support dynamic change training data and add validation data

include/LightGBM/bin.h

@@ -51,6 +51,18 @@ public:
   explicit BinMapper(const void* memory);
   ~BinMapper();
 
+  bool CheckAlign(const BinMapper& other) const {
+    if (num_bin_ != other.num_bin_) {
+      return false;
+    }
+    for (int i = 0; i < num_bin_; ++i) {
+      if (bin_upper_bound_[i] != other.bin_upper_bound_[i]) {
+        return false;
+      }
+    }
+    return true;
+  }
+
   /*! \brief Get number of bins */
   inline int num_bin() const { return num_bin_; }
   /*! \brief True if bin is trival (contains only one bin) */

include/LightGBM/boosting.h

@@ -41,12 +41,20 @@ public:
   */
   virtual void ResetConfig(const BoostingConfig* config) = 0;
 
+  /*!
+  * \brief Reset training data for current boosting
+  * \param train_data Training data
+  * \param object_function Training objective function
+  * \param training_metrics Training metric
+  */
+  virtual void ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector<const Metric*>& training_metrics) = 0;
+
   /*!
   * \brief Add a validation data
   * \param valid_data Validation data
   * \param valid_metrics Metric for validation data
   */
-  virtual void AddDataset(const Dataset* valid_data,
+  virtual void AddValidDataset(const Dataset* valid_data,
     const std::vector<const Metric*>& valid_metrics) = 0;
 
   /*!

include/LightGBM/c_api.h

@@ -212,19 +212,12 @@ DllExport int LGBM_DatasetGetNumFeature(DatesetHandle handle,
 /*!
 * \brief create an new boosting learner
 * \param train_data training data set
-* \param valid_datas validation data sets
-* \param valid_names names of validation data sets
-* \param n_valid_datas number of validation set
 * \param parameters format: 'key1=value1 key2=value2'
-* \param init_model_filename filename of model
 * \prama out handle of created Booster
 * \return 0 when success, -1 when failure happens
 */
 DllExport int LGBM_BoosterCreate(const DatesetHandle train_data,
-  const DatesetHandle valid_datas[],
-  int n_valid_datas,
   const char* parameters,
-  const char* init_model_filename,
   BoosterHandle* out);
 
 /*!
@@ -247,6 +240,22 @@ DllExport int LGBM_BoosterCreateFromModelfile(
 */
 DllExport int LGBM_BoosterFree(BoosterHandle handle);
 
+/*!
+* \brief Add new validation to booster
+* \param valid_data validation data set
+* \return 0 when success, -1 when failure happens
+*/
+DllExport int LGBM_BoosterAddValidData(BoosterHandle handle,
+  const DatesetHandle valid_data);
+
+/*!
+* \brief Add new validation to booster
+* \param train_data training data set
+* \return 0 when success, -1 when failure happens
+*/
+DllExport int LGBM_BoosterResetTrainingData(BoosterHandle handle,
+  const DatesetHandle train_data);
+
 /*!
 * \brief Reset config for current booster
 * \param parameters format: 'key1=value1 key2=value2'

include/LightGBM/dataset.h

@@ -277,6 +277,27 @@ public:
   /*! \brief Destructor */
   ~Dataset();
 
+  bool CheckAlign(const Dataset& other) const {
+    if (num_features_ != other.num_features_) {
+      return false;
+    }
+    if (num_total_features_ != other.num_total_features_) {
+      return false;
+    }
+    if (num_class_ != other.num_class_) {
+      return false;
+    }
+    if (label_idx_ != other.label_idx_) {
+      return false;
+    }
+    for (int i = 0; i < num_features_; ++i) {
+      if (!features_[i]->CheckAlign(*(other.features_[i].get()))) {
+        return false;
+      }
+    }
+    return true;
+  }
+
   inline void PushOneRow(int tid, data_size_t row_idx, const std::vector<double>& feature_values) {
     for (size_t i = 0; i < feature_values.size() && i < static_cast<size_t>(num_total_features_); ++i) {
       int feature_idx = used_feature_map_[i];

include/LightGBM/feature.h

@@ -63,6 +63,13 @@ public:
   ~Feature() {
   }
 
+  bool CheckAlign(const Feature& other) const {
+    if (feature_index_ != other.feature_index_) {
+      return false;
+    }
+    return bin_mapper_->CheckAlign(*(other.bin_mapper_.get()));
+  }
+
   /*!
   * \brief Push one record, will auto convert to bin and push to bin data
   * \param tid Thread id

src/application/application.cpp

@@ -207,7 +207,7 @@ void Application::InitTrain() {
     Common::ConstPtrInVectorWrapper<Metric>(train_metric_));
   // add validation data into boosting
   for (size_t i = 0; i < valid_datas_.size(); ++i) {
-    boosting_->AddDataset(valid_datas_[i].get(),
+    boosting_->AddValidDataset(valid_datas_[i].get(),
       Common::ConstPtrInVectorWrapper<Metric>(valid_metrics_[i]));
   }
   Log::Info("Finished initializing training");

src/boosting/gbdt.cpp

@@ -16,7 +16,10 @@
 
 namespace LightGBM {
 
-GBDT::GBDT() : saved_model_size_(-1), num_iteration_for_pred_(0) {
+GBDT::GBDT() 
+  :saved_model_size_(-1), 
+  num_iteration_for_pred_(0), 
+  num_init_iteration_(0) {
 
 }
 
@@ -33,8 +36,46 @@ void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const O
   max_feature_idx_ = 0;
   early_stopping_round_ = gbdt_config_->early_stopping_round;
   shrinkage_rate_ = gbdt_config_->learning_rate;
-  train_data_ = train_data;
   num_class_ = config->num_class;
+  train_data_ = nullptr;
+  ResetTrainingData(train_data, object_function, training_metrics);
+  // initialize random generator
+  random_ = Random(gbdt_config_->bagging_seed);
+
+}
+
+void GBDT::ResetConfig(const BoostingConfig* config) {
+  gbdt_config_ = config;
+  early_stopping_round_ = gbdt_config_->early_stopping_round;
+  shrinkage_rate_ = gbdt_config_->learning_rate;
+  // create tree learner
+  tree_learner_.clear();
+  for (int i = 0; i < num_class_; ++i) {
+    auto new_tree_learner = std::unique_ptr<TreeLearner>(TreeLearner::CreateTreeLearner(gbdt_config_->tree_learner_type, gbdt_config_->tree_config));
+    new_tree_learner->Init(train_data_);
+    // init tree learner
+    tree_learner_.push_back(std::move(new_tree_learner));
+  }
+  tree_learner_.shrink_to_fit();
+  // if need bagging, create buffer
+  if (gbdt_config_->bagging_fraction < 1.0 && gbdt_config_->bagging_freq > 0) {
+    out_of_bag_data_indices_ = std::vector<data_size_t>(num_data_);
+    bag_data_indices_ = std::vector<data_size_t>(num_data_);
+  } else {
+    out_of_bag_data_cnt_ = 0;
+    out_of_bag_data_indices_.clear();
+    bag_data_cnt_ = num_data_;
+    bag_data_indices_.clear();
+  }
+  // initialize random generator
+  random_ = Random(gbdt_config_->bagging_seed);
+}
+
+void GBDT::ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector<const Metric*>& training_metrics) {
+  if (train_data_ != nullptr && !train_data_->CheckAlign(*train_data)) {
+    Log::Fatal("cannot reset training data, since new training data has different bin mappers");
+  }
+  train_data_ = train_data;
   // create tree learner
   tree_learner_.clear();
   for (int i = 0; i < num_class_; ++i) {
@@ -46,6 +87,7 @@ void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const O
   tree_learner_.shrink_to_fit();
   object_function_ = object_function;
   // push training metrics
+  training_metrics_.clear();
   for (const auto& metric : training_metrics) {
     training_metrics_.push_back(metric);
   }
@@ -78,44 +120,29 @@ void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const O
     bag_data_cnt_ = num_data_;
     bag_data_indices_.clear();
   }
-  // initialize random generator
-  random_ = Random(gbdt_config_->bagging_seed);
-
-}
-
-void GBDT::ResetConfig(const BoostingConfig* config) {
-  gbdt_config_ = config;
-  early_stopping_round_ = gbdt_config_->early_stopping_round;
-  shrinkage_rate_ = gbdt_config_->learning_rate;
-  // create tree learner
-  tree_learner_.clear();
-  for (int i = 0; i < num_class_; ++i) {
-    auto new_tree_learner = std::unique_ptr<TreeLearner>(TreeLearner::CreateTreeLearner(gbdt_config_->tree_learner_type, gbdt_config_->tree_config));
-    new_tree_learner->Init(train_data_);
-    // init tree learner
-    tree_learner_.push_back(std::move(new_tree_learner));
+  // update score
+  for (int i = 0; i < iter_; ++i) {
+    for (int curr_class = 0; curr_class < num_class_; ++curr_class) {
+      auto curr_tree = i * num_class_ + curr_class;
+      train_score_updater_->AddScore(models_[curr_tree].get(), curr_class);
     }
-  tree_learner_.shrink_to_fit();
-  // if need bagging, create buffer
-  if (gbdt_config_->bagging_fraction < 1.0 && gbdt_config_->bagging_freq > 0) {
-    out_of_bag_data_indices_ = std::vector<data_size_t>(num_data_);
-    bag_data_indices_ = std::vector<data_size_t>(num_data_);
-  } else {
-    out_of_bag_data_cnt_ = 0;
-    out_of_bag_data_indices_.clear();
-    bag_data_cnt_ = num_data_;
-    bag_data_indices_.clear();
   }
-  // initialize random generator
-  random_ = Random(gbdt_config_->bagging_seed);
 }
-void GBDT::AddDataset(const Dataset* valid_data,
+
+void GBDT::AddValidDataset(const Dataset* valid_data,
   const std::vector<const Metric*>& valid_metrics) {
-  if (iter_ > 0) {
-    Log::Fatal("Cannot add validation data after training started");
+  if (!train_data_->CheckAlign(*valid_data)) {
+    Log::Fatal("cannot add validation data, since it has different bin mappers with training data");
   }
   // for a validation dataset, we need its score and metric
   auto new_score_updater = std::unique_ptr<ScoreUpdater>(new ScoreUpdater(valid_data, num_class_));
+  // update score
+  for (int i = 0; i < iter_; ++i) {
+    for (int curr_class = 0; curr_class < num_class_; ++curr_class) {
+      auto curr_tree = i * num_class_ + curr_class;
+      new_score_updater->AddScore(models_[curr_tree].get(), curr_class);
+    }
+  }
   valid_score_updater_.push_back(std::move(new_score_updater));
   valid_metrics_.emplace_back();
   if (early_stopping_round_ > 0) {
@@ -499,6 +526,7 @@ void GBDT::LoadModelFromString(const std::string& model_str) {
   }
   Log::Info("Finished loading %d models", models_.size());
   num_iteration_for_pred_ = static_cast<int>(models_.size()) / num_class_;
+  num_init_iteration_ = num_iteration_for_pred_;
 }
 
 std::string GBDT::FeatureImportance() const {

src/boosting/gbdt.h

@@ -42,12 +42,20 @@ public:
   */
   void ResetConfig(const BoostingConfig* config) override;
 
+  /*!
+  * \brief Reset training data for current boosting
+  * \param train_data Training data
+  * \param object_function Training objective function
+  * \param training_metrics Training metric
+  */
+  void ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector<const Metric*>& training_metrics) override;
+
   /*!
   * \brief Adding a validation dataset
   * \param valid_data Validation dataset
   * \param valid_metrics Metrics for validation dataset
   */
-  void AddDataset(const Dataset* valid_data,
+  void AddValidDataset(const Dataset* valid_data,
        const std::vector<const Metric*>& valid_metrics) override;
   /*!
   * \brief Training logic
@@ -63,7 +71,7 @@ public:
   */
   void RollbackOneIter() override;
 
-  int GetCurrentIteration() const override { return iter_; }
+  int GetCurrentIteration() const override { return iter_ + num_init_iteration_; }
 
   bool EvalAndCheckEarlyStopping() override;
 
@@ -256,6 +264,7 @@ protected:
   int num_iteration_for_pred_;
   /*! \brief Shrinkage rate for one iteration */
   double shrinkage_rate_;
+  int num_init_iteration_;
 };
 
 }  // namespace LightGBM

src/c_api.cpp

@@ -28,9 +28,7 @@ public:
   }
 
   Booster(const Dataset* train_data, 
-    std::vector<const Dataset*> valid_data, 
-    const char* parameters)
-    :train_data_(train_data), valid_datas_(valid_data) {
+    const char* parameters) {
     config_.LoadFromString(parameters);
     // create boosting
     if (config_.io_config.input_model.size() > 0) {
@@ -38,6 +36,17 @@ public:
         please use continued train with input score");
     }
     boosting_.reset(Boosting::CreateBoosting(config_.boosting_type, ""));
+    ConstructObjectAndTrainingMetrics(train_data);
+    // initialize the boosting
+    boosting_->Init(&config_.boosting_config, train_data, objective_fun_.get(),
+      Common::ConstPtrInVectorWrapper<Metric>(train_metric_));
+  }
+
+  ~Booster() {
+
+  }
+
+  void ConstructObjectAndTrainingMetrics(const Dataset* train_data) {
     // create objective function
     objective_fun_.reset(ObjectiveFunction::CreateObjectiveFunction(config_.objective_type,
       config_.objective_config));
@@ -45,48 +54,39 @@ public:
       Log::Warning("Using self-defined objective functions");
     }
     // create training metric
+    train_metric_.clear();
     for (auto metric_type : config_.metric_types) {
       auto metric = std::unique_ptr<Metric>(
         Metric::CreateMetric(metric_type, config_.metric_config));
       if (metric == nullptr) { continue; }
-      metric->Init(train_data_->metadata(), train_data_->num_data());
+      metric->Init(train_data->metadata(), train_data->num_data());
       train_metric_.push_back(std::move(metric));
     }
     train_metric_.shrink_to_fit();
-    // add metric for validation data
-    for (size_t i = 0; i < valid_datas_.size(); ++i) {
-      valid_metrics_.emplace_back();
-      for (auto metric_type : config_.metric_types) {
-        auto metric = std::unique_ptr<Metric>(Metric::CreateMetric(metric_type, config_.metric_config));
-        if (metric == nullptr) { continue; }
-        metric->Init(valid_datas_[i]->metadata(), valid_datas_[i]->num_data());
-        valid_metrics_.back().push_back(std::move(metric));
-      }
-      valid_metrics_.back().shrink_to_fit();
-    }
-    valid_metrics_.shrink_to_fit();
     // initialize the objective function
     if (objective_fun_ != nullptr) {
-      objective_fun_->Init(train_data_->metadata(), train_data_->num_data());
-    }
-    // initialize the boosting
-    boosting_->Init(&config_.boosting_config, train_data_, objective_fun_.get(),
-      Common::ConstPtrInVectorWrapper<Metric>(train_metric_));
-    // add validation data into boosting
-    for (size_t i = 0; i < valid_datas_.size(); ++i) {
-      boosting_->AddDataset(valid_datas_[i],
-        Common::ConstPtrInVectorWrapper<Metric>(valid_metrics_[i]));
+      objective_fun_->Init(train_data->metadata(), train_data->num_data());
     }
   }
 
-  void LoadModelFromFile(const char* filename) {
-    Boosting::LoadFileToBoosting(boosting_.get(), filename);
+  void ResetTrainingData(const Dataset* train_data) {
+    ConstructObjectAndTrainingMetrics(train_data);
+    // initialize the boosting
+    boosting_->ResetTrainingData(train_data, objective_fun_.get(), Common::ConstPtrInVectorWrapper<Metric>(train_metric_));
   }
 
-  ~Booster() {
-
+  void AddValidData(const Dataset* valid_data) {
+    valid_metrics_.emplace_back();
+    for (auto metric_type : config_.metric_types) {
+      auto metric = std::unique_ptr<Metric>(Metric::CreateMetric(metric_type, config_.metric_config));
+      if (metric == nullptr) { continue; }
+      metric->Init(valid_data->metadata(), valid_data->num_data());
+      valid_metrics_.back().push_back(std::move(metric));
+    }
+    valid_metrics_.back().shrink_to_fit();
+    boosting_->AddValidDataset(valid_data,
+      Common::ConstPtrInVectorWrapper<Metric>(valid_metrics_.back()));
   }
-
   bool TrainOneIter() {
     return boosting_->TrainOneIter(nullptr, nullptr, false);
   }
@@ -151,9 +151,7 @@ public:
   }
 
   void ResetBoostingConfig(const char* parameters) {
-    OverallConfig new_config;
-    new_config.LoadFromString(parameters);
-    config_.boosting_config = new_config.boosting_config;
+    config_.LoadFromString(parameters);
     boosting_->ResetConfig(&config_.boosting_config);
   }
 
@@ -164,14 +162,9 @@ public:
   const Boosting* GetBoosting() const { return boosting_.get(); }
   
 private:
-
   std::unique_ptr<Boosting> boosting_;
   /*! \brief All configs */
   OverallConfig config_;
-  /*! \brief Training data */
-  const Dataset* train_data_;
-  /*! \brief Validation data */
-  std::vector<const Dataset*> valid_datas_;
   /*! \brief Metric for training data */
   std::vector<std::unique_ptr<Metric>> train_metric_;
   /*! \brief Metrics for validation data */
@@ -446,21 +439,11 @@ DllExport int LGBM_DatasetGetNumFeature(DatesetHandle handle,
 // ---- start of booster
 
 DllExport int LGBM_BoosterCreate(const DatesetHandle train_data,
-  const DatesetHandle valid_datas[],
-  int n_valid_datas,
   const char* parameters,
-  const char* init_model_filename,
   BoosterHandle* out) {
   API_BEGIN();
   const Dataset* p_train_data = reinterpret_cast<const Dataset*>(train_data);
-  std::vector<const Dataset*> p_valid_datas;
-  for (int i = 0; i < n_valid_datas; ++i) {
-    p_valid_datas.emplace_back(reinterpret_cast<const Dataset*>(valid_datas[i]));
-  }
-  auto ret = std::unique_ptr<Booster>(new Booster(p_train_data, p_valid_datas, parameters));
-  if (init_model_filename != nullptr) {
-    ret->LoadModelFromFile(init_model_filename);
-  }
+  auto ret = std::unique_ptr<Booster>(new Booster(p_train_data, parameters));
   *out = ret.release();
   API_END();
 }
@@ -482,6 +465,25 @@ DllExport int LGBM_BoosterFree(BoosterHandle handle) {
   API_END();
 }
 
+
+DllExport int LGBM_BoosterAddValidData(BoosterHandle handle,
+  const DatesetHandle valid_data) {
+  API_BEGIN();
+  Booster* ref_booster = reinterpret_cast<Booster*>(handle);
+  const Dataset* p_dataset = reinterpret_cast<const Dataset*>(valid_data);
+  ref_booster->AddValidData(p_dataset);
+  API_END();
+}
+
+DllExport int LGBM_BoosterResetTrainingData(BoosterHandle handle,
+  const DatesetHandle train_data) {
+  API_BEGIN();
+  Booster* ref_booster = reinterpret_cast<Booster*>(handle);
+  const Dataset* p_dataset = reinterpret_cast<const Dataset*>(train_data);
+  ref_booster->ResetTrainingData(p_dataset);
+  API_END();
+}
+
 DllExport int LGBM_BoosterResetParameter(BoosterHandle handle, const char* parameters) {
   API_BEGIN();
   Booster* ref_booster = reinterpret_cast<Booster*>(handle);

tests/c_api_test/test.py

@@ -174,10 +174,10 @@ def test_dataset():
     test_free_dataset(train)
 def test_booster():
     train = test_load_from_mat('../../examples/binary_classification/binary.train', None)
-    test = [test_load_from_mat('../../examples/binary_classification/binary.test', train)]
+    test = test_load_from_mat('../../examples/binary_classification/binary.test', train)
     booster = ctypes.c_void_p()
-    LIB.LGBM_BoosterCreate(train, c_array(ctypes.c_void_p, test), 
-        len(test), c_str("app=binary metric=auc num_leaves=31 verbose=0"),None, ctypes.byref(booster))
+    LIB.LGBM_BoosterCreate(train, c_str("app=binary metric=auc num_leaves=31 verbose=0"), ctypes.byref(booster))
+    LIB.LGBM_BoosterAddValidData(booster, test)
     is_finished = ctypes.c_int(0)
     for i in range(100):
         LIB.LGBM_BoosterUpdateOneIter(booster,ctypes.byref(is_finished))
@@ -188,7 +188,7 @@ def test_booster():
     LIB.LGBM_BoosterSaveModel(booster, -1, c_str('model.txt'))
     LIB.LGBM_BoosterFree(booster)
     test_free_dataset(train)
-    test_free_dataset(test[0])
+    test_free_dataset(test)
     booster2 = ctypes.c_void_p()
     num_total_model = ctypes.c_long()
     LIB.LGBM_BoosterCreateFromModelfile(c_str('model.txt'), ctypes.byref(num_total_model), ctypes.byref(booster2))