162 lines
5.0 KiB
R
162 lines
5.0 KiB
R
require(xgboost)
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require(methods)
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# helper function to read libsvm format
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# this is very badly written, load in dense, and convert to sparse
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# use this only for demo purpose
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# adopted from https://github.com/zygmuntz/r-libsvm-format-read-write/blob/master/f_read.libsvm.r
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read.libsvm = function(fname, maxcol) {
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content = readLines(fname)
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nline = length(content)
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label = numeric(nline)
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mat = matrix(0, nline, maxcol+1)
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for (i in 1:nline) {
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arr = as.vector(strsplit(content[i], " ")[[1]])
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label[i] = as.numeric(arr[[1]])
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for (j in 2:length(arr)) {
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kv = strsplit(arr[j], ":")[[1]]
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# to avoid 0 index
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findex = as.integer(kv[1]) + 1
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fvalue = as.numeric(kv[2])
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mat[i,findex] = fvalue
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}
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}
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mat = as(mat, "sparseMatrix")
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return(list(label=label, data=mat))
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}
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############################
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# Test xgb.DMatrix with local file, sparse matrix and dense matrix in R.
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############################
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# Directly read in local file
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dtrain = xgb.DMatrix('agaricus.txt.train')
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class(dtrain)
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# read file in R
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csc = read.libsvm("agaricus.txt.train", 126)
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y = csc$label
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x = csc$data
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# x as Sparse Matrix
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class(x)
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dtrain = xgb.DMatrix(x, label=y)
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# x as dense matrix
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dense.x = as.matrix(x)
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dtrain = xgb.DMatrix(dense.x, label=y)
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############################
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# Test xgboost with local file, sparse matrix and dense matrix in R.
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############################
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# Test with DMatrix object
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bst = xgboost(data=dtrain, max_depth=2, eta=1, objective='binary:logistic')
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# Verbose = 0,1,2
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bst = xgboost(data=dtrain, max_depth=2, eta=1, objective='binary:logistic',
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verbose = 0)
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bst = xgboost(data=dtrain, max_depth=2, eta=1, objective='binary:logistic',
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verbose = 1)
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bst = xgboost(data=dtrain, max_depth=2, eta=1, objective='binary:logistic',
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verbose = 2)
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# Test with local file
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bst = xgboost(data='agaricus.txt.train', max_depth=2, eta=1, objective='binary:logistic')
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# Test with Sparse Matrix
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bst = xgboost(data = x, label = y, max_depth=2, eta=1, objective='binary:logistic')
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# Test with dense Matrix
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bst = xgboost(data = dense.x, label = y, max_depth=2, eta=1, objective='binary:logistic')
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############################
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# Test predict
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############################
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# Prediction with DMatrix object
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dtest = xgb.DMatrix('agaricus.txt.test')
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pred = predict(bst, dtest)
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# Prediction with local test file
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pred = predict(bst, 'agaricus.txt.test')
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# Prediction with Sparse Matrix
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csc = read.libsvm("agaricus.txt.test", 126)
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test.y = csc$label
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test.x = csc$data
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pred = predict(bst, test.x)
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# Extrac label with xgb.getinfo
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labels = xgb.getinfo(dtest, "label")
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err = as.numeric(sum(as.integer(pred > 0.5) != labels)) / length(labels)
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print(paste("error=",err))
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############################
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# Save and load model to hard disk
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############################
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# save model to binary local file
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xgb.save(bst, 'model.save')
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# load binary model to R
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bst = xgb.load('model.save')
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pred = predict(bst, test.x)
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# save model to text file
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xgb.dump(bst, 'model.dump')
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# save a DMatrix object to hard disk
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xgb.DMatrix.save(dtrain,'dtrain.save')
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# load a DMatrix object to R
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dtrain = xgb.DMatrix('dtrain.save')
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############################
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# More flexible training function xgb.train
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############################
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param = list(max_depth=2, eta=1, silent = 1, objective="binary:logistic")
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watchlist <- list("eval"=dtest,"train"=dtrain)
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# training xgboost model
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bst <- xgb.train(param, dtrain, nround=2, watchlist=watchlist)
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############################
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# cutomsized loss function
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############################
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param <- list(max_depth = 2, eta = 1, silent =1)
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# note: for customized objective function, we leave objective as default
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# note: what we are getting is margin value in prediction
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# you must know what you are doing
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# user define objective function, given prediction, return gradient and second order gradient
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# this is loglikelihood loss
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logregobj <- function(preds, dtrain) {
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labels <- xgb.getinfo(dtrain, "label")
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preds <- 1.0 / (1.0 + exp(-preds))
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grad <- preds - labels
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hess <- preds * (1.0-preds)
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return(list(grad=grad, hess=hess))
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}
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# user defined evaluation function, return a list(metric="metric-name", value="metric-value")
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# NOTE: when you do customized loss function, the default prediction value is margin
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# this may make buildin evalution metric not function properly
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# for example, we are doing logistic loss, the prediction is score before logistic transformation
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# the buildin evaluation error assumes input is after logistic transformation
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# Take this in mind when you use the customization, and maybe you need write customized evaluation function
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evalerror <- function(preds, dtrain) {
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labels <- xgb.getinfo(dtrain, "label")
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err <- as.numeric(sum(labels != (preds > 0.0))) / length(labels)
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return(list(metric="error", value=err))
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}
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# training with customized objective, we can also do step by step training
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# simply look at xgboost.py"s implementation of train
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bst <- xgb.train(param, dtrain, nround=2, watchlist, logregobj, evalerror)
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