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xgboost/src/common/quantile.h

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/*!
* Copyright 2014-2021 by Contributors
* \file quantile.h
* \brief util to compute quantiles
* \author Tianqi Chen
*/
#ifndef XGBOOST_COMMON_QUANTILE_H_
#define XGBOOST_COMMON_QUANTILE_H_
#include <dmlc/base.h>
#include <xgboost/logging.h>
#include <xgboost/data.h>
#include <cmath>
#include <vector>
#include <cstring>
#include <algorithm>
#include <iostream>
#include <set>
#include "timer.h"
namespace xgboost {
namespace common {
/*!
* \brief experimental wsummary
* \tparam DType type of data content
* \tparam RType type of rank
*/
template<typename DType, typename RType>
struct WQSummary {
/*! \brief an entry in the sketch summary */
struct Entry {
/*! \brief minimum rank */
RType rmin;
/*! \brief maximum rank */
RType rmax;
/*! \brief maximum weight */
RType wmin;
/*! \brief the value of data */
DType value;
// constructor
XGBOOST_DEVICE Entry() {} // NOLINT
// constructor
XGBOOST_DEVICE Entry(RType rmin, RType rmax, RType wmin, DType value)
: rmin(rmin), rmax(rmax), wmin(wmin), value(value) {}
/*!
* \brief debug function, check Valid
* \param eps the tolerate level for violating the relation
*/
inline void CheckValid(RType eps = 0) const {
CHECK(rmin >= 0 && rmax >= 0 && wmin >= 0) << "nonneg constraint";
CHECK(rmax- rmin - wmin > -eps) << "relation constraint: min/max";
}
/*! \return rmin estimation for v strictly bigger than value */
XGBOOST_DEVICE inline RType RMinNext() const {
return rmin + wmin;
}
/*! \return rmax estimation for v strictly smaller than value */
XGBOOST_DEVICE inline RType RMaxPrev() const {
return rmax - wmin;
}
friend std::ostream& operator<<(std::ostream& os, Entry const& e) {
os << "rmin: " << e.rmin << ", "
<< "rmax: " << e.rmax << ", "
<< "wmin: " << e.wmin << ", "
<< "value: " << e.value;
return os;
}
};
/*! \brief input data queue before entering the summary */
struct Queue {
// entry in the queue
struct QEntry {
// value of the instance
DType value;
// weight of instance
RType weight;
// default constructor
QEntry() = default;
// constructor
QEntry(DType value, RType weight)
: value(value), weight(weight) {}
// comparator on value
inline bool operator<(const QEntry &b) const {
return value < b.value;
}
};
// the input queue
std::vector<QEntry> queue;
// end of the queue
size_t qtail;
// push data to the queue
inline void Push(DType x, RType w) {
if (qtail == 0 || queue[qtail - 1].value != x) {
queue[qtail++] = QEntry(x, w);
} else {
queue[qtail - 1].weight += w;
}
}
inline void MakeSummary(WQSummary *out) {
std::sort(queue.begin(), queue.begin() + qtail);
out->size = 0;
// start update sketch
RType wsum = 0;
// construct data with unique weights
for (size_t i = 0; i < qtail;) {
size_t j = i + 1;
RType w = queue[i].weight;
while (j < qtail && queue[j].value == queue[i].value) {
w += queue[j].weight; ++j;
}
out->data[out->size++] = Entry(wsum, wsum + w, w, queue[i].value);
wsum += w; i = j;
}
}
};
/*! \brief data field */
Entry *data;
/*! \brief number of elements in the summary */
size_t size;
// constructor
WQSummary(Entry *data, size_t size)
: data(data), size(size) {}
/*!
* \return the maximum error of the Summary
*/
inline RType MaxError() const {
RType res = data[0].rmax - data[0].rmin - data[0].wmin;
for (size_t i = 1; i < size; ++i) {
res = std::max(data[i].RMaxPrev() - data[i - 1].RMinNext(), res);
res = std::max(data[i].rmax - data[i].rmin - data[i].wmin, res);
}
return res;
}
/*!
* \brief query qvalue, start from istart
* \param qvalue the value we query for
* \param istart starting position
*/
inline Entry Query(DType qvalue, size_t &istart) const { // NOLINT(*)
while (istart < size && qvalue > data[istart].value) {
++istart;
}
if (istart == size) {
RType rmax = data[size - 1].rmax;
return Entry(rmax, rmax, 0.0f, qvalue);
}
if (qvalue == data[istart].value) {
return data[istart];
} else {
if (istart == 0) {
return Entry(0.0f, 0.0f, 0.0f, qvalue);
} else {
return Entry(data[istart - 1].RMinNext(),
data[istart].RMaxPrev(),
0.0f, qvalue);
}
}
}
/*! \return maximum rank in the summary */
inline RType MaxRank() const {
return data[size - 1].rmax;
}
/*!
* \brief copy content from src
* \param src source sketch
*/
inline void CopyFrom(const WQSummary &src) {
if (!src.data) {
CHECK_EQ(src.size, 0);
size = 0;
return;
}
if (!data) {
CHECK_EQ(this->size, 0);
CHECK_EQ(src.size, 0);
return;
}
size = src.size;
std::memcpy(data, src.data, sizeof(Entry) * size);
}
inline void MakeFromSorted(const Entry* entries, size_t n) {
size = 0;
for (size_t i = 0; i < n;) {
size_t j = i + 1;
// ignore repeated values
for (; j < n && entries[j].value == entries[i].value; ++j) {}
data[size++] = Entry(entries[i].rmin, entries[i].rmax, entries[i].wmin,
entries[i].value);
i = j;
}
}
/*!
* \brief debug function, validate whether the summary
* run consistency check to check if it is a valid summary
* \param eps the tolerate error level, used when RType is floating point and
* some inconsistency could occur due to rounding error
*/
inline void CheckValid(RType eps) const {
for (size_t i = 0; i < size; ++i) {
data[i].CheckValid(eps);
if (i != 0) {
CHECK(data[i].rmin >= data[i - 1].rmin + data[i - 1].wmin) << "rmin range constraint";
CHECK(data[i].rmax >= data[i - 1].rmax + data[i].wmin) << "rmax range constraint";
}
}
}
/*!
* \brief set current summary to be pruned summary of src
* assume data field is already allocated to be at least maxsize
* \param src source summary
* \param maxsize size we can afford in the pruned sketch
*/
void SetPrune(const WQSummary &src, size_t maxsize) {
if (src.size <= maxsize) {
this->CopyFrom(src); return;
}
const RType begin = src.data[0].rmax;
const RType range = src.data[src.size - 1].rmin - src.data[0].rmax;
const size_t n = maxsize - 1;
data[0] = src.data[0];
this->size = 1;
// lastidx is used to avoid duplicated records
size_t i = 1, lastidx = 0;
for (size_t k = 1; k < n; ++k) {
RType dx2 = 2 * ((k * range) / n + begin);
// find first i such that d < (rmax[i+1] + rmin[i+1]) / 2
while (i < src.size - 1
&& dx2 >= src.data[i + 1].rmax + src.data[i + 1].rmin) ++i;
if (i == src.size - 1) break;
if (dx2 < src.data[i].RMinNext() + src.data[i + 1].RMaxPrev()) {
if (i != lastidx) {
data[size++] = src.data[i]; lastidx = i;
}
} else {
if (i + 1 != lastidx) {
data[size++] = src.data[i + 1]; lastidx = i + 1;
}
}
}
if (lastidx != src.size - 1) {
data[size++] = src.data[src.size - 1];
}
}
/*!
* \brief set current summary to be merged summary of sa and sb
* \param sa first input summary to be merged
* \param sb second input summary to be merged
*/
inline void SetCombine(const WQSummary &sa,
const WQSummary &sb) {
if (sa.size == 0) {
this->CopyFrom(sb); return;
}
if (sb.size == 0) {
this->CopyFrom(sa); return;
}
CHECK(sa.size > 0 && sb.size > 0);
const Entry *a = sa.data, *a_end = sa.data + sa.size;
const Entry *b = sb.data, *b_end = sb.data + sb.size;
// extended rmin value
RType aprev_rmin = 0, bprev_rmin = 0;
Entry *dst = this->data;
while (a != a_end && b != b_end) {
// duplicated value entry
if (a->value == b->value) {
*dst = Entry(a->rmin + b->rmin,
a->rmax + b->rmax,
a->wmin + b->wmin, a->value);
aprev_rmin = a->RMinNext();
bprev_rmin = b->RMinNext();
++dst; ++a; ++b;
} else if (a->value < b->value) {
*dst = Entry(a->rmin + bprev_rmin,
a->rmax + b->RMaxPrev(),
a->wmin, a->value);
aprev_rmin = a->RMinNext();
++dst; ++a;
} else {
*dst = Entry(b->rmin + aprev_rmin,
b->rmax + a->RMaxPrev(),
b->wmin, b->value);
bprev_rmin = b->RMinNext();
++dst; ++b;
}
}
if (a != a_end) {
RType brmax = (b_end - 1)->rmax;
do {
*dst = Entry(a->rmin + bprev_rmin, a->rmax + brmax, a->wmin, a->value);
++dst; ++a;
} while (a != a_end);
}
if (b != b_end) {
RType armax = (a_end - 1)->rmax;
do {
*dst = Entry(b->rmin + aprev_rmin, b->rmax + armax, b->wmin, b->value);
++dst; ++b;
} while (b != b_end);
}
this->size = dst - data;
const RType tol = 10;
RType err_mingap, err_maxgap, err_wgap;
this->FixError(&err_mingap, &err_maxgap, &err_wgap);
if (err_mingap > tol || err_maxgap > tol || err_wgap > tol) {
LOG(INFO) << "mingap=" << err_mingap
<< ", maxgap=" << err_maxgap
<< ", wgap=" << err_wgap;
}
CHECK(size <= sa.size + sb.size) << "bug in combine";
}
// helper function to print the current content of sketch
inline void Print() const {
for (size_t i = 0; i < this->size; ++i) {
LOG(CONSOLE) << "[" << i << "] rmin=" << data[i].rmin
<< ", rmax=" << data[i].rmax
<< ", wmin=" << data[i].wmin
<< ", v=" << data[i].value;
}
}
// try to fix rounding error
// and re-establish invariance
inline void FixError(RType *err_mingap,
RType *err_maxgap,
RType *err_wgap) const {
*err_mingap = 0;
*err_maxgap = 0;
*err_wgap = 0;
RType prev_rmin = 0, prev_rmax = 0;
for (size_t i = 0; i < this->size; ++i) {
if (data[i].rmin < prev_rmin) {
data[i].rmin = prev_rmin;
*err_mingap = std::max(*err_mingap, prev_rmin - data[i].rmin);
} else {
prev_rmin = data[i].rmin;
}
if (data[i].rmax < prev_rmax) {
data[i].rmax = prev_rmax;
*err_maxgap = std::max(*err_maxgap, prev_rmax - data[i].rmax);
}
RType rmin_next = data[i].RMinNext();
if (data[i].rmax < rmin_next) {
data[i].rmax = rmin_next;
*err_wgap = std::max(*err_wgap, data[i].rmax - rmin_next);
}
prev_rmax = data[i].rmax;
}
}
// check consistency of the summary
inline bool Check(const char *msg) const {
const float tol = 10.0f;
for (size_t i = 0; i < this->size; ++i) {
if (data[i].rmin + data[i].wmin > data[i].rmax + tol ||
data[i].rmin < -1e-6f || data[i].rmax < -1e-6f) {
LOG(INFO) << "---------- WQSummary::Check did not pass ----------";
this->Print();
return false;
}
}
return true;
}
};
/*! \brief try to do efficient pruning */
template<typename DType, typename RType>
struct WXQSummary : public WQSummary<DType, RType> {
// redefine entry type
using Entry = typename WQSummary<DType, RType>::Entry;
// constructor
WXQSummary(Entry *data, size_t size)
: WQSummary<DType, RType>(data, size) {}
// check if the block is large chunk
inline static bool CheckLarge(const Entry &e, RType chunk) {
return e.RMinNext() > e.RMaxPrev() + chunk;
}
// set prune
inline void SetPrune(const WQSummary<DType, RType> &src, size_t maxsize) {
if (src.size <= maxsize) {
this->CopyFrom(src); return;
}
RType begin = src.data[0].rmax;
// n is number of points exclude the min/max points
size_t n = maxsize - 2, nbig = 0;
// these is the range of data exclude the min/max point
RType range = src.data[src.size - 1].rmin - begin;
// prune off zero weights
if (range == 0.0f || maxsize <= 2) {
// special case, contain only two effective data pts
this->data[0] = src.data[0];
this->data[1] = src.data[src.size - 1];
this->size = 2;
return;
} else {
range = std::max(range, static_cast<RType>(1e-3f));
}
// Get a big enough chunk size, bigger than range / n
// (multiply by 2 is a safe factor)
const RType chunk = 2 * range / n;
// minimized range
RType mrange = 0;
{
// first scan, grab all the big chunk
// moving block index, exclude the two ends.
size_t bid = 0;
for (size_t i = 1; i < src.size - 1; ++i) {
// detect big chunk data point in the middle
// always save these data points.
if (CheckLarge(src.data[i], chunk)) {
if (bid != i - 1) {
// accumulate the range of the rest points
mrange += src.data[i].RMaxPrev() - src.data[bid].RMinNext();
}
bid = i; ++nbig;
}
}
if (bid != src.size - 2) {
mrange += src.data[src.size-1].RMaxPrev() - src.data[bid].RMinNext();
}
}
// assert: there cannot be more than n big data points
if (nbig >= n) {
// see what was the case
LOG(INFO) << " check quantile stats, nbig=" << nbig << ", n=" << n;
LOG(INFO) << " srcsize=" << src.size << ", maxsize=" << maxsize
<< ", range=" << range << ", chunk=" << chunk;
src.Print();
CHECK(nbig < n) << "quantile: too many large chunk";
}
this->data[0] = src.data[0];
this->size = 1;
// The counter on the rest of points, to be selected equally from small chunks.
n = n - nbig;
// find the rest of point
size_t bid = 0, k = 1, lastidx = 0;
for (size_t end = 1; end < src.size; ++end) {
if (end == src.size - 1 || CheckLarge(src.data[end], chunk)) {
if (bid != end - 1) {
size_t i = bid;
RType maxdx2 = src.data[end].RMaxPrev() * 2;
for (; k < n; ++k) {
RType dx2 = 2 * ((k * mrange) / n + begin);
if (dx2 >= maxdx2) break;
while (i < end &&
dx2 >= src.data[i + 1].rmax + src.data[i + 1].rmin) ++i;
if (i == end) break;
if (dx2 < src.data[i].RMinNext() + src.data[i + 1].RMaxPrev()) {
if (i != lastidx) {
this->data[this->size++] = src.data[i]; lastidx = i;
}
} else {
if (i + 1 != lastidx) {
this->data[this->size++] = src.data[i + 1]; lastidx = i + 1;
}
}
}
}
if (lastidx != end) {
this->data[this->size++] = src.data[end];
lastidx = end;
}
bid = end;
// shift base by the gap
begin += src.data[bid].RMinNext() - src.data[bid].RMaxPrev();
}
}
}
};
/*!
* \brief template for all quantile sketch algorithm
* that uses merge/prune scheme
* \tparam DType type of data content
* \tparam RType type of rank
* \tparam TSummary actual summary data structure it uses
*/
template<typename DType, typename RType, class TSummary>
class QuantileSketchTemplate {
public:
static float constexpr kFactor = 8.0;
public:
/*! \brief type of summary type */
using Summary = TSummary;
/*! \brief the entry type */
using Entry = typename Summary::Entry;
/*! \brief same as summary, but use STL to backup the space */
struct SummaryContainer : public Summary {
std::vector<Entry> space;
SummaryContainer(const SummaryContainer &src) : Summary(nullptr, src.size) {
this->space = src.space;
this->data = dmlc::BeginPtr(this->space);
}
SummaryContainer() : Summary(nullptr, 0) {
}
/*! \brief reserve space for summary */
inline void Reserve(size_t size) {
if (size > space.size()) {
space.resize(size);
this->data = dmlc::BeginPtr(space);
}
}
/*!
* \brief do elementwise combination of summary array
* this[i] = combine(this[i], src[i]) for each i
* \param src the source summary
* \param max_nbyte maximum number of byte allowed in here
*/
inline void Reduce(const Summary &src, size_t max_nbyte) {
this->Reserve((max_nbyte - sizeof(this->size)) / sizeof(Entry));
SummaryContainer temp;
temp.Reserve(this->size + src.size);
temp.SetCombine(*this, src);
this->SetPrune(temp, space.size());
}
/*! \brief return the number of bytes this data structure cost in serialization */
inline static size_t CalcMemCost(size_t nentry) {
return sizeof(size_t) + sizeof(Entry) * nentry;
}
/*! \brief save the data structure into stream */
template<typename TStream>
inline void Save(TStream &fo) const { // NOLINT(*)
fo.Write(&(this->size), sizeof(this->size));
if (this->size != 0) {
fo.Write(this->data, this->size * sizeof(Entry));
}
}
/*! \brief load data structure from input stream */
template<typename TStream>
inline void Load(TStream &fi) { // NOLINT(*)
CHECK_EQ(fi.Read(&this->size, sizeof(this->size)), sizeof(this->size));
this->Reserve(this->size);
if (this->size != 0) {
CHECK_EQ(fi.Read(this->data, this->size * sizeof(Entry)),
this->size * sizeof(Entry));
}
}
};
/*!
* \brief initialize the quantile sketch, given the performance specification
* \param maxn maximum number of data points can be feed into sketch
* \param eps accuracy level of summary
*/
inline void Init(size_t maxn, double eps) {
LimitSizeLevel(maxn, eps, &nlevel, &limit_size);
// lazy reserve the space, if there is only one value, no need to allocate space
inqueue.queue.resize(1);
inqueue.qtail = 0;
data.clear();
level.clear();
}
inline static void LimitSizeLevel
(size_t maxn, double eps, size_t* out_nlevel, size_t* out_limit_size) {
size_t& nlevel = *out_nlevel;
size_t& limit_size = *out_limit_size;
nlevel = 1;
while (true) {
limit_size = static_cast<size_t>(ceil(nlevel / eps)) + 1;
limit_size = std::min(maxn, limit_size);
size_t n = (1ULL << nlevel);
if (n * limit_size >= maxn) break;
++nlevel;
}
// check invariant
size_t n = (1ULL << nlevel);
CHECK(n * limit_size >= maxn) << "invalid init parameter";
CHECK(nlevel <= std::max(static_cast<size_t>(1), static_cast<size_t>(limit_size * eps)))
<< "invalid init parameter";
}
/*!
* \brief add an element to a sketch
* \param x The element added to the sketch
* \param w The weight of the element.
*/
inline void Push(DType x, RType w = 1) {
if (w == static_cast<RType>(0)) return;
if (inqueue.qtail == inqueue.queue.size() && inqueue.queue[inqueue.qtail - 1].value != x) {
// jump from lazy one value to limit_size * 2
if (inqueue.queue.size() == 1) {
inqueue.queue.resize(limit_size * 2);
} else {
temp.Reserve(limit_size * 2);
inqueue.MakeSummary(&temp);
// cleanup queue
inqueue.qtail = 0;
this->PushTemp();
}
}
inqueue.Push(x, w);
}
inline void PushSummary(const Summary& summary) {
temp.Reserve(limit_size * 2);
temp.SetPrune(summary, limit_size * 2);
PushTemp();
}
/*! \brief push up temp */
inline void PushTemp() {
temp.Reserve(limit_size * 2);
for (size_t l = 1; true; ++l) {
this->InitLevel(l + 1);
// check if level l is empty
if (level[l].size == 0) {
level[l].SetPrune(temp, limit_size);
break;
} else {
// level 0 is actually temp space
level[0].SetPrune(temp, limit_size);
temp.SetCombine(level[0], level[l]);
if (temp.size > limit_size) {
// try next level
level[l].size = 0;
} else {
// if merged record is still smaller, no need to send to next level
level[l].CopyFrom(temp); break;
}
}
}
}
/*! \brief get the summary after finalize */
inline void GetSummary(SummaryContainer *out) {
if (level.size() != 0) {
out->Reserve(limit_size * 2);
} else {
out->Reserve(inqueue.queue.size());
}
inqueue.MakeSummary(out);
if (level.size() != 0) {
level[0].SetPrune(*out, limit_size);
for (size_t l = 1; l < level.size(); ++l) {
if (level[l].size == 0) continue;
if (level[0].size == 0) {
level[0].CopyFrom(level[l]);
} else {
out->SetCombine(level[0], level[l]);
level[0].SetPrune(*out, limit_size);
}
}
out->CopyFrom(level[0]);
} else {
if (out->size > limit_size) {
temp.Reserve(limit_size);
temp.SetPrune(*out, limit_size);
out->CopyFrom(temp);
}
}
}
// used for debug, check if the sketch is valid
inline void CheckValid(RType eps) const {
for (size_t l = 1; l < level.size(); ++l) {
level[l].CheckValid(eps);
}
}
// initialize level space to at least nlevel
inline void InitLevel(size_t nlevel) {
if (level.size() >= nlevel) return;
data.resize(limit_size * nlevel);
level.resize(nlevel, Summary(nullptr, 0));
for (size_t l = 0; l < level.size(); ++l) {
level[l].data = dmlc::BeginPtr(data) + l * limit_size;
}
}
// input data queue
typename Summary::Queue inqueue;
// number of levels
size_t nlevel;
// size of summary in each level
size_t limit_size;
// the level of each summaries
std::vector<Summary> level;
// content of the summary
std::vector<Entry> data;
// temporal summary, used for temp-merge
SummaryContainer temp;
};
/*!
* \brief Quantile sketch use WQSummary
* \tparam DType type of data content
* \tparam RType type of rank
*/
template<typename DType, typename RType = unsigned>
class WQuantileSketch :
public QuantileSketchTemplate<DType, RType, WQSummary<DType, RType> > {
};
/*!
* \brief Quantile sketch use WXQSummary
* \tparam DType type of data content
* \tparam RType type of rank
*/
template<typename DType, typename RType = unsigned>
class WXQuantileSketch :
public QuantileSketchTemplate<DType, RType, WXQSummary<DType, RType> > {
};
class HistogramCuts;
/*!
* A sketch matrix storing sketches for each feature.
*/
class HostSketchContainer {
public:
using WQSketch = WQuantileSketch<float, float>;
private:
std::vector<WQSketch> sketches_;
std::vector<std::set<bst_cat_t>> categories_;
std::vector<FeatureType> const feature_types_;
std::vector<bst_row_t> columns_size_;
int32_t max_bins_;
bool use_group_ind_{false};
int32_t n_threads_;
Monitor monitor_;
public:
/* \brief Initialize necessary info.
*
* \param columns_size Size of each column.
* \param max_bins maximum number of bins for each feature.
* \param use_group whether is assigned to group to data instance.
*/
HostSketchContainer(std::vector<bst_row_t> columns_size, int32_t max_bins,
common::Span<FeatureType const> feature_types, bool use_group,
int32_t n_threads);
static bool UseGroup(MetaInfo const &info) {
size_t const num_groups =
info.group_ptr_.size() == 0 ? 0 : info.group_ptr_.size() - 1;
// Use group index for weights?
bool const use_group_ind =
num_groups != 0 && (info.weights_.Size() != info.num_row_);
return use_group_ind;
}
static std::vector<bst_row_t> CalcColumnSize(SparsePage const &page,
bst_feature_t const n_columns,
size_t const nthreads);
static std::vector<bst_feature_t> LoadBalance(SparsePage const &page,
bst_feature_t n_columns,
size_t const nthreads);
static uint32_t SearchGroupIndFromRow(std::vector<bst_uint> const &group_ptr,
size_t const base_rowid) {
CHECK_LT(base_rowid, group_ptr.back())
<< "Row: " << base_rowid << " is not found in any group.";
bst_group_t group_ind =
std::upper_bound(group_ptr.cbegin(), group_ptr.cend() - 1, base_rowid) -
group_ptr.cbegin() - 1;
return group_ind;
}
// Gather sketches from all workers.
void GatherSketchInfo(std::vector<WQSketch::SummaryContainer> const &reduced,
std::vector<bst_row_t> *p_worker_segments,
std::vector<bst_row_t> *p_sketches_scan,
std::vector<WQSketch::Entry> *p_global_sketches);
// Merge sketches from all workers.
void AllReduce(std::vector<WQSketch::SummaryContainer> *p_reduced,
std::vector<int32_t>* p_num_cuts);
/* \brief Push a CSR matrix. */
void PushRowPage(SparsePage const &page, MetaInfo const &info,
Span<float> const hessian = {});
void MakeCuts(HistogramCuts* cuts);
};
} // namespace common
} // namespace xgboost
#endif // XGBOOST_COMMON_QUANTILE_H_
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