/*! * Copyright 2021 by XGBoost Contributors */ #include #include #include #include #include #include #include #include "rabit/rabit.h" #include "xgboost/span.h" #include "xgboost/data.h" #include "auc.h" #include "../common/device_helpers.cuh" #include "../common/ranking_utils.cuh" namespace xgboost { namespace metric { namespace { template using Discard = thrust::discard_iterator; struct GetWeightOp { common::Span weights; common::Span sorted_idx; __device__ float operator()(size_t i) const { return weights.empty() ? 1.0f : weights[sorted_idx[i]]; } }; } // namespace /** * A cache to GPU data to avoid reallocating memory. */ struct DeviceAUCCache { // Pair of FP/TP using Pair = thrust::pair; // index sorted by prediction value dh::device_vector sorted_idx; // track FP/TP for computation on trapesoid area dh::device_vector fptp; // track FP_PREV/TP_PREV for computation on trapesoid area dh::device_vector neg_pos; // index of unique prediction values. dh::device_vector unique_idx; // p^T: transposed prediction matrix, used by MultiClassAUC dh::device_vector predts_t; std::unique_ptr reducer; void Init(common::Span predts, bool is_multi, int32_t device) { if (sorted_idx.size() != predts.size()) { sorted_idx.resize(predts.size()); fptp.resize(sorted_idx.size()); unique_idx.resize(sorted_idx.size()); neg_pos.resize(sorted_idx.size()); if (is_multi) { predts_t.resize(sorted_idx.size()); } } if (is_multi && !reducer) { reducer.reset(new dh::AllReducer); reducer->Init(device); } } }; /** * The GPU implementation uses same calculation as CPU with a few more steps to distribute * work across threads: * * - Run scan to obtain TP/FP values, which are right coordinates of trapesoid. * - Find distinct prediction values and get the corresponding FP_PREV/TP_PREV value, * which are left coordinates of trapesoids. * - Reduce the scan array into 1 AUC value. */ std::tuple GPUBinaryAUC(common::Span predts, MetaInfo const &info, int32_t device, std::shared_ptr *p_cache) { auto& cache = *p_cache; if (!cache) { cache.reset(new DeviceAUCCache); } cache->Init(predts, false, device); auto labels = info.labels_.ConstDeviceSpan(); auto weights = info.weights_.ConstDeviceSpan(); dh::safe_cuda(cudaSetDevice(device)); CHECK(!labels.empty()); CHECK_EQ(labels.size(), predts.size()); /** * Create sorted index for each class */ auto d_sorted_idx = dh::ToSpan(cache->sorted_idx); dh::ArgSort(predts, d_sorted_idx); /** * Linear scan */ auto get_weight = GetWeightOp{weights, d_sorted_idx}; using Pair = thrust::pair; auto get_fp_tp = [=]__device__(size_t i) { size_t idx = d_sorted_idx[i]; float label = labels[idx]; float w = get_weight(i); float fp = (1.0 - label) * w; float tp = label * w; return thrust::make_pair(fp, tp); }; // NOLINT auto d_fptp = dh::ToSpan(cache->fptp); dh::LaunchN(d_sorted_idx.size(), [=] __device__(size_t i) { d_fptp[i] = get_fp_tp(i); }); dh::XGBDeviceAllocator alloc; auto d_unique_idx = dh::ToSpan(cache->unique_idx); dh::Iota(d_unique_idx); auto uni_key = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { return predts[d_sorted_idx[i]]; }); auto end_unique = thrust::unique_by_key_copy( thrust::cuda::par(alloc), uni_key, uni_key + d_sorted_idx.size(), dh::tbegin(d_unique_idx), thrust::make_discard_iterator(), dh::tbegin(d_unique_idx)); d_unique_idx = d_unique_idx.subspan(0, end_unique.second - dh::tbegin(d_unique_idx)); dh::InclusiveScan( dh::tbegin(d_fptp), dh::tbegin(d_fptp), [=] __device__(Pair const &l, Pair const &r) { return thrust::make_pair(l.first + r.first, l.second + r.second); }, d_fptp.size()); auto d_neg_pos = dh::ToSpan(cache->neg_pos); // scatter unique negaive/positive values // shift to right by 1 with initial value being 0 dh::LaunchN(d_unique_idx.size(), [=] __device__(size_t i) { if (d_unique_idx[i] == 0) { // first unique index is 0 assert(i == 0); d_neg_pos[0] = {0, 0}; return; } d_neg_pos[d_unique_idx[i]] = d_fptp[d_unique_idx[i] - 1]; if (i == d_unique_idx.size() - 1) { // last one needs to be included, may override above assignment if the last // prediction value is distinct from previous one. d_neg_pos.back() = d_fptp[d_unique_idx[i] - 1]; return; } }); auto in = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { float fp, tp; float fp_prev, tp_prev; if (i == 0) { // handle the last element thrust::tie(fp, tp) = d_fptp.back(); thrust::tie(fp_prev, tp_prev) = d_neg_pos[d_unique_idx.back()]; } else { thrust::tie(fp, tp) = d_fptp[d_unique_idx[i] - 1]; thrust::tie(fp_prev, tp_prev) = d_neg_pos[d_unique_idx[i - 1]]; } return TrapesoidArea(fp_prev, fp, tp_prev, tp); }); Pair last = cache->fptp.back(); float auc = thrust::reduce(thrust::cuda::par(alloc), in, in + d_unique_idx.size()); return std::make_tuple(last.first, last.second, auc); } void Transpose(common::Span in, common::Span out, size_t m, size_t n, int32_t device) { CHECK_EQ(in.size(), out.size()); CHECK_EQ(in.size(), m * n); dh::LaunchN(in.size(), [=] __device__(size_t i) { size_t col = i / m; size_t row = i % m; size_t idx = row * n + col; out[i] = in[idx]; }); } /** * Last index of a group in a CSR style of index pointer. */ template XGBOOST_DEVICE size_t LastOf(size_t group, common::Span indptr) { return indptr[group + 1] - 1; } float ScaleClasses(common::Span results, common::Span local_area, common::Span fp, common::Span tp, common::Span auc, std::shared_ptr cache, size_t n_classes) { dh::XGBDeviceAllocator alloc; if (rabit::IsDistributed()) { CHECK_EQ(dh::CudaGetPointerDevice(results.data()), dh::CurrentDevice()); cache->reducer->AllReduceSum(results.data(), results.data(), results.size()); } auto reduce_in = dh::MakeTransformIterator>( thrust::make_counting_iterator(0), [=] __device__(size_t i) { if (local_area[i] > 0) { return thrust::make_pair(auc[i] / local_area[i] * tp[i], tp[i]); } return thrust::make_pair(std::numeric_limits::quiet_NaN(), 0.0f); }); float tp_sum; float auc_sum; thrust::tie(auc_sum, tp_sum) = thrust::reduce( thrust::cuda::par(alloc), reduce_in, reduce_in + n_classes, thrust::make_pair(0.0f, 0.0f), [=] __device__(auto const &l, auto const &r) { return thrust::make_pair(l.first + r.first, l.second + r.second); }); if (tp_sum != 0 && !std::isnan(auc_sum)) { auc_sum /= tp_sum; } else { return std::numeric_limits::quiet_NaN(); } return auc_sum; } /** * MultiClass implementation is similar to binary classification, except we need to split * up each class in all kernels. */ float GPUMultiClassAUCOVR(common::Span predts, MetaInfo const &info, int32_t device, std::shared_ptr* p_cache, size_t n_classes) { dh::safe_cuda(cudaSetDevice(device)); auto& cache = *p_cache; if (!cache) { cache.reset(new DeviceAUCCache); } cache->Init(predts, true, device); auto labels = info.labels_.ConstDeviceSpan(); auto weights = info.weights_.ConstDeviceSpan(); size_t n_samples = labels.size(); if (n_samples == 0) { dh::TemporaryArray resutls(n_classes * 4, 0.0f); auto d_results = dh::ToSpan(resutls); dh::LaunchN(n_classes * 4, [=] __device__(size_t i) { d_results[i] = 0.0f; }); auto local_area = d_results.subspan(0, n_classes); auto fp = d_results.subspan(n_classes, n_classes); auto tp = d_results.subspan(2 * n_classes, n_classes); auto auc = d_results.subspan(3 * n_classes, n_classes); return ScaleClasses(d_results, local_area, fp, tp, auc, cache, n_classes); } /** * Create sorted index for each class */ auto d_predts_t = dh::ToSpan(cache->predts_t); Transpose(predts, d_predts_t, n_samples, n_classes, device); dh::TemporaryArray class_ptr(n_classes + 1, 0); auto d_class_ptr = dh::ToSpan(class_ptr); dh::LaunchN(n_classes + 1, [=] __device__(size_t i) { d_class_ptr[i] = i * n_samples; }); // no out-of-place sort for thrust, cub sort doesn't accept general iterator. So can't // use transform iterator in sorting. auto d_sorted_idx = dh::ToSpan(cache->sorted_idx); dh::SegmentedArgSort(d_predts_t, d_class_ptr, d_sorted_idx); /** * Linear scan */ dh::caching_device_vector d_auc(n_classes, 0); auto s_d_auc = dh::ToSpan(d_auc); auto get_weight = GetWeightOp{weights, d_sorted_idx}; using Pair = thrust::pair; auto d_fptp = dh::ToSpan(cache->fptp); auto get_fp_tp = [=]__device__(size_t i) { size_t idx = d_sorted_idx[i]; size_t class_id = i / n_samples; // labels is a vector of size n_samples. float label = labels[idx % n_samples] == class_id; 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); }; // NOLINT dh::LaunchN(d_sorted_idx.size(), [=] __device__(size_t i) { d_fptp[i] = get_fp_tp(i); }); /** * Handle duplicated predictions */ dh::XGBDeviceAllocator alloc; auto d_unique_idx = dh::ToSpan(cache->unique_idx); dh::Iota(d_unique_idx); auto uni_key = dh::MakeTransformIterator>( thrust::make_counting_iterator(0), [=] __device__(size_t i) { uint32_t class_id = i / n_samples; float predt = d_predts_t[d_sorted_idx[i]]; return thrust::make_pair(class_id, predt); }); // unique values are sparse, so we need a CSR style indptr dh::TemporaryArray unique_class_ptr(class_ptr.size()); auto d_unique_class_ptr = dh::ToSpan(unique_class_ptr); auto n_uniques = dh::SegmentedUniqueByKey( thrust::cuda::par(alloc), dh::tbegin(d_class_ptr), dh::tend(d_class_ptr), uni_key, uni_key + d_sorted_idx.size(), dh::tbegin(d_unique_idx), d_unique_class_ptr.data(), dh::tbegin(d_unique_idx), thrust::equal_to>{}); d_unique_idx = d_unique_idx.subspan(0, n_uniques); using Triple = thrust::tuple; // expand to tuple to include class id auto fptp_it_in = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { return thrust::make_tuple(i, d_fptp[i].first, d_fptp[i].second); }); // shrink down to pair auto fptp_it_out = thrust::make_transform_output_iterator( dh::TypedDiscard{}, [d_fptp] __device__(Triple const &t) { d_fptp[thrust::get<0>(t)] = thrust::make_pair(thrust::get<1>(t), thrust::get<2>(t)); return t; }); dh::InclusiveScan( fptp_it_in, fptp_it_out, [=] __device__(Triple const &l, Triple const &r) { uint32_t l_cid = thrust::get<0>(l) / n_samples; uint32_t r_cid = thrust::get<0>(r) / n_samples; if (l_cid != r_cid) { return r; } return Triple(thrust::get<0>(r), thrust::get<1>(l) + thrust::get<1>(r), // fp thrust::get<2>(l) + thrust::get<2>(r)); // tp }, d_fptp.size()); // scatter unique FP_PREV/TP_PREV values auto d_neg_pos = dh::ToSpan(cache->neg_pos); // When dataset is not empty, each class must have at least 1 (unique) sample // prediction, so no need to handle special case. dh::LaunchN(d_unique_idx.size(), [=] __device__(size_t i) { if (d_unique_idx[i] % n_samples == 0) { // first unique index is 0 assert(d_unique_idx[i] % n_samples == 0); d_neg_pos[d_unique_idx[i]] = {0, 0}; // class_id * n_samples = i return; } uint32_t class_id = d_unique_idx[i] / n_samples; d_neg_pos[d_unique_idx[i]] = d_fptp[d_unique_idx[i] - 1]; if (i == LastOf(class_id, d_unique_class_ptr)) { // last one needs to be included. size_t last = d_unique_idx[LastOf(class_id, d_unique_class_ptr)]; d_neg_pos[LastOf(class_id, d_class_ptr)] = d_fptp[last - 1]; return; } }); /** * Reduce the result for each class */ auto key_in = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { size_t class_id = d_unique_idx[i] / n_samples; return class_id; }); auto val_in = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { size_t class_id = d_unique_idx[i] / n_samples; float fp, tp; float fp_prev, tp_prev; if (i == d_unique_class_ptr[class_id]) { // first item is ignored, we use this thread to calculate the last item thrust::tie(fp, tp) = d_fptp[class_id * n_samples + (n_samples - 1)]; thrust::tie(fp_prev, tp_prev) = d_neg_pos[d_unique_idx[LastOf(class_id, d_unique_class_ptr)]]; } else { thrust::tie(fp, tp) = d_fptp[d_unique_idx[i] - 1]; thrust::tie(fp_prev, tp_prev) = d_neg_pos[d_unique_idx[i - 1]]; } float auc = TrapesoidArea(fp_prev, fp, tp_prev, tp); return auc; }); thrust::reduce_by_key(thrust::cuda::par(alloc), key_in, key_in + d_unique_idx.size(), val_in, thrust::make_discard_iterator(), d_auc.begin()); /** * Scale the classes with number of samples for each class. */ dh::TemporaryArray resutls(n_classes * 4); auto d_results = dh::ToSpan(resutls); auto local_area = d_results.subspan(0, n_classes); auto fp = d_results.subspan(n_classes, n_classes); auto tp = d_results.subspan(2 * n_classes, n_classes); auto auc = d_results.subspan(3 * n_classes, n_classes); dh::LaunchN(n_classes, [=] __device__(size_t c) { auc[c] = s_d_auc[c]; auto last = d_fptp[n_samples * c + (n_samples - 1)]; fp[c] = last.first; tp[c] = last.second; local_area[c] = last.first * last.second; }); return ScaleClasses(d_results, local_area, fp, tp, auc, cache, n_classes); } namespace { struct RankScanItem { size_t idx; float predt; float w; bst_group_t group_id; }; } // anonymous namespace std::pair GPURankingAUC(common::Span predts, MetaInfo const &info, int32_t device, std::shared_ptr *p_cache) { auto& cache = *p_cache; if (!cache) { cache.reset(new DeviceAUCCache); } cache->Init(predts, false, device); dh::caching_device_vector group_ptr(info.group_ptr_); dh::XGBCachingDeviceAllocator alloc; auto d_group_ptr = dh::ToSpan(group_ptr); /** * Validate the dataset */ auto check_it = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t i) { return d_group_ptr[i + 1] - d_group_ptr[i]; }); size_t n_valid = thrust::count_if( thrust::cuda::par(alloc), check_it, check_it + group_ptr.size() - 1, [=] __device__(size_t len) { return len >= 3; }); if (n_valid < info.group_ptr_.size() - 1) { InvalidGroupAUC(); } if (n_valid == 0) { return std::make_pair(0.0f, 0); } /** * Sort the labels */ auto d_labels = info.labels_.ConstDeviceSpan(); auto d_sorted_idx = dh::ToSpan(cache->sorted_idx); dh::SegmentedArgSort(d_labels, d_group_ptr, d_sorted_idx); auto d_weights = info.weights_.ConstDeviceSpan(); dh::caching_device_vector threads_group_ptr(group_ptr.size(), 0); auto d_threads_group_ptr = dh::ToSpan(threads_group_ptr); // Use max to represent triangle auto n_threads = common::SegmentedTrapezoidThreads( d_group_ptr, d_threads_group_ptr, std::numeric_limits::max()); // get the coordinate in nested summation auto get_i_j = [=]__device__(size_t idx, size_t query_group_idx) { auto data_group_begin = d_group_ptr[query_group_idx]; size_t n_samples = d_group_ptr[query_group_idx + 1] - data_group_begin; auto thread_group_begin = d_threads_group_ptr[query_group_idx]; auto idx_in_thread_group = idx - thread_group_begin; size_t i, j; common::UnravelTrapeziodIdx(idx_in_thread_group, n_samples, &i, &j); // we use global index among all groups for sorted idx, so i, j should also be global // index. i += data_group_begin; j += data_group_begin; return thrust::make_pair(i, j); }; // NOLINT auto in = dh::MakeTransformIterator( thrust::make_counting_iterator(0), [=] __device__(size_t idx) { bst_group_t query_group_idx = dh::SegmentId(d_threads_group_ptr, idx); auto data_group_begin = d_group_ptr[query_group_idx]; size_t n_samples = d_group_ptr[query_group_idx + 1] - data_group_begin; if (n_samples < 3) { // at least 3 documents are required. return RankScanItem{idx, 0, 0, query_group_idx}; } size_t i, j; thrust::tie(i, j) = get_i_j(idx, query_group_idx); float predt = predts[d_sorted_idx[i]] - predts[d_sorted_idx[j]]; float w = common::Sqr(d_weights.empty() ? 1.0f : d_weights[query_group_idx]); if (predt > 0) { predt = 1.0; } else if (predt == 0) { predt = 0.5; } else { predt = 0; } predt *= w; return RankScanItem{idx, predt, w, query_group_idx}; }); dh::TemporaryArray d_auc(group_ptr.size() - 1); auto s_d_auc = dh::ToSpan(d_auc); auto out = thrust::make_transform_output_iterator( dh::TypedDiscard{}, [=] __device__(RankScanItem const &item) -> RankScanItem { auto group_id = item.group_id; assert(group_id < d_group_ptr.size()); auto data_group_begin = d_group_ptr[group_id]; size_t n_samples = d_group_ptr[group_id + 1] - data_group_begin; // last item of current group if (item.idx == LastOf(group_id, d_threads_group_ptr)) { if (item.w > 0) { s_d_auc[group_id] = item.predt / item.w; } else { s_d_auc[group_id] = 0; } } return {}; // discard }); dh::InclusiveScan( in, out, [] __device__(RankScanItem const &l, RankScanItem const &r) { if (l.group_id != r.group_id) { return r; } return RankScanItem{r.idx, l.predt + r.predt, l.w + r.w, l.group_id}; }, n_threads); /** * Scale the AUC with number of items in each group. */ float auc = thrust::reduce(thrust::cuda::par(alloc), dh::tbegin(s_d_auc), dh::tend(s_d_auc), 0.0f); return std::make_pair(auc, n_valid); } } // namespace metric } // namespace xgboost