#ifndef XGBOOST_TREE_UPDATER_COLMAKER_INL_HPP_ #define XGBOOST_TREE_UPDATER_COLMAKER_INL_HPP_ /*! * \file updater_colmaker-inl.hpp * \brief use columnwise update to construct a tree * \author Tianqi Chen */ #include #include #include "./param.h" #include "./updater.h" #include "../utils/omp.h" #include "../utils/random.h" namespace xgboost { namespace tree { /*! \brief pruner that prunes a tree after growing finishs */ template class ColMaker: public IUpdater { public: virtual ~ColMaker(void) {} // set training parameter virtual void SetParam(const char *name, const char *val) { param.SetParam(name, val); } virtual void Update(const std::vector &gpair, IFMatrix *p_fmat, const BoosterInfo &info, const std::vector &trees) { TStats::CheckInfo(info); // rescale learning rate according to size of trees float lr = param.learning_rate; param.learning_rate = lr / trees.size(); // build tree for (size_t i = 0; i < trees.size(); ++i) { Builder builder(param); builder.Update(gpair, p_fmat, info, trees[i]); } param.learning_rate = lr; } private: // training parameter TrainParam param; // data structure /*! \brief per thread x per node entry to store tmp data */ struct ThreadEntry { /*! \brief statistics of data */ TStats stats; /*! \brief extra statistics of data */ TStats stats_extra; /*! \brief last feature value scanned */ float last_fvalue; /*! \brief first feature value scanned */ float first_fvalue; /*! \brief current best solution */ SplitEntry best; // constructor explicit ThreadEntry(const TrainParam ¶m) : stats(param), stats_extra(param) { } }; struct NodeEntry { /*! \brief statics for node entry */ TStats stats; /*! \brief loss of this node, without split */ bst_float root_gain; /*! \brief weight calculated related to current data */ float weight; /*! \brief current best solution */ SplitEntry best; // constructor explicit NodeEntry(const TrainParam ¶m) : stats(param), root_gain(0.0f), weight(0.0f){ } }; // actual builder that runs the algorithm struct Builder{ public: // constructor explicit Builder(const TrainParam ¶m) : param(param) {} // update one tree, growing virtual void Update(const std::vector &gpair, IFMatrix *p_fmat, const BoosterInfo &info, RegTree *p_tree) { this->InitData(gpair, *p_fmat, info.root_index, *p_tree); this->InitNewNode(qexpand, gpair, *p_fmat, info, *p_tree); for (int depth = 0; depth < param.max_depth; ++depth) { this->FindSplit(depth, this->qexpand, gpair, p_fmat, info, p_tree); this->ResetPosition(this->qexpand, p_fmat, *p_tree); this->UpdateQueueExpand(*p_tree, &this->qexpand); this->InitNewNode(qexpand, gpair, *p_fmat, info, *p_tree); // if nothing left to be expand, break if (qexpand.size() == 0) break; } // set all the rest expanding nodes to leaf for (size_t i = 0; i < qexpand.size(); ++i) { const int nid = qexpand[i]; (*p_tree)[nid].set_leaf(snode[nid].weight * param.learning_rate); } // remember auxiliary statistics in the tree node for (int nid = 0; nid < p_tree->param.num_nodes; ++nid) { p_tree->stat(nid).loss_chg = snode[nid].best.loss_chg; p_tree->stat(nid).base_weight = snode[nid].weight; p_tree->stat(nid).sum_hess = static_cast(snode[nid].stats.sum_hess); snode[nid].stats.SetLeafVec(param, p_tree->leafvec(nid)); } } private: // initialize temp data structure inline void InitData(const std::vector &gpair, const IFMatrix &fmat, const std::vector &root_index, const RegTree &tree) { utils::Assert(tree.param.num_nodes == tree.param.num_roots, "ColMaker: can only grow new tree"); const std::vector &rowset = fmat.buffered_rowset(); {// setup position position.resize(gpair.size()); if (root_index.size() == 0) { for (size_t i = 0; i < rowset.size(); ++i) { position[rowset[i]] = 0; } } else { for (size_t i = 0; i < rowset.size(); ++i) { const bst_uint ridx = rowset[i]; position[ridx] = root_index[ridx]; utils::Assert(root_index[ridx] < (unsigned)tree.param.num_roots, "root index exceed setting"); } } // mark delete for the deleted datas for (size_t i = 0; i < rowset.size(); ++i) { const bst_uint ridx = rowset[i]; if (gpair[ridx].hess < 0.0f) position[ridx] = -1; } // mark subsample if (param.subsample < 1.0f) { for (size_t i = 0; i < rowset.size(); ++i) { const bst_uint ridx = rowset[i]; if (gpair[ridx].hess < 0.0f) continue; if (random::SampleBinary(param.subsample) == 0) position[ridx] = -1; } } } { // initialize feature index unsigned ncol = static_cast(fmat.NumCol()); for (unsigned i = 0; i < ncol; ++i) { if (fmat.GetColSize(i) != 0) { feat_index.push_back(i); } } unsigned n = static_cast(param.colsample_bytree * feat_index.size()); random::Shuffle(feat_index); utils::Check(n > 0, "colsample_bytree is too small that no feature can be included"); feat_index.resize(n); } {// setup temp space for each thread #pragma omp parallel { this->nthread = omp_get_num_threads(); } // reserve a small space stemp.clear(); stemp.resize(this->nthread, std::vector()); for (size_t i = 0; i < stemp.size(); ++i) { stemp[i].clear(); stemp[i].reserve(256); } snode.reserve(256); } {// expand query qexpand.reserve(256); qexpand.clear(); for (int i = 0; i < tree.param.num_roots; ++i) { qexpand.push_back(i); } } } /*! \brief initialize the base_weight, root_gain, and NodeEntry for all the new nodes in qexpand */ inline void InitNewNode(const std::vector &qexpand, const std::vector &gpair, const IFMatrix &fmat, const BoosterInfo &info, const RegTree &tree) { {// setup statistics space for each tree node for (size_t i = 0; i < stemp.size(); ++i) { stemp[i].resize(tree.param.num_nodes, ThreadEntry(param)); } snode.resize(tree.param.num_nodes, NodeEntry(param)); } const std::vector &rowset = fmat.buffered_rowset(); // setup position const bst_omp_uint ndata = static_cast(rowset.size()); #pragma omp parallel for schedule(static) for (bst_omp_uint i = 0; i < ndata; ++i) { const bst_uint ridx = rowset[i]; const int tid = omp_get_thread_num(); if (position[ridx] < 0) continue; stemp[tid][position[ridx]].stats.Add(gpair, info, ridx); } // sum the per thread statistics together for (size_t j = 0; j < qexpand.size(); ++j) { const int nid = qexpand[j]; TStats stats(param); for (size_t tid = 0; tid < stemp.size(); ++tid) { stats.Add(stemp[tid][nid].stats); } // update node statistics snode[nid].stats = stats; snode[nid].root_gain = static_cast(stats.CalcGain(param)); snode[nid].weight = static_cast(stats.CalcWeight(param)); } } /*! \brief update queue expand add in new leaves */ inline void UpdateQueueExpand(const RegTree &tree, std::vector *p_qexpand) { std::vector &qexpand = *p_qexpand; std::vector newnodes; for (size_t i = 0; i < qexpand.size(); ++i) { const int nid = qexpand[i]; if (!tree[ nid ].is_leaf()) { newnodes.push_back(tree[nid].cleft()); newnodes.push_back(tree[nid].cright()); } } // use new nodes for qexpand qexpand = newnodes; } // parallel find the best split of current fid // this function does not support nested functions inline void ParallelFindSplit(const ColBatch::Inst &col, bst_uint fid, const IFMatrix &fmat, const std::vector &gpair, const BoosterInfo &info) { bool need_forward = param.need_forward_search(fmat.GetColDensity(fid)); bool need_backward = param.need_backward_search(fmat.GetColDensity(fid)); int nthread; #pragma omp parallel { const int tid = omp_get_thread_num(); std::vector &temp = stemp[tid]; // cleanup temp statistics for (size_t j = 0; j < qexpand.size(); ++j) { temp[qexpand[j]].stats.Clear(); } nthread = omp_get_num_threads(); bst_uint step = (col.length + nthread - 1) / nthread; bst_uint end = std::min(col.length, step * (tid + 1)); for (bst_uint i = tid * step; i < end; ++i) { const bst_uint ridx = col[i].index; const int nid = position[ridx]; if (nid < 0) continue; const float fvalue = col[i].fvalue; if (temp[nid].stats.Empty()) { temp[nid].first_fvalue = fvalue; } temp[nid].stats.Add(gpair, info, ridx); temp[nid].last_fvalue = fvalue; } } // start collecting the partial sum statistics bst_omp_uint nnode = static_cast(qexpand.size()); #pragma omp parallel for schedule(static) for (bst_omp_uint j = 0; j < nnode; ++j) { const int nid = qexpand[j]; TStats sum(param), tmp(param), c(param); for (int tid = 0; tid < nthread; ++tid) { tmp = stemp[tid][nid].stats; stemp[tid][nid].stats = sum; sum.Add(tmp); if (tid != 0) { std::swap(stemp[tid - 1][nid].last_fvalue, stemp[tid][nid].first_fvalue); } } for (int tid = 0; tid < nthread; ++tid) { stemp[tid][nid].stats_extra = sum; ThreadEntry &e = stemp[tid][nid]; float fsplit; if (tid != 0) { if(fabsf(stemp[tid - 1][nid].last_fvalue - e.first_fvalue) > rt_2eps) { fsplit = (stemp[tid - 1][nid].last_fvalue - e.first_fvalue) * 0.5f; } else { continue; } } else { fsplit = e.first_fvalue - rt_eps; } if (need_forward && tid != 0) { c.SetSubstract(snode[nid].stats, e.stats); if (c.sum_hess >= param.min_child_weight && e.stats.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(e.stats.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, fsplit, false); } } if (need_backward) { tmp.SetSubstract(sum, e.stats); c.SetSubstract(snode[nid].stats, tmp); if (c.sum_hess >= param.min_child_weight && tmp.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(tmp.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, fsplit, true); } } } if (need_backward) { tmp = sum; ThreadEntry &e = stemp[nthread-1][nid]; c.SetSubstract(snode[nid].stats, tmp); if (c.sum_hess >= param.min_child_weight && tmp.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(tmp.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, e.last_fvalue + rt_eps, true); } } } // rescan, generate candidate split #pragma omp parallel { TStats c(param), cright(param); const int tid = omp_get_thread_num(); std::vector &temp = stemp[tid]; nthread = static_cast(omp_get_num_threads()); bst_uint step = (col.length + nthread - 1) / nthread; bst_uint end = std::min(col.length, step * (tid + 1)); for (bst_uint i = tid * step; i < end; ++i) { const bst_uint ridx = col[i].index; const int nid = position[ridx]; if (nid < 0) continue; const float fvalue = col[i].fvalue; // get the statistics of nid ThreadEntry &e = temp[nid]; if (e.stats.Empty()) { e.stats.Add(gpair, info, ridx); e.first_fvalue = fvalue; } else { // forward default right if (fabsf(fvalue - e.first_fvalue) > rt_2eps){ if (need_forward) { c.SetSubstract(snode[nid].stats, e.stats); if (c.sum_hess >= param.min_child_weight && e.stats.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(e.stats.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, (fvalue + e.first_fvalue) * 0.5f, false); } } if (need_backward) { cright.SetSubstract(e.stats_extra, e.stats); c.SetSubstract(snode[nid].stats, cright); if (c.sum_hess >= param.min_child_weight && cright.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(cright.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, (fvalue + e.first_fvalue) * 0.5f, true); } } } e.stats.Add(gpair, info, ridx); e.first_fvalue = fvalue; } } } } // enumerate the split values of specific feature inline void EnumerateSplit(const ColBatch::Entry *begin, const ColBatch::Entry *end, int d_step, bst_uint fid, const std::vector &gpair, const BoosterInfo &info, std::vector &temp) { // clear all the temp statistics for (size_t j = 0; j < qexpand.size(); ++j) { temp[qexpand[j]].stats.Clear(); } // left statistics TStats c(param); for(const ColBatch::Entry *it = begin; it != end; it += d_step) { const bst_uint ridx = it->index; const int nid = position[ridx]; if (nid < 0) continue; // start working const float fvalue = it->fvalue; // get the statistics of nid ThreadEntry &e = temp[nid]; // test if first hit, this is fine, because we set 0 during init if (e.stats.Empty()) { e.stats.Add(gpair, info, ridx); e.last_fvalue = fvalue; } else { // try to find a split if (fabsf(fvalue - e.last_fvalue) > rt_2eps && e.stats.sum_hess >= param.min_child_weight) { c.SetSubstract(snode[nid].stats, e.stats); if (c.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(e.stats.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); e.best.Update(loss_chg, fid, (fvalue + e.last_fvalue) * 0.5f, d_step == -1); } } // update the statistics e.stats.Add(gpair, info, ridx); e.last_fvalue = fvalue; } } // finish updating all statistics, check if it is possible to include all sum statistics for (size_t i = 0; i < qexpand.size(); ++i) { const int nid = qexpand[i]; ThreadEntry &e = temp[nid]; c.SetSubstract(snode[nid].stats, e.stats); if (e.stats.sum_hess >= param.min_child_weight && c.sum_hess >= param.min_child_weight) { bst_float loss_chg = static_cast(e.stats.CalcGain(param) + c.CalcGain(param) - snode[nid].root_gain); const float delta = d_step == +1 ? rt_eps : -rt_eps; e.best.Update(loss_chg, fid, e.last_fvalue + delta, d_step == -1); } } } // update the solution candidate virtual void UpdateSolution(const ColBatch &batch, const std::vector &gpair, const IFMatrix &fmat, const BoosterInfo &info) { // start enumeration const bst_omp_uint nsize = static_cast(batch.size); #if defined(_OPENMP) const int batch_size = std::max(static_cast(nsize / this->nthread / 32), 1); #endif if (param.parallel_option == 0) { #pragma omp parallel for schedule(dynamic, batch_size) for (bst_omp_uint i = 0; i < nsize; ++i) { const bst_uint fid = batch.col_index[i]; const int tid = omp_get_thread_num(); const ColBatch::Inst c = batch[i]; if (param.need_forward_search(fmat.GetColDensity(fid))) { this->EnumerateSplit(c.data, c.data + c.length, +1, fid, gpair, info, stemp[tid]); } if (param.need_backward_search(fmat.GetColDensity(fid))) { this->EnumerateSplit(c.data + c.length - 1, c.data - 1, -1, fid, gpair, info, stemp[tid]); } } } else { for (bst_omp_uint i = 0; i < nsize; ++i) { this->ParallelFindSplit(batch[i], batch.col_index[i], fmat, gpair, info); } } } // find splits at current level, do split per level inline void FindSplit(int depth, const std::vector &qexpand, const std::vector &gpair, IFMatrix *p_fmat, const BoosterInfo &info, RegTree *p_tree) { std::vector feat_set = feat_index; if (param.colsample_bylevel != 1.0f) { random::Shuffle(feat_set); unsigned n = static_cast(param.colsample_bylevel * feat_index.size()); utils::Check(n > 0, "colsample_bylevel is too small that no feature can be included"); feat_set.resize(n); } utils::IIterator *iter = p_fmat->ColIterator(feat_set); while (iter->Next()) { this->UpdateSolution(iter->Value(), gpair, *p_fmat, info); } // after this each thread's stemp will get the best candidates, aggregate results for (size_t i = 0; i < qexpand.size(); ++i) { const int nid = qexpand[i]; NodeEntry &e = snode[nid]; for (int tid = 0; tid < this->nthread; ++tid) { e.best.Update(stemp[tid][nid].best); } // now we know the solution in snode[nid], set split if (e.best.loss_chg > rt_eps) { p_tree->AddChilds(nid); (*p_tree)[nid].set_split(e.best.split_index(), e.best.split_value, e.best.default_left()); } else { (*p_tree)[nid].set_leaf(e.weight * param.learning_rate); } } } // reset position of each data points after split is created in the tree inline void ResetPosition(const std::vector &qexpand, IFMatrix *p_fmat, const RegTree &tree) { const std::vector &rowset = p_fmat->buffered_rowset(); // step 1, set default direct nodes to default, and leaf nodes to -1 const bst_omp_uint ndata = static_cast(rowset.size()); #pragma omp parallel for schedule(static) for (bst_omp_uint i = 0; i < ndata; ++i) { const bst_uint ridx = rowset[i]; const int nid = position[ridx]; if (nid >= 0) { if (tree[nid].is_leaf()) { position[ridx] = -1; } else { // push to default branch, correct latter position[ridx] = tree[nid].default_left() ? tree[nid].cleft(): tree[nid].cright(); } } } // step 2, classify the non-default data into right places std::vector fsplits; for (size_t i = 0; i < qexpand.size(); ++i) { const int nid = qexpand[i]; if (!tree[nid].is_leaf()) fsplits.push_back(tree[nid].split_index()); } std::sort(fsplits.begin(), fsplits.end()); fsplits.resize(std::unique(fsplits.begin(), fsplits.end()) - fsplits.begin()); utils::IIterator *iter = p_fmat->ColIterator(fsplits); while (iter->Next()) { const ColBatch &batch = iter->Value(); for (size_t i = 0; i < batch.size; ++i) { ColBatch::Inst col = batch[i]; const bst_uint fid = batch.col_index[i]; const bst_omp_uint ndata = static_cast(col.length); #pragma omp parallel for schedule(static) for (bst_omp_uint j = 0; j < ndata; ++j) { const bst_uint ridx = col[j].index; const float fvalue = col[j].fvalue; int nid = position[ridx]; if (nid == -1) continue; // go back to parent, correct those who are not default nid = tree[nid].parent(); if (tree[nid].split_index() == fid) { if (fvalue < tree[nid].split_cond()) { position[ridx] = tree[nid].cleft(); } else { position[ridx] = tree[nid].cright(); } } } } } } //--data fields-- const TrainParam ¶m; // number of omp thread used during training int nthread; // Per feature: shuffle index of each feature index std::vector feat_index; // Instance Data: current node position in the tree of each instance std::vector position; // PerThread x PerTreeNode: statistics for per thread construction std::vector< std::vector > stemp; /*! \brief TreeNode Data: statistics for each constructed node */ std::vector snode; /*! \brief queue of nodes to be expanded */ std::vector qexpand; }; }; } // namespace tree } // namespace xgboost #endif // XGBOOST_TREE_UPDATER_COLMAKER_INL_HPP_