[R] release 1.5.0.2 (#7452)

* [R] release 1.5.0.2

* Add cmake list to r build ignore.

.github/workflows/jvm_tests.yml

@@ -9,7 +9,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [windows-latest, ubuntu-latest]
+        os: [windows-latest, ubuntu-latest, macos-10.15]
 
     steps:
     - uses: actions/checkout@v2

.github/workflows/python_tests.yml

@@ -51,7 +51,8 @@ jobs:
     strategy:
       matrix:
         config:
-          - {os: windows-2016, compiler: 'msvc', python-version: '3.8'}
+          - {os: windows-2016, python-version: '3.8'}
+          - {os: macos-10.15, python-version "3.8" }
 
     steps:
     - uses: actions/checkout@v2
@@ -71,15 +72,27 @@ jobs:
         conda info
         conda list
 
-    - name: Build XGBoost with msvc
+    - name: Build XGBoost on Windows
       shell: bash -l {0}
-      if: matrix.config.compiler == 'msvc'
+      if: matrix.config.os == 'windows-2016'
       run: |
         mkdir build_msvc
         cd build_msvc
         cmake .. -G"Visual Studio 15 2017" -DCMAKE_CONFIGURATION_TYPES="Release" -A x64 -DGOOGLE_TEST=ON  -DUSE_DMLC_GTEST=ON
         cmake --build . --config Release --parallel $(nproc)
 
+    - name: Build XGBoost on macos
+      if: matrix.config.os == 'macos-10.15'
+      run: |
+        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/679923b4eb48a8dc7ecc1f05d06063cd79b3fc00/Formula/libomp.rb -O $(find $(brew --repository) -name libomp.rb)
+        brew install ninja libomp
+        brew pin libomp
+
+        mkdir build
+        cd build
+        cmake .. -GNinja -DGOOGLE_TEST=ON -DUSE_DMLC_GTEST=ON
+        ninja
+
     - name: Install Python package
       shell: bash -l {0}
       run: |
@@ -92,3 +105,21 @@ jobs:
       shell: bash -l {0}
       run: |
         pytest -s -v ./tests/python
+
+    - name: Rename Python wheel
+      shell: bash -l {0}
+      if: matrix.config.os == 'macos-10.15'
+      run: |
+        TAG=macosx_10_15_x86_64.macosx_11_0_x86_64.macosx_12_0_x86_64
+        python tests/ci_build/rename_whl.py python-package/dist/*.whl ${{ github.sha }} ${TAG}
+
+    - name: Upload Python wheel
+      shell: bash -l {0}
+      if: |
+        (github.ref == 'refs/heads/master' || contains(github.ref, 'refs/heads/release_')) &&
+        matrix.os == 'macos-latest'
+      run: |
+        python -m awscli s3 cp python-package/dist/*.whl s3://xgboost-nightly-builds/${{ steps.extract_branch.outputs.branch }}/ --acl public-read
+      env:
+        AWS_ACCESS_KEY_ID: ${{ secrets.AWS_ACCESS_KEY_ID_IAM_S3_UPLOADER }}
+        AWS_SECRET_ACCESS_KEY: ${{ secrets.AWS_SECRET_ACCESS_KEY_IAM_S3_UPLOADER }}

.github/workflows/r_tests.yml

@@ -3,7 +3,7 @@ name: XGBoost-R-Tests
 on: [push, pull_request]
 
 env:
-  R_PACKAGES: c('XML', 'igraph', 'data.table', 'ggplot2', 'DiagrammeR', 'Ckmeans.1d.dp', 'vcd', 'testthat', 'lintr', 'knitr', 'rmarkdown', 'e1071', 'cplm', 'devtools', 'float', 'titanic')
+  R_PACKAGES: c('XML', 'data.table', 'ggplot2', 'DiagrammeR', 'Ckmeans.1d.dp', 'vcd', 'testthat', 'lintr', 'knitr', 'rmarkdown', 'e1071', 'cplm', 'devtools', 'float', 'titanic')
   GITHUB_PAT: ${{ secrets.GITHUB_TOKEN }}
 
 jobs:
@@ -40,6 +40,11 @@ jobs:
         install.packages(${{ env.R_PACKAGES }},
                          repos = 'http://cloud.r-project.org',
                          dependencies = c('Depends', 'Imports', 'LinkingTo'))
+    - name: Install igraph on Windows
+      shell: Rscript {0}
+      if: matrix.config.os == 'windows-latest'
+      run: |
+        install.packages('igraph', type='binary')
 
     - name: Run lintr
       run: |
@@ -83,6 +88,11 @@ jobs:
         install.packages(${{ env.R_PACKAGES }},
                          repos = 'http://cloud.r-project.org',
                          dependencies = c('Depends', 'Imports', 'LinkingTo'))
+    - name: Install igraph on Windows
+      shell: Rscript {0}
+      if: matrix.config.os == 'windows-2016'
+      run: |
+        install.packages('igraph', type='binary', dependencies = c('Depends', 'Imports', 'LinkingTo'))
 
     - uses: actions/setup-python@v2
       with:
@@ -91,7 +101,7 @@ jobs:
 
     - name: Test R
       run: |
-        python tests/ci_build/test_r_package.py --compiler="${{ matrix.config.compiler }}" --build-tool="${{ matrix.config.build }}"
+        python tests/ci_build/test_r_package.py --compiler='${{ matrix.config.compiler }}' --build-tool='${{ matrix.config.build }}'
 
   test-R-CRAN:
     runs-on: ubuntu-latest
@@ -115,7 +125,7 @@ jobs:
 
     - name: Install system packages
       run: |
-        sudo apt-get update && sudo apt-get install libcurl4-openssl-dev libssl-dev libssh2-1-dev libgit2-dev pandoc pandoc-citeproc
+        sudo apt-get update && sudo apt-get install libcurl4-openssl-dev libssl-dev libssh2-1-dev libgit2-dev pandoc pandoc-citeproc libglpk-dev
 
     - name: Cache R packages
       uses: actions/cache@v2
@@ -130,6 +140,7 @@ jobs:
         install.packages(${{ env.R_PACKAGES }},
                          repos = 'http://cloud.r-project.org',
                          dependencies = c('Depends', 'Imports', 'LinkingTo'))
+        install.packages('igraph', repos = 'http://cloud.r-project.org', dependencies = c('Depends', 'Imports', 'LinkingTo'))
 
     - name: Check R Package
       run: |

.travis.yml

@@ -10,14 +10,6 @@ env:
 
 jobs:
   include:
-    - os: osx
-      arch: amd64
-      osx_image: xcode10.2
-      env: TASK=python_test
-    - os: osx
-      arch: amd64
-      osx_image: xcode10.2
-      env: TASK=java_test
     - os: linux
       arch: s390x
       env: TASK=s390x_test
@@ -33,8 +25,6 @@ addons:
 
 before_install:
   - source tests/travis/travis_setup_env.sh
-  - if [ "${TASK}" != "python_sdist_test" ]; then export PYTHONPATH=${PYTHONPATH}:${PWD}/python-package; fi
-  - echo "MAVEN_OPTS='-Xmx2g -XX:MaxPermSize=1024m -XX:ReservedCodeCacheSize=512m -Dorg.slf4j.simpleLogger.defaultLogLevel=error'" > ~/.mavenrc
 
 install:
   - source tests/travis/setup.sh

R-package/.Rbuildignore

@@ -4,3 +4,4 @@
 ^.*\.Rproj$
 ^\.Rproj\.user$
 README.md
+CMakeLists.txt

R-package/DESCRIPTION

@@ -1,8 +1,8 @@
 Package: xgboost
 Type: Package
 Title: Extreme Gradient Boosting
-Version: 1.5.0.1
+Version: 1.5.0.2
-Date: 2020-08-28
+Date: 2021-11-19
 Authors@R: c(
   person("Tianqi", "Chen", role = c("aut"),
          email = "tianqi.tchen@gmail.com"),

R-package/R/xgb.Booster.R

@@ -397,6 +397,7 @@ predict.xgb.Booster <- function(object, newdata, missing = NA, outputmargin = FA
   shape <- predts$shape
   ret <- predts$results
 
+  n_ret <- length(ret)
   n_row <- nrow(newdata)
   if (n_row != shape[1]) {
     stop("Incorrect predict shape.")
@@ -405,36 +406,55 @@ predict.xgb.Booster <- function(object, newdata, missing = NA, outputmargin = FA
   arr <- array(data = ret, dim = rev(shape))
 
   cnames <- if (!is.null(colnames(newdata))) c(colnames(newdata), "BIAS") else NULL
+  n_groups <- shape[2]
+
+  ## Needed regardless of whether strict shape is being used.
   if (predcontrib) {
     dimnames(arr) <- list(cnames, NULL, NULL)
-    if (!strict_shape) {
-      arr <- aperm(a = arr, perm = c(2, 3, 1)) # [group, row, col]
-    }
   } else if (predinteraction) {
     dimnames(arr) <- list(cnames, cnames, NULL, NULL)
-    if (!strict_shape) {
-      arr <- aperm(a = arr, perm = c(3, 4, 1, 2)) # [group, row, col, col]
   }
+  if (strict_shape) {
+    return(arr) # strict shape is calculated by libxgboost uniformly.
   }
 
-  if (!strict_shape) {
-    n_groups <- shape[2]
   if (predleaf) {
-      arr <- matrix(arr, nrow = n_row, byrow = TRUE)
+    ## Predict leaf
-    } else if (predcontrib && n_groups != 1) {
+    arr <- if (n_ret == n_row) {
-      arr <- lapply(seq_len(n_groups), function(g) arr[g, , ])
+      matrix(arr, ncol = 1)
-    } else if (predinteraction && n_groups != 1) {
+    } else {
-      arr <- lapply(seq_len(n_groups), function(g) arr[g, , , ])
+      matrix(arr, nrow = n_row, byrow = TRUE)
-    } else if (!reshape && n_groups != 1) {
-      arr <- ret
-    } else if (reshape && n_groups != 1) {
-      arr <- matrix(arr, ncol = n_groups, byrow = TRUE)
     }
-    arr <- drop(arr)
+  } else if (predcontrib) {
-    if (length(dim(arr)) == 1) {
+    ## Predict contribution
-      arr <- as.vector(arr)
+    arr <- aperm(a = arr, perm = c(2, 3, 1)) # [group, row, col]
-    } else if (length(dim(arr)) == 2) {
+    arr <- if (n_ret == n_row) {
-      arr <- as.matrix(arr)
+      matrix(arr, ncol =  1, dimnames = list(NULL, cnames))
+    } else if (n_groups != 1) {
+      ## turns array into list of matrices
+      lapply(seq_len(n_groups), function(g) arr[g, , ])
+    } else {
+      ## remove the first axis (group)
+      as.matrix(arr[1, , ])
+    }
+  } else if (predinteraction) {
+    ## Predict interaction
+    arr <- aperm(a = arr, perm = c(3, 4, 1, 2)) # [group, row, col, col]
+    arr <- if (n_ret == n_row) {
+      matrix(arr, ncol = 1, dimnames = list(NULL, cnames))
+    } else if (n_groups != 1) {
+      ## turns array into list of matrices
+      lapply(seq_len(n_groups), function(g) arr[g, , , ])
+    } else {
+      ## remove the first axis (group)
+      arr[1, , , ]
+    }
+  } else {
+    ## Normal prediction
+    arr <- if (reshape && n_groups != 1) {
+      matrix(arr, ncol = n_groups, byrow = TRUE)
+    } else {
+      as.vector(ret)
     }
   }
   return(arr)

R-package/R/xgb.DMatrix.R

@@ -11,6 +11,7 @@
 #' @param missing a float value to represents missing values in data (used only when input is a dense matrix).
 #'        It is useful when a 0 or some other extreme value represents missing values in data.
 #' @param silent whether to suppress printing an informational message after loading from a file.
+#' @param nthread Number of threads used for creating DMatrix.
 #' @param ... the \code{info} data could be passed directly as parameters, without creating an \code{info} list.
 #'
 #' @examples

R-package/R/xgb.importance.R

@@ -115,14 +115,14 @@ xgb.importance <- function(feature_names = NULL, model = NULL, trees = NULL,
   } else {
     concatenated <- list()
     output_names <- vector()
-    for (importance_type in c("weight", "gain", "cover")) {
+    for (importance_type in c("weight", "total_gain", "total_cover")) {
-      args <- list(importance_type = importance_type, feature_names = feature_names)
+      args <- list(importance_type = importance_type, feature_names = feature_names, tree_idx = trees)
       results <- .Call(
         XGBoosterFeatureScore_R, model$handle, jsonlite::toJSON(args, auto_unbox = TRUE, null = "null")
       )
       names(results) <- c("features", "shape", importance_type)
       concatenated[
-        switch(importance_type, "weight" = "Frequency", "gain" = "Gain", "cover" = "Cover")
+        switch(importance_type, "weight" = "Frequency", "total_gain" = "Gain", "total_cover" = "Cover")
       ] <- results[importance_type]
       output_names <- results$features
     }

R-package/R/xgboost.R

@@ -9,8 +9,8 @@ xgboost <- function(data = NULL, label = NULL, missing = NA, weight = NULL,
                     early_stopping_rounds = NULL, maximize = NULL,
                     save_period = NULL, save_name = "xgboost.model",
                     xgb_model = NULL, callbacks = list(), ...) {
-
+  merged <- check.booster.params(params, ...)
-  dtrain <- xgb.get.DMatrix(data, label, missing, weight, nthread = params$nthread)
+  dtrain <- xgb.get.DMatrix(data, label, missing, weight, nthread = merged$nthread)
 
   watchlist <- list(train = dtrain)
 

R-package/man/xgb.DMatrix.Rd

@@ -4,7 +4,14 @@
 \alias{xgb.DMatrix}
 \title{Construct xgb.DMatrix object}
 \usage{
-xgb.DMatrix(data, info = list(), missing = NA, silent = FALSE, ...)
+xgb.DMatrix(
+  data,
+  info = list(),
+  missing = NA,
+  silent = FALSE,
+  nthread = NULL,
+  ...
+)
 }
 \arguments{
 \item{data}{a \code{matrix} object (either numeric or integer), a \code{dgCMatrix} object, or a character
@@ -18,6 +25,8 @@ It is useful when a 0 or some other extreme value represents missing values in d
 
 \item{silent}{whether to suppress printing an informational message after loading from a file.}
 
+\item{nthread}{Number of threads used for creating DMatrix.}
+
 \item{...}{the \code{info} data could be passed directly as parameters, without creating an \code{info} list.}
 }
 \description{

R-package/tests/testthat/test_helpers.R

@@ -1,3 +1,4 @@
+library(testthat)
 context('Test helper functions')
 
 require(xgboost)
@@ -227,7 +228,7 @@ if (grepl('Windows', Sys.info()[['sysname']]) ||
       X <- 10^runif(100, -20, 20)
       if (capabilities('long.double')) {
           X2X <- as.numeric(format(X, digits = 17))
-          expect_identical(X, X2X)
+          expect_equal(X, X2X, tolerance = float_tolerance)
       }
       # retrieved attributes to be the same as written
       for (x in X) {
@@ -310,7 +311,35 @@ test_that("xgb.importance works with and without feature names", {
   # for multiclass
   imp.Tree <- xgb.importance(model = mbst.Tree)
   expect_equal(dim(imp.Tree), c(4, 4))
-  xgb.importance(model = mbst.Tree, trees = seq(from = 0, by = nclass, length.out = nrounds))
+
+  trees <- seq(from = 0, by = 2, length.out = 2)
+  importance <- xgb.importance(feature_names = feature.names, model = bst.Tree, trees = trees)
+
+  importance_from_dump <- function() {
+    model_text_dump <- xgb.dump(model = bst.Tree, with_stats = TRUE, trees = trees)
+    imp <- xgb.model.dt.tree(
+      feature_names = feature.names,
+      text = model_text_dump,
+      trees = trees
+    )[
+      Feature != "Leaf", .(
+        Gain = sum(Quality),
+        Cover = sum(Cover),
+        Frequency = .N
+      ),
+      by = Feature
+    ][
+      , `:=`(
+        Gain = Gain / sum(Gain),
+        Cover = Cover / sum(Cover),
+        Frequency = Frequency / sum(Frequency)
+      )
+    ][
+      order(Gain, decreasing = TRUE)
+    ]
+    imp
+  }
+  expect_equal(importance_from_dump(), importance, tolerance = 1e-6)
 })
 
 test_that("xgb.importance works with GLM model", {

cmake/Python_version.in

@@ -1 +1 @@
-@xgboost_VERSION_MAJOR@.@xgboost_VERSION_MINOR@.@xgboost_VERSION_PATCH@-dev
+@xgboost_VERSION_MAJOR@.@xgboost_VERSION_MINOR@.@xgboost_VERSION_PATCH@

doc/contrib/release.rst

@@ -18,7 +18,7 @@ Making a Release
 
 1. Create an issue for the release, noting the estimated date and expected features or major fixes, pin that issue.
 2. Bump release version.
-   1. Modify ``CMakeLists.txt`` source tree, run CMake.
+   1. Modify ``CMakeLists.txt`` in source tree and ``cmake/Python_version.in`` if needed, run CMake.
    2. Modify ``DESCRIPTION`` in R-package.
    3. Run ``change_version.sh`` in ``jvm-packages/dev``
 3. Commit the change, create a PR on GitHub on release branch.  Port the bumped version to default branch, optionally with the postfix ``SNAPSHOT``.

doc/prediction.rst

@@ -32,8 +32,8 @@ After 1.4 release, we added a new parameter called ``strict_shape``, one can set
 - When using ``output_margin`` to avoid transformation and ``strict_shape`` is set to ``True``:
 
   Similar to the previous case, output is a 2-dim array, except for that ``multi:softmax``
-  has equivalent output of ``multi:softprob`` due to dropped transformation.  If strict
+  has equivalent output shape of ``multi:softprob`` due to dropped transformation.  If
-  shape is set to False then output can have 1 or 2 dim depending on used model.
+  strict shape is set to False then output can have 1 or 2 dim depending on used model.
 
 - When using ``preds_contribs`` with ``strict_shape`` set to ``True``:
 

include/xgboost/data.h

@@ -211,7 +211,7 @@ struct Entry {
  */
 struct BatchParam {
   /*! \brief The GPU device to use. */
-  int gpu_id;
+  int gpu_id {-1};
   /*! \brief Maximum number of bins per feature for histograms. */
   int max_bin{0};
   /*! \brief Hessian, used for sketching with future approx implementation. */

include/xgboost/gbm.h

@@ -182,9 +182,10 @@ class GradientBooster : public Model, public Configurable {
                                              bool with_stats,
                                              std::string format) const = 0;
 
-  virtual void FeatureScore(std::string const &importance_type,
+  virtual void FeatureScore(std::string const& importance_type,
-                            std::vector<bst_feature_t> *features,
+                            common::Span<int32_t const> trees,
-                            std::vector<float> *scores) const = 0;
+                            std::vector<bst_feature_t>* features,
+                            std::vector<float>* scores) const = 0;
   /*!
    * \brief Whether the current booster uses GPU.
    */

include/xgboost/learner.h

@@ -155,9 +155,10 @@ class Learner : public Model, public Configurable, public dmlc::Serializable {
   /*!
    * \brief Calculate feature score.  See doc in C API for outputs.
    */
-  virtual void CalcFeatureScore(std::string const &importance_type,
+  virtual void CalcFeatureScore(std::string const& importance_type,
-                                std::vector<bst_feature_t> *features,
+                                common::Span<int32_t const> trees,
-                                std::vector<float> *scores) = 0;
+                                std::vector<bst_feature_t>* features,
+                                std::vector<float>* scores) = 0;
 
   /*
    * \brief Get number of boosted rounds from gradient booster.

jvm-packages/pom.xml

@@ -6,7 +6,7 @@
 
     <groupId>ml.dmlc</groupId>
     <artifactId>xgboost-jvm_2.12</artifactId>
-    <version>1.5.0-SNAPSHOT</version>
+    <version>1.5.0</version>
     <packaging>pom</packaging>
     <name>XGBoost JVM Package</name>
     <description>JVM Package for XGBoost</description>

jvm-packages/xgboost4j-example/pom.xml

@@ -6,10 +6,10 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j-example_2.12</artifactId>
-    <version>1.5.0-SNAPSHOT</version>
+    <version>1.5.0</version>
     <packaging>jar</packaging>
     <build>
         <plugins>
@@ -26,7 +26,7 @@
         <dependency>
             <groupId>ml.dmlc</groupId>
             <artifactId>xgboost4j-spark_${scala.binary.version}</artifactId>
-            <version>1.5.0-SNAPSHOT</version>
+            <version>1.5.0</version>
         </dependency>
         <dependency>
             <groupId>org.apache.spark</groupId>
@@ -37,7 +37,7 @@
         <dependency>
             <groupId>ml.dmlc</groupId>
             <artifactId>xgboost4j-flink_${scala.binary.version}</artifactId>
-            <version>1.5.0-SNAPSHOT</version>
+            <version>1.5.0</version>
         </dependency>
         <dependency>
             <groupId>org.apache.commons</groupId>

jvm-packages/xgboost4j-flink/pom.xml

@@ -6,10 +6,10 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j-flink_2.12</artifactId>
-    <version>1.5.0-SNAPSHOT</version>
+    <version>1.5.0</version>
     <build>
         <plugins>
             <plugin>
@@ -26,7 +26,7 @@
         <dependency>
             <groupId>ml.dmlc</groupId>
             <artifactId>xgboost4j_${scala.binary.version}</artifactId>
-            <version>1.5.0-SNAPSHOT</version>
+            <version>1.5.0</version>
         </dependency>
         <dependency>
             <groupId>org.apache.commons</groupId>

jvm-packages/xgboost4j-gpu/pom.xml

@@ -6,10 +6,10 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j-gpu_2.12</artifactId>
-    <version>1.5.0-SNAPSHOT</version>
+    <version>1.5.0</version>
     <packaging>jar</packaging>
 
     <properties>

jvm-packages/xgboost4j-spark-gpu/pom.xml

@@ -6,7 +6,7 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j-spark-gpu_2.12</artifactId>
     <build>
@@ -24,7 +24,7 @@
         <dependency>
             <groupId>ml.dmlc</groupId>
             <artifactId>xgboost4j-gpu_${scala.binary.version}</artifactId>
-            <version>1.5.0-SNAPSHOT</version>
+            <version>1.5.0</version>
         </dependency>
         <dependency>
             <groupId>org.apache.spark</groupId>

jvm-packages/xgboost4j-spark/pom.xml

@@ -6,7 +6,7 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j-spark_2.12</artifactId>
     <build>
@@ -24,7 +24,7 @@
         <dependency>
             <groupId>ml.dmlc</groupId>
             <artifactId>xgboost4j_${scala.binary.version}</artifactId>
-            <version>1.5.0-SNAPSHOT</version>
+            <version>1.5.0</version>
         </dependency>
         <dependency>
             <groupId>org.apache.spark</groupId>

jvm-packages/xgboost4j/pom.xml

@@ -6,10 +6,10 @@
     <parent>
         <groupId>ml.dmlc</groupId>
         <artifactId>xgboost-jvm_2.12</artifactId>
-        <version>1.5.0-SNAPSHOT</version>
+        <version>1.5.0</version>
     </parent>
     <artifactId>xgboost4j_2.12</artifactId>
-    <version>1.5.0-SNAPSHOT</version>
+    <version>1.5.0</version>
     <packaging>jar</packaging>
 
     <dependencies>

python-package/xgboost/VERSION

@@ -1 +1 @@
-1.5.0-dev
+1.5.0

python-package/xgboost/sklearn.py

@@ -174,7 +174,9 @@ __model_doc = f'''
         Device ordinal.
     validate_parameters : Optional[bool]
         Give warnings for unknown parameter.
-
+    predictor : Optional[str]
+        Force XGBoost to use specific predictor, available choices are [cpu_predictor,
+        gpu_predictor].
     enable_categorical : bool
 
         .. versionadded:: 1.5.0
@@ -807,7 +809,11 @@ class XGBModel(XGBModelBase):
         # Inplace predict doesn't handle as many data types as DMatrix, but it's
         # sufficient for dask interface where input is simpiler.
         predictor = self.get_params().get("predictor", None)
-        if predictor in ("auto", None) and self.booster != "gblinear":
+        if (
+            not self.enable_categorical
+            and predictor in ("auto", None)
+            and self.booster != "gblinear"
+        ):
             return True
         return False
 
@@ -834,7 +840,9 @@ class XGBModel(XGBModelBase):
         iteration_range: Optional[Tuple[int, int]] = None,
     ) -> np.ndarray:
         """Predict with `X`.  If the model is trained with early stopping, then `best_iteration`
-        is used automatically.
+        is used automatically.  For tree models, when data is on GPU, like cupy array or
+        cuDF dataframe and `predictor` is not specified, the prediction is run on GPU
+        automatically, otherwise it will run on CPU.
 
         .. note:: This function is only thread safe for `gbtree` and `dart`.
 
@@ -862,6 +870,7 @@ class XGBModel(XGBModelBase):
         Returns
         -------
         prediction
+
         """
         iteration_range = _convert_ntree_limit(
             self.get_booster(), ntree_limit, iteration_range
@@ -886,7 +895,10 @@ class XGBModel(XGBModelBase):
                 pass
 
         test = DMatrix(
-            X, base_margin=base_margin, missing=self.missing, nthread=self.n_jobs
+            X, base_margin=base_margin,
+            missing=self.missing,
+            nthread=self.n_jobs,
+            enable_categorical=self.enable_categorical
         )
         return self.get_booster().predict(
             data=test,

python-package/xgboost/training.py

@@ -472,13 +472,15 @@ def cv(params, dtrain, num_boost_round=10, nfold=3, stratified=False, folds=None
     if is_new_callback:
         assert all(isinstance(c, callback.TrainingCallback)
                    for c in callbacks), "You can't mix new and old callback styles."
-        if isinstance(verbose_eval, bool) and verbose_eval:
+        if verbose_eval:
             verbose_eval = 1 if verbose_eval is True else verbose_eval
-            callbacks.append(callback.EvaluationMonitor(period=verbose_eval,
+            callbacks.append(
-                                                        show_stdv=show_stdv))
+                callback.EvaluationMonitor(period=verbose_eval, show_stdv=show_stdv)
+            )
         if early_stopping_rounds:
-            callbacks.append(callback.EarlyStopping(
+            callbacks.append(
-                rounds=early_stopping_rounds, maximize=maximize))
+                callback.EarlyStopping(rounds=early_stopping_rounds, maximize=maximize)
+            )
         callbacks = callback.CallbackContainer(callbacks, metric=feval, is_cv=True)
     else:
         callbacks = _configure_deprecated_callbacks(

src/c_api/c_api.cc

@@ -1159,9 +1159,17 @@ XGB_DLL int XGBoosterFeatureScore(BoosterHandle handle, char const *json_config,
     custom_feature_names = get<Array const>(config["feature_names"]);
   }
 
-  auto& scores = learner->GetThreadLocal().ret_vec_float;
+  std::vector<int32_t> tree_idx;
+  if (!IsA<Null>(config["tree_idx"])) {
+    auto j_tree_idx = get<Array const>(config["tree_idx"]);
+    for (auto const &idx : j_tree_idx) {
+      tree_idx.push_back(get<Integer const>(idx));
+    }
+  }
+
+  auto &scores = learner->GetThreadLocal().ret_vec_float;
   std::vector<bst_feature_t> features;
-  learner->CalcFeatureScore(importance, &features, &scores);
+  learner->CalcFeatureScore(importance, common::Span<int32_t const>(tree_idx), &features, &scores);
 
   auto n_features = learner->GetNumFeature();
   GenerateFeatureMap(learner, custom_feature_names, n_features, &feature_map);

src/common/threading_utils.h

@@ -7,11 +7,28 @@
 #define XGBOOST_COMMON_THREADING_UTILS_H_
 
 #include <dmlc/common.h>
-#include <vector>
+#include <dmlc/omp.h>
+
 #include <algorithm>
+#include <limits>
 #include <type_traits>  // std::is_signed
+#include <vector>
+
 #include "xgboost/logging.h"
 
+#if !defined(_OPENMP)
+extern "C" {
+inline int32_t omp_get_thread_limit() __GOMP_NOTHROW { return 1; }  // NOLINT
+}
+#endif  // !defined(_OPENMP)
+
+// MSVC doesn't implement the thread limit.
+#if defined(_OPENMP) && defined(_MSC_VER)
+extern "C" {
+inline int32_t omp_get_thread_limit() { return std::numeric_limits<int32_t>::max(); }  // NOLINT
+}
+#endif  // defined(_MSC_VER)
+
 namespace xgboost {
 namespace common {
 
@@ -153,7 +170,7 @@ struct Sched {
 };
 
 template <typename Index, typename Func>
-void ParallelFor(Index size, size_t n_threads, Sched sched, Func fn) {
+void ParallelFor(Index size, int32_t n_threads, Sched sched, Func fn) {
 #if defined(_MSC_VER)
   // msvc doesn't support unsigned integer as openmp index.
   using OmpInd = std::conditional_t<std::is_signed<Index>::value, Index, omp_ulong>;
@@ -220,6 +237,13 @@ void ParallelFor(Index size, size_t n_threads, Func fn) {
 template <typename Index, typename Func>
 void ParallelFor(Index size, Func fn) {
   ParallelFor(size, omp_get_max_threads(), Sched::Static(), fn);
+}                                        // !defined(_OPENMP)
+
+
+inline int32_t OmpGetThreadLimit() {
+  int32_t limit = omp_get_thread_limit();
+  CHECK_GE(limit, 1) << "Invalid thread limit for OpenMP.";
+  return limit;
 }
 
 /* \brief Configure parallel threads.
@@ -235,15 +259,18 @@ inline int32_t OmpSetNumThreads(int32_t* p_threads) {
   if (threads <= 0) {
     threads = omp_get_num_procs();
   }
+  threads = std::min(threads, OmpGetThreadLimit());
   omp_set_num_threads(threads);
   return nthread_original;
 }
+
 inline int32_t OmpSetNumThreadsWithoutHT(int32_t* p_threads) {
   auto& threads = *p_threads;
   int32_t nthread_original = omp_get_max_threads();
   if (threads <= 0) {
     threads = nthread_original;
   }
+  threads = std::min(threads, OmpGetThreadLimit());
   omp_set_num_threads(threads);
   return nthread_original;
 }
@@ -252,6 +279,7 @@ inline int32_t OmpGetNumThreads(int32_t n_threads) {
   if (n_threads <= 0) {
     n_threads = omp_get_num_procs();
   }
+  n_threads = std::min(n_threads, OmpGetThreadLimit());
   return n_threads;
 }
 }  // namespace common

src/data/simple_dmatrix.h

@@ -49,10 +49,10 @@ class SimpleDMatrix : public DMatrix {
   MetaInfo info_;
   // Primary storage type
   std::shared_ptr<SparsePage> sparse_page_ = std::make_shared<SparsePage>();
-  std::shared_ptr<CSCPage> column_page_;
+  std::shared_ptr<CSCPage> column_page_{nullptr};
-  std::shared_ptr<SortedCSCPage> sorted_column_page_;
+  std::shared_ptr<SortedCSCPage> sorted_column_page_{nullptr};
-  std::shared_ptr<EllpackPage> ellpack_page_;
+  std::shared_ptr<EllpackPage> ellpack_page_{nullptr};
-  std::shared_ptr<GHistIndexMatrix> gradient_index_;
+  std::shared_ptr<GHistIndexMatrix> gradient_index_{nullptr};
   BatchParam batch_param_;
 
   bool EllpackExists() const override {

src/gbm/gblinear.cc

@@ -232,9 +232,11 @@ class GBLinear : public GradientBooster {
   }
 
   void FeatureScore(std::string const &importance_type,
+                    common::Span<int32_t const> trees,
                     std::vector<bst_feature_t> *out_features,
                     std::vector<float> *out_scores) const override {
     CHECK(!model_.weight.empty()) << "Model is not initialized";
+    CHECK(trees.empty()) << "gblinear doesn't support number of trees for feature importance.";
     CHECK_EQ(importance_type, "weight")
         << "gblinear only has `weight` defined for feature importance.";
     out_features->resize(this->learner_model_param_->num_feature, 0);

src/gbm/gbtree.h

@@ -300,18 +300,28 @@ class GBTree : public GradientBooster {
     }
   }
 
-  void FeatureScore(std::string const &importance_type,
+  void FeatureScore(std::string const& importance_type, common::Span<int32_t const> trees,
-                    std::vector<bst_feature_t> *features,
+                    std::vector<bst_feature_t>* features,
-                    std::vector<float> *scores) const override {
+                    std::vector<float>* scores) const override {
     // Because feature with no importance doesn't appear in the return value so
     // we need to set up another pair of vectors to store the values during
     // computation.
     std::vector<size_t> split_counts(this->model_.learner_model_param->num_feature, 0);
     std::vector<float> gain_map(this->model_.learner_model_param->num_feature, 0);
+    std::vector<int32_t> tree_idx;
+    if (trees.empty()) {
+      tree_idx.resize(this->model_.trees.size());
+      std::iota(tree_idx.begin(), tree_idx.end(), 0);
+      trees = common::Span<int32_t const>(tree_idx);
+    }
+
+    auto total_n_trees = model_.trees.size();
     auto add_score = [&](auto fn) {
-      for (auto const &p_tree : model_.trees) {
+      for (auto idx : trees) {
+        CHECK_LE(idx, total_n_trees) << "Invalid tree index.";
+        auto const& p_tree = model_.trees[idx];
         p_tree->WalkTree([&](bst_node_t nidx) {
-          auto const &node = (*p_tree)[nidx];
+          auto const& node = (*p_tree)[nidx];
           if (!node.IsLeaf()) {
             split_counts[node.SplitIndex()]++;
             fn(p_tree, nidx, node.SplitIndex());

src/learner.cc

@@ -1214,11 +1214,10 @@ class LearnerImpl : public LearnerIO {
     *out_preds = &out_predictions.predictions;
   }
 
-  void CalcFeatureScore(std::string const &importance_type,
+  void CalcFeatureScore(std::string const& importance_type, common::Span<int32_t const> trees,
-                        std::vector<bst_feature_t> *features,
+                        std::vector<bst_feature_t>* features, std::vector<float>* scores) override {
-                        std::vector<float> *scores) override {
     this->Configure();
-    gbm_->FeatureScore(importance_type, features, scores);
+    gbm_->FeatureScore(importance_type, trees, features, scores);
   }
 
   const std::map<std::string, std::string>& GetConfigurationArguments() const override {

src/metric/auc.cu

@@ -291,7 +291,7 @@ float GPUMultiClassAUCOVR(common::Span<float const> predts, MetaInfo const &info
     // labels is a vector of size n_samples.
     float label = labels[idx % n_samples] == class_id;
 
-    float w = get_weight(i % n_samples);
+    float w = weights.empty() ? 1.0f : weights[d_sorted_idx[i] % n_samples];
     float fp = (1.0 - label) * w;
     float tp = label * w;
     return thrust::make_pair(fp, tp);

src/metric/elementwise_metric.cu

@@ -309,9 +309,8 @@ struct EvalGammaNLogLik {
     float constexpr kPsi = 1.0;
     bst_float theta = -1. / py;
     bst_float a = kPsi;
-    // b = -std::log(-theta);
+    float b = -std::log(-theta);
-    float b = 1.0f;
+    // c = 1. / kPsi^2 * std::log(y/kPsi) - std::log(y) - common::LogGamma(1. / kPsi);
-    // c = 1. / kPsi * std::log(y/kPsi) - std::log(y) - common::LogGamma(1. / kPsi);
     //   = 1.0f        * std::log(y)      - std::log(y) - 0 = 0
     float c = 0;
     // general form for exponential family.

src/tree/updater_colmaker.cc

@@ -109,10 +109,9 @@ class ColMaker: public TreeUpdater {
     interaction_constraints_.Configure(param_, dmat->Info().num_row_);
     // build tree
     for (auto tree : trees) {
-      Builder builder(
+      CHECK(tparam_);
-        param_,
+      Builder builder(param_, colmaker_param_, interaction_constraints_, tparam_,
-        colmaker_param_,
+                      column_densities_);
-        interaction_constraints_, column_densities_);
       builder.Update(gpair->ConstHostVector(), dmat, tree);
     }
     param_.learning_rate = lr;
@@ -154,12 +153,12 @@ class ColMaker: public TreeUpdater {
   class Builder {
    public:
     // constructor
-    explicit Builder(const TrainParam& param,
+    explicit Builder(const TrainParam &param, const ColMakerTrainParam &colmaker_train_param,
-                     const ColMakerTrainParam& colmaker_train_param,
                      FeatureInteractionConstraintHost _interaction_constraints,
-                     const std::vector<float> &column_densities)
+                     GenericParameter const *ctx, const std::vector<float> &column_densities)
-        : param_(param), colmaker_train_param_{colmaker_train_param},
+        : param_(param),
-          nthread_(omp_get_max_threads()),
+          colmaker_train_param_{colmaker_train_param},
+          ctx_{ctx},
           tree_evaluator_(param_, column_densities.size(), GenericParameter::kCpuId),
           interaction_constraints_{std::move(_interaction_constraints)},
           column_densities_(column_densities) {}
@@ -238,7 +237,7 @@ class ColMaker: public TreeUpdater {
         // setup temp space for each thread
         // reserve a small space
         stemp_.clear();
-        stemp_.resize(this->nthread_, std::vector<ThreadEntry>());
+        stemp_.resize(this->ctx_->Threads(), std::vector<ThreadEntry>());
         for (auto& i : stemp_) {
           i.clear(); i.reserve(256);
         }
@@ -451,8 +450,9 @@ class ColMaker: public TreeUpdater {
       // start enumeration
       const auto num_features = static_cast<bst_omp_uint>(feat_set.size());
 #if defined(_OPENMP)
+      CHECK(this->ctx_);
       const int batch_size =  // NOLINT
-          std::max(static_cast<int>(num_features / this->nthread_ / 32), 1);
+          std::max(static_cast<int>(num_features / this->ctx_->Threads() / 32), 1);
 #endif  // defined(_OPENMP)
       {
         auto page = batch.GetView();
@@ -553,7 +553,8 @@ class ColMaker: public TreeUpdater {
     virtual void SyncBestSolution(const std::vector<int> &qexpand) {
       for (int nid : qexpand) {
         NodeEntry &e = snode_[nid];
-        for (int tid = 0; tid < this->nthread_; ++tid) {
+        CHECK(this->ctx_);
+        for (int tid = 0; tid < this->ctx_->Threads(); ++tid) {
           e.best.Update(stemp_[tid][nid].best);
         }
       }
@@ -609,7 +610,7 @@ class ColMaker: public TreeUpdater {
     const TrainParam& param_;
     const ColMakerTrainParam& colmaker_train_param_;
     // number of omp thread used during training
-    const int nthread_;
+    GenericParameter const* ctx_;
     common::ColumnSampler column_sampler_;
     // Instance Data: current node position in the tree of each instance
     std::vector<int> position_;

src/tree/updater_quantile_hist.cc

@@ -115,9 +115,6 @@ bool QuantileHistMaker::UpdatePredictionCache(
   }
 }
 
-template <typename GradientSumT>
-QuantileHistMaker::Builder<GradientSumT>::~Builder() = default;
-
 
 template <typename GradientSumT>
 template <bool any_missing>

src/tree/updater_quantile_hist.h

@@ -204,7 +204,6 @@ class QuantileHistMaker: public TreeUpdater {
               new HistogramBuilder<GradientSumT, CPUExpandEntry>} {
       builder_monitor_.Init("Quantile::Builder");
     }
-    ~Builder();
     // update one tree, growing
     virtual void Update(const GHistIndexMatrix& gmat,
                         const ColumnMatrix& column_matrix,

tests/cpp/gbm/test_gbtree.cc

@@ -430,7 +430,7 @@ TEST(GBTree, FeatureScore) {
 
   std::vector<bst_feature_t> features_weight;
   std::vector<float> scores_weight;
-  learner->CalcFeatureScore("weight", &features_weight, &scores_weight);
+  learner->CalcFeatureScore("weight", {}, &features_weight, &scores_weight);
   ASSERT_EQ(features_weight.size(), scores_weight.size());
   ASSERT_LE(features_weight.size(), learner->GetNumFeature());
   ASSERT_TRUE(std::is_sorted(features_weight.begin(), features_weight.end()));
@@ -438,11 +438,11 @@ TEST(GBTree, FeatureScore) {
   auto test_eq = [&learner, &scores_weight](std::string type) {
     std::vector<bst_feature_t> features;
     std::vector<float> scores;
-    learner->CalcFeatureScore(type, &features, &scores);
+    learner->CalcFeatureScore(type, {}, &features, &scores);
 
     std::vector<bst_feature_t> features_total;
     std::vector<float> scores_total;
-    learner->CalcFeatureScore("total_" + type, &features_total, &scores_total);
+    learner->CalcFeatureScore("total_" + type, {}, &features_total, &scores_total);
 
     for (size_t i = 0; i < scores_weight.size(); ++i) {
       ASSERT_LE(RelError(scores_total[i] / scores[i], scores_weight[i]), kRtEps);

tests/cpp/helpers.cc

@@ -143,7 +143,7 @@ void CheckRankingObjFunction(std::unique_ptr<xgboost::ObjFunction> const& obj,
 }
 
 xgboost::bst_float GetMetricEval(xgboost::Metric * metric,
-                                 xgboost::HostDeviceVector<xgboost::bst_float> preds,
+                                 xgboost::HostDeviceVector<xgboost::bst_float> const& preds,
                                  std::vector<xgboost::bst_float> labels,
                                  std::vector<xgboost::bst_float> weights,
                                  std::vector<xgboost::bst_uint> groups) {

tests/cpp/helpers.h

@@ -86,7 +86,7 @@ void CheckRankingObjFunction(std::unique_ptr<xgboost::ObjFunction> const& obj,
 
 xgboost::bst_float GetMetricEval(
   xgboost::Metric * metric,
-  xgboost::HostDeviceVector<xgboost::bst_float> preds,
+  xgboost::HostDeviceVector<xgboost::bst_float> const& preds,
   std::vector<xgboost::bst_float> labels,
   std::vector<xgboost::bst_float> weights = std::vector<xgboost::bst_float>(),
   std::vector<xgboost::bst_uint> groups = std::vector<xgboost::bst_uint>());

tests/cpp/metric/test_auc.cc

@@ -90,6 +90,16 @@ TEST(Metric, DeclareUnifiedTest(MultiAUC)) {
                             },
                             {0, 1, 1});  // no class 2.
   EXPECT_TRUE(std::isnan(auc)) << auc;
+
+  HostDeviceVector<float> predts{
+    0.0f, 1.0f, 0.0f,
+    1.0f, 0.0f, 0.0f,
+    0.0f, 0.0f, 1.0f,
+    0.0f, 0.0f, 1.0f,
+  };
+  std::vector<float> labels {1.0f, 0.0f, 2.0f, 1.0f};
+  auc = GetMetricEval(metric, predts, labels, {1.0f, 2.0f, 3.0f, 4.0f});
+  ASSERT_GT(auc, 0.714);
 }
 
 TEST(Metric, DeclareUnifiedTest(RankingAUC)) {

tests/python-gpu/test_gpu_eval_metrics.py

@@ -13,9 +13,11 @@ class TestGPUEvalMetrics:
     def test_roc_auc_binary(self, n_samples):
         self.cpu_test.run_roc_auc_binary("gpu_hist", n_samples)
 
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
+    @pytest.mark.parametrize(
-    def test_roc_auc_multi(self, n_samples):
+        "n_samples,weighted", [(4, False), (100, False), (1000, False), (1000, True)]
-        self.cpu_test.run_roc_auc_multi("gpu_hist", n_samples)
+    )
+    def test_roc_auc_multi(self, n_samples, weighted):
+        self.cpu_test.run_roc_auc_multi("gpu_hist", n_samples, weighted)
 
     @pytest.mark.parametrize("n_samples", [4, 100, 1000])
     def test_roc_auc_ltr(self, n_samples):

tests/python-gpu/test_gpu_with_sklearn.py

@@ -59,6 +59,7 @@ def test_categorical():
     )
     X = pd.DataFrame(X.todense()).astype("category")
     clf.fit(X, y)
+    assert not clf._can_use_inplace_predict()
 
     with tempfile.TemporaryDirectory() as tempdir:
         model = os.path.join(tempdir, "categorial.json")

tests/python/test_callback.py

@@ -1,3 +1,4 @@
+from typing import Union
 import xgboost as xgb
 import pytest
 import os
@@ -22,17 +23,14 @@ class TestCallbacks:
         cls.X_valid = X[split:, ...]
         cls.y_valid = y[split:, ...]
 
-    def run_evaluation_monitor(self, D_train, D_valid, rounds, verbose_eval):
+    def run_evaluation_monitor(
-        evals_result = {}
+        self,
-        with tm.captured_output() as (out, err):
+        D_train: xgb.DMatrix,
-            xgb.train({'objective': 'binary:logistic',
+        D_valid: xgb.DMatrix,
-                       'eval_metric': 'error'}, D_train,
+        rounds: int,
-                      evals=[(D_train, 'Train'), (D_valid, 'Valid')],
+        verbose_eval: Union[bool, int]
-                      num_boost_round=rounds,
+    ):
-                      evals_result=evals_result,
+        def check_output(output: str) -> None:
-                      verbose_eval=verbose_eval)
-            output: str = out.getvalue().strip()
-
             if int(verbose_eval) == 1:
                 # Should print each iteration info
                 assert len(output.split('\n')) == rounds
@@ -40,11 +38,32 @@ class TestCallbacks:
                 # Should print first and latest iteration info
                 assert len(output.split('\n')) == 2
             else:
-            # Should print info by each period additionaly to first and latest iteration
+                # Should print info by each period additionaly to first and latest
+                # iteration
                 num_periods = rounds // int(verbose_eval)
                 # Extra information is required for latest iteration
                 is_extra_info_required = num_periods * int(verbose_eval) < (rounds - 1)
-            assert len(output.split('\n')) == 1 + num_periods + int(is_extra_info_required)
+                assert len(output.split('\n')) == (
+                    1 + num_periods + int(is_extra_info_required)
+                )
+
+        evals_result: xgb.callback.TrainingCallback.EvalsLog = {}
+        params = {'objective': 'binary:logistic', 'eval_metric': 'error'}
+        with tm.captured_output() as (out, err):
+            xgb.train(
+                params, D_train,
+                evals=[(D_train, 'Train'), (D_valid, 'Valid')],
+                num_boost_round=rounds,
+                evals_result=evals_result,
+                verbose_eval=verbose_eval,
+            )
+            output: str = out.getvalue().strip()
+            check_output(output)
+
+        with tm.captured_output() as (out, err):
+            xgb.cv(params, D_train, num_boost_round=rounds, verbose_eval=verbose_eval)
+            output = out.getvalue().strip()
+            check_output(output)
 
     def test_evaluation_monitor(self):
         D_train = xgb.DMatrix(self.X_train, self.y_train)

tests/python/test_eval_metrics.py

@@ -124,6 +124,35 @@ class TestEvalMetrics:
         skl_gamma_dev = mean_gamma_deviance(y, score)
         np.testing.assert_allclose(gamma_dev, skl_gamma_dev, rtol=1e-6)
 
+    @pytest.mark.skipif(**tm.no_sklearn())
+    def test_gamma_lik(self) -> None:
+        import scipy.stats as stats
+        rng = np.random.default_rng(1994)
+        n_samples = 32
+        n_features = 10
+
+        X = rng.normal(0, 1, size=n_samples * n_features).reshape((n_samples, n_features))
+
+        alpha, loc, beta = 5.0, 11.1, 22
+        y = stats.gamma.rvs(alpha, loc=loc, scale=beta, size=n_samples, random_state=rng)
+        reg = xgb.XGBRegressor(tree_method="hist", objective="reg:gamma", n_estimators=64)
+        reg.fit(X, y, eval_metric="gamma-nloglik", eval_set=[(X, y)])
+
+        score = reg.predict(X)
+
+        booster = reg.get_booster()
+        nloglik = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1].split(":")[0])
+
+        # \beta_i = - (1 / \theta_i a)
+        # where \theta_i is the canonical parameter
+        # XGBoost uses the canonical link function of gamma in evaluation function.
+        # so \theta = - (1.0 / y)
+        # dispersion is hardcoded as 1.0, so shape (a in scipy parameter) is also 1.0
+        beta = - (1.0 / (- (1.0 / y)))  # == y
+        nloglik_stats = -stats.gamma.logpdf(score, a=1.0, scale=beta)
+
+        np.testing.assert_allclose(nloglik, np.mean(nloglik_stats), rtol=1e-3)
+
     def run_roc_auc_binary(self, tree_method, n_samples):
         import numpy as np
         from sklearn.datasets import make_classification
@@ -162,11 +191,11 @@ class TestEvalMetrics:
         np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
 
     @pytest.mark.skipif(**tm.no_sklearn())
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
+    @pytest.mark.parametrize("n_samples", [100, 1000])
     def test_roc_auc(self, n_samples):
         self.run_roc_auc_binary("hist", n_samples)
 
-    def run_roc_auc_multi(self, tree_method, n_samples):
+    def run_roc_auc_multi(self, tree_method, n_samples, weighted):
         import numpy as np
         from sklearn.datasets import make_classification
         from sklearn.metrics import roc_auc_score
@@ -184,8 +213,14 @@ class TestEvalMetrics:
             n_classes=n_classes,
             random_state=rng
         )
+        if weighted:
+            weights = rng.randn(n_samples)
+            weights -= weights.min()
+            weights /= weights.max()
+        else:
+            weights = None
 
-        Xy = xgb.DMatrix(X, y)
+        Xy = xgb.DMatrix(X, y, weight=weights)
         booster = xgb.train(
             {
                 "tree_method": tree_method,
@@ -197,16 +232,22 @@ class TestEvalMetrics:
             num_boost_round=8,
         )
         score = booster.predict(Xy)
-        skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
+        skl_auc = roc_auc_score(
+            y, score, average="weighted", sample_weight=weights, multi_class="ovr"
+        )
         auc = float(booster.eval(Xy).split(":")[1])
         np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
 
         X = rng.randn(*X.shape)
-        score = booster.predict(xgb.DMatrix(X))
+        score = booster.predict(xgb.DMatrix(X, weight=weights))
-        skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
+        skl_auc = roc_auc_score(
-        auc = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1])
+            y, score, average="weighted", sample_weight=weights, multi_class="ovr"
-        np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
+        )
+        auc = float(booster.eval(xgb.DMatrix(X, y, weight=weights)).split(":")[1])
+        np.testing.assert_allclose(skl_auc, auc, rtol=1e-5)
 
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
+    @pytest.mark.parametrize(
-    def test_roc_auc_multi(self, n_samples):
+        "n_samples,weighted", [(4, False), (100, False), (1000, False), (1000, True)]
-        self.run_roc_auc_multi("hist", n_samples)
+    )
+    def test_roc_auc_multi(self, n_samples, weighted):
+        self.run_roc_auc_multi("hist", n_samples, weighted)

tests/python/test_openmp.py

@@ -1,6 +1,12 @@
-# -*- coding: utf-8 -*-
+import os
+import tempfile
+import subprocess
+
 import xgboost as xgb
 import numpy as np
+import pytest
+
+import testing as tm
 
 
 class TestOMP:
@@ -71,3 +77,31 @@ class TestOMP:
         assert auc_1 == auc_2 == auc_3
         assert np.array_equal(auc_1, auc_2)
         assert np.array_equal(auc_1, auc_3)
+
+    @pytest.mark.skipif(**tm.no_sklearn())
+    def test_with_omp_thread_limit(self):
+        args = [
+            "python", os.path.join(
+                tm.PROJECT_ROOT, "tests", "python", "with_omp_limit.py"
+            )
+        ]
+        results = []
+        with tempfile.TemporaryDirectory() as tmpdir:
+            for i in (1, 2, 16):
+                path = os.path.join(tmpdir, str(i))
+                with open(path, "w") as fd:
+                    fd.write("\n")
+                cp = args.copy()
+                cp.append(path)
+
+                env = os.environ.copy()
+                env["OMP_THREAD_LIMIT"] = str(i)
+
+                status = subprocess.call(cp, env=env)
+                assert status == 0
+
+                with open(path, "r") as fd:
+                    results.append(float(fd.read()))
+
+        for auc in results:
+            np.testing.assert_allclose(auc, results[0])

tests/python/with_omp_limit.py

@@ -0,0 +1,26 @@
+import os
+import xgboost as xgb
+from sklearn.datasets import make_classification
+from sklearn.metrics import roc_auc_score
+import sys
+
+
+def run_omp(output_path: str):
+    X, y = make_classification(
+        n_samples=200, n_features=32, n_classes=3, n_informative=8
+    )
+    Xy = xgb.DMatrix(X, y, nthread=16)
+    booster = xgb.train(
+        {"num_class": 3, "objective": "multi:softprob", "n_jobs": 16},
+        Xy,
+        num_boost_round=8,
+    )
+    score = booster.predict(Xy)
+    auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
+    with open(output_path, "w") as fd:
+        fd.write(str(auc))
+
+
+if __name__ == "__main__":
+    out = sys.argv[1]
+    run_omp(out)

tests/travis/setup.sh

@@ -1,16 +1,5 @@
 #!/bin/bash
 
-if [ ${TRAVIS_OS_NAME} == "osx" ]; then
-    # https://travis-ci.community/t/macos-build-fails-because-of-homebrew-bundle-unknown-command/7296/27
-    # Use libomp 11.1.0: https://github.com/dmlc/xgboost/issues/7039
-    brew update  # Force update, so that update doesn't overwrite our version of libomp.rb
-    wget https://raw.githubusercontent.com/Homebrew/homebrew-core/679923b4eb48a8dc7ecc1f05d06063cd79b3fc00/Formula/libomp.rb -O $(find $(brew --repository) -name libomp.rb)
-    brew install cmake libomp
-    brew pin libomp
-fi
-
-
-
 if [ ${TASK} == "python_test" ] || [ ${TASK} == "python_sdist_test" ]; then
     if [ ${TRAVIS_OS_NAME} == "osx" ]; then
         wget --no-verbose -O conda.sh https://repo.anaconda.com/miniconda/Miniconda3-latest-MacOSX-x86_64.sh