xgboost/src/objective/regression_loss.h

/*!
 * Copyright 2017 XGBoost contributors
 */
#ifndef XGBOOST_OBJECTIVE_REGRESSION_LOSS_H_
#define XGBOOST_OBJECTIVE_REGRESSION_LOSS_H_

#include <dmlc/omp.h>
#include <xgboost/logging.h>
#include <algorithm>
#include "../common/math.h"

namespace xgboost {
namespace obj {

// common regressions
// linear regression
struct LinearSquareLoss {
  // duplication is necessary, as __device__ specifier
  // cannot be made conditional on template parameter
  XGBOOST_DEVICE static bst_float PredTransform(bst_float x) { return x; }
  XGBOOST_DEVICE static bool CheckLabel(bst_float x) { return true; }
  XGBOOST_DEVICE static bst_float FirstOrderGradient(bst_float predt, bst_float label) {
    return predt - label;
  }
  XGBOOST_DEVICE static bst_float SecondOrderGradient(bst_float predt, bst_float label) {
    return 1.0f;
  }
  template <typename T>
  static T PredTransform(T x) { return x; }
  template <typename T>
  static T FirstOrderGradient(T predt, T label) { return predt - label; }
  template <typename T>
  static T SecondOrderGradient(T predt, T label) { return T(1.0f); }
  static bst_float ProbToMargin(bst_float base_score) { return base_score; }
  static const char* LabelErrorMsg() { return ""; }
  static const char* DefaultEvalMetric() { return "rmse"; }
};

// logistic loss for probability regression task
struct LogisticRegression {
  // duplication is necessary, as __device__ specifier
  // cannot be made conditional on template parameter
  XGBOOST_DEVICE static bst_float PredTransform(bst_float x) { return common::Sigmoid(x); }
  XGBOOST_DEVICE static bool CheckLabel(bst_float x) { return x >= 0.0f && x <= 1.0f; }
  XGBOOST_DEVICE static bst_float FirstOrderGradient(bst_float predt, bst_float label) {
    return predt - label;
  }
  XGBOOST_DEVICE static bst_float SecondOrderGradient(bst_float predt, bst_float label) {
    const float eps = 1e-16f;
    return fmaxf(predt * (1.0f - predt), eps);
  }
  template <typename T>
  static T PredTransform(T x) { return common::Sigmoid(x); }
  template <typename T>
  static T FirstOrderGradient(T predt, T label) { return predt - label; }
  template <typename T>
  static T SecondOrderGradient(T predt, T label) {
    const T eps = T(1e-16f);
    return std::max(predt * (T(1.0f) - predt), eps);
  }
  static bst_float ProbToMargin(bst_float base_score) {
    CHECK(base_score > 0.0f && base_score < 1.0f)
      << "base_score must be in (0,1) for logistic loss";
    return -logf(1.0f / base_score - 1.0f);
  }
  static const char* LabelErrorMsg() {
    return "label must be in [0,1] for logistic regression";
  }
  static const char* DefaultEvalMetric() { return "rmse"; }
};

// logistic loss for binary classification task
struct LogisticClassification : public LogisticRegression {
  static const char* DefaultEvalMetric() { return "error"; }
};

// logistic loss, but predict un-transformed margin
struct LogisticRaw : public LogisticRegression {
  // duplication is necessary, as __device__ specifier
  // cannot be made conditional on template parameter
  XGBOOST_DEVICE static bst_float PredTransform(bst_float x) { return x; }
  XGBOOST_DEVICE static bst_float FirstOrderGradient(bst_float predt, bst_float label) {
    predt = common::Sigmoid(predt);
    return predt - label;
  }
  XGBOOST_DEVICE static bst_float SecondOrderGradient(bst_float predt, bst_float label) {
    const float eps = 1e-16f;
    predt = common::Sigmoid(predt);
    return fmaxf(predt * (1.0f - predt), eps);
  }
  template <typename T>
    static T PredTransform(T x) { return x; }
  template <typename T>
    static T FirstOrderGradient(T predt, T label) {
    predt = common::Sigmoid(predt);
    return predt - label;
  }
  template <typename T>
    static T SecondOrderGradient(T predt, T label) {
    const T eps = T(1e-16f);
    predt = common::Sigmoid(predt);
    return std::max(predt * (T(1.0f) - predt), eps);
  }
  static const char* DefaultEvalMetric() { return "auc"; }
};

}  // namespace obj
}  // namespace xgboost

#endif  // XGBOOST_OBJECTIVE_REGRESSION_LOSS_H_