"vscode:/vscode.git/clone" did not exist on "f1d3181ced9fd01f4b2899054abd99be6773e939"
engine.py 29.7 KB
Newer Older
wxchan's avatar
wxchan committed
1
# coding: utf-8
2
"""Library with training routines of LightGBM."""
wxchan's avatar
wxchan committed
3
import collections
4
import copy
wxchan's avatar
wxchan committed
5
from operator import attrgetter
6

wxchan's avatar
wxchan committed
7
import numpy as np
8

wxchan's avatar
wxchan committed
9
from . import callback
10
from .basic import Booster, Dataset, LightGBMError, _ConfigAliases, _InnerPredictor, _log_warning
11
from .compat import SKLEARN_INSTALLED, _LGBMGroupKFold, _LGBMStratifiedKFold
wxchan's avatar
wxchan committed
12

wxchan's avatar
wxchan committed
13

Guolin Ke's avatar
Guolin Ke committed
14
15
def train(params, train_set, num_boost_round=100,
          valid_sets=None, valid_names=None,
wxchan's avatar
wxchan committed
16
          fobj=None, feval=None, init_model=None,
17
          feature_name='auto', categorical_feature='auto',
wxchan's avatar
wxchan committed
18
          early_stopping_rounds=None, evals_result=None,
19
20
          verbose_eval=True, learning_rates=None,
          keep_training_booster=False, callbacks=None):
21
    """Perform the training with given parameters.
wxchan's avatar
wxchan committed
22
23
24
25

    Parameters
    ----------
    params : dict
26
        Parameters for training.
Guolin Ke's avatar
Guolin Ke committed
27
    train_set : Dataset
28
29
        Data to be trained on.
    num_boost_round : int, optional (default=100)
wxchan's avatar
wxchan committed
30
        Number of boosting iterations.
31
32
33
    valid_sets : list of Datasets or None, optional (default=None)
        List of data to be evaluated on during training.
    valid_names : list of strings or None, optional (default=None)
34
35
        Names of ``valid_sets``.
    fobj : callable or None, optional (default=None)
wxchan's avatar
wxchan committed
36
        Customized objective function.
37
38
39
40
41
        Should accept two parameters: preds, train_data,
        and return (grad, hess).

            preds : list or numpy 1-D array
                The predicted values.
42
43
                Predicted values are returned before any transformation,
                e.g. they are raw margin instead of probability of positive class for binary task.
44
45
46
            train_data : Dataset
                The training dataset.
            grad : list or numpy 1-D array
47
48
                The value of the first order derivative (gradient) of the loss
                with respect to the elements of preds for each sample point.
49
            hess : list or numpy 1-D array
50
51
                The value of the second order derivative (Hessian) of the loss
                with respect to the elements of preds for each sample point.
52
53
54
55
56

        For multi-class task, the preds is group by class_id first, then group by row_id.
        If you want to get i-th row preds in j-th class, the access way is score[j * num_data + i]
        and you should group grad and hess in this way as well.

57
    feval : callable, list of callable functions or None, optional (default=None)
wxchan's avatar
wxchan committed
58
        Customized evaluation function.
59
        Each evaluation function should accept two parameters: preds, train_data,
60
        and return (eval_name, eval_result, is_higher_better) or list of such tuples.
61
62
63

            preds : list or numpy 1-D array
                The predicted values.
64
65
                If ``fobj`` is specified, predicted values are returned before any transformation,
                e.g. they are raw margin instead of probability of positive class for binary task in this case.
66
67
68
            train_data : Dataset
                The training dataset.
            eval_name : string
69
                The name of evaluation function (without whitespaces).
70
71
72
73
74
            eval_result : float
                The eval result.
            is_higher_better : bool
                Is eval result higher better, e.g. AUC is ``is_higher_better``.

75
76
        For multi-class task, the preds is group by class_id first, then group by row_id.
        If you want to get i-th row preds in j-th class, the access way is preds[j * num_data + i].
77
78
        To ignore the default metric corresponding to the used objective,
        set the ``metric`` parameter to the string ``"None"`` in ``params``.
79
    init_model : string, Booster or None, optional (default=None)
80
81
82
83
84
85
86
87
        Filename of LightGBM model or Booster instance used for continue training.
    feature_name : list of strings or 'auto', optional (default="auto")
        Feature names.
        If 'auto' and data is pandas DataFrame, data columns names are used.
    categorical_feature : list of strings or int, or 'auto', optional (default="auto")
        Categorical features.
        If list of int, interpreted as indices.
        If list of strings, interpreted as feature names (need to specify ``feature_name`` as well).
88
        If 'auto' and data is pandas DataFrame, pandas unordered categorical columns are used.
89
        All values in categorical features should be less than int32 max value (2147483647).
90
        Large values could be memory consuming. Consider using consecutive integers starting from zero.
91
        All negative values in categorical features will be treated as missing values.
92
        The output cannot be monotonically constrained with respect to a categorical feature.
93
    early_stopping_rounds : int or None, optional (default=None)
94
        Activates early stopping. The model will train until the validation score stops improving.
95
96
97
98
        Validation score needs to improve at least every ``early_stopping_rounds`` round(s)
        to continue training.
        Requires at least one validation data and one metric.
        If there's more than one, will check all of them. But the training data is ignored anyway.
99
        To check only the first metric, set the ``first_metric_only`` parameter to ``True`` in ``params``.
100
101
102
        The index of iteration that has the best performance will be saved in the ``best_iteration`` field
        if early stopping logic is enabled by setting ``early_stopping_rounds``.
    evals_result: dict or None, optional (default=None)
103
104
        This dictionary used to store all evaluation results of all the items in ``valid_sets``.

Nikita Titov's avatar
Nikita Titov committed
105
106
        .. rubric:: Example

107
108
        With a ``valid_sets`` = [valid_set, train_set],
        ``valid_names`` = ['eval', 'train']
109
110
        and a ``params`` = {'metric': 'logloss'}
        returns {'train': {'logloss': ['0.48253', '0.35953', ...]},
111
        'eval': {'logloss': ['0.480385', '0.357756', ...]}}.
112

113
114
115
116
117
118
    verbose_eval : bool or int, optional (default=True)
        Requires at least one validation data.
        If True, the eval metric on the valid set is printed at each boosting stage.
        If int, the eval metric on the valid set is printed at every ``verbose_eval`` boosting stage.
        The last boosting stage or the boosting stage found by using ``early_stopping_rounds`` is also printed.

Nikita Titov's avatar
Nikita Titov committed
119
120
        .. rubric:: Example

121
        With ``verbose_eval`` = 4 and at least one item in ``valid_sets``,
122
        an evaluation metric is printed every 4 (instead of 1) boosting stages.
123
124

    learning_rates : list, callable or None, optional (default=None)
125
126
127
128
129
130
        List of learning rates for each boosting round
        or a customized function that calculates ``learning_rate``
        in terms of current number of round (e.g. yields learning rate decay).
    keep_training_booster : bool, optional (default=False)
        Whether the returned Booster will be used to keep training.
        If False, the returned value will be converted into _InnerPredictor before returning.
131
132
        When your model is very large and cause the memory error,
        you can try to set this param to ``True`` to avoid the model conversion performed during the internal call of ``model_to_string``.
133
134
        You can still use _InnerPredictor as ``init_model`` for future continue training.
    callbacks : list of callables or None, optional (default=None)
135
        List of callback functions that are applied at each iteration.
136
        See Callbacks in Python API for more information.
wxchan's avatar
wxchan committed
137
138
139

    Returns
    -------
140
141
    booster : Booster
        The trained Booster model.
wxchan's avatar
wxchan committed
142
    """
143
    # create predictor first
144
    params = copy.deepcopy(params)
145
    if fobj is not None:
146
147
        for obj_alias in _ConfigAliases.get("objective"):
            params.pop(obj_alias, None)
148
        params['objective'] = 'none'
149
    for alias in _ConfigAliases.get("num_iterations"):
150
        if alias in params:
151
            num_boost_round = params.pop(alias)
152
            _log_warning("Found `{}` in params. Will use it instead of argument".format(alias))
153
    params["num_iterations"] = num_boost_round
154
    for alias in _ConfigAliases.get("early_stopping_round"):
155
156
        if alias in params:
            early_stopping_rounds = params.pop(alias)
157
            _log_warning("Found `{}` in params. Will use it instead of argument".format(alias))
158
159
    params["early_stopping_round"] = early_stopping_rounds
    first_metric_only = params.get('first_metric_only', False)
160

161
162
    if num_boost_round <= 0:
        raise ValueError("num_boost_round should be greater than zero.")
163
    if isinstance(init_model, str):
164
        predictor = _InnerPredictor(model_file=init_model, pred_parameter=params)
wxchan's avatar
wxchan committed
165
    elif isinstance(init_model, Booster):
166
        predictor = init_model._to_predictor(dict(init_model.params, **params))
wxchan's avatar
wxchan committed
167
168
    else:
        predictor = None
169
    init_iteration = predictor.num_total_iteration if predictor is not None else 0
170
    # check dataset
Guolin Ke's avatar
Guolin Ke committed
171
    if not isinstance(train_set, Dataset):
172
        raise TypeError("Training only accepts Dataset object")
Guolin Ke's avatar
Guolin Ke committed
173

174
175
176
177
    train_set._update_params(params) \
             ._set_predictor(predictor) \
             .set_feature_name(feature_name) \
             .set_categorical_feature(categorical_feature)
Guolin Ke's avatar
Guolin Ke committed
178

wxchan's avatar
wxchan committed
179
180
    is_valid_contain_train = False
    train_data_name = "training"
Guolin Ke's avatar
Guolin Ke committed
181
    reduced_valid_sets = []
wxchan's avatar
wxchan committed
182
    name_valid_sets = []
183
    if valid_sets is not None:
Guolin Ke's avatar
Guolin Ke committed
184
185
        if isinstance(valid_sets, Dataset):
            valid_sets = [valid_sets]
186
        if isinstance(valid_names, str):
wxchan's avatar
wxchan committed
187
            valid_names = [valid_names]
Guolin Ke's avatar
Guolin Ke committed
188
        for i, valid_data in enumerate(valid_sets):
189
            # reduce cost for prediction training data
Guolin Ke's avatar
Guolin Ke committed
190
            if valid_data is train_set:
wxchan's avatar
wxchan committed
191
192
193
194
                is_valid_contain_train = True
                if valid_names is not None:
                    train_data_name = valid_names[i]
                continue
Guolin Ke's avatar
Guolin Ke committed
195
            if not isinstance(valid_data, Dataset):
196
                raise TypeError("Training only accepts Dataset object")
Nikita Titov's avatar
Nikita Titov committed
197
            reduced_valid_sets.append(valid_data._update_params(params).set_reference(train_set))
198
            if valid_names is not None and len(valid_names) > i:
wxchan's avatar
wxchan committed
199
200
                name_valid_sets.append(valid_names[i])
            else:
wxchan's avatar
wxchan committed
201
                name_valid_sets.append('valid_' + str(i))
202
    # process callbacks
203
    if callbacks is None:
wxchan's avatar
wxchan committed
204
205
206
207
208
        callbacks = set()
    else:
        for i, cb in enumerate(callbacks):
            cb.__dict__.setdefault('order', i - len(callbacks))
        callbacks = set(callbacks)
wxchan's avatar
wxchan committed
209
210

    # Most of legacy advanced options becomes callbacks
wxchan's avatar
wxchan committed
211
212
    if verbose_eval is True:
        callbacks.add(callback.print_evaluation())
213
    elif isinstance(verbose_eval, int):
wxchan's avatar
wxchan committed
214
        callbacks.add(callback.print_evaluation(verbose_eval))
wxchan's avatar
wxchan committed
215

216
    if early_stopping_rounds is not None and early_stopping_rounds > 0:
217
        callbacks.add(callback.early_stopping(early_stopping_rounds, first_metric_only, verbose=bool(verbose_eval)))
218

wxchan's avatar
wxchan committed
219
    if learning_rates is not None:
220
        callbacks.add(callback.reset_parameter(learning_rate=learning_rates))
wxchan's avatar
wxchan committed
221
222

    if evals_result is not None:
wxchan's avatar
wxchan committed
223
224
225
226
227
228
        callbacks.add(callback.record_evaluation(evals_result))

    callbacks_before_iter = {cb for cb in callbacks if getattr(cb, 'before_iteration', False)}
    callbacks_after_iter = callbacks - callbacks_before_iter
    callbacks_before_iter = sorted(callbacks_before_iter, key=attrgetter('order'))
    callbacks_after_iter = sorted(callbacks_after_iter, key=attrgetter('order'))
wxchan's avatar
wxchan committed
229

230
    # construct booster
231
232
233
234
    try:
        booster = Booster(params=params, train_set=train_set)
        if is_valid_contain_train:
            booster.set_train_data_name(train_data_name)
235
        for valid_set, name_valid_set in zip(reduced_valid_sets, name_valid_sets):
236
237
238
239
240
            booster.add_valid(valid_set, name_valid_set)
    finally:
        train_set._reverse_update_params()
        for valid_set in reduced_valid_sets:
            valid_set._reverse_update_params()
241
    booster.best_iteration = 0
wxchan's avatar
wxchan committed
242

243
    # start training
244
    for i in range(init_iteration, init_iteration + num_boost_round):
wxchan's avatar
wxchan committed
245
246
        for cb in callbacks_before_iter:
            cb(callback.CallbackEnv(model=booster,
247
                                    params=params,
wxchan's avatar
wxchan committed
248
                                    iteration=i,
249
250
                                    begin_iteration=init_iteration,
                                    end_iteration=init_iteration + num_boost_round,
wxchan's avatar
wxchan committed
251
252
253
254
255
256
                                    evaluation_result_list=None))

        booster.update(fobj=fobj)

        evaluation_result_list = []
        # check evaluation result.
257
        if valid_sets is not None:
wxchan's avatar
wxchan committed
258
259
260
261
262
263
            if is_valid_contain_train:
                evaluation_result_list.extend(booster.eval_train(feval))
            evaluation_result_list.extend(booster.eval_valid(feval))
        try:
            for cb in callbacks_after_iter:
                cb(callback.CallbackEnv(model=booster,
264
                                        params=params,
wxchan's avatar
wxchan committed
265
                                        iteration=i,
266
267
                                        begin_iteration=init_iteration,
                                        end_iteration=init_iteration + num_boost_round,
wxchan's avatar
wxchan committed
268
                                        evaluation_result_list=evaluation_result_list))
269
270
        except callback.EarlyStopException as earlyStopException:
            booster.best_iteration = earlyStopException.best_iteration + 1
wxchan's avatar
wxchan committed
271
            evaluation_result_list = earlyStopException.best_score
wxchan's avatar
wxchan committed
272
            break
273
    booster.best_score = collections.defaultdict(collections.OrderedDict)
wxchan's avatar
wxchan committed
274
275
    for dataset_name, eval_name, score, _ in evaluation_result_list:
        booster.best_score[dataset_name][eval_name] = score
276
    if not keep_training_booster:
Nikita Titov's avatar
Nikita Titov committed
277
        booster.model_from_string(booster.model_to_string(), False).free_dataset()
wxchan's avatar
wxchan committed
278
279
280
    return booster


281
class CVBooster:
282
283
284
285
286
287
288
289
290
291
292
293
294
    """CVBooster in LightGBM.

    Auxiliary data structure to hold and redirect all boosters of ``cv`` function.
    This class has the same methods as Booster class.
    All method calls are actually performed for underlying Boosters and then all returned results are returned in a list.

    Attributes
    ----------
    boosters : list of Booster
        The list of underlying fitted models.
    best_iteration : int
        The best iteration of fitted model.
    """
295

296
    def __init__(self):
297
298
299
300
        """Initialize the CVBooster.

        Generally, no need to instantiate manually.
        """
301
        self.boosters = []
302
        self.best_iteration = -1
303

304
305
    def _append(self, booster):
        """Add a booster to CVBooster."""
306
307
308
        self.boosters.append(booster)

    def __getattr__(self, name):
309
        """Redirect methods call of CVBooster."""
310
311
        def handler_function(*args, **kwargs):
            """Call methods with each booster, and concatenate their results."""
312
313
314
315
            ret = []
            for booster in self.boosters:
                ret.append(getattr(booster, name)(*args, **kwargs))
            return ret
316
        return handler_function
wxchan's avatar
wxchan committed
317

318

319
320
def _make_n_folds(full_data, folds, nfold, params, seed, fpreproc=None, stratified=True,
                  shuffle=True, eval_train_metric=False):
321
    """Make a n-fold list of Booster from random indices."""
wxchan's avatar
wxchan committed
322
323
    full_data = full_data.construct()
    num_data = full_data.num_data()
324
    if folds is not None:
325
326
327
328
329
330
        if not hasattr(folds, '__iter__') and not hasattr(folds, 'split'):
            raise AttributeError("folds should be a generator or iterator of (train_idx, test_idx) tuples "
                                 "or scikit-learn splitter object with split method")
        if hasattr(folds, 'split'):
            group_info = full_data.get_group()
            if group_info is not None:
331
                group_info = np.array(group_info, dtype=np.int32, copy=False)
332
                flatted_group = np.repeat(range(len(group_info)), repeats=group_info)
333
            else:
334
                flatted_group = np.zeros(num_data, dtype=np.int32)
335
            folds = folds.split(X=np.zeros(num_data), y=full_data.get_label(), groups=flatted_group)
wxchan's avatar
wxchan committed
336
    else:
337
338
339
        if any(params.get(obj_alias, "") in {"lambdarank", "rank_xendcg", "xendcg",
                                             "xe_ndcg", "xe_ndcg_mart", "xendcg_mart"}
               for obj_alias in _ConfigAliases.get("objective")):
wxchan's avatar
wxchan committed
340
            if not SKLEARN_INSTALLED:
341
                raise LightGBMError('scikit-learn is required for ranking cv')
342
            # ranking task, split according to groups
343
            group_info = np.array(full_data.get_group(), dtype=np.int32, copy=False)
344
            flatted_group = np.repeat(range(len(group_info)), repeats=group_info)
345
            group_kfold = _LGBMGroupKFold(n_splits=nfold)
wxchan's avatar
wxchan committed
346
347
348
            folds = group_kfold.split(X=np.zeros(num_data), groups=flatted_group)
        elif stratified:
            if not SKLEARN_INSTALLED:
349
                raise LightGBMError('scikit-learn is required for stratified cv')
350
            skf = _LGBMStratifiedKFold(n_splits=nfold, shuffle=shuffle, random_state=seed)
wxchan's avatar
wxchan committed
351
            folds = skf.split(X=np.zeros(num_data), y=full_data.get_label())
extremin's avatar
extremin committed
352
        else:
wxchan's avatar
wxchan committed
353
354
355
356
357
            if shuffle:
                randidx = np.random.RandomState(seed).permutation(num_data)
            else:
                randidx = np.arange(num_data)
            kstep = int(num_data / nfold)
358
359
360
            test_id = [randidx[i: i + kstep] for i in range(0, num_data, kstep)]
            train_id = [np.concatenate([test_id[i] for i in range(nfold) if k != i]) for k in range(nfold)]
            folds = zip(train_id, test_id)
wxchan's avatar
wxchan committed
361

362
    ret = CVBooster()
wxchan's avatar
wxchan committed
363
    for train_idx, test_idx in folds:
364
365
        train_set = full_data.subset(sorted(train_idx))
        valid_set = full_data.subset(sorted(test_idx))
wxchan's avatar
wxchan committed
366
367
        # run preprocessing on the data set if needed
        if fpreproc is not None:
wxchan's avatar
wxchan committed
368
            train_set, valid_set, tparam = fpreproc(train_set, valid_set, params.copy())
wxchan's avatar
wxchan committed
369
        else:
wxchan's avatar
wxchan committed
370
            tparam = params
371
        cvbooster = Booster(tparam, train_set)
372
373
        if eval_train_metric:
            cvbooster.add_valid(train_set, 'train')
374
        cvbooster.add_valid(valid_set, 'valid')
375
        ret._append(cvbooster)
wxchan's avatar
wxchan committed
376
377
    return ret

wxchan's avatar
wxchan committed
378

379
def _agg_cv_result(raw_results, eval_train_metric=False):
380
    """Aggregate cross-validation results."""
381
    cvmap = collections.OrderedDict()
wxchan's avatar
wxchan committed
382
383
384
    metric_type = {}
    for one_result in raw_results:
        for one_line in one_result:
385
386
387
388
389
            if eval_train_metric:
                key = "{} {}".format(one_line[0], one_line[1])
            else:
                key = one_line[1]
            metric_type[key] = one_line[3]
390
            cvmap.setdefault(key, [])
391
            cvmap[key].append(one_line[2])
wxchan's avatar
wxchan committed
392
    return [('cv_agg', k, np.mean(v), metric_type[k], np.std(v)) for k, v in cvmap.items()]
wxchan's avatar
wxchan committed
393

wxchan's avatar
wxchan committed
394

395
def cv(params, train_set, num_boost_round=100,
396
       folds=None, nfold=5, stratified=True, shuffle=True,
wxchan's avatar
wxchan committed
397
       metrics=None, fobj=None, feval=None, init_model=None,
398
       feature_name='auto', categorical_feature='auto',
Guolin Ke's avatar
Guolin Ke committed
399
400
       early_stopping_rounds=None, fpreproc=None,
       verbose_eval=None, show_stdv=True, seed=0,
401
402
       callbacks=None, eval_train_metric=False,
       return_cvbooster=False):
Andrew Ziem's avatar
Andrew Ziem committed
403
    """Perform the cross-validation with given parameters.
wxchan's avatar
wxchan committed
404
405
406
407

    Parameters
    ----------
    params : dict
408
        Parameters for Booster.
Guolin Ke's avatar
Guolin Ke committed
409
    train_set : Dataset
410
        Data to be trained on.
411
    num_boost_round : int, optional (default=100)
wxchan's avatar
wxchan committed
412
        Number of boosting iterations.
413
    folds : generator or iterator of (train_idx, test_idx) tuples, scikit-learn splitter object or None, optional (default=None)
414
        If generator or iterator, it should yield the train and test indices for each fold.
415
        If object, it should be one of the scikit-learn splitter classes
416
        (https://scikit-learn.org/stable/modules/classes.html#splitter-classes)
417
        and have ``split`` method.
418
        This argument has highest priority over other data split arguments.
419
    nfold : int, optional (default=5)
wxchan's avatar
wxchan committed
420
        Number of folds in CV.
421
422
    stratified : bool, optional (default=True)
        Whether to perform stratified sampling.
423
    shuffle : bool, optional (default=True)
424
425
426
427
428
        Whether to shuffle before splitting data.
    metrics : string, list of strings or None, optional (default=None)
        Evaluation metrics to be monitored while CV.
        If not None, the metric in ``params`` will be overridden.
    fobj : callable or None, optional (default=None)
429
430
431
432
433
434
        Customized objective function.
        Should accept two parameters: preds, train_data,
        and return (grad, hess).

            preds : list or numpy 1-D array
                The predicted values.
435
436
                Predicted values are returned before any transformation,
                e.g. they are raw margin instead of probability of positive class for binary task.
437
438
439
            train_data : Dataset
                The training dataset.
            grad : list or numpy 1-D array
440
441
                The value of the first order derivative (gradient) of the loss
                with respect to the elements of preds for each sample point.
442
            hess : list or numpy 1-D array
443
444
                The value of the second order derivative (Hessian) of the loss
                with respect to the elements of preds for each sample point.
445
446
447
448
449

        For multi-class task, the preds is group by class_id first, then group by row_id.
        If you want to get i-th row preds in j-th class, the access way is score[j * num_data + i]
        and you should group grad and hess in this way as well.

450
    feval : callable, list of callable functions or None, optional (default=None)
451
        Customized evaluation function.
452
        Each evaluation function should accept two parameters: preds, train_data,
453
        and return (eval_name, eval_result, is_higher_better) or list of such tuples.
454
455
456

            preds : list or numpy 1-D array
                The predicted values.
457
458
                If ``fobj`` is specified, predicted values are returned before any transformation,
                e.g. they are raw margin instead of probability of positive class for binary task in this case.
459
460
461
            train_data : Dataset
                The training dataset.
            eval_name : string
Andrew Ziem's avatar
Andrew Ziem committed
462
                The name of evaluation function (without whitespace).
463
464
465
466
467
            eval_result : float
                The eval result.
            is_higher_better : bool
                Is eval result higher better, e.g. AUC is ``is_higher_better``.

468
469
        For multi-class task, the preds is group by class_id first, then group by row_id.
        If you want to get i-th row preds in j-th class, the access way is preds[j * num_data + i].
470
471
        To ignore the default metric corresponding to the used objective,
        set ``metrics`` to the string ``"None"``.
472
    init_model : string, Booster or None, optional (default=None)
473
474
475
476
477
478
479
480
        Filename of LightGBM model or Booster instance used for continue training.
    feature_name : list of strings or 'auto', optional (default="auto")
        Feature names.
        If 'auto' and data is pandas DataFrame, data columns names are used.
    categorical_feature : list of strings or int, or 'auto', optional (default="auto")
        Categorical features.
        If list of int, interpreted as indices.
        If list of strings, interpreted as feature names (need to specify ``feature_name`` as well).
481
        If 'auto' and data is pandas DataFrame, pandas unordered categorical columns are used.
482
        All values in categorical features should be less than int32 max value (2147483647).
483
        Large values could be memory consuming. Consider using consecutive integers starting from zero.
484
        All negative values in categorical features will be treated as missing values.
485
        The output cannot be monotonically constrained with respect to a categorical feature.
486
    early_stopping_rounds : int or None, optional (default=None)
487
488
489
490
        Activates early stopping.
        CV score needs to improve at least every ``early_stopping_rounds`` round(s)
        to continue.
        Requires at least one metric. If there's more than one, will check all of them.
491
        To check only the first metric, set the ``first_metric_only`` parameter to ``True`` in ``params``.
492
        Last entry in evaluation history is the one from the best iteration.
493
494
    fpreproc : callable or None, optional (default=None)
        Preprocessing function that takes (dtrain, dtest, params)
wxchan's avatar
wxchan committed
495
        and returns transformed versions of those.
496
    verbose_eval : bool, int, or None, optional (default=None)
wxchan's avatar
wxchan committed
497
498
        Whether to display the progress.
        If None, progress will be displayed when np.ndarray is returned.
499
500
501
        If True, progress will be displayed at every boosting stage.
        If int, progress will be displayed at every given ``verbose_eval`` boosting stage.
    show_stdv : bool, optional (default=True)
wxchan's avatar
wxchan committed
502
        Whether to display the standard deviation in progress.
503
        Results are not affected by this parameter, and always contain std.
504
    seed : int, optional (default=0)
wxchan's avatar
wxchan committed
505
        Seed used to generate the folds (passed to numpy.random.seed).
506
    callbacks : list of callables or None, optional (default=None)
507
        List of callback functions that are applied at each iteration.
508
        See Callbacks in Python API for more information.
509
510
511
    eval_train_metric : bool, optional (default=False)
        Whether to display the train metric in progress.
        The score of the metric is calculated again after each training step, so there is some impact on performance.
512
513
    return_cvbooster : bool, optional (default=False)
        Whether to return Booster models trained on each fold through ``CVBooster``.
wxchan's avatar
wxchan committed
514
515
516

    Returns
    -------
517
518
519
520
    eval_hist : dict
        Evaluation history.
        The dictionary has the following format:
        {'metric1-mean': [values], 'metric1-stdv': [values],
Qiwei Ye's avatar
Qiwei Ye committed
521
        'metric2-mean': [values], 'metric2-stdv': [values],
522
        ...}.
523
        If ``return_cvbooster=True``, also returns trained boosters via ``cvbooster`` key.
wxchan's avatar
wxchan committed
524
    """
Guolin Ke's avatar
Guolin Ke committed
525
    if not isinstance(train_set, Dataset):
526
        raise TypeError("Training only accepts Dataset object")
Guolin Ke's avatar
Guolin Ke committed
527

528
    params = copy.deepcopy(params)
529
    if fobj is not None:
530
531
        for obj_alias in _ConfigAliases.get("objective"):
            params.pop(obj_alias, None)
532
        params['objective'] = 'none'
533
    for alias in _ConfigAliases.get("num_iterations"):
534
        if alias in params:
535
            _log_warning("Found `{}` in params. Will use it instead of argument".format(alias))
536
            num_boost_round = params.pop(alias)
537
    params["num_iterations"] = num_boost_round
538
    for alias in _ConfigAliases.get("early_stopping_round"):
539
        if alias in params:
540
            _log_warning("Found `{}` in params. Will use it instead of argument".format(alias))
541
            early_stopping_rounds = params.pop(alias)
542
543
    params["early_stopping_round"] = early_stopping_rounds
    first_metric_only = params.get('first_metric_only', False)
544

545
546
    if num_boost_round <= 0:
        raise ValueError("num_boost_round should be greater than zero.")
547
    if isinstance(init_model, str):
548
        predictor = _InnerPredictor(model_file=init_model, pred_parameter=params)
Guolin Ke's avatar
Guolin Ke committed
549
    elif isinstance(init_model, Booster):
550
        predictor = init_model._to_predictor(dict(init_model.params, **params))
Guolin Ke's avatar
Guolin Ke committed
551
552
553
    else:
        predictor = None

Peter's avatar
Peter committed
554
    if metrics is not None:
555
556
        for metric_alias in _ConfigAliases.get("metric"):
            params.pop(metric_alias, None)
Peter's avatar
Peter committed
557
        params['metric'] = metrics
wxchan's avatar
wxchan committed
558

559
560
561
562
563
    train_set._update_params(params) \
             ._set_predictor(predictor) \
             .set_feature_name(feature_name) \
             .set_categorical_feature(categorical_feature)

wxchan's avatar
wxchan committed
564
    results = collections.defaultdict(list)
565
566
    cvfolds = _make_n_folds(train_set, folds=folds, nfold=nfold,
                            params=params, seed=seed, fpreproc=fpreproc,
567
568
                            stratified=stratified, shuffle=shuffle,
                            eval_train_metric=eval_train_metric)
wxchan's avatar
wxchan committed
569
570

    # setup callbacks
571
    if callbacks is None:
wxchan's avatar
wxchan committed
572
573
574
575
576
        callbacks = set()
    else:
        for i, cb in enumerate(callbacks):
            cb.__dict__.setdefault('order', i - len(callbacks))
        callbacks = set(callbacks)
577
    if early_stopping_rounds is not None and early_stopping_rounds > 0:
578
        callbacks.add(callback.early_stopping(early_stopping_rounds, first_metric_only, verbose=False))
wxchan's avatar
wxchan committed
579
580
    if verbose_eval is True:
        callbacks.add(callback.print_evaluation(show_stdv=show_stdv))
581
    elif isinstance(verbose_eval, int):
wxchan's avatar
wxchan committed
582
        callbacks.add(callback.print_evaluation(verbose_eval, show_stdv=show_stdv))
wxchan's avatar
wxchan committed
583

wxchan's avatar
wxchan committed
584
585
586
587
    callbacks_before_iter = {cb for cb in callbacks if getattr(cb, 'before_iteration', False)}
    callbacks_after_iter = callbacks - callbacks_before_iter
    callbacks_before_iter = sorted(callbacks_before_iter, key=attrgetter('order'))
    callbacks_after_iter = sorted(callbacks_after_iter, key=attrgetter('order'))
wxchan's avatar
wxchan committed
588

589
    for i in range(num_boost_round):
wxchan's avatar
wxchan committed
590
        for cb in callbacks_before_iter:
591
592
            cb(callback.CallbackEnv(model=cvfolds,
                                    params=params,
wxchan's avatar
wxchan committed
593
594
595
596
                                    iteration=i,
                                    begin_iteration=0,
                                    end_iteration=num_boost_round,
                                    evaluation_result_list=None))
wxchan's avatar
wxchan committed
597
        cvfolds.update(fobj=fobj)
598
        res = _agg_cv_result(cvfolds.eval_valid(feval), eval_train_metric)
wxchan's avatar
wxchan committed
599
600
        for _, key, mean, _, std in res:
            results[key + '-mean'].append(mean)
wxchan's avatar
wxchan committed
601
            results[key + '-stdv'].append(std)
wxchan's avatar
wxchan committed
602
603
        try:
            for cb in callbacks_after_iter:
604
605
                cb(callback.CallbackEnv(model=cvfolds,
                                        params=params,
wxchan's avatar
wxchan committed
606
607
608
609
                                        iteration=i,
                                        begin_iteration=0,
                                        end_iteration=num_boost_round,
                                        evaluation_result_list=res))
610
611
        except callback.EarlyStopException as earlyStopException:
            cvfolds.best_iteration = earlyStopException.best_iteration + 1
wxchan's avatar
wxchan committed
612
            for k in results:
613
                results[k] = results[k][:cvfolds.best_iteration]
wxchan's avatar
wxchan committed
614
            break
615
616
617
618

    if return_cvbooster:
        results['cvbooster'] = cvfolds

wxchan's avatar
wxchan committed
619
    return dict(results)