bac22734fb
- Remove `ntree_limit`. The parameter has been deprecated since 1.4.0. - The SHAP package compatibility is broken.
580 lines
19 KiB
Python
580 lines
19 KiB
Python
"""Callback library containing training routines. See :doc:`Callback Functions
|
|
</python/callbacks>` for a quick introduction.
|
|
|
|
"""
|
|
|
|
import collections
|
|
import os
|
|
import pickle
|
|
from abc import ABC
|
|
from typing import (
|
|
Any,
|
|
Callable,
|
|
Dict,
|
|
List,
|
|
Optional,
|
|
Sequence,
|
|
Tuple,
|
|
TypeVar,
|
|
Union,
|
|
cast,
|
|
)
|
|
|
|
import numpy
|
|
|
|
from . import collective
|
|
from .core import Booster, DMatrix, XGBoostError, _parse_eval_str
|
|
|
|
__all__ = [
|
|
"TrainingCallback",
|
|
"LearningRateScheduler",
|
|
"EarlyStopping",
|
|
"EvaluationMonitor",
|
|
"TrainingCheckPoint",
|
|
"CallbackContainer",
|
|
]
|
|
|
|
_Score = Union[float, Tuple[float, float]]
|
|
_ScoreList = Union[List[float], List[Tuple[float, float]]]
|
|
|
|
_Model = Any # real type is Union[Booster, CVPack]; need more work
|
|
|
|
|
|
# pylint: disable=unused-argument
|
|
class TrainingCallback(ABC):
|
|
"""Interface for training callback.
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
"""
|
|
|
|
EvalsLog = Dict[str, Dict[str, _ScoreList]] # pylint: disable=invalid-name
|
|
|
|
def __init__(self) -> None:
|
|
pass
|
|
|
|
def before_training(self, model: _Model) -> _Model:
|
|
"""Run before training starts."""
|
|
return model
|
|
|
|
def after_training(self, model: _Model) -> _Model:
|
|
"""Run after training is finished."""
|
|
return model
|
|
|
|
def before_iteration(self, model: _Model, epoch: int, evals_log: EvalsLog) -> bool:
|
|
"""Run before each iteration. Return True when training should stop."""
|
|
return False
|
|
|
|
def after_iteration(self, model: _Model, epoch: int, evals_log: EvalsLog) -> bool:
|
|
"""Run after each iteration. Return True when training should stop."""
|
|
return False
|
|
|
|
|
|
def _aggcv(rlist: List[str]) -> List[Tuple[str, float, float]]:
|
|
# pylint: disable=invalid-name, too-many-locals
|
|
"""Aggregate cross-validation results."""
|
|
cvmap: Dict[Tuple[int, str], List[float]] = {}
|
|
idx = rlist[0].split()[0]
|
|
for line in rlist:
|
|
arr: List[str] = line.split()
|
|
assert idx == arr[0]
|
|
for metric_idx, it in enumerate(arr[1:]):
|
|
if not isinstance(it, str):
|
|
it = it.decode()
|
|
k, v = it.split(":")
|
|
if (metric_idx, k) not in cvmap:
|
|
cvmap[(metric_idx, k)] = []
|
|
cvmap[(metric_idx, k)].append(float(v))
|
|
msg = idx
|
|
results = []
|
|
for (_, name), s in sorted(cvmap.items(), key=lambda x: x[0][0]):
|
|
as_arr = numpy.array(s)
|
|
if not isinstance(msg, str):
|
|
msg = msg.decode()
|
|
mean, std = numpy.mean(as_arr), numpy.std(as_arr)
|
|
results.extend([(name, mean, std)])
|
|
return results
|
|
|
|
|
|
# allreduce type
|
|
_ART = TypeVar("_ART")
|
|
|
|
|
|
def _allreduce_metric(score: _ART) -> _ART:
|
|
"""Helper function for computing customized metric in distributed
|
|
environment. Not strictly correct as many functions don't use mean value
|
|
as final result.
|
|
|
|
"""
|
|
world = collective.get_world_size()
|
|
assert world != 0
|
|
if world == 1:
|
|
return score
|
|
if isinstance(score, tuple): # has mean and stdv
|
|
raise ValueError(
|
|
"xgboost.cv function should not be used in distributed environment."
|
|
)
|
|
arr = numpy.array([score])
|
|
arr = collective.allreduce(arr, collective.Op.SUM) / world
|
|
return arr[0]
|
|
|
|
|
|
class CallbackContainer:
|
|
"""A special internal callback for invoking a list of other callbacks.
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
"""
|
|
|
|
def __init__(
|
|
self,
|
|
callbacks: Sequence[TrainingCallback],
|
|
metric: Optional[Callable] = None,
|
|
output_margin: bool = True,
|
|
is_cv: bool = False,
|
|
) -> None:
|
|
self.callbacks = set(callbacks)
|
|
if metric is not None:
|
|
msg = (
|
|
"metric must be callable object for monitoring. For "
|
|
+ "builtin metrics, passing them in training parameter"
|
|
+ " will invoke monitor automatically."
|
|
)
|
|
assert callable(metric), msg
|
|
self.metric = metric
|
|
self.history: TrainingCallback.EvalsLog = collections.OrderedDict()
|
|
self._output_margin = output_margin
|
|
self.is_cv = is_cv
|
|
|
|
if self.is_cv:
|
|
self.aggregated_cv = None
|
|
|
|
def before_training(self, model: _Model) -> _Model:
|
|
"""Function called before training."""
|
|
for c in self.callbacks:
|
|
model = c.before_training(model=model)
|
|
msg = "before_training should return the model"
|
|
if self.is_cv:
|
|
assert isinstance(model.cvfolds, list), msg
|
|
else:
|
|
assert isinstance(model, Booster), msg
|
|
return model
|
|
|
|
def after_training(self, model: _Model) -> _Model:
|
|
"""Function called after training."""
|
|
for c in self.callbacks:
|
|
model = c.after_training(model=model)
|
|
msg = "after_training should return the model"
|
|
if self.is_cv:
|
|
assert isinstance(model.cvfolds, list), msg
|
|
else:
|
|
assert isinstance(model, Booster), msg
|
|
|
|
if not self.is_cv:
|
|
if model.attr("best_score") is not None:
|
|
model.best_score = float(cast(str, model.attr("best_score")))
|
|
model.best_iteration = int(cast(str, model.attr("best_iteration")))
|
|
else:
|
|
# Due to compatibility with version older than 1.4, these attributes are
|
|
# added to Python object even if early stopping is not used.
|
|
model.best_iteration = model.num_boosted_rounds() - 1
|
|
model.set_attr(best_iteration=str(model.best_iteration))
|
|
|
|
return model
|
|
|
|
def before_iteration(
|
|
self,
|
|
model: _Model,
|
|
epoch: int,
|
|
dtrain: DMatrix,
|
|
evals: Optional[List[Tuple[DMatrix, str]]],
|
|
) -> bool:
|
|
"""Function called before training iteration."""
|
|
return any(
|
|
c.before_iteration(model, epoch, self.history) for c in self.callbacks
|
|
)
|
|
|
|
def _update_history(
|
|
self,
|
|
score: Union[List[Tuple[str, float]], List[Tuple[str, float, float]]],
|
|
epoch: int,
|
|
) -> None:
|
|
for d in score:
|
|
name: str = d[0]
|
|
s: float = d[1]
|
|
if self.is_cv:
|
|
std = float(cast(Tuple[str, float, float], d)[2])
|
|
x: _Score = (s, std)
|
|
else:
|
|
x = s
|
|
splited_names = name.split("-")
|
|
data_name = splited_names[0]
|
|
metric_name = "-".join(splited_names[1:])
|
|
x = _allreduce_metric(x)
|
|
if data_name not in self.history:
|
|
self.history[data_name] = collections.OrderedDict()
|
|
data_history = self.history[data_name]
|
|
if metric_name not in data_history:
|
|
data_history[metric_name] = cast(_ScoreList, [])
|
|
metric_history = data_history[metric_name]
|
|
if self.is_cv:
|
|
cast(List[Tuple[float, float]], metric_history).append(
|
|
cast(Tuple[float, float], x)
|
|
)
|
|
else:
|
|
cast(List[float], metric_history).append(cast(float, x))
|
|
|
|
def after_iteration(
|
|
self,
|
|
model: _Model,
|
|
epoch: int,
|
|
dtrain: DMatrix,
|
|
evals: Optional[List[Tuple[DMatrix, str]]],
|
|
) -> bool:
|
|
"""Function called after training iteration."""
|
|
if self.is_cv:
|
|
scores = model.eval(epoch, self.metric, self._output_margin)
|
|
scores = _aggcv(scores)
|
|
self.aggregated_cv = scores
|
|
self._update_history(scores, epoch)
|
|
else:
|
|
evals = [] if evals is None else evals
|
|
for _, name in evals:
|
|
assert name.find("-") == -1, "Dataset name should not contain `-`"
|
|
score: str = model.eval_set(evals, epoch, self.metric, self._output_margin)
|
|
metric_score = _parse_eval_str(score)
|
|
self._update_history(metric_score, epoch)
|
|
ret = any(c.after_iteration(model, epoch, self.history) for c in self.callbacks)
|
|
return ret
|
|
|
|
|
|
class LearningRateScheduler(TrainingCallback):
|
|
"""Callback function for scheduling learning rate.
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
Parameters
|
|
----------
|
|
|
|
learning_rates :
|
|
If it's a callable object, then it should accept an integer parameter
|
|
`epoch` and returns the corresponding learning rate. Otherwise it
|
|
should be a sequence like list or tuple with the same size of boosting
|
|
rounds.
|
|
|
|
"""
|
|
|
|
def __init__(
|
|
self, learning_rates: Union[Callable[[int], float], Sequence[float]]
|
|
) -> None:
|
|
assert callable(learning_rates) or isinstance(
|
|
learning_rates, collections.abc.Sequence
|
|
)
|
|
if callable(learning_rates):
|
|
self.learning_rates = learning_rates
|
|
else:
|
|
self.learning_rates = lambda epoch: cast(Sequence, learning_rates)[epoch]
|
|
super().__init__()
|
|
|
|
def after_iteration(
|
|
self, model: _Model, epoch: int, evals_log: TrainingCallback.EvalsLog
|
|
) -> bool:
|
|
model.set_param("learning_rate", self.learning_rates(epoch))
|
|
return False
|
|
|
|
|
|
# pylint: disable=too-many-instance-attributes
|
|
class EarlyStopping(TrainingCallback):
|
|
"""Callback function for early stopping
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
Parameters
|
|
----------
|
|
rounds :
|
|
Early stopping rounds.
|
|
metric_name :
|
|
Name of metric that is used for early stopping.
|
|
data_name :
|
|
Name of dataset that is used for early stopping.
|
|
maximize :
|
|
Whether to maximize evaluation metric. None means auto (discouraged).
|
|
save_best :
|
|
Whether training should return the best model or the last model.
|
|
min_delta :
|
|
Minimum absolute change in score to be qualified as an improvement.
|
|
|
|
.. versionadded:: 1.5.0
|
|
|
|
.. code-block:: python
|
|
|
|
es = xgboost.callback.EarlyStopping(
|
|
rounds=2,
|
|
min_delta=1e-3,
|
|
save_best=True,
|
|
maximize=False,
|
|
data_name="validation_0",
|
|
metric_name="mlogloss",
|
|
)
|
|
clf = xgboost.XGBClassifier(tree_method="gpu_hist", callbacks=[es])
|
|
|
|
X, y = load_digits(return_X_y=True)
|
|
clf.fit(X, y, eval_set=[(X, y)])
|
|
"""
|
|
|
|
# pylint: disable=too-many-arguments
|
|
def __init__(
|
|
self,
|
|
rounds: int,
|
|
metric_name: Optional[str] = None,
|
|
data_name: Optional[str] = None,
|
|
maximize: Optional[bool] = None,
|
|
save_best: Optional[bool] = False,
|
|
min_delta: float = 0.0,
|
|
) -> None:
|
|
self.data = data_name
|
|
self.metric_name = metric_name
|
|
self.rounds = rounds
|
|
self.save_best = save_best
|
|
self.maximize = maximize
|
|
self.stopping_history: TrainingCallback.EvalsLog = {}
|
|
self._min_delta = min_delta
|
|
if self._min_delta < 0:
|
|
raise ValueError("min_delta must be greater or equal to 0.")
|
|
|
|
self.current_rounds: int = 0
|
|
self.best_scores: dict = {}
|
|
self.starting_round: int = 0
|
|
super().__init__()
|
|
|
|
def before_training(self, model: _Model) -> _Model:
|
|
self.starting_round = model.num_boosted_rounds()
|
|
return model
|
|
|
|
def _update_rounds(
|
|
self, score: _Score, name: str, metric: str, model: _Model, epoch: int
|
|
) -> bool:
|
|
def get_s(value: _Score) -> float:
|
|
"""get score if it's cross validation history."""
|
|
return value[0] if isinstance(value, tuple) else value
|
|
|
|
def maximize(new: _Score, best: _Score) -> bool:
|
|
"""New score should be greater than the old one."""
|
|
return numpy.greater(get_s(new) - self._min_delta, get_s(best))
|
|
|
|
def minimize(new: _Score, best: _Score) -> bool:
|
|
"""New score should be smaller than the old one."""
|
|
return numpy.greater(get_s(best) - self._min_delta, get_s(new))
|
|
|
|
if self.maximize is None:
|
|
# Just to be compatibility with old behavior before 1.3. We should let
|
|
# user to decide.
|
|
maximize_metrics = (
|
|
"auc",
|
|
"aucpr",
|
|
"map",
|
|
"ndcg",
|
|
"auc@",
|
|
"aucpr@",
|
|
"map@",
|
|
"ndcg@",
|
|
)
|
|
if metric != "mape" and any(metric.startswith(x) for x in maximize_metrics):
|
|
self.maximize = True
|
|
else:
|
|
self.maximize = False
|
|
|
|
if self.maximize:
|
|
improve_op = maximize
|
|
else:
|
|
improve_op = minimize
|
|
|
|
if not self.stopping_history: # First round
|
|
self.current_rounds = 0
|
|
self.stopping_history[name] = {}
|
|
self.stopping_history[name][metric] = cast(_ScoreList, [score])
|
|
self.best_scores[name] = {}
|
|
self.best_scores[name][metric] = [score]
|
|
model.set_attr(best_score=str(score), best_iteration=str(epoch))
|
|
elif not improve_op(score, self.best_scores[name][metric][-1]):
|
|
# Not improved
|
|
self.stopping_history[name][metric].append(score) # type: ignore
|
|
self.current_rounds += 1
|
|
else: # Improved
|
|
self.stopping_history[name][metric].append(score) # type: ignore
|
|
self.best_scores[name][metric].append(score)
|
|
record = self.stopping_history[name][metric][-1]
|
|
model.set_attr(best_score=str(record), best_iteration=str(epoch))
|
|
self.current_rounds = 0 # reset
|
|
|
|
if self.current_rounds >= self.rounds:
|
|
# Should stop
|
|
return True
|
|
return False
|
|
|
|
def after_iteration(
|
|
self, model: _Model, epoch: int, evals_log: TrainingCallback.EvalsLog
|
|
) -> bool:
|
|
epoch += self.starting_round # training continuation
|
|
msg = "Must have at least 1 validation dataset for early stopping."
|
|
assert len(evals_log.keys()) >= 1, msg
|
|
data_name = ""
|
|
if self.data:
|
|
for d, _ in evals_log.items():
|
|
if d == self.data:
|
|
data_name = d
|
|
if not data_name:
|
|
raise ValueError("No dataset named:", self.data)
|
|
else:
|
|
# Use the last one as default.
|
|
data_name = list(evals_log.keys())[-1]
|
|
assert isinstance(data_name, str) and data_name
|
|
data_log = evals_log[data_name]
|
|
|
|
# Filter out scores that can not be used for early stopping.
|
|
if self.metric_name:
|
|
metric_name = self.metric_name
|
|
else:
|
|
# Use last metric by default.
|
|
assert isinstance(data_log, collections.OrderedDict)
|
|
metric_name = list(data_log.keys())[-1]
|
|
score = data_log[metric_name][-1]
|
|
return self._update_rounds(score, data_name, metric_name, model, epoch)
|
|
|
|
def after_training(self, model: _Model) -> _Model:
|
|
try:
|
|
if self.save_best:
|
|
model = model[: int(model.attr("best_iteration")) + 1]
|
|
except XGBoostError as e:
|
|
raise XGBoostError(
|
|
"`save_best` is not applicable to current booster"
|
|
) from e
|
|
return model
|
|
|
|
|
|
class EvaluationMonitor(TrainingCallback):
|
|
"""Print the evaluation result at each iteration.
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
Parameters
|
|
----------
|
|
|
|
metric :
|
|
Extra user defined metric.
|
|
rank :
|
|
Which worker should be used for printing the result.
|
|
period :
|
|
How many epoches between printing.
|
|
show_stdv :
|
|
Used in cv to show standard deviation. Users should not specify it.
|
|
"""
|
|
|
|
def __init__(self, rank: int = 0, period: int = 1, show_stdv: bool = False) -> None:
|
|
self.printer_rank = rank
|
|
self.show_stdv = show_stdv
|
|
self.period = period
|
|
assert period > 0
|
|
# last error message, useful when early stopping and period are used together.
|
|
self._latest: Optional[str] = None
|
|
super().__init__()
|
|
|
|
def _fmt_metric(
|
|
self, data: str, metric: str, score: float, std: Optional[float]
|
|
) -> str:
|
|
if std is not None and self.show_stdv:
|
|
msg = f"\t{data + '-' + metric}:{score:.5f}+{std:.5f}"
|
|
else:
|
|
msg = f"\t{data + '-' + metric}:{score:.5f}"
|
|
return msg
|
|
|
|
def after_iteration(
|
|
self, model: _Model, epoch: int, evals_log: TrainingCallback.EvalsLog
|
|
) -> bool:
|
|
if not evals_log:
|
|
return False
|
|
|
|
msg: str = f"[{epoch}]"
|
|
if collective.get_rank() == self.printer_rank:
|
|
for data, metric in evals_log.items():
|
|
for metric_name, log in metric.items():
|
|
stdv: Optional[float] = None
|
|
if isinstance(log[-1], tuple):
|
|
score = log[-1][0]
|
|
stdv = log[-1][1]
|
|
else:
|
|
score = log[-1]
|
|
msg += self._fmt_metric(data, metric_name, score, stdv)
|
|
msg += "\n"
|
|
|
|
if (epoch % self.period) == 0 or self.period == 1:
|
|
collective.communicator_print(msg)
|
|
self._latest = None
|
|
else:
|
|
# There is skipped message
|
|
self._latest = msg
|
|
return False
|
|
|
|
def after_training(self, model: _Model) -> _Model:
|
|
if collective.get_rank() == self.printer_rank and self._latest is not None:
|
|
collective.communicator_print(self._latest)
|
|
return model
|
|
|
|
|
|
class TrainingCheckPoint(TrainingCallback):
|
|
"""Checkpointing operation.
|
|
|
|
.. versionadded:: 1.3.0
|
|
|
|
Parameters
|
|
----------
|
|
|
|
directory :
|
|
Output model directory.
|
|
name :
|
|
pattern of output model file. Models will be saved as name_0.json, name_1.json,
|
|
name_2.json ....
|
|
as_pickle :
|
|
When set to True, all training parameters will be saved in pickle format, instead
|
|
of saving only the model.
|
|
iterations :
|
|
Interval of checkpointing. Checkpointing is slow so setting a larger number can
|
|
reduce performance hit.
|
|
|
|
"""
|
|
|
|
def __init__(
|
|
self,
|
|
directory: Union[str, os.PathLike],
|
|
name: str = "model",
|
|
as_pickle: bool = False,
|
|
iterations: int = 100,
|
|
) -> None:
|
|
self._path = os.fspath(directory)
|
|
self._name = name
|
|
self._as_pickle = as_pickle
|
|
self._iterations = iterations
|
|
self._epoch = 0
|
|
super().__init__()
|
|
|
|
def after_iteration(
|
|
self, model: _Model, epoch: int, evals_log: TrainingCallback.EvalsLog
|
|
) -> bool:
|
|
if self._epoch == self._iterations:
|
|
path = os.path.join(
|
|
self._path,
|
|
self._name
|
|
+ "_"
|
|
+ str(epoch)
|
|
+ (".pkl" if self._as_pickle else ".json"),
|
|
)
|
|
self._epoch = 0
|
|
if collective.get_rank() == 0:
|
|
if self._as_pickle:
|
|
with open(path, "wb") as fd:
|
|
pickle.dump(model, fd)
|
|
else:
|
|
model.save_model(path)
|
|
self._epoch += 1
|
|
return False
|