add per-feature-penalites (#1449)

* add per-feature-penalites

* fix comment

docs/Parameters.rst

@@ -347,6 +347,12 @@ Learning Control Parameters
 
    -  you need to specify all features in order. For example, ``mc=-1,0,1`` means decreasing for 1st feature, non-constraint for 2nd feature and increasing for the 3rd feature
 
+-  ``feature_contri``, default = ``None``, type = multi-double, aliases: ``fc``, ``fp``, ``feature_penalty``
+
+   -  used to control feature's split gain, will use ``gain[i] = max(0, feature_contri[i]) * gain[i]`` to replace the split gain of i-th feature
+
+   -  you need to specify all features in order
+
 -  ``forcedsplits_filename``, default = ``""``, type = string, aliases: ``fs``, ``forced_splits_filename``, ``forced_splits_file``, ``forced_splits``
 
    -  path to a ``.json`` file that specifies splits to force at the top of every decision tree before best-first learning commences

include/LightGBM/config.h

@@ -353,6 +353,13 @@ public:
   // desc = ``1`` means increasing, ``-1`` means decreasing, ``0`` means non-constraint
   // desc = you need to specify all features in order. For example, ``mc=-1,0,1`` means decreasing for 1st feature, non-constraint for 2nd feature and increasing for the 3rd feature
   std::vector<int8_t> monotone_constraints;
+
+  // type = multi-double
+  // alias = fc, fp, feature_penalty
+  // default = None
+  // desc = used to control feature's split gain, will use ``gain[i] = max(0, feature_contri[i]) * gain[i]`` to replace the split gain of i-th feature
+  // desc = you need to specify all features in order
+  std::vector<double> feature_contri;
   
   // alias = fs, forced_splits_filename, forced_splits_file, forced_splits
   // desc = path to a ``.json`` file that specifies splits to force at the top of every decision tree before best-first learning commences

include/LightGBM/dataset.h

@@ -443,6 +443,14 @@ public:
     }
   }
 
+  inline double FeaturePenalte(int i) const {
+    if (feature_penalty_.empty()) {
+      return 1;
+    } else {
+      return feature_penalty_[i];
+    }
+  }
+
   bool HasMonotone() const {
     if (monotone_types_.empty()) {
       return false;
@@ -605,6 +613,7 @@ private:
   std::vector<int> group_feature_start_;
   std::vector<int> group_feature_cnt_;
   std::vector<int8_t> monotone_types_;
+  std::vector<double> feature_penalty_;
   bool is_finish_load_;
 };
 

include/LightGBM/utils/array_args.h

@@ -176,6 +176,15 @@ public:
     return true;
   }
 
+  inline static bool CheckAll(const std::vector<VAL_T>& array, VAL_T t) {
+    for (size_t i = 0; i < array.size(); ++i) {
+      if (array[i] != t) {
+        return false;
+      }
+    }
+    return true;
+  }
+
 };
 
 }  // namespace LightGBM

src/io/config_auto.cpp

@@ -57,6 +57,9 @@ std::unordered_map<std::string, std::string> Config::alias_table({
   {"topk", "top_k"},
   {"mc", "monotone_constraints"},
   {"monotone_constraint", "monotone_constraints"},
+  {"fc", "feature_contri"},
+  {"fp", "feature_contri"},
+  {"feature_penalty", "feature_contri"},
   {"fs", "forcedsplits_filename"},
   {"forced_splits_filename", "forcedsplits_filename"},
   {"forced_splits_file", "forcedsplits_filename"},
@@ -172,6 +175,7 @@ std::unordered_set<std::string> Config::parameter_set({
   "max_cat_to_onehot",
   "top_k",
   "monotone_constraints",
+  "feature_contri",
   "forcedsplits_filename",
   "verbosity",
   "max_bin",
@@ -336,6 +340,10 @@ void Config::GetMembersFromString(const std::unordered_map<std::string, std::str
     monotone_constraints = Common::StringToArray<int8_t>(tmp_str, ',');
   }
 
+  if (GetString(params, "feature_contri", &tmp_str)) {
+    feature_contri = Common::StringToArray<double>(tmp_str, ',');
+  }
+
   GetString(params, "forcedsplits_filename", &forcedsplits_filename);
 
   GetInt(params, "verbosity", &verbosity);
@@ -523,6 +531,7 @@ std::string Config::SaveMembersToString() const {
   str_buf << "[max_cat_to_onehot: " << max_cat_to_onehot << "]\n";
   str_buf << "[top_k: " << top_k << "]\n";
   str_buf << "[monotone_constraints: " << Common::Join(Common::ArrayCast<int8_t, int>(monotone_constraints),",") << "]\n";
+  str_buf << "[feature_contri: " << Common::Join(feature_contri,",") << "]\n";
   str_buf << "[forcedsplits_filename: " << forcedsplits_filename << "]\n";
   str_buf << "[verbosity: " << verbosity << "]\n";
   str_buf << "[max_bin: " << max_bin << "]\n";

src/io/dataset.cpp

@@ -306,6 +306,19 @@ void Dataset::Construct(
       monotone_types_.clear();
     }
   }
+  if (!io_config.feature_contri.empty()) {
+    CHECK(static_cast<size_t>(num_total_features_) == io_config.feature_contri.size());
+    feature_penalty_.resize(num_features_);
+    for (int i = 0; i < num_total_features_; ++i) {
+      int inner_fidx = InnerFeatureIndex(i);
+      if (inner_fidx >= 0) {
+        feature_penalty_[inner_fidx] = std::max(0.0, io_config.feature_contri[i]);
+      }
+    }
+    if (ArrayArgs<double>::CheckAll(feature_penalty_, 1.0)) {
+      feature_penalty_.clear();
+    }
+  }
 }
 
 void Dataset::FinishLoad() {
@@ -350,6 +363,7 @@ void Dataset::CopyFeatureMapperFrom(const Dataset* dataset) {
   group_feature_start_ = dataset->group_feature_start_;
   group_feature_cnt_ = dataset->group_feature_cnt_;
   monotone_types_ = dataset->monotone_types_;
+  feature_penalty_ = dataset->feature_penalty_;
 }
 
 void Dataset::CreateValid(const Dataset* dataset) {
@@ -403,6 +417,7 @@ void Dataset::CreateValid(const Dataset* dataset) {
     }
   }
   monotone_types_ = dataset->monotone_types_;
+  feature_penalty_ = dataset->feature_penalty_;
 }
 
 void Dataset::ReSize(data_size_t num_data) {
@@ -555,7 +570,8 @@ void Dataset::SaveBinaryFile(const char* bin_filename) {
     // get size of header
     size_t size_of_header = sizeof(num_data_) + sizeof(num_features_) + sizeof(num_total_features_)
       + sizeof(int) * num_total_features_ + sizeof(label_idx_) + sizeof(num_groups_)
-      + 3 * sizeof(int) * num_features_ + sizeof(uint64_t) * (num_groups_ + 1) + 2 * sizeof(int) * num_groups_ + sizeof(int8_t) * num_features_;
+      + 3 * sizeof(int) * num_features_ + sizeof(uint64_t) * (num_groups_ + 1) + 2 * sizeof(int) * num_groups_ + sizeof(int8_t) * num_features_
+      + sizeof(double) * num_features_;
     // size of feature names
     for (int i = 0; i < num_total_features_; ++i) {
       size_of_header += feature_names_[i].size() + sizeof(int);
@@ -581,6 +597,13 @@ void Dataset::SaveBinaryFile(const char* bin_filename) {
     if (ArrayArgs<int8_t>::CheckAllZero(monotone_types_)) {
       monotone_types_.clear();
     }
+    if (feature_penalty_.empty()) {
+      ArrayArgs<double>::Assign(&feature_penalty_, 1.0, num_features_);
+    }
+    writer->Write(feature_penalty_.data(), sizeof(double) * num_features_);
+    if (ArrayArgs<double>::CheckAll(feature_penalty_, 1.0)) {
+      feature_penalty_.clear();
+    }
     // write feature names
     for (int i = 0; i < num_total_features_; ++i) {
       int str_len = static_cast<int>(feature_names_[i].size());

src/io/dataset_loader.cpp

@@ -380,6 +380,17 @@ Dataset* DatasetLoader::LoadFromBinFile(const char* data_filename, const char* b
     dataset->monotone_types_.clear();
   }
 
+  const double* tmp_ptr_feature_penalty = reinterpret_cast<const double*>(mem_ptr);
+  dataset->feature_penalty_.clear();
+  for (int i = 0; i < dataset->num_features_; ++i) {
+    dataset->feature_penalty_.push_back(tmp_ptr_feature_penalty[i]);
+  }
+  mem_ptr += sizeof(double) * (dataset->num_features_);
+
+  if (ArrayArgs<double>::CheckAll(dataset->feature_penalty_, 1)) {
+    dataset->feature_penalty_.clear();
+  }
+
   // get feature names
   dataset->feature_names_.clear();
   // write feature names

src/treelearner/feature_histogram.hpp

@@ -19,6 +19,7 @@ public:
   int8_t bias = 0;
   uint32_t default_bin;
   int8_t monotone_type;
+  double penalty;
   /*! \brief pointer of tree config */
   const Config* config;
   BinType bin_type;
@@ -77,6 +78,7 @@ public:
     output->default_left = true;
     output->gain = kMinScore;
     find_best_threshold_fun_(sum_gradient, sum_hessian + 2 * kEpsilon, num_data, min_constraint, max_constraint, output);
+    output->gain *= meta_->penalty;
   }
 
   void FindBestThresholdNumerical(double sum_gradient, double sum_hessian, data_size_t num_data, double min_constraint, double max_constraint,
@@ -707,6 +709,7 @@ public:
         feature_metas_[i].default_bin = train_data->FeatureBinMapper(i)->GetDefaultBin();
         feature_metas_[i].missing_type = train_data->FeatureBinMapper(i)->missing_type();
         feature_metas_[i].monotone_type = train_data->FeatureMonotone(i);
+        feature_metas_[i].penalty = train_data->FeaturePenalte(i);
         if (train_data->FeatureBinMapper(i)->GetDefaultBin() == 0) {
           feature_metas_[i].bias = 1;
         } else {

src/treelearner/voting_parallel_tree_learner.cpp

@@ -70,6 +70,7 @@ void VotingParallelTreeLearner<TREELEARNER_T>::Init(const Dataset* train_data, b
     feature_metas_[i].default_bin = train_data->FeatureBinMapper(i)->GetDefaultBin();
     feature_metas_[i].missing_type = train_data->FeatureBinMapper(i)->missing_type();
     feature_metas_[i].monotone_type = train_data->FeatureMonotone(i);
+    feature_metas_[i].penalty = train_data->FeaturePenalte(i);
     if (train_data->FeatureBinMapper(i)->GetDefaultBin() == 0) {
       feature_metas_[i].bias = 1;
     } else {