xgboost/src/objective/regression_obj.cc

/*!
 * Copyright 2015 by Contributors
 * \file regression.cc
 * \brief Definition of single-value regression and classification objectives.
 * \author Tianqi Chen, Kailong Chen
 */
#include <dmlc/omp.h>
#include <xgboost/logging.h>
#include <xgboost/objective.h>
#include <vector>
#include <algorithm>
#include <utility>
#include "../common/math.h"

namespace xgboost {
namespace obj {

DMLC_REGISTRY_FILE_TAG(regression_obj);

// common regressions
// linear regression
struct LinearSquareLoss {
  static float PredTransform(float x) { return x; }
  static bool CheckLabel(float x) { return true; }
  static float FirstOrderGradient(float predt, float label) { return predt - label; }
  static float SecondOrderGradient(float predt, float label) { return 1.0f; }
  static float ProbToMargin(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 {
  static float PredTransform(float x) { return common::Sigmoid(x); }
  static bool CheckLabel(float x) { return x >= 0.0f && x <= 1.0f; }
  static float FirstOrderGradient(float predt, float label) { return predt - label; }
  static float SecondOrderGradient(float predt, float label) {
    const float eps = 1e-16f;
    return std::max(predt * (1.0f - predt), eps);
  }
  static float ProbToMargin(float base_score) {
    CHECK(base_score > 0.0f && base_score < 1.0f)
        << "base_score must be in (0,1) for logistic loss";
    return -std::log(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 {
  static float PredTransform(float x) { return x; }
  static float FirstOrderGradient(float predt, float label) {
    predt = common::Sigmoid(predt);
    return predt - label;
  }
  static float SecondOrderGradient(float predt, float label) {
    const float eps = 1e-16f;
    predt = common::Sigmoid(predt);
    return std::max(predt * (1.0f - predt), eps);
  }
  static const char* DefaultEvalMetric() { return "auc"; }
};

struct RegLossParam : public dmlc::Parameter<RegLossParam> {
  float scale_pos_weight;
  // declare parameters
  DMLC_DECLARE_PARAMETER(RegLossParam) {
    DMLC_DECLARE_FIELD(scale_pos_weight).set_default(1.0f).set_lower_bound(0.0f)
        .describe("Scale the weight of positive examples by this factor");
  }
};

// regression los function
template<typename Loss>
class RegLossObj : public ObjFunction {
 public:
  void Configure(const std::vector<std::pair<std::string, std::string> >& args) override {
    param_.InitAllowUnknown(args);
  }
  void GetGradient(const std::vector<float> &preds,
                   const MetaInfo &info,
                   int iter,
                   std::vector<bst_gpair> *out_gpair) override {
    CHECK_NE(info.labels.size(), 0) << "label set cannot be empty";
    CHECK_EQ(preds.size(), info.labels.size())
        << "labels are not correctly provided"
        << "preds.size=" << preds.size() << ", label.size=" << info.labels.size();
    out_gpair->resize(preds.size());
    // check if label in range
    bool label_correct = true;
    // start calculating gradient
    const omp_ulong ndata = static_cast<omp_ulong>(preds.size());
    #pragma omp parallel for schedule(static)
    for (omp_ulong i = 0; i < ndata; ++i) {
      float p = Loss::PredTransform(preds[i]);
      float w = info.GetWeight(i);
      if (info.labels[i] == 1.0f) w *= param_.scale_pos_weight;
      if (!Loss::CheckLabel(info.labels[i])) label_correct = false;
      out_gpair->at(i) = bst_gpair(Loss::FirstOrderGradient(p, info.labels[i]) * w,
                                   Loss::SecondOrderGradient(p, info.labels[i]) * w);
    }
    if (!label_correct) {
      LOG(FATAL) << Loss::LabelErrorMsg();
    }
  }
  const char* DefaultEvalMetric() const override {
    return Loss::DefaultEvalMetric();
  }
  void PredTransform(std::vector<float> *io_preds) override {
    std::vector<float> &preds = *io_preds;
    const bst_omp_uint ndata = static_cast<bst_omp_uint>(preds.size());
    #pragma omp parallel for schedule(static)
    for (bst_omp_uint j = 0; j < ndata; ++j) {
      preds[j] = Loss::PredTransform(preds[j]);
    }
  }
  float ProbToMargin(float base_score) const override {
    return Loss::ProbToMargin(base_score);
  }

 protected:
  RegLossParam param_;
};

// register the ojective functions
DMLC_REGISTER_PARAMETER(RegLossParam);

XGBOOST_REGISTER_OBJECTIVE(LinearRegression, "reg:linear")
.describe("Linear regression.")
.set_body([]() { return new RegLossObj<LinearSquareLoss>(); });

XGBOOST_REGISTER_OBJECTIVE(LogisticRegression, "reg:logistic")
.describe("Logistic regression for probability regression task.")
.set_body([]() { return new RegLossObj<LogisticRegression>(); });

XGBOOST_REGISTER_OBJECTIVE(LogisticClassification, "binary:logistic")
.describe("Logistic regression for binary classification task.")
.set_body([]() { return new RegLossObj<LogisticClassification>(); });

XGBOOST_REGISTER_OBJECTIVE(LogisticRaw, "binary:logitraw")
.describe("Logistic regression for classification, output score before logistic transformation")
.set_body([]() { return new RegLossObj<LogisticRaw>(); });

// declare parameter
struct PoissonRegressionParam : public dmlc::Parameter<PoissonRegressionParam> {
  float max_delta_step;
  DMLC_DECLARE_PARAMETER(PoissonRegressionParam) {
    DMLC_DECLARE_FIELD(max_delta_step).set_lower_bound(0.0f)
        .describe("Maximum delta step we allow each weight estimation to be." \
                  " This parameter is required for possion regression.");
  }
};

// poisson regression for count
class PoissonRegression : public ObjFunction {
 public:
  // declare functions
  void Configure(const std::vector<std::pair<std::string, std::string> >& args) override {
    param_.InitAllowUnknown(args);
  }

  void GetGradient(const std::vector<float> &preds,
                   const MetaInfo &info,
                   int iter,
                   std::vector<bst_gpair> *out_gpair) override {
    CHECK_NE(info.labels.size(), 0) << "label set cannot be empty";
    CHECK_EQ(preds.size(), info.labels.size()) << "labels are not correctly provided";
    out_gpair->resize(preds.size());
    // check if label in range
    bool label_correct = true;
    // start calculating gradient
    const omp_ulong ndata = static_cast<omp_ulong>(preds.size()); // NOLINT(*)
    #pragma omp parallel for schedule(static)
    for (omp_ulong i = 0; i < ndata; ++i) { // NOLINT(*)
      float p = preds[i];
      float w = info.GetWeight(i);
      float y = info.labels[i];
      if (y >= 0.0f) {
        out_gpair->at(i) = bst_gpair((std::exp(p) - y) * w,
                                     std::exp(p + param_.max_delta_step) * w);
      } else {
        label_correct = false;
      }
    }
    CHECK(label_correct) << "PoissonRegression: label must be nonnegative";
  }
  void PredTransform(std::vector<float> *io_preds) override {
    std::vector<float> &preds = *io_preds;
    const long ndata = static_cast<long>(preds.size()); // NOLINT(*)
    #pragma omp parallel for schedule(static)
    for (long j = 0; j < ndata; ++j) {  // NOLINT(*)
      preds[j] = std::exp(preds[j]);
    }
  }
  void EvalTransform(std::vector<float> *io_preds) override {
    PredTransform(io_preds);
  }
  float ProbToMargin(float base_score) const override {
    return std::log(base_score);
  }
  const char* DefaultEvalMetric(void) const override {
    return "poisson-nloglik";
  }

 private:
  PoissonRegressionParam param_;
};

// register the ojective functions
DMLC_REGISTER_PARAMETER(PoissonRegressionParam);

XGBOOST_REGISTER_OBJECTIVE(PoissonRegression, "count:poisson")
.describe("Possion regression for count data.")
.set_body([]() { return new PoissonRegression(); });
}  // namespace obj
}  // namespace xgboost