows = 100, kCols = 10;
-  GenericParameter generic_param;
+  Context ctx;
-  generic_param.UpdateAllowUnknown(Args{});
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  LearnerModelParam mparam;
-  mparam.base_score = 0.5;
-  mparam.num_feature = kCols;
-  mparam.num_output_group = 1;
 
   std::unique_ptr<GradientBooster> p_gbm {
-    GradientBooster::Create("gbtree", &generic_param, &mparam)};
+    GradientBooster::Create("gbtree", &ctx, &mparam)};
   auto& gbtree = dynamic_cast<gbm::GBTree&> (*p_gbm);
 
   gbtree.Configure({{"tree_method", "hist"}});
@@ -176,16 +168,11 @@ TEST(GBTree, ChoosePredictor) {
 TEST(GBTree, JsonIO) {
   size_t constexpr kRows = 16, kCols = 16;
 
-  LearnerModelParam mparam;
+  Context ctx;
-  mparam.num_feature = kCols;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  mparam.num_output_group = 1;
-  mparam.base_score = 0.5;
-
-  GenericParameter gparam;
-  gparam.Init(Args{});
 
   std::unique_ptr<GradientBooster> gbm {
-    CreateTrainedGBM("gbtree", Args{}, kRows, kCols, &mparam, &gparam) };
+    CreateTrainedGBM("gbtree", Args{}, kRows, kCols, &mparam, &ctx) };
 
   Json model {Object()};
   model["model"] = Object();
@@ -215,16 +202,11 @@ TEST(GBTree, JsonIO) {
 TEST(Dart, JsonIO) {
   size_t constexpr kRows = 16, kCols = 16;
 
-  LearnerModelParam mparam;
+  Context ctx;
-  mparam.num_feature = kCols;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  mparam.base_score = 0.5;
-  mparam.num_output_group = 1;
 
-  GenericParameter gparam;
+  std::unique_ptr<GradientBooster> gbm{
-  gparam.Init(Args{});
+      CreateTrainedGBM("dart", Args{}, kRows, kCols, &mparam, &ctx)};
-
-  std::unique_ptr<GradientBooster> gbm {
-    CreateTrainedGBM("dart", Args{}, kRows, kCols, &mparam, &gparam) };
 
   Json model {Object()};
   model["model"] = Object();

tests/cpp/helpers.h

@@ -451,5 +451,16 @@ class RMMAllocator;
 using RMMAllocatorPtr = std::unique_ptr<RMMAllocator, void(*)(RMMAllocator*)>;
 RMMAllocatorPtr SetUpRMMResourceForCppTests(int argc, char** argv);
 
+/*
+ * \brief Make learner model param
+ */
+inline LearnerModelParam MakeMP(bst_feature_t n_features, float base_score, uint32_t n_groups,
+                                int32_t device = Context::kCpuId) {
+  size_t shape[1]{1};
+  LearnerModelParam mparam(n_features, linalg::Tensor<float, 1>{{base_score}, shape, device},
+                           n_groups);
+  return mparam;
+}
+
 }  // namespace xgboost
 #endif

tests/cpp/linear/test_linear.cc

@@ -18,10 +18,7 @@ TEST(Linear, Shotgun) {
   auto p_fmat = xgboost::RandomDataGenerator(kRows, kCols, 0).GenerateDMatrix();
 
   auto lparam = xgboost::CreateEmptyGenericParam(GPUIDX);
-  LearnerModelParam mparam;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  mparam.num_feature = kCols;
-  mparam.num_output_group = 1;
-  mparam.base_score = 0.5;
 
   {
     auto updater = std::unique_ptr<xgboost::LinearUpdater>(
@@ -54,10 +51,7 @@ TEST(Linear, coordinate) {
   auto p_fmat = xgboost::RandomDataGenerator(kRows, kCols, 0).GenerateDMatrix();
 
   auto lparam = xgboost::CreateEmptyGenericParam(GPUIDX);
-  LearnerModelParam mparam;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  mparam.num_feature = kCols;
-  mparam.num_output_group = 1;
-  mparam.base_score = 0.5;
 
   auto updater = std::unique_ptr<xgboost::LinearUpdater>(
       xgboost::LinearUpdater::Create("coord_descent", &lparam));

tests/cpp/linear/test_linear.cu

@@ -13,15 +13,11 @@ TEST(Linear, GPUCoordinate) {
   size_t constexpr kCols = 10;
 
   auto mat = xgboost::RandomDataGenerator(kRows, kCols, 0).GenerateDMatrix();
-  auto lparam = CreateEmptyGenericParam(GPUIDX);
+  auto ctx = CreateEmptyGenericParam(GPUIDX);
-
-  LearnerModelParam mparam;
-  mparam.num_feature = kCols;
-  mparam.num_output_group = 1;
-  mparam.base_score = 0.5;
 
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
   auto updater = std::unique_ptr<xgboost::LinearUpdater>(
-      xgboost::LinearUpdater::Create("gpu_coord_descent", &lparam));
+      xgboost::LinearUpdater::Create("gpu_coord_descent", &ctx));
   updater->Configure({{"eta", "1."}});
   xgboost::HostDeviceVector<xgboost::GradientPair> gpair(
       mat->Info().num_row_, xgboost::GradientPair(-5, 1.0));

tests/cpp/predictor/test_cpu_predictor.cc

@@ -21,14 +21,11 @@ TEST(CpuPredictor, Basic) {
   size_t constexpr kRows = 5;
   size_t constexpr kCols = 5;
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(kCols, .0, 1)};
-  param.num_feature = kCols;
-  param.base_score = 0.0;
-  param.num_output_group = 1;
 
   GenericParameter ctx;
   ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model = CreateTestModel(&param, &ctx);
+  gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx);
 
   auto dmat = RandomDataGenerator(kRows, kCols, 0).GenerateDMatrix();
 
@@ -104,14 +101,11 @@ TEST(CpuPredictor, ExternalMemory) {
   std::unique_ptr<Predictor> cpu_predictor =
       std::unique_ptr<Predictor>(Predictor::Create("cpu_predictor", &lparam));
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(dmat->Info().num_col_, .0, 1)};
-  param.base_score = 0;
-  param.num_feature = dmat->Info().num_col_;
-  param.num_output_group = 1;
 
   GenericParameter ctx;
   ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model = CreateTestModel(&param, &ctx);
+  gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx);
 
   // Test predict batch
   PredictionCacheEntry out_predictions;
@@ -201,16 +195,11 @@ TEST(CpuPredictor, InplacePredict) {
 
 void TestUpdatePredictionCache(bool use_subsampling) {
   size_t constexpr kRows = 64, kCols = 16, kClasses = 4;
-  LearnerModelParam mparam;
+  LearnerModelParam mparam{MakeMP(kCols, .0, kClasses)};
-  mparam.num_feature = kCols;
+  Context ctx;
-  mparam.num_output_group = kClasses;
-  mparam.base_score = 0;
-
-  GenericParameter gparam;
-  gparam.Init(Args{});
 
   std::unique_ptr<gbm::GBTree> gbm;
-  gbm.reset(static_cast<gbm::GBTree*>(GradientBooster::Create("gbtree", &gparam, &mparam)));
+  gbm.reset(static_cast<gbm::GBTree*>(GradientBooster::Create("gbtree", &ctx, &mparam)));
   std::map<std::string, std::string> cfg;
   cfg["tree_method"] = "hist";
   cfg["predictor"]   = "cpu_predictor";

tests/cpp/predictor/test_gpu_predictor.cu

@@ -1,5 +1,5 @@
 /*!
- * Copyright 2017-2020 XGBoost contributors
+ * Copyright 2017-2022 XGBoost contributors
  */
 #include <gtest/gtest.h>
 #include <xgboost/c_api.h>
@@ -34,14 +34,10 @@ TEST(GPUPredictor, Basic) {
     int n_row = i, n_col = i;
     auto dmat = RandomDataGenerator(n_row, n_col, 0).GenerateDMatrix();
 
-    LearnerModelParam param;
+    Context ctx;
-    param.num_feature = n_col;
+    ctx.gpu_id = 0;
-    param.num_output_group = 1;
+    LearnerModelParam mparam{MakeMP(n_col, .5, 1, ctx.gpu_id)};
-    param.base_score = 0.5;
+    gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx);
-
-    GenericParameter ctx;
-    ctx.UpdateAllowUnknown(Args{});
-    gbm::GBTreeModel model = CreateTestModel(&param, &ctx);
 
     // Test predict batch
     PredictionCacheEntry gpu_out_predictions;
@@ -93,15 +89,12 @@ TEST(GPUPredictor, ExternalMemoryTest) {
       std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &lparam));
   gpu_predictor->Configure({});
 
-  LearnerModelParam param;
-  param.num_feature = 5;
   const int n_classes = 3;
-  param.num_output_group = n_classes;
+  Context ctx;
-  param.base_score = 0.5;
+  ctx.gpu_id = 0;
+  LearnerModelParam mparam{MakeMP(5, .5, n_classes, ctx.gpu_id)};
 
-  GenericParameter ctx;
+  gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx, n_classes);
-  ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model = CreateTestModel(&param, &ctx, n_classes);
   std::vector<std::unique_ptr<DMatrix>> dmats;
 
   dmats.push_back(CreateSparsePageDMatrix(400));
@@ -171,15 +164,10 @@ TEST(GpuPredictor, LesserFeatures) {
 TEST(GPUPredictor, ShapStump) {
   cudaSetDevice(0);
 
-  LearnerModelParam param;
+  Context ctx;
-  param.num_feature = 1;
+  ctx.gpu_id = 0;
-  param.num_output_group = 1;
+  LearnerModelParam mparam{MakeMP(1, .5, 1, ctx.gpu_id)};
-  param.base_score = 0.5;
+  gbm::GBTreeModel model(&mparam, &ctx);
-
-  GenericParameter ctx;
-  ctx.UpdateAllowUnknown(Args{});
-
-  gbm::GBTreeModel model(&param, &ctx);
 
   std::vector<std::unique_ptr<RegTree>> trees;
   trees.push_back(std::unique_ptr<RegTree>(new RegTree));
@@ -193,24 +181,20 @@ TEST(GPUPredictor, ShapStump) {
   auto dmat = RandomDataGenerator(3, 1, 0).GenerateDMatrix();
   gpu_predictor->PredictContribution(dmat.get(), &predictions, model);
   auto& phis = predictions.HostVector();
+  auto base_score = mparam.BaseScore(Context::kCpuId)(0);
   EXPECT_EQ(phis[0], 0.0);
-  EXPECT_EQ(phis[1], param.base_score);
+  EXPECT_EQ(phis[1], base_score);
   EXPECT_EQ(phis[2], 0.0);
-  EXPECT_EQ(phis[3], param.base_score);
+  EXPECT_EQ(phis[3], base_score);
   EXPECT_EQ(phis[4], 0.0);
-  EXPECT_EQ(phis[5], param.base_score);
+  EXPECT_EQ(phis[5], base_score);
 }
 
 TEST(GPUPredictor, Shap) {
-  LearnerModelParam param;
+  Context ctx;
-  param.num_feature = 1;
+  ctx.gpu_id = 0;
-  param.num_output_group = 1;
+  LearnerModelParam mparam{MakeMP(1, .5, 1, ctx.gpu_id)};
-  param.base_score = 0.5;
+  gbm::GBTreeModel model(&mparam, &ctx);
-
-  GenericParameter ctx;
-  ctx.UpdateAllowUnknown(Args{});
-
-  gbm::GBTreeModel model(&param, &ctx);
 
   std::vector<std::unique_ptr<RegTree>> trees;
   trees.push_back(std::unique_ptr<RegTree>(new RegTree));
@@ -258,14 +242,9 @@ TEST(GPUPredictor, PredictLeafBasic) {
       std::unique_ptr<Predictor>(Predictor::Create("gpu_predictor", &lparam));
   gpu_predictor->Configure({});
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(kCols, .0, 1)};
-  param.num_feature = kCols;
+  Context ctx;
-  param.base_score = 0.0;
+  gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx);
-  param.num_output_group = 1;
-
-  GenericParameter ctx;
-  ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model = CreateTestModel(&param, &ctx);
 
   HostDeviceVector<float> leaf_out_predictions;
   gpu_predictor->PredictLeaf(dmat.get(), &leaf_out_predictions, model);

tests/cpp/predictor/test_predictor.cc

@@ -210,11 +210,7 @@ void TestCategoricalPrediction(std::string name) {
   size_t constexpr kCols = 10;
   PredictionCacheEntry out_predictions;
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  param.num_feature = kCols;
-  param.num_output_group = 1;
-  param.base_score = 0.5;
-
   uint32_t split_ind = 3;
   bst_cat_t split_cat = 4;
   float left_weight = 1.3f;
@@ -222,7 +218,7 @@ void TestCategoricalPrediction(std::string name) {
 
   GenericParameter ctx;
   ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model(&param, &ctx);
+  gbm::GBTreeModel model(&mparam, &ctx);
   GBTreeModelForTest(&model, split_ind, split_cat, left_weight, right_weight);
 
   ctx.UpdateAllowUnknown(Args{{"gpu_id", "0"}});
@@ -237,27 +233,24 @@ void TestCategoricalPrediction(std::string name) {
 
   predictor->InitOutPredictions(m->Info(), &out_predictions.predictions, model);
   predictor->PredictBatch(m.get(), &out_predictions, model, 0);
+  auto score = mparam.BaseScore(Context::kCpuId)(0);
   ASSERT_EQ(out_predictions.predictions.Size(), 1ul);
   ASSERT_EQ(out_predictions.predictions.HostVector()[0],
-            right_weight + param.base_score);  // go to right for matching cat
+            right_weight + score);  // go to right for matching cat
 
   row[split_ind] = split_cat + 1;
   m = GetDMatrixFromData(row, 1, kCols);
   out_predictions.version = 0;
   predictor->InitOutPredictions(m->Info(), &out_predictions.predictions, model);
   predictor->PredictBatch(m.get(), &out_predictions, model, 0);
-  ASSERT_EQ(out_predictions.predictions.HostVector()[0],
+  ASSERT_EQ(out_predictions.predictions.HostVector()[0], left_weight + score);
-            left_weight + param.base_score);
 }
 
 void TestCategoricalPredictLeaf(StringView name) {
   size_t constexpr kCols = 10;
   PredictionCacheEntry out_predictions;
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(kCols, .5, 1)};
-  param.num_feature = kCols;
-  param.num_output_group = 1;
-  param.base_score = 0.5;
 
   uint32_t split_ind = 3;
   bst_cat_t split_cat = 4;
@@ -267,7 +260,7 @@ void TestCategoricalPredictLeaf(StringView name) {
   GenericParameter ctx;
   ctx.UpdateAllowUnknown(Args{});
 
-  gbm::GBTreeModel model(&param, &ctx);
+  gbm::GBTreeModel model(&mparam, &ctx);
   GBTreeModelForTest(&model, split_ind, split_cat, left_weight, right_weight);
 
   ctx.gpu_id = 0;

tests/cpp/predictor/test_predictor.h

@@ -12,11 +12,7 @@ void TestPredictionFromGradientIndex(std::string name, size_t rows, size_t cols,
                                      std::shared_ptr<DMatrix> p_hist) {
   constexpr size_t kClasses { 3 };
 
-  LearnerModelParam param;
+  LearnerModelParam mparam{MakeMP(cols, .5, kClasses)};
-  param.num_feature = cols;
-  param.num_output_group = kClasses;
-  param.base_score = 0.5;
-
   auto lparam = CreateEmptyGenericParam(0);
 
   std::unique_ptr<Predictor> predictor =
@@ -25,7 +21,7 @@ void TestPredictionFromGradientIndex(std::string name, size_t rows, size_t cols,
 
   GenericParameter ctx;
   ctx.UpdateAllowUnknown(Args{});
-  gbm::GBTreeModel model = CreateTestModel(&param, &ctx, kClasses);
+  gbm::GBTreeModel model = CreateTestModel(&mparam, &ctx, kClasses);
 
   {
     auto p_precise = RandomDataGenerator(rows, cols, 0).GenerateDMatrix();

tests/cpp/test_learner.cc

@@ -3,8 +3,10 @@
  */
 #include <gtest/gtest.h>
 #include <xgboost/learner.h>
+#include <xgboost/objective.h>  // ObjFunction
 #include <xgboost/version_config.h>
 
+#include <string>  // std::stof, std::string
 #include <thread>
 #include <vector>
 
@@ -206,8 +208,7 @@ TEST(Learner, MultiThreadedPredict) {
   p_dmat->Info().labels.Reshape(kRows);
   CHECK_NE(p_dmat->Info().num_col_, 0);
 
-  std::shared_ptr<DMatrix> p_data{
+  std::shared_ptr<DMatrix> p_data{RandomDataGenerator{kRows, kCols, 0}.GenerateDMatrix()};
-      RandomDataGenerator{kRows, kCols, 0}.GenerateDMatrix()};
   CHECK_NE(p_data->Info().num_col_, 0);
 
   std::shared_ptr<Learner> learner{Learner::Create({p_dmat})};
@@ -448,4 +449,77 @@ TEST(Learner, MultiTarget) {
     EXPECT_THROW({ learner->Configure(); }, dmlc::Error);
   }
 }
+
+/**
+ * Test the model initialization sequence is correctly performed.
+ */
+TEST(Learner, InitEstimation) {
+  size_t constexpr kCols = 10;
+  auto Xy = RandomDataGenerator{10, kCols, 0}.GenerateDMatrix(true);
+
+  {
+    std::unique_ptr<Learner> learner{Learner::Create({Xy})};
+    learner->SetParam("objective", "reg:absoluteerror");
+    learner->Configure();
+    HostDeviceVector<float> predt;
+    learner->Predict(Xy, false, &predt, 0, 0);
+
+    auto h_predt = predt.ConstHostSpan();
+    for (auto v : h_predt) {
+      ASSERT_EQ(v, ObjFunction::DefaultBaseScore());
+    }
+    Json config{Object{}};
+    learner->SaveConfig(&config);
+    auto base_score =
+        std::stof(get<String const>(config["learner"]["learner_model_param"]["base_score"]));
+    // No base score is estimated yet.
+    ASSERT_EQ(base_score, ObjFunction::DefaultBaseScore());
+  }
+
+  {
+    std::unique_ptr<Learner> learner{Learner::Create({Xy})};
+    learner->SetParam("objective", "reg:absoluteerror");
+    learner->UpdateOneIter(0, Xy);
+
+    HostDeviceVector<float> predt;
+    learner->Predict(Xy, false, &predt, 0, 0);
+    auto h_predt = predt.ConstHostSpan();
+    for (auto v : h_predt) {
+      ASSERT_NE(v, ObjFunction::DefaultBaseScore());
+    }
+
+    Json config{Object{}};
+    learner->SaveConfig(&config);
+    auto base_score =
+        std::stof(get<String const>(config["learner"]["learner_model_param"]["base_score"]));
+    ASSERT_NE(base_score, ObjFunction::DefaultBaseScore());
+
+    ASSERT_THROW(
+        {
+          learner->SetParam("base_score_estimated", "1");
+          learner->Configure();
+        },
+        dmlc::Error);
+  }
+
+  {
+    std::unique_ptr<Learner> learner{Learner::Create({Xy})};
+    learner->SetParam("objective", "reg:absoluteerror");
+    learner->SetParam("base_score", "1.3");
+    learner->Configure();
+    HostDeviceVector<float> predt;
+    learner->Predict(Xy, false, &predt, 0, 0);
+    auto h_predt = predt.ConstHostSpan();
+    for (auto v : h_predt) {
+      ASSERT_FLOAT_EQ(v, 1.3);
+    }
+    learner->UpdateOneIter(0, Xy);
+    Json config{Object{}};
+    learner->SaveConfig(&config);
+    auto base_score =
+        std::stof(get<String const>(config["learner"]["learner_model_param"]["base_score"]));
+    // no change
+    ASSERT_FLOAT_EQ(base_score, 1.3);
+  }
+}
 }  // namespace xgboost

tests/cpp/test_serialization.cc

@@ -418,6 +418,45 @@ TEST_F(SerializationTest, GPUCoordDescent) {
 }
 #endif  // defined(XGBOOST_USE_CUDA)
 
+class L1SerializationTest : public SerializationTest {};
+
+TEST_F(L1SerializationTest, Exact) {
+  TestLearnerSerialization({{"booster", "gbtree"},
+                            {"objective", "reg:absoluteerror"},
+                            {"seed", "0"},
+                            {"max_depth", "2"},
+                            {"tree_method", "exact"}},
+                           fmap_, p_dmat_);
+}
+
+TEST_F(L1SerializationTest, Approx) {
+  TestLearnerSerialization({{"booster", "gbtree"},
+                            {"objective", "reg:absoluteerror"},
+                            {"seed", "0"},
+                            {"max_depth", "2"},
+                            {"tree_method", "approx"}},
+                           fmap_, p_dmat_);
+}
+
+TEST_F(L1SerializationTest, Hist) {
+  TestLearnerSerialization({{"booster", "gbtree"},
+                            {"objective", "reg:absoluteerror"},
+                            {"seed", "0"},
+                            {"max_depth", "2"},
+                            {"tree_method", "hist"}},
+                           fmap_, p_dmat_);
+}
+
+#if defined(XGBOOST_USE_CUDA)
+TEST_F(L1SerializationTest, GpuHist) {
+  TestLearnerSerialization({{"booster", "gbtree"},
+                            {"objective", "reg:absoluteerror"},
+                            {"seed", "0"},
+                            {"max_depth", "2"},
+                            {"tree_method", "gpu_hist"}},
+                           fmap_, p_dmat_);
+}
+#endif  //  defined(XGBOOST_USE_CUDA)
 
 class LogitSerializationTest : public SerializationTest {
  protected:

tests/python-gpu/test_gpu_updaters.py

@@ -208,3 +208,8 @@ class TestGPUUpdaters:
         param = dataset.set_params(param)
         result = train_result(param, dataset.get_dmat(), 10)
         assert tm.non_increasing(result['train'][dataset.metric])
+
+    @pytest.mark.skipif(**tm.no_sklearn())
+    @pytest.mark.parametrize("weighted", [True, False])
+    def test_adaptive(self, weighted) -> None:
+        self.cputest.run_adaptive("gpu_hist", weighted)

tests/python/test_model_compatibility.py

@@ -102,34 +102,38 @@ def run_scikit_model_check(name, path):
 
 @pytest.mark.skipif(**tm.no_sklearn())
 def test_model_compatibility():
-    '''Test model compatibility, can only be run on CI as others don't
+    """Test model compatibility, can only be run on CI as others don't
     have the credentials.
 
-    '''
+    """
     path = os.path.dirname(os.path.abspath(__file__))
-    path = os.path.join(path, 'models')
+    path = os.path.join(path, "models")
 
-    zip_path, _ = urllib.request.urlretrieve('https://xgboost-ci-jenkins-artifacts.s3-us-west-2' +
+    if not os.path.exists(path):
-                                             '.amazonaws.com/xgboost_model_compatibility_test.zip')
+        zip_path, _ = urllib.request.urlretrieve(
-    with zipfile.ZipFile(zip_path, 'r') as z:
+            "https://xgboost-ci-jenkins-artifacts.s3-us-west-2"
-        z.extractall(path)
+            + ".amazonaws.com/xgboost_model_compatibility_test.zip"
+        )
+        with zipfile.ZipFile(zip_path, "r") as z:
+            z.extractall(path)
 
     models = [
-        os.path.join(root, f) for root, subdir, files in os.walk(path)
+        os.path.join(root, f)
+        for root, subdir, files in os.walk(path)
         for f in files
-        if f != 'version'
+        if f != "version"
     ]
     assert models
 
     for path in models:
         name = os.path.basename(path)
-        if name.startswith('xgboost-'):
+        if name.startswith("xgboost-"):
             booster = xgboost.Booster(model_file=path)
             run_booster_check(booster, name)
             # Do full serialization.
             booster = copy.copy(booster)
             run_booster_check(booster, name)
-        elif name.startswith('xgboost_scikit'):
+        elif name.startswith("xgboost_scikit"):
             run_scikit_model_check(name, path)
         else:
             assert False

tests/python/test_updaters.py

@@ -1,4 +1,4 @@
-from random import choice
+import json
 from string import ascii_lowercase
 from typing import Dict, Any
 import testing as tm
@@ -397,3 +397,72 @@ class TestTreeMethod:
     def test_categorical_missing(self, rows, cols, cats):
         self.run_categorical_missing(rows, cols, cats, "approx")
         self.run_categorical_missing(rows, cols, cats, "hist")
+
+    def run_adaptive(self, tree_method, weighted) -> None:
+        rng = np.random.RandomState(1994)
+        from sklearn.datasets import make_regression
+        from sklearn.utils import stats
+
+        n_samples = 256
+        X, y = make_regression(n_samples, 16, random_state=rng)
+        if weighted:
+            w = rng.normal(size=n_samples)
+            w -= w.min()
+            Xy = xgb.DMatrix(X, y, weight=w)
+            base_score = stats._weighted_percentile(y, w, percentile=50)
+        else:
+            Xy = xgb.DMatrix(X, y)
+            base_score = np.median(y)
+
+        booster_0 = xgb.train(
+            {
+                "tree_method": tree_method,
+                "base_score": base_score,
+                "objective": "reg:absoluteerror",
+            },
+            Xy,
+            num_boost_round=1,
+        )
+        booster_1 = xgb.train(
+            {"tree_method": tree_method, "objective": "reg:absoluteerror"},
+            Xy,
+            num_boost_round=1,
+        )
+        config_0 = json.loads(booster_0.save_config())
+        config_1 = json.loads(booster_1.save_config())
+
+        def get_score(config: Dict) -> float:
+            return float(config["learner"]["learner_model_param"]["base_score"])
+
+        assert get_score(config_0) == get_score(config_1)
+
+        raw_booster = booster_1.save_raw(raw_format="deprecated")
+        booster_2 = xgb.Booster(model_file=raw_booster)
+        config_2 = json.loads(booster_2.save_config())
+        assert get_score(config_1) == get_score(config_2)
+
+        raw_booster = booster_1.save_raw(raw_format="ubj")
+        booster_2 = xgb.Booster(model_file=raw_booster)
+        config_2 = json.loads(booster_2.save_config())
+        assert get_score(config_1) == get_score(config_2)
+
+        booster_0 = xgb.train(
+            {
+                "tree_method": tree_method,
+                "base_score": base_score + 1.0,
+                "objective": "reg:absoluteerror",
+            },
+            Xy,
+            num_boost_round=1,
+        )
+        config_0 = json.loads(booster_0.save_config())
+        np.testing.assert_allclose(get_score(config_0), get_score(config_1) + 1)
+
+    @pytest.mark.skipif(**tm.no_sklearn())
+    @pytest.mark.parametrize(
+        "tree_method,weighted", [
+            ("approx", False), ("hist", False), ("approx", True), ("hist", True)
+        ]
+    )
+    def test_adaptive(self, tree_method, weighted) -> None:
+        self.run_adaptive(tree_method, weighted)

tests/python/test_with_dask.py

@@ -1537,13 +1537,56 @@ class TestWithDask:
     @pytest.mark.skipif(**tm.no_dask())
     @pytest.mark.gtest
     def test_quantile_same_on_all_workers(self) -> None:
-        self.run_quantile('SameOnAllWorkers')
+        self.run_quantile("SameOnAllWorkers")
+
+    def test_adaptive(self) -> None:
+        def get_score(config: Dict) -> float:
+            return float(config["learner"]["learner_model_param"]["base_score"])
+
+        def local_test(rabit_args: List[bytes], worker_id: int) -> bool:
+            with xgb.dask.RabitContext(rabit_args):
+                if worker_id == 0:
+                    y = np.array([0.0, 0.0, 0.0])
+                    x = np.array([[0.0]] * 3)
+                else:
+                    y = np.array([1000.0])
+                    x = np.array(
+                        [
+                            [0.0],
+                        ]
+                    )
+
+                Xy = xgb.DMatrix(x, y)
+                booster = xgb.train(
+                    {"tree_method": "hist", "objective": "reg:absoluteerror"},
+                    Xy,
+                    num_boost_round=1,
+                )
+                config = json.loads(booster.save_config())
+                base_score = get_score(config)
+                assert base_score == 250.0
+                return True
+
+        with LocalCluster(n_workers=2, dashboard_address=":0") as cluster:
+            with Client(cluster) as client:
+                workers = _get_client_workers(client)
+                rabit_args = client.sync(
+                    xgb.dask._get_rabit_args, len(workers), None, client
+                )
+                futures = []
+                for i, _ in enumerate(workers):
+                    f = client.submit(local_test, rabit_args, i)
+                    futures.append(f)
+
+                results = client.gather(futures)
+                assert all(results)
 
     def test_n_workers(self) -> None:
         with LocalCluster(n_workers=2, dashboard_address=":0") as cluster:
             with Client(cluster) as client:
                 workers = _get_client_workers(client)
                 from sklearn.datasets import load_breast_cancer
+
                 X, y = load_breast_cancer(return_X_y=True)
                 dX = client.submit(da.from_array, X, workers=[workers[0]]).result()
                 dy = client.submit(da.from_array, y, workers=[workers[0]]).result()