goss.hpp

/*!
 * Copyright (c) 2017 Microsoft Corporation. All rights reserved.
 * Licensed under the MIT License. See LICENSE file in the project root for license information.
 */
#ifndef LIGHTGBM_BOOSTING_GOSS_H_
#define LIGHTGBM_BOOSTING_GOSS_H_

#include <LightGBM/boosting.h>
#include <LightGBM/utils/array_args.h>
#include <LightGBM/utils/log.h>
#include <LightGBM/utils/openmp_wrapper.h>

#include <string>
#include <algorithm>
#include <chrono>
#include <cstdio>
#include <fstream>
#include <vector>

#include "gbdt.h"
#include "score_updater.hpp"

namespace LightGBM {

class GOSS: public GBDT {
 public:
  /*!
  * \brief Constructor
  */
  GOSS() : GBDT() {
  }

  ~GOSS() {
  }

  void Init(const Config* config, const Dataset* train_data, const ObjectiveFunction* objective_function,
            const std::vector<const Metric*>& training_metrics) override {
    GBDT::Init(config, train_data, objective_function, training_metrics);
    ResetGoss();
  }

  void ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* objective_function,
                         const std::vector<const Metric*>& training_metrics) override {
    GBDT::ResetTrainingData(train_data, objective_function, training_metrics);
    ResetGoss();
  }

  void ResetConfig(const Config* config) override {
    GBDT::ResetConfig(config);
    ResetGoss();
  }

  void ResetGoss() {
    CHECK(config_->top_rate + config_->other_rate <= 1.0f);
    CHECK(config_->top_rate > 0.0f && config_->other_rate > 0.0f);
    if (config_->bagging_freq > 0 && config_->bagging_fraction != 1.0f) {
      Log::Fatal("Cannot use bagging in GOSS");
    }
    Log::Info("Using GOSS");

    bag_data_indices_.resize(num_data_);
    tmp_indices_.resize(num_data_);
    tmp_indice_right_.resize(num_data_);
    offsets_buf_.resize(num_threads_);
    left_cnts_buf_.resize(num_threads_);
    right_cnts_buf_.resize(num_threads_);
    left_write_pos_buf_.resize(num_threads_);
    right_write_pos_buf_.resize(num_threads_);

    is_use_subset_ = false;
    if (config_->top_rate + config_->other_rate <= 0.5) {
      auto bag_data_cnt = static_cast<data_size_t>((config_->top_rate + config_->other_rate) * num_data_);
      bag_data_cnt = std::max(1, bag_data_cnt);
      tmp_subset_.reset(new Dataset(bag_data_cnt));
      tmp_subset_->CopyFeatureMapperFrom(train_data_);
      is_use_subset_ = true;
    }
    // flag to not bagging first
    bag_data_cnt_ = num_data_;
  }

  data_size_t BaggingHelper(Random* cur_rand, data_size_t start, data_size_t cnt, data_size_t* buffer, data_size_t* buffer_right) {
    if (cnt <= 0) {
      return 0;
    }
    std::vector<score_t> tmp_gradients(cnt, 0.0f);
    for (data_size_t i = 0; i < cnt; ++i) {
      for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) {
        size_t idx = static_cast<size_t>(cur_tree_id) * num_data_ + start + i;
        tmp_gradients[i] += std::fabs(gradients_[idx] * hessians_[idx]);
      }
    }
    data_size_t top_k = static_cast<data_size_t>(cnt * config_->top_rate);
    data_size_t other_k = static_cast<data_size_t>(cnt * config_->other_rate);
    top_k = std::max(1, top_k);
    ArrayArgs<score_t>::ArgMaxAtK(&tmp_gradients, 0, static_cast<int>(tmp_gradients.size()), top_k - 1);
    score_t threshold = tmp_gradients[top_k - 1];

    score_t multiply = static_cast<score_t>(cnt - top_k) / other_k;
    data_size_t cur_left_cnt = 0;
    data_size_t cur_right_cnt = 0;
    data_size_t big_weight_cnt = 0;
    for (data_size_t i = 0; i < cnt; ++i) {
      score_t grad = 0.0f;
      for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) {
        size_t idx = static_cast<size_t>(cur_tree_id) * num_data_ + start + i;
        grad += std::fabs(gradients_[idx] * hessians_[idx]);
      }
      if (grad >= threshold) {
        buffer[cur_left_cnt++] = start + i;
        ++big_weight_cnt;
      } else {
        data_size_t sampled = cur_left_cnt - big_weight_cnt;
        data_size_t rest_need = other_k - sampled;
        data_size_t rest_all = (cnt - i) - (top_k - big_weight_cnt);
        double prob = (rest_need) / static_cast<double>(rest_all);
        if (cur_rand->NextFloat() < prob) {
          buffer[cur_left_cnt++] = start + i;
          for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) {
            size_t idx = static_cast<size_t>(cur_tree_id) * num_data_ + start + i;
            gradients_[idx] *= multiply;
            hessians_[idx] *= multiply;
          }
        } else {
          buffer_right[cur_right_cnt++] = start + i;
        }
      }
    }
    return cur_left_cnt;
  }

  void Bagging(int iter) override {
    bag_data_cnt_ = num_data_;
    // not subsample for first iterations
    if (iter < static_cast<int>(1.0f / config_->learning_rate)) { return; }

    const data_size_t min_inner_size = 128;
    const int n_block = std::min(
        num_threads_, (num_data_ + min_inner_size - 1) / min_inner_size);
    data_size_t inner_size = SIZE_ALIGNED((num_data_ + n_block - 1) / n_block);
    OMP_INIT_EX();
    #pragma omp parallel for schedule(static, 1)
    for (int i = 0; i < n_block; ++i) {
      OMP_LOOP_EX_BEGIN();
      data_size_t cur_start = i * inner_size;
      data_size_t cur_cnt = std::min(inner_size, num_data_ - cur_start);
      if (cur_cnt <= 0) {
        left_cnts_buf_[i] = 0;
        right_cnts_buf_[i] = 0;
        continue;
      }
      Random cur_rand(config_->bagging_seed + iter * num_threads_ + i);
      data_size_t cur_left_count = BaggingHelper(&cur_rand, cur_start, cur_cnt,
                                                 tmp_indices_.data() + cur_start, tmp_indice_right_.data() + cur_start);
      offsets_buf_[i] = cur_start;
      left_cnts_buf_[i] = cur_left_count;
      right_cnts_buf_[i] = cur_cnt - cur_left_count;
      OMP_LOOP_EX_END();
    }
    OMP_THROW_EX();
    data_size_t left_cnt = 0;
    left_write_pos_buf_[0] = 0;
    right_write_pos_buf_[0] = 0;
    for (int i = 1; i < n_block; ++i) {
      left_write_pos_buf_[i] = left_write_pos_buf_[i - 1] + left_cnts_buf_[i - 1];
      right_write_pos_buf_[i] = right_write_pos_buf_[i - 1] + right_cnts_buf_[i - 1];
    }
    left_cnt = left_write_pos_buf_[n_block - 1] + left_cnts_buf_[n_block - 1];

    #pragma omp parallel for schedule(static, 1)
    for (int i = 0; i < n_block; ++i) {
      OMP_LOOP_EX_BEGIN();
      if (left_cnts_buf_[i] > 0) {
        std::memcpy(bag_data_indices_.data() + left_write_pos_buf_[i],
                    tmp_indices_.data() + offsets_buf_[i], left_cnts_buf_[i] * sizeof(data_size_t));
      }
      if (right_cnts_buf_[i] > 0) {
        std::memcpy(bag_data_indices_.data() + left_cnt + right_write_pos_buf_[i],
                    tmp_indice_right_.data() + offsets_buf_[i], right_cnts_buf_[i] * sizeof(data_size_t));
      }
      OMP_LOOP_EX_END();
    }
    OMP_THROW_EX();
    bag_data_cnt_ = left_cnt;
    // set bagging data to tree learner
    if (!is_use_subset_) {
      tree_learner_->SetBaggingData(bag_data_indices_.data(), bag_data_cnt_);
    } else {
      tmp_subset_->ReSize(bag_data_cnt_);
      tmp_subset_->CopySubset(train_data_, bag_data_indices_.data(), bag_data_cnt_, false);
      tree_learner_->ResetTrainingData(tmp_subset_.get());
    }
  }

 private:
  std::vector<data_size_t> tmp_indice_right_;
};

}  // namespace LightGBM
#endif   // LIGHTGBM_BOOSTING_GOSS_H_