486 lines
24 KiB
R
486 lines
24 KiB
R
#' eXtreme Gradient Boosting Training
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#'
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#' \code{xgb.train} is an advanced interface for training an xgboost model.
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#' The \code{xgboost} function is a simpler wrapper for \code{xgb.train}.
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#'
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#' @param params the list of parameters. The complete list of parameters is
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#' available in the \href{http://xgboost.readthedocs.io/en/latest/parameter.html}{online documentation}. Below
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#' is a shorter summary:
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#'
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#' 1. General Parameters
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#'
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#' \itemize{
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#' \item \code{booster} which booster to use, can be \code{gbtree} or \code{gblinear}. Default: \code{gbtree}.
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#' }
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#'
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#' 2. Booster Parameters
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#'
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#' 2.1. Parameters for Tree Booster
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#'
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#' \itemize{
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#' \item{ \code{eta} control the learning rate: scale the contribution of each tree by a factor of \code{0 < eta < 1}
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#' when it is added to the current approximation.
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#' Used to prevent overfitting by making the boosting process more conservative.
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#' Lower value for \code{eta} implies larger value for \code{nrounds}: low \code{eta} value means model
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#' more robust to overfitting but slower to compute. Default: 0.3}
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#' \item{ \code{gamma} minimum loss reduction required to make a further partition on a leaf node of the tree.
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#' the larger, the more conservative the algorithm will be.}
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#' \item \code{max_depth} maximum depth of a tree. Default: 6
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#' \item{\code{min_child_weight} minimum sum of instance weight (hessian) needed in a child.
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#' If the tree partition step results in a leaf node with the sum of instance weight less than min_child_weight,
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#' then the building process will give up further partitioning.
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#' In linear regression mode, this simply corresponds to minimum number of instances needed to be in each node.
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#' The larger, the more conservative the algorithm will be. Default: 1}
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#' \item{ \code{subsample} subsample ratio of the training instance.
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#' Setting it to 0.5 means that xgboost randomly collected half of the data instances to grow trees
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#' and this will prevent overfitting. It makes computation shorter (because less data to analyse).
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#' It is advised to use this parameter with \code{eta} and increase \code{nrounds}. Default: 1}
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#' \item \code{colsample_bytree} subsample ratio of columns when constructing each tree. Default: 1
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#' \item \code{lambda} L2 regularization term on weights. Default: 1
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#' \item \code{alpha} L1 regularization term on weights. (there is no L1 reg on bias because it is not important). Default: 0
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#' \item{ \code{num_parallel_tree} Experimental parameter. number of trees to grow per round.
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#' Useful to test Random Forest through XGBoost
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#' (set \code{colsample_bytree < 1}, \code{subsample < 1} and \code{round = 1}) accordingly.
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#' Default: 1}
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#' \item{ \code{monotone_constraints} A numerical vector consists of \code{1}, \code{0} and \code{-1} with its length
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#' equals to the number of features in the training data.
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#' \code{1} is increasing, \code{-1} is decreasing and \code{0} is no constraint.}
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#' \item{ \code{interaction_constraints} A list of vectors specifying feature indices of permitted interactions.
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#' Each item of the list represents one permitted interaction where specified features are allowed to interact with each other.
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#' Feature index values should start from \code{0} (\code{0} references the first column).
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#' Leave argument unspecified for no interaction constraints.}
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#' }
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#'
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#' 2.2. Parameters for Linear Booster
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#'
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#' \itemize{
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#' \item \code{lambda} L2 regularization term on weights. Default: 0
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#' \item \code{lambda_bias} L2 regularization term on bias. Default: 0
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#' \item \code{alpha} L1 regularization term on weights. (there is no L1 reg on bias because it is not important). Default: 0
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#' }
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#'
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#' 3. Task Parameters
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#'
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#' \itemize{
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#' \item{ \code{objective} specify the learning task and the corresponding learning objective, users can pass a self-defined function to it.
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#' The default objective options are below:
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#' \itemize{
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#' \item \code{reg:squarederror} Regression with squared loss (Default).
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#' \item{ \code{reg:squaredlogerror}: regression with squared log loss \eqn{1/2 * (log(pred + 1) - log(label + 1))^2}.
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#' All inputs are required to be greater than -1.
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#' Also, see metric rmsle for possible issue with this objective.}
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#' \item \code{reg:logistic} logistic regression.
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#' \item \code{reg:pseudohubererror}: regression with Pseudo Huber loss, a twice differentiable alternative to absolute loss.
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#' \item \code{binary:logistic} logistic regression for binary classification. Output probability.
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#' \item \code{binary:logitraw} logistic regression for binary classification, output score before logistic transformation.
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#' \item \code{binary:hinge}: hinge loss for binary classification. This makes predictions of 0 or 1, rather than producing probabilities.
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#' \item{ \code{count:poisson}: Poisson regression for count data, output mean of Poisson distribution.
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#' \code{max_delta_step} is set to 0.7 by default in poisson regression (used to safeguard optimization).}
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#' \item{ \code{survival:cox}: Cox regression for right censored survival time data (negative values are considered right censored).
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#' Note that predictions are returned on the hazard ratio scale (i.e., as HR = exp(marginal_prediction) in the proportional
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#' hazard function \code{h(t) = h0(t) * HR)}.}
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#' \item{ \code{survival:aft}: Accelerated failure time model for censored survival time data. See
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#' \href{https://xgboost.readthedocs.io/en/latest/tutorials/aft_survival_analysis.html}{Survival Analysis with Accelerated Failure Time}
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#' for details.}
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#' \item \code{aft_loss_distribution}: Probability Density Function used by \code{survival:aft} and \code{aft-nloglik} metric.
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#' \item{ \code{multi:softmax} set xgboost to do multiclass classification using the softmax objective.
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#' Class is represented by a number and should be from 0 to \code{num_class - 1}.}
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#' \item{ \code{multi:softprob} same as softmax, but prediction outputs a vector of ndata * nclass elements, which can be
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#' further reshaped to ndata, nclass matrix. The result contains predicted probabilities of each data point belonging
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#' to each class.}
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#' \item \code{rank:pairwise} set xgboost to do ranking task by minimizing the pairwise loss.
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#' \item{ \code{rank:ndcg}: Use LambdaMART to perform list-wise ranking where
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#' \href{https://en.wikipedia.org/wiki/Discounted_cumulative_gain}{Normalized Discounted Cumulative Gain (NDCG)} is maximized.}
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#' \item{ \code{rank:map}: Use LambdaMART to perform list-wise ranking where
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#' \href{https://en.wikipedia.org/wiki/Evaluation_measures_(information_retrieval)#Mean_average_precision}{Mean Average Precision (MAP)}
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#' is maximized.}
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#' \item{ \code{reg:gamma}: gamma regression with log-link.
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#' Output is a mean of gamma distribution.
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#' It might be useful, e.g., for modeling insurance claims severity, or for any outcome that might be
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#' \href{https://en.wikipedia.org/wiki/Gamma_distribution#Applications}{gamma-distributed}.}
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#' \item{ \code{reg:tweedie}: Tweedie regression with log-link.
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#' It might be useful, e.g., for modeling total loss in insurance, or for any outcome that might be
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#' \href{https://en.wikipedia.org/wiki/Tweedie_distribution#Applications}{Tweedie-distributed}.}
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#' }
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#' }
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#' \item \code{base_score} the initial prediction score of all instances, global bias. Default: 0.5
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#' \item{ \code{eval_metric} evaluation metrics for validation data.
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#' Users can pass a self-defined function to it.
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#' Default: metric will be assigned according to objective
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#' (rmse for regression, and error for classification, mean average precision for ranking).
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#' List is provided in detail section.}
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#' }
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#'
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#' @param data training dataset. \code{xgb.train} accepts only an \code{xgb.DMatrix} as the input.
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#' \code{xgboost}, in addition, also accepts \code{matrix}, \code{dgCMatrix}, or name of a local data file.
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#' @param nrounds max number of boosting iterations.
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#' @param watchlist named list of xgb.DMatrix datasets to use for evaluating model performance.
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#' Metrics specified in either \code{eval_metric} or \code{feval} will be computed for each
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#' of these datasets during each boosting iteration, and stored in the end as a field named
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#' \code{evaluation_log} in the resulting object. When either \code{verbose>=1} or
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#' \code{\link{xgb.cb.print.evaluation}} callback is engaged, the performance results are continuously
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#' printed out during the training.
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#' E.g., specifying \code{watchlist=list(validation1=mat1, validation2=mat2)} allows to track
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#' the performance of each round's model on mat1 and mat2.
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#' @param obj customized objective function. Returns gradient and second order
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#' gradient with given prediction and dtrain.
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#' @param feval customized evaluation function. Returns
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#' \code{list(metric='metric-name', value='metric-value')} with given
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#' prediction and dtrain.
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#' @param verbose If 0, xgboost will stay silent. If 1, it will print information about performance.
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#' If 2, some additional information will be printed out.
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#' Note that setting \code{verbose > 0} automatically engages the
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#' \code{xgb.cb.print.evaluation(period=1)} callback function.
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#' @param print_every_n Print each n-th iteration evaluation messages when \code{verbose>0}.
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#' Default is 1 which means all messages are printed. This parameter is passed to the
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#' \code{\link{xgb.cb.print.evaluation}} callback.
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#' @param early_stopping_rounds If \code{NULL}, the early stopping function is not triggered.
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#' If set to an integer \code{k}, training with a validation set will stop if the performance
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#' doesn't improve for \code{k} rounds.
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#' Setting this parameter engages the \code{\link{xgb.cb.early.stop}} callback.
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#' @param maximize If \code{feval} and \code{early_stopping_rounds} are set,
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#' then this parameter must be set as well.
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#' When it is \code{TRUE}, it means the larger the evaluation score the better.
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#' This parameter is passed to the \code{\link{xgb.cb.early.stop}} callback.
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#' @param save_period when it is non-NULL, model is saved to disk after every \code{save_period} rounds,
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#' 0 means save at the end. The saving is handled by the \code{\link{xgb.cb.save.model}} callback.
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#' @param save_name the name or path for periodically saved model file.
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#' @param xgb_model a previously built model to continue the training from.
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#' Could be either an object of class \code{xgb.Booster}, or its raw data, or the name of a
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#' file with a previously saved model.
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#' @param callbacks a list of callback functions to perform various task during boosting.
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#' See \code{\link{xgb.Callback}}. Some of the callbacks are automatically created depending on the
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#' parameters' values. User can provide either existing or their own callback methods in order
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#' to customize the training process.
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#'
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#' Note that some callbacks might try to leave attributes in the resulting model object,
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#' such as an evaluation log (a `data.table` object) - be aware that these objects are kept
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#' as R attributes, and thus do not get saved when using XGBoost's own serializaters like
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#' \link{xgb.save} (but are kept when using R serializers like \link{saveRDS}).
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#' @param ... other parameters to pass to \code{params}.
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#' @param label vector of response values. Should not be provided when data is
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#' a local data file name or an \code{xgb.DMatrix}.
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#' @param missing by default is set to NA, which means that NA values should be considered as 'missing'
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#' by the algorithm. Sometimes, 0 or other extreme value might be used to represent missing values.
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#' This parameter is only used when input is a dense matrix.
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#' @param weight a vector indicating the weight for each row of the input.
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#'
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#' @return
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#' An object of class \code{xgb.Booster}.
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#'
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#' @details
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#' These are the training functions for \code{xgboost}.
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#'
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#' The \code{xgb.train} interface supports advanced features such as \code{watchlist},
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#' customized objective and evaluation metric functions, therefore it is more flexible
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#' than the \code{xgboost} interface.
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#'
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#' Parallelization is automatically enabled if \code{OpenMP} is present.
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#' Number of threads can also be manually specified via the \code{nthread}
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#' parameter.
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#'
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#' While in other interfaces, the default random seed defaults to zero, in R, if a parameter `seed`
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#' is not manually supplied, it will generate a random seed through R's own random number generator,
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#' whose seed in turn is controllable through `set.seed`. If `seed` is passed, it will override the
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#' RNG from R.
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#'
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#' The evaluation metric is chosen automatically by XGBoost (according to the objective)
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#' when the \code{eval_metric} parameter is not provided.
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#' User may set one or several \code{eval_metric} parameters.
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#' Note that when using a customized metric, only this single metric can be used.
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#' The following is the list of built-in metrics for which XGBoost provides optimized implementation:
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#' \itemize{
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#' \item \code{rmse} root mean square error. \url{https://en.wikipedia.org/wiki/Root_mean_square_error}
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#' \item \code{logloss} negative log-likelihood. \url{https://en.wikipedia.org/wiki/Log-likelihood}
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#' \item \code{mlogloss} multiclass logloss. \url{https://scikit-learn.org/stable/modules/generated/sklearn.metrics.log_loss.html}
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#' \item \code{error} Binary classification error rate. It is calculated as \code{(# wrong cases) / (# all cases)}.
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#' By default, it uses the 0.5 threshold for predicted values to define negative and positive instances.
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#' Different threshold (e.g., 0.) could be specified as "error@0."
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#' \item \code{merror} Multiclass classification error rate. It is calculated as \code{(# wrong cases) / (# all cases)}.
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#' \item \code{mae} Mean absolute error
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#' \item \code{mape} Mean absolute percentage error
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#' \item{ \code{auc} Area under the curve.
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#' \url{https://en.wikipedia.org/wiki/Receiver_operating_characteristic#'Area_under_curve} for ranking evaluation.}
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#' \item \code{aucpr} Area under the PR curve. \url{https://en.wikipedia.org/wiki/Precision_and_recall} for ranking evaluation.
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#' \item \code{ndcg} Normalized Discounted Cumulative Gain (for ranking task). \url{https://en.wikipedia.org/wiki/NDCG}
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#' }
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#'
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#' The following callbacks are automatically created when certain parameters are set:
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#' \itemize{
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#' \item \code{xgb.cb.print.evaluation} is turned on when \code{verbose > 0};
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#' and the \code{print_every_n} parameter is passed to it.
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#' \item \code{xgb.cb.evaluation.log} is on when \code{watchlist} is present.
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#' \item \code{xgb.cb.early.stop}: when \code{early_stopping_rounds} is set.
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#' \item \code{xgb.cb.save.model}: when \code{save_period > 0} is set.
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#' }
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#'
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#' Note that objects of type `xgb.Booster` as returned by this function behave a bit differently
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#' from typical R objects (it's an 'altrep' list class), and it makes a separation between
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#' internal booster attributes (restricted to jsonifyable data), accessed through \link{xgb.attr}
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#' and shared between interfaces through serialization functions like \link{xgb.save}; and
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#' R-specific attributes (typically the result from a callback), accessed through \link{attributes}
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#' and \link{attr}, which are otherwise
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#' only used in the R interface, only kept when using R's serializers like \link{saveRDS}, and
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#' not anyhow used by functions like \link{predict.xgb.Booster}.
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#'
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#' Be aware that one such R attribute that is automatically added is `params` - this attribute
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#' is assigned from the `params` argument to this function, and is only meant to serve as a
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#' reference for what went into the booster, but is not used in other methods that take a booster
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#' object - so for example, changing the booster's configuration requires calling `xgb.config<-`
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#' or 'xgb.parameters<-', while simply modifying `attributes(model)$params$<...>` will have no
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#' effect elsewhere.
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#'
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#' @seealso
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#' \code{\link{xgb.Callback}},
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#' \code{\link{predict.xgb.Booster}},
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#' \code{\link{xgb.cv}}
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#'
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#' @references
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#'
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#' Tianqi Chen and Carlos Guestrin, "XGBoost: A Scalable Tree Boosting System",
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#' 22nd SIGKDD Conference on Knowledge Discovery and Data Mining, 2016, \url{https://arxiv.org/abs/1603.02754}
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#'
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#' @examples
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#' data(agaricus.train, package='xgboost')
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#' data(agaricus.test, package='xgboost')
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#'
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#' ## Keep the number of threads to 1 for examples
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#' nthread <- 1
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#' data.table::setDTthreads(nthread)
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#'
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#' dtrain <- with(
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#' agaricus.train, xgb.DMatrix(data, label = label, nthread = nthread)
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#' )
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#' dtest <- with(
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#' agaricus.test, xgb.DMatrix(data, label = label, nthread = nthread)
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#' )
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#' watchlist <- list(train = dtrain, eval = dtest)
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#'
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#' ## A simple xgb.train example:
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#' param <- list(max_depth = 2, eta = 1, nthread = nthread,
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#' objective = "binary:logistic", eval_metric = "auc")
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#' bst <- xgb.train(param, dtrain, nrounds = 2, watchlist, verbose = 0)
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#'
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#' ## An xgb.train example where custom objective and evaluation metric are
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#' ## used:
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#' logregobj <- function(preds, dtrain) {
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#' labels <- getinfo(dtrain, "label")
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#' preds <- 1/(1 + exp(-preds))
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#' grad <- preds - labels
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#' hess <- preds * (1 - preds)
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#' return(list(grad = grad, hess = hess))
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#' }
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#' evalerror <- function(preds, dtrain) {
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#' labels <- getinfo(dtrain, "label")
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#' err <- as.numeric(sum(labels != (preds > 0)))/length(labels)
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#' return(list(metric = "error", value = err))
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#' }
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#'
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#' # These functions could be used by passing them either:
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#' # as 'objective' and 'eval_metric' parameters in the params list:
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#' param <- list(max_depth = 2, eta = 1, nthread = nthread,
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#' objective = logregobj, eval_metric = evalerror)
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#' bst <- xgb.train(param, dtrain, nrounds = 2, watchlist, verbose = 0)
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#'
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#' # or through the ... arguments:
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#' param <- list(max_depth = 2, eta = 1, nthread = nthread)
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#' bst <- xgb.train(param, dtrain, nrounds = 2, watchlist, verbose = 0,
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#' objective = logregobj, eval_metric = evalerror)
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#'
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#' # or as dedicated 'obj' and 'feval' parameters of xgb.train:
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#' bst <- xgb.train(param, dtrain, nrounds = 2, watchlist,
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#' obj = logregobj, feval = evalerror)
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#'
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#'
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#' ## An xgb.train example of using variable learning rates at each iteration:
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#' param <- list(max_depth = 2, eta = 1, nthread = nthread,
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#' objective = "binary:logistic", eval_metric = "auc")
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#' my_etas <- list(eta = c(0.5, 0.1))
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#' bst <- xgb.train(param, dtrain, nrounds = 2, watchlist, verbose = 0,
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#' callbacks = list(xgb.cb.reset.parameters(my_etas)))
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#'
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#' ## Early stopping:
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#' bst <- xgb.train(param, dtrain, nrounds = 25, watchlist,
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#' early_stopping_rounds = 3)
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#'
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#' ## An 'xgboost' interface example:
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#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label,
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#' max_depth = 2, eta = 1, nthread = nthread, nrounds = 2,
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#' objective = "binary:logistic")
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#' pred <- predict(bst, agaricus.test$data)
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#'
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#' @rdname xgb.train
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#' @export
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xgb.train <- function(params = list(), data, nrounds, watchlist = list(),
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obj = NULL, feval = NULL, verbose = 1, print_every_n = 1L,
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early_stopping_rounds = NULL, maximize = NULL,
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save_period = NULL, save_name = "xgboost.model",
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xgb_model = NULL, callbacks = list(), ...) {
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check.deprecation(...)
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params <- check.booster.params(params, ...)
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check.custom.obj()
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check.custom.eval()
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# data & watchlist checks
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dtrain <- data
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if (!inherits(dtrain, "xgb.DMatrix"))
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stop("second argument dtrain must be xgb.DMatrix")
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if (length(watchlist) > 0) {
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if (typeof(watchlist) != "list" ||
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!all(vapply(watchlist, inherits, logical(1), what = 'xgb.DMatrix')))
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stop("watchlist must be a list of xgb.DMatrix elements")
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evnames <- names(watchlist)
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if (is.null(evnames) || any(evnames == ""))
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stop("each element of the watchlist must have a name tag")
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}
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# Handle multiple evaluation metrics given as a list
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for (m in params$eval_metric) {
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params <- c(params, list(eval_metric = m))
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}
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params <- c(params)
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params['validate_parameters'] <- TRUE
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if (!("seed" %in% names(params))) {
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params[["seed"]] <- sample(.Machine$integer.max, size = 1)
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}
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# callbacks
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tmp <- .process.callbacks(callbacks, is_cv = FALSE)
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callbacks <- tmp$callbacks
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cb_names <- tmp$cb_names
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rm(tmp)
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|
|
|
# Early stopping callback (should always come first)
|
|
if (!is.null(early_stopping_rounds) && !("early_stop" %in% cb_names)) {
|
|
callbacks <- add.callback(
|
|
callbacks,
|
|
xgb.cb.early.stop(
|
|
early_stopping_rounds,
|
|
maximize = maximize,
|
|
verbose = verbose
|
|
),
|
|
as_first_elt = TRUE
|
|
)
|
|
}
|
|
# evaluation printing callback
|
|
print_every_n <- max(as.integer(print_every_n), 1L)
|
|
if (verbose && !("print_evaluation" %in% cb_names)) {
|
|
callbacks <- add.callback(callbacks, xgb.cb.print.evaluation(print_every_n))
|
|
}
|
|
# evaluation log callback: it is automatically enabled when watchlist is provided
|
|
if (length(watchlist) && !("evaluation_log" %in% cb_names)) {
|
|
callbacks <- add.callback(callbacks, xgb.cb.evaluation.log())
|
|
}
|
|
# Model saving callback
|
|
if (!is.null(save_period) && !("save_model" %in% cb_names)) {
|
|
callbacks <- add.callback(callbacks, xgb.cb.save.model(save_period, save_name))
|
|
}
|
|
|
|
# The tree updating process would need slightly different handling
|
|
is_update <- NVL(params[['process_type']], '.') == 'update'
|
|
|
|
# Construct a booster (either a new one or load from xgb_model)
|
|
bst <- xgb.Booster(
|
|
params = params,
|
|
cachelist = append(watchlist, dtrain),
|
|
modelfile = xgb_model
|
|
)
|
|
niter_init <- bst$niter
|
|
bst <- bst$bst
|
|
.Call(
|
|
XGBoosterCopyInfoFromDMatrix_R,
|
|
xgb.get.handle(bst),
|
|
dtrain
|
|
)
|
|
|
|
if (is_update && nrounds > niter_init)
|
|
stop("nrounds cannot be larger than ", niter_init, " (nrounds of xgb_model)")
|
|
|
|
niter_skip <- ifelse(is_update, 0, niter_init)
|
|
begin_iteration <- niter_skip + 1
|
|
end_iteration <- niter_skip + nrounds
|
|
|
|
.execute.cb.before.training(
|
|
callbacks,
|
|
bst,
|
|
dtrain,
|
|
watchlist,
|
|
begin_iteration,
|
|
end_iteration
|
|
)
|
|
|
|
# the main loop for boosting iterations
|
|
for (iteration in begin_iteration:end_iteration) {
|
|
|
|
.execute.cb.before.iter(
|
|
callbacks,
|
|
bst,
|
|
dtrain,
|
|
watchlist,
|
|
iteration
|
|
)
|
|
|
|
xgb.iter.update(
|
|
bst = bst,
|
|
dtrain = dtrain,
|
|
iter = iteration - 1,
|
|
obj = obj
|
|
)
|
|
|
|
bst_evaluation <- NULL
|
|
if (length(watchlist) > 0) {
|
|
bst_evaluation <- xgb.iter.eval(
|
|
bst = bst,
|
|
watchlist = watchlist,
|
|
iter = iteration - 1,
|
|
feval = feval
|
|
)
|
|
}
|
|
|
|
should_stop <- .execute.cb.after.iter(
|
|
callbacks,
|
|
bst,
|
|
dtrain,
|
|
watchlist,
|
|
iteration,
|
|
bst_evaluation
|
|
)
|
|
|
|
if (should_stop) break
|
|
}
|
|
|
|
cb_outputs <- .execute.cb.after.training(
|
|
callbacks,
|
|
bst,
|
|
dtrain,
|
|
watchlist,
|
|
iteration,
|
|
bst_evaluation
|
|
)
|
|
|
|
extra_attrs <- list(
|
|
call = match.call(),
|
|
params = params
|
|
)
|
|
|
|
curr_attrs <- attributes(bst)
|
|
if (NROW(curr_attrs)) {
|
|
curr_attrs <- curr_attrs[
|
|
setdiff(
|
|
names(curr_attrs),
|
|
c(names(extra_attrs), names(cb_outputs))
|
|
)
|
|
]
|
|
}
|
|
curr_attrs <- c(extra_attrs, curr_attrs)
|
|
if (NROW(cb_outputs)) {
|
|
curr_attrs <- c(curr_attrs, cb_outputs)
|
|
}
|
|
attributes(bst) <- curr_attrs
|
|
|
|
return(bst)
|
|
}
|