from __future__ import print_function import itertools as it import numpy as np import sys import testing as tm import unittest import xgboost as xgb rng = np.random.RandomState(199) num_rounds = 1000 def is_float(s): try: float(s) return 1 except ValueError: return 0 def xgb_get_weights(bst): return [float(s) for s in bst.get_dump()[0].split() if is_float(s)] # Check gradient/subgradient = 0 def check_least_squares_solution(X, y, pred, tol, reg_alpha, reg_lambda, weights): reg_alpha = reg_alpha * len(y) reg_lambda = reg_lambda * len(y) r = np.subtract(y, pred) g = X.T.dot(r) g = np.subtract(g, np.multiply(reg_lambda, weights)) for i in range(0, len(weights)): if weights[i] == 0.0: assert abs(g[i]) <= reg_alpha else: assert np.isclose(g[i], np.sign(weights[i]) * reg_alpha, rtol=tol, atol=tol) def train_diabetes(param_in): from sklearn import datasets data = datasets.load_diabetes() dtrain = xgb.DMatrix(data.data, label=data.target) param = {} param.update(param_in) bst = xgb.train(param, dtrain, num_rounds) xgb_pred = bst.predict(dtrain) check_least_squares_solution(data.data, data.target, xgb_pred, 1e-2, param['alpha'], param['lambda'], xgb_get_weights(bst)[1:]) def train_breast_cancer(param_in): from sklearn import metrics, datasets data = datasets.load_breast_cancer() dtrain = xgb.DMatrix(data.data, label=data.target) param = {'objective': 'binary:logistic'} param.update(param_in) bst = xgb.train(param, dtrain, num_rounds) xgb_pred = bst.predict(dtrain) xgb_score = metrics.accuracy_score(data.target, np.round(xgb_pred)) assert xgb_score >= 0.8 def train_classification(param_in): from sklearn import metrics, datasets X, y = datasets.make_classification(random_state=rng, scale=100) # Scale is necessary otherwise regularisation parameters will force all coefficients to 0 dtrain = xgb.DMatrix(X, label=y) param = {'objective': 'binary:logistic'} param.update(param_in) bst = xgb.train(param, dtrain, num_rounds) xgb_pred = bst.predict(dtrain) xgb_score = metrics.accuracy_score(y, np.round(xgb_pred)) assert xgb_score >= 0.8 def train_classification_multi(param_in): from sklearn import metrics, datasets num_class = 3 X, y = datasets.make_classification(n_samples=10, random_state=rng, scale=100, n_classes=num_class, n_informative=4, n_features=4, n_redundant=0) dtrain = xgb.DMatrix(X, label=y) param = {'objective': 'multi:softmax', 'num_class': num_class} param.update(param_in) bst = xgb.train(param, dtrain, num_rounds) xgb_pred = bst.predict(dtrain) xgb_score = metrics.accuracy_score(y, np.round(xgb_pred)) assert xgb_score >= 0.50 def train_boston(param_in): from sklearn import datasets data = datasets.load_boston() dtrain = xgb.DMatrix(data.data, label=data.target) param = {} param.update(param_in) bst = xgb.train(param, dtrain, num_rounds) xgb_pred = bst.predict(dtrain) check_least_squares_solution(data.data, data.target, xgb_pred, 1e-2, param['alpha'], param['lambda'], xgb_get_weights(bst)[1:]) # Enumerates all permutations of variable parameters def assert_updater_accuracy(linear_updater, variable_param): param = {'booster': 'gblinear', 'updater': linear_updater, 'tolerance': 1e-8} names = sorted(variable_param) combinations = it.product(*(variable_param[Name] for Name in names)) for set in combinations: param_tmp = param.copy() for i, name in enumerate(names): param_tmp[name] = set[i] print(param_tmp, file=sys.stderr) train_boston(param_tmp) train_diabetes(param_tmp) train_classification(param_tmp) train_classification_multi(param_tmp) train_breast_cancer(param_tmp) class TestLinear(unittest.TestCase): def test_coordinate(self): tm._skip_if_no_sklearn() variable_param = {'alpha': [1.0, 5.0], 'lambda': [1.0, 5.0], 'coordinate_selection': ['cyclic', 'random', 'greedy']} assert_updater_accuracy('coord_descent', variable_param) def test_shotgun(self): tm._skip_if_no_sklearn() variable_param = {'alpha': [1.0, 5.0], 'lambda': [1.0, 5.0]} assert_updater_accuracy('shotgun', variable_param)