#include "gbdt.h" #include #include #include #include #include #include #include #include #include #include #include #include namespace LightGBM { #ifdef TIMETAG std::chrono::duration boosting_time; std::chrono::duration train_score_time; std::chrono::duration out_of_bag_score_time; std::chrono::duration valid_score_time; std::chrono::duration metric_time; std::chrono::duration bagging_time; std::chrono::duration sub_gradient_time; std::chrono::duration tree_time; #endif // TIMETAG GBDT::GBDT() :iter_(0), train_data_(nullptr), objective_function_(nullptr), early_stopping_round_(0), max_feature_idx_(0), num_tree_per_iteration_(1), num_class_(1), num_iteration_for_pred_(0), shrinkage_rate_(0.1f), num_init_iteration_(0), boost_from_average_(false) { #pragma omp parallel #pragma omp master { num_threads_ = omp_get_num_threads(); } average_output_ = false; tree_learner_ = nullptr; } GBDT::~GBDT() { #ifdef TIMETAG Log::Info("GBDT::boosting costs %f", boosting_time * 1e-3); Log::Info("GBDT::train_score costs %f", train_score_time * 1e-3); Log::Info("GBDT::out_of_bag_score costs %f", out_of_bag_score_time * 1e-3); Log::Info("GBDT::valid_score costs %f", valid_score_time * 1e-3); Log::Info("GBDT::metric costs %f", metric_time * 1e-3); Log::Info("GBDT::bagging costs %f", bagging_time * 1e-3); Log::Info("GBDT::sub_gradient costs %f", sub_gradient_time * 1e-3); Log::Info("GBDT::tree costs %f", tree_time * 1e-3); #endif } void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const ObjectiveFunction* objective_function, const std::vector& training_metrics) { train_data_ = train_data; iter_ = 0; num_iteration_for_pred_ = 0; max_feature_idx_ = 0; num_class_ = config->num_class; gbdt_config_ = std::unique_ptr(new BoostingConfig(*config)); early_stopping_round_ = gbdt_config_->early_stopping_round; shrinkage_rate_ = gbdt_config_->learning_rate; objective_function_ = objective_function; num_tree_per_iteration_ = num_class_; if (objective_function_ != nullptr) { is_constant_hessian_ = objective_function_->IsConstantHessian(); num_tree_per_iteration_ = objective_function_->NumTreePerIteration(); } else { is_constant_hessian_ = false; } tree_learner_ = std::unique_ptr(TreeLearner::CreateTreeLearner(gbdt_config_->tree_learner_type, gbdt_config_->device_type, &gbdt_config_->tree_config)); // init tree learner tree_learner_->Init(train_data_, is_constant_hessian_); // push training metrics training_metrics_.clear(); for (const auto& metric : training_metrics) { training_metrics_.push_back(metric); } training_metrics_.shrink_to_fit(); train_score_updater_.reset(new ScoreUpdater(train_data_, num_tree_per_iteration_)); num_data_ = train_data_->num_data(); // create buffer for gradients and hessians if (objective_function_ != nullptr) { size_t total_size = static_cast(num_data_) * num_tree_per_iteration_; gradients_.resize(total_size); hessians_.resize(total_size); } // get max feature index max_feature_idx_ = train_data_->num_total_features() - 1; // get label index label_idx_ = train_data_->label_idx(); // get feature names feature_names_ = train_data_->feature_names(); feature_infos_ = train_data_->feature_infos(); // if need bagging, create buffer ResetBaggingConfig(gbdt_config_.get()); // reset config for tree learner class_need_train_ = std::vector(num_tree_per_iteration_, true); if (objective_function_ != nullptr && objective_function_->SkipEmptyClass()) { CHECK(num_tree_per_iteration_ == num_class_); // + 1 here for the binary classification class_default_output_ = std::vector(num_tree_per_iteration_, 0.0f); auto label = train_data_->metadata().label(); if (num_tree_per_iteration_ > 1) { // multi-class std::vector cnt_per_class(num_tree_per_iteration_, 0); for (data_size_t i = 0; i < num_data_; ++i) { int index = static_cast(label[i]); CHECK(index < num_tree_per_iteration_); ++cnt_per_class[index]; } for (int i = 0; i < num_tree_per_iteration_; ++i) { if (cnt_per_class[i] == num_data_) { class_need_train_[i] = false; class_default_output_[i] = -std::log(kEpsilon); } else if (cnt_per_class[i] == 0) { class_need_train_[i] = false; class_default_output_[i] = -std::log(1.0f / kEpsilon - 1.0f); } } } else { // binary class data_size_t cnt_pos = 0; for (data_size_t i = 0; i < num_data_; ++i) { if (label[i] > 0) { ++cnt_pos; } } if (cnt_pos == 0) { class_need_train_[0] = false; class_default_output_[0] = -std::log(1.0f / kEpsilon - 1.0f); } else if (cnt_pos == num_data_) { class_need_train_[0] = false; class_default_output_[0] = -std::log(kEpsilon); } } } } void GBDT::ResetTrainingData(const Dataset* train_data, const ObjectiveFunction* objective_function, const std::vector& training_metrics) { if (train_data != train_data_ && !train_data_->CheckAlign(*train_data)) { Log::Fatal("cannot reset training data, since new training data has different bin mappers"); } objective_function_ = objective_function; if (objective_function_ != nullptr) { is_constant_hessian_ = objective_function_->IsConstantHessian(); CHECK(num_tree_per_iteration_ == objective_function_->NumTreePerIteration()); } else { is_constant_hessian_ = false; } // push training metrics training_metrics_.clear(); for (const auto& metric : training_metrics) { training_metrics_.push_back(metric); } training_metrics_.shrink_to_fit(); if (train_data != train_data_) { train_data_ = train_data; // not same training data, need reset score and others // create score tracker train_score_updater_.reset(new ScoreUpdater(train_data_, num_tree_per_iteration_)); // update score for (int i = 0; i < iter_; ++i) { for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { auto curr_tree = (i + num_init_iteration_) * num_tree_per_iteration_ + cur_tree_id; train_score_updater_->AddScore(models_[curr_tree].get(), cur_tree_id); } } num_data_ = train_data_->num_data(); // create buffer for gradients and hessians if (objective_function_ != nullptr) { size_t total_size = static_cast(num_data_) * num_tree_per_iteration_; gradients_.resize(total_size); hessians_.resize(total_size); } // get max feature index max_feature_idx_ = train_data_->num_total_features() - 1; // get label index label_idx_ = train_data_->label_idx(); // get feature names feature_names_ = train_data_->feature_names(); feature_infos_ = train_data_->feature_infos(); ResetBaggingConfig(gbdt_config_.get()); tree_learner_->ResetTrainingData(train_data); } } void GBDT::ResetConfig(const BoostingConfig* config) { auto new_config = std::unique_ptr(new BoostingConfig(*config)); early_stopping_round_ = new_config->early_stopping_round; shrinkage_rate_ = new_config->learning_rate; if (tree_learner_ != nullptr) { ResetBaggingConfig(new_config.get()); tree_learner_->ResetConfig(&new_config->tree_config); } gbdt_config_.reset(new_config.release()); } void GBDT::ResetBaggingConfig(const BoostingConfig* config) { // if need bagging, create buffer if (config->bagging_fraction < 1.0 && config->bagging_freq > 0) { bag_data_cnt_ = static_cast(config->bagging_fraction * num_data_); bag_data_indices_.resize(num_data_); tmp_indices_.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_); double average_bag_rate = config->bagging_fraction / config->bagging_freq; int sparse_group = 0; for (int i = 0; i < train_data_->num_feature_groups(); ++i) { if (train_data_->FeatureGroupIsSparse(i)) { ++sparse_group; } } is_use_subset_ = false; const int group_threshold_usesubset = 100; const int sparse_group_threshold_usesubset = train_data_->num_feature_groups() / 4; if (average_bag_rate <= 0.5 && (train_data_->num_feature_groups() < group_threshold_usesubset || sparse_group < sparse_group_threshold_usesubset)) { tmp_subset_.reset(new Dataset(bag_data_cnt_)); tmp_subset_->CopyFeatureMapperFrom(train_data_); is_use_subset_ = true; Log::Debug("use subset for bagging"); } } else { bag_data_cnt_ = num_data_; bag_data_indices_.clear(); tmp_indices_.clear(); is_use_subset_ = false; } } void GBDT::AddValidDataset(const Dataset* valid_data, const std::vector& valid_metrics) { 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(new ScoreUpdater(valid_data, num_tree_per_iteration_)); // update score for (int i = 0; i < iter_; ++i) { for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { auto curr_tree = (i + num_init_iteration_) * num_tree_per_iteration_ + cur_tree_id; new_score_updater->AddScore(models_[curr_tree].get(), cur_tree_id); } } valid_score_updater_.push_back(std::move(new_score_updater)); valid_metrics_.emplace_back(); if (early_stopping_round_ > 0) { best_iter_.emplace_back(); best_score_.emplace_back(); best_msg_.emplace_back(); } for (const auto& metric : valid_metrics) { valid_metrics_.back().push_back(metric); if (early_stopping_round_ > 0) { best_iter_.back().push_back(0); best_score_.back().push_back(kMinScore); best_msg_.back().emplace_back(); } } valid_metrics_.back().shrink_to_fit(); } data_size_t GBDT::BaggingHelper(Random& cur_rand, data_size_t start, data_size_t cnt, data_size_t* buffer) { if (cnt <= 0) { return 0; } data_size_t bag_data_cnt = static_cast(gbdt_config_->bagging_fraction * cnt); data_size_t cur_left_cnt = 0; data_size_t cur_right_cnt = 0; auto right_buffer = buffer + bag_data_cnt; // random bagging, minimal unit is one record for (data_size_t i = 0; i < cnt; ++i) { float prob = (bag_data_cnt - cur_left_cnt) / static_cast(cnt - i); if (cur_rand.NextFloat() < prob) { buffer[cur_left_cnt++] = start + i; } else { right_buffer[cur_right_cnt++] = start + i; } } CHECK(cur_left_cnt == bag_data_cnt); return cur_left_cnt; } void GBDT::Bagging(int iter) { // if need bagging if (bag_data_cnt_ < num_data_ && iter % gbdt_config_->bagging_freq == 0) { const data_size_t min_inner_size = 1000; data_size_t inner_size = (num_data_ + num_threads_ - 1) / num_threads_; if (inner_size < min_inner_size) { inner_size = min_inner_size; } OMP_INIT_EX(); #pragma omp parallel for schedule(static,1) for (int i = 0; i < num_threads_; ++i) { OMP_LOOP_EX_BEGIN(); left_cnts_buf_[i] = 0; right_cnts_buf_[i] = 0; data_size_t cur_start = i * inner_size; if (cur_start > num_data_) { continue; } data_size_t cur_cnt = inner_size; if (cur_start + cur_cnt > num_data_) { cur_cnt = num_data_ - cur_start; } Random cur_rand(gbdt_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); 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 < num_threads_; ++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_[num_threads_ - 1] + left_cnts_buf_[num_threads_ - 1]; #pragma omp parallel for schedule(static, 1) for (int i = 0; i < num_threads_; ++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_indices_.data() + offsets_buf_[i] + left_cnts_buf_[i], right_cnts_buf_[i] * sizeof(data_size_t)); } OMP_LOOP_EX_END(); } OMP_THROW_EX(); bag_data_cnt_ = left_cnt; Log::Debug("Re-bagging, using %d data to train", bag_data_cnt_); // set bagging data to tree learner if (!is_use_subset_) { tree_learner_->SetBaggingData(bag_data_indices_.data(), bag_data_cnt_); } else { // get subset 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()); } } } void GBDT::UpdateScoreOutOfBag(const Tree* tree, const int cur_tree_id) { #ifdef TIMETAG auto start_time = std::chrono::steady_clock::now(); #endif // we need to predict out-of-bag scores of data for boosting if (num_data_ - bag_data_cnt_ > 0 && !is_use_subset_) { train_score_updater_->AddScore(tree, bag_data_indices_.data() + bag_data_cnt_, num_data_ - bag_data_cnt_, cur_tree_id); } #ifdef TIMETAG out_of_bag_score_time += std::chrono::steady_clock::now() - start_time; #endif } /* If the custom "average" is implemented it will be used inplace of the label average (if enabled) * * An improvement to this is to have options to explicitly choose * (i) standard average * (ii) custom average if available * (iii) any user defined scalar bias (e.g. using a new option "init_score" that overrides (i) and (ii) ) * * (i) and (ii) could be selected as say "auto_init_score" = 0 or 1 etc.. * */ double ObtainAutomaticInitialScore(const ObjectiveFunction* objf, const float* label, data_size_t num_data) { double init_score = 0.0f; bool got_custom = false; if (objf != nullptr) { got_custom = objf->GetCustomAverage(&init_score); } if (!got_custom) { double sum_label = 0.0f; #pragma omp parallel for schedule(static) reduction(+:sum_label) for (data_size_t i = 0; i < num_data; ++i) { sum_label += label[i]; } init_score = sum_label / num_data; } if (Network::num_machines() > 1) { double global_init_score = 0.0f; Network::Allreduce(reinterpret_cast(&init_score), sizeof(init_score), sizeof(init_score), reinterpret_cast(&global_init_score), [] (const char* src, char* dst, int len) { int used_size = 0; const int type_size = sizeof(double); const double *p1; double *p2; while (used_size < len) { p1 = reinterpret_cast(src); p2 = reinterpret_cast(dst); *p2 += *p1; src += type_size; dst += type_size; used_size += type_size; } }); return global_init_score / Network::num_machines(); } else { return init_score; } } void GBDT::Train(int snapshot_freq, const std::string& model_output_path) { bool is_finished = false; bool need_eval = true; auto start_time = std::chrono::steady_clock::now(); for (int iter = 0; iter < gbdt_config_->num_iterations && !is_finished; ++iter) { is_finished = TrainOneIter(nullptr, nullptr, need_eval); auto end_time = std::chrono::steady_clock::now(); // output used time per iteration Log::Info("%f seconds elapsed, finished iteration %d", std::chrono::duration(end_time - start_time) * 1e-3, iter + 1); if (snapshot_freq > 0 && (iter + 1) % snapshot_freq == 0) { std::string snapshot_out = model_output_path + ".snapshot_iter_" + std::to_string(iter + 1); SaveModelToFile(-1, snapshot_out.c_str()); } } SaveModelToFile(-1, model_output_path.c_str()); } bool GBDT::TrainOneIter(const score_t* gradient, const score_t* hessian, bool is_eval) { // boosting from average label; or customized "average" if implemented for the current objective if (models_.empty() && gbdt_config_->boost_from_average && !train_score_updater_->has_init_score() && num_class_ <= 1 && objective_function_ != nullptr && objective_function_->BoostFromAverage()) { auto label = train_data_->metadata().label(); double init_score = ObtainAutomaticInitialScore(objective_function_, label, num_data_); std::unique_ptr new_tree(new Tree(2)); new_tree->Split(0, 0, BinType::NumericalBin, 0, 0, 0, init_score, init_score, 0, 0, -1, MissingType::None, true); train_score_updater_->AddScore(init_score, 0); for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(init_score, 0); } models_.push_back(std::move(new_tree)); boost_from_average_ = true; } // boosting first if (gradient == nullptr || hessian == nullptr) { #ifdef TIMETAG auto start_time = std::chrono::steady_clock::now(); #endif Boosting(); gradient = gradients_.data(); hessian = hessians_.data(); #ifdef TIMETAG boosting_time += std::chrono::steady_clock::now() - start_time; #endif } #ifdef TIMETAG auto start_time = std::chrono::steady_clock::now(); #endif // bagging logic Bagging(iter_); #ifdef TIMETAG bagging_time += std::chrono::steady_clock::now() - start_time; #endif // need to use subset gradient and hessian if (is_use_subset_ && bag_data_cnt_ < num_data_) { #ifdef TIMETAG start_time = std::chrono::steady_clock::now(); #endif if (gradients_.empty()) { size_t total_size = static_cast(num_data_) * num_tree_per_iteration_; gradients_.resize(total_size); hessians_.resize(total_size); } // get sub gradients for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { size_t bias = static_cast(cur_tree_id)* num_data_; // cannot multi-threading here. for (int i = 0; i < bag_data_cnt_; ++i) { gradients_[bias + i] = gradient[bias + bag_data_indices_[i]]; hessians_[bias + i] = hessian[bias + bag_data_indices_[i]]; } } gradient = gradients_.data(); hessian = hessians_.data(); #ifdef TIMETAG sub_gradient_time += std::chrono::steady_clock::now() - start_time; #endif } bool should_continue = false; for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { #ifdef TIMETAG start_time = std::chrono::steady_clock::now(); #endif std::unique_ptr new_tree(new Tree(2)); if (class_need_train_[cur_tree_id]) { size_t bias = static_cast(cur_tree_id)* num_data_; new_tree.reset( tree_learner_->Train(gradient + bias, hessian + bias, is_constant_hessian_)); } #ifdef TIMETAG tree_time += std::chrono::steady_clock::now() - start_time; #endif if (new_tree->num_leaves() > 1) { should_continue = true; // shrinkage by learning rate new_tree->Shrinkage(shrinkage_rate_); // update score UpdateScore(new_tree.get(), cur_tree_id); UpdateScoreOutOfBag(new_tree.get(), cur_tree_id); } else { // only add default score one-time if (!class_need_train_[cur_tree_id] && models_.size() < static_cast(num_tree_per_iteration_)) { auto output = class_default_output_[cur_tree_id]; new_tree->Split(0, 0, BinType::NumericalBin, 0, 0, 0, output, output, 0, 0, -1, MissingType::None, true); train_score_updater_->AddScore(output, cur_tree_id); for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(output, cur_tree_id); } } } // add model models_.push_back(std::move(new_tree)); } if (!should_continue) { Log::Warning("Stopped training because there are no more leaves that meet the split requirements."); for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { models_.pop_back(); } return true; } ++iter_; if (is_eval) { return EvalAndCheckEarlyStopping(); } else { return false; } } void GBDT::RollbackOneIter() { if (iter_ <= 0) { return; } int cur_iter = iter_ + num_init_iteration_ - 1; // reset score for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { auto curr_tree = cur_iter * num_tree_per_iteration_ + cur_tree_id; models_[curr_tree]->Shrinkage(-1.0); train_score_updater_->AddScore(models_[curr_tree].get(), cur_tree_id); for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(models_[curr_tree].get(), cur_tree_id); } } // remove model for (int cur_tree_id = 0; cur_tree_id < num_tree_per_iteration_; ++cur_tree_id) { models_.pop_back(); } --iter_; } bool GBDT::EvalAndCheckEarlyStopping() { bool is_met_early_stopping = false; #ifdef TIMETAG auto start_time = std::chrono::steady_clock::now(); #endif // print message for metric auto best_msg = OutputMetric(iter_); #ifdef TIMETAG metric_time += std::chrono::steady_clock::now() - start_time; #endif is_met_early_stopping = !best_msg.empty(); if (is_met_early_stopping) { Log::Info("Early stopping at iteration %d, the best iteration round is %d", iter_, iter_ - early_stopping_round_); Log::Info("Output of best iteration round:\n%s", best_msg.c_str()); // pop last early_stopping_round_ models for (int i = 0; i < early_stopping_round_ * num_tree_per_iteration_; ++i) { models_.pop_back(); } } return is_met_early_stopping; } void GBDT::UpdateScore(const Tree* tree, const int cur_tree_id) { #ifdef TIMETAG auto start_time = std::chrono::steady_clock::now(); #endif // update training score if (!is_use_subset_) { train_score_updater_->AddScore(tree_learner_.get(), tree, cur_tree_id); } else { train_score_updater_->AddScore(tree, cur_tree_id); } #ifdef TIMETAG train_score_time += std::chrono::steady_clock::now() - start_time; #endif #ifdef TIMETAG start_time = std::chrono::steady_clock::now(); #endif // update validation score for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(tree, cur_tree_id); } #ifdef TIMETAG valid_score_time += std::chrono::steady_clock::now() - start_time; #endif } std::vector GBDT::EvalOneMetric(const Metric* metric, const double* score) const { return metric->Eval(score, objective_function_); } std::string GBDT::OutputMetric(int iter) { bool need_output = (iter % gbdt_config_->output_freq) == 0; std::string ret = ""; std::stringstream msg_buf; std::vector> meet_early_stopping_pairs; // print training metric if (need_output) { for (auto& sub_metric : training_metrics_) { auto name = sub_metric->GetName(); auto scores = EvalOneMetric(sub_metric, train_score_updater_->score()); for (size_t k = 0; k < name.size(); ++k) { std::stringstream tmp_buf; tmp_buf << "Iteration:" << iter << ", training " << name[k] << " : " << scores[k]; Log::Info(tmp_buf.str().c_str()); if (early_stopping_round_ > 0) { msg_buf << tmp_buf.str() << std::endl; } } } } // print validation metric if (need_output || early_stopping_round_ > 0) { for (size_t i = 0; i < valid_metrics_.size(); ++i) { for (size_t j = 0; j < valid_metrics_[i].size(); ++j) { auto test_scores = EvalOneMetric(valid_metrics_[i][j], valid_score_updater_[i]->score()); auto name = valid_metrics_[i][j]->GetName(); for (size_t k = 0; k < name.size(); ++k) { std::stringstream tmp_buf; tmp_buf << "Iteration:" << iter << ", valid_" << i + 1 << " " << name[k] << " : " << test_scores[k]; if (need_output) { Log::Info(tmp_buf.str().c_str()); } if (early_stopping_round_ > 0) { msg_buf << tmp_buf.str() << std::endl; } } if (ret.empty() && early_stopping_round_ > 0) { auto cur_score = valid_metrics_[i][j]->factor_to_bigger_better() * test_scores.back(); if (cur_score > best_score_[i][j]) { best_score_[i][j] = cur_score; best_iter_[i][j] = iter; meet_early_stopping_pairs.emplace_back(i, j); } else { if (iter - best_iter_[i][j] >= early_stopping_round_) { ret = best_msg_[i][j]; } } } } } } for (auto& pair : meet_early_stopping_pairs) { best_msg_[pair.first][pair.second] = msg_buf.str(); } return ret; } /*! \brief Get eval result */ std::vector GBDT::GetEvalAt(int data_idx) const { CHECK(data_idx >= 0 && data_idx <= static_cast(valid_score_updater_.size())); std::vector ret; if (data_idx == 0) { for (auto& sub_metric : training_metrics_) { auto scores = EvalOneMetric(sub_metric, train_score_updater_->score()); for (auto score : scores) { ret.push_back(score); } } } else { auto used_idx = data_idx - 1; for (size_t j = 0; j < valid_metrics_[used_idx].size(); ++j) { auto test_scores = EvalOneMetric(valid_metrics_[used_idx][j], valid_score_updater_[used_idx]->score()); for (auto score : test_scores) { ret.push_back(score); } } } return ret; } /*! \brief Get training scores result */ const double* GBDT::GetTrainingScore(int64_t* out_len) { *out_len = static_cast(train_score_updater_->num_data()) * num_class_; return train_score_updater_->score(); } void GBDT::GetPredictAt(int data_idx, double* out_result, int64_t* out_len) { CHECK(data_idx >= 0 && data_idx <= static_cast(valid_score_updater_.size())); const double* raw_scores = nullptr; data_size_t num_data = 0; if (data_idx == 0) { raw_scores = GetTrainingScore(out_len); num_data = train_score_updater_->num_data(); } else { auto used_idx = data_idx - 1; raw_scores = valid_score_updater_[used_idx]->score(); num_data = valid_score_updater_[used_idx]->num_data(); *out_len = static_cast(num_data) * num_class_; } if (objective_function_ != nullptr && !average_output_) { #pragma omp parallel for schedule(static) for (data_size_t i = 0; i < num_data; ++i) { std::vector tree_pred(num_tree_per_iteration_); for (int j = 0; j < num_tree_per_iteration_; ++j) { tree_pred[j] = raw_scores[j * num_data + i]; } std::vector tmp_result(num_class_); objective_function_->ConvertOutput(tree_pred.data(), tmp_result.data()); for (int j = 0; j < num_class_; ++j) { out_result[j * num_data + i] = static_cast(tmp_result[j]); } } } else { #pragma omp parallel for schedule(static) for (data_size_t i = 0; i < num_data; ++i) { std::vector tmp_result(num_tree_per_iteration_); for (int j = 0; j < num_tree_per_iteration_; ++j) { out_result[j * num_data + i] = static_cast(raw_scores[j * num_data + i]); } } } } void GBDT::Boosting() { if (objective_function_ == nullptr) { Log::Fatal("No object function provided"); } // objective function will calculate gradients and hessians int64_t num_score = 0; objective_function_-> GetGradients(GetTrainingScore(&num_score), gradients_.data(), hessians_.data()); } std::string GBDT::DumpModel(int num_iteration) const { std::stringstream str_buf; str_buf << "{"; str_buf << "\"name\":\"" << SubModelName() << "\"," << std::endl; str_buf << "\"num_class\":" << num_class_ << "," << std::endl; str_buf << "\"num_tree_per_iteration\":" << num_tree_per_iteration_ << "," << std::endl; str_buf << "\"label_index\":" << label_idx_ << "," << std::endl; str_buf << "\"max_feature_idx\":" << max_feature_idx_ << "," << std::endl; str_buf << "\"feature_names\":[\"" << Common::Join(feature_names_, "\",\"") << "\"]," << std::endl; str_buf << "\"tree_info\":["; int num_used_model = static_cast(models_.size()); if (num_iteration > 0) { num_iteration += boost_from_average_ ? 1 : 0; num_used_model = std::min(num_iteration * num_tree_per_iteration_, num_used_model); } for (int i = 0; i < num_used_model; ++i) { if (i > 0) { str_buf << ","; } str_buf << "{"; str_buf << "\"tree_index\":" << i << ","; str_buf << models_[i]->ToJSON(); str_buf << "}"; } str_buf << "]" << std::endl; str_buf << "}" << std::endl; return str_buf.str(); } std::string GBDT::ModelToIfElse(int num_iteration) const { std::stringstream str_buf; str_buf << "#include \"gbdt.h\"" << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "#include " << std::endl; str_buf << "namespace LightGBM {" << std::endl; int num_used_model = static_cast(models_.size()); if (num_iteration > 0) { num_iteration += boost_from_average_ ? 1 : 0; num_used_model = std::min(num_iteration * num_tree_per_iteration_, num_used_model); } // PredictRaw for (int i = 0; i < num_used_model; ++i) { str_buf << models_[i]->ToIfElse(i, false) << std::endl; } str_buf << "double (*PredictTreePtr[])(const double*) = { "; for (int i = 0; i < num_used_model; ++i) { if (i > 0) { str_buf << " , "; } str_buf << "PredictTree" << i; } str_buf << " };" << std::endl << std::endl; std::stringstream pred_str_buf; pred_str_buf << "\t" << "int early_stop_round_counter = 0;" << std::endl; pred_str_buf << "\t" << "std::memset(output, 0, sizeof(double) * num_tree_per_iteration_);" << std::endl; pred_str_buf << "\t" << "for (int i = 0; i < num_iteration_for_pred_; ++i) {" << std::endl; pred_str_buf << "\t\t" << "for (int k = 0; k < num_tree_per_iteration_; ++k) {" << std::endl; pred_str_buf << "\t\t\t" << "output[k] += (*PredictTreePtr[i * num_tree_per_iteration_ + k])(features);" << std::endl; pred_str_buf << "\t\t" << "}" << std::endl; pred_str_buf << "\t\t" << "++early_stop_round_counter;" << std::endl; pred_str_buf << "\t\t" << "if (early_stop->round_period == early_stop_round_counter) {" << std::endl; pred_str_buf << "\t\t\t" << "if (early_stop->callback_function(output, num_tree_per_iteration_))" << std::endl; pred_str_buf << "\t\t\t\t" << "return;" << std::endl; pred_str_buf << "\t\t\t" << "early_stop_round_counter = 0;" << std::endl; pred_str_buf << "\t\t" << "}" << std::endl; pred_str_buf << "\t" << "}" << std::endl; str_buf << "void GBDT::PredictRaw(const double* features, double *output, const PredictionEarlyStopInstance* early_stop) const {" << std::endl; str_buf << pred_str_buf.str(); str_buf << "}" << std::endl; str_buf << std::endl; // Predict str_buf << "void GBDT::Predict(const double* features, double *output, const PredictionEarlyStopInstance* early_stop) const {" << std::endl; str_buf << "\t" << "PredictRaw(features, output, early_stop);" << std::endl; str_buf << "\t" << "if (average_output_) {" << std::endl; str_buf << "\t\t" << "for (int k = 0; k < num_tree_per_iteration_; ++k) {" << std::endl; str_buf << "\t\t\t" << "output[k] /= num_iteration_for_pred_;" << std::endl; str_buf << "\t\t" << "}" << std::endl; str_buf << "\t" << "}" << std::endl; str_buf << "\t" << "else if (objective_function_ != nullptr) {" << std::endl; str_buf << "\t\t" << "objective_function_->ConvertOutput(output, output);" << std::endl; str_buf << "\t" << "}" << std::endl; str_buf << "}" << std::endl; str_buf << std::endl; // PredictLeafIndex for (int i = 0; i < num_used_model; ++i) { str_buf << models_[i]->ToIfElse(i, true) << std::endl; } str_buf << "double (*PredictTreeLeafPtr[])(const double*) = { "; for (int i = 0; i < num_used_model; ++i) { if (i > 0) { str_buf << " , "; } str_buf << "PredictTree" << i << "Leaf"; } str_buf << " };" << std::endl << std::endl; str_buf << "void GBDT::PredictLeafIndex(const double* features, double *output) const {" << std::endl; str_buf << "\t" << "int total_tree = num_iteration_for_pred_ * num_tree_per_iteration_;" << std::endl; str_buf << "\t" << "for (int i = 0; i < total_tree; ++i) {" << std::endl; str_buf << "\t\t" << "output[i] = (*PredictTreeLeafPtr[i])(features);" << std::endl; str_buf << "\t" << "}" << std::endl; str_buf << "}" << std::endl; str_buf << "} // namespace LightGBM" << std::endl; return str_buf.str(); } bool GBDT::SaveModelToIfElse(int num_iteration, const char* filename) const { /*! \brief File to write models */ std::ofstream output_file; std::ifstream ifs(filename); if (ifs.good()) { std::string origin((std::istreambuf_iterator(ifs)), (std::istreambuf_iterator())); output_file.open(filename); output_file << "#define USE_HARD_CODE 0" << std::endl; output_file << "#ifndef USE_HARD_CODE" << std::endl; output_file << origin << std::endl; output_file << "#else" << std::endl; output_file << ModelToIfElse(num_iteration); output_file << "#endif" << std::endl; } else { output_file.open(filename); output_file << ModelToIfElse(num_iteration); } ifs.close(); output_file.close(); return (bool)output_file; } std::string GBDT::SaveModelToString(int num_iteration) const { std::stringstream ss; // output model type ss << SubModelName() << std::endl; // output number of class ss << "num_class=" << num_class_ << std::endl; ss << "num_tree_per_iteration=" << num_tree_per_iteration_ << std::endl; // output label index ss << "label_index=" << label_idx_ << std::endl; // output max_feature_idx ss << "max_feature_idx=" << max_feature_idx_ << std::endl; // output objective if (objective_function_ != nullptr) { ss << "objective=" << objective_function_->ToString() << std::endl; } if (boost_from_average_) { ss << "boost_from_average" << std::endl; } if (average_output_) { ss << "average_output" << std::endl; } ss << "feature_names=" << Common::Join(feature_names_, " ") << std::endl; ss << "feature_infos=" << Common::Join(feature_infos_, " ") << std::endl; ss << std::endl; int num_used_model = static_cast(models_.size()); if (num_iteration > 0) { num_iteration += boost_from_average_ ? 1 : 0; num_used_model = std::min(num_iteration * num_tree_per_iteration_, num_used_model); } // output tree models for (int i = 0; i < num_used_model; ++i) { ss << "Tree=" << i << std::endl; ss << models_[i]->ToString() << std::endl; } std::vector> pairs = FeatureImportance(num_used_model); ss << std::endl << "feature importances:" << std::endl; for (size_t i = 0; i < pairs.size(); ++i) { ss << pairs[i].second << "=" << std::to_string(pairs[i].first) << std::endl; } return ss.str(); } bool GBDT::SaveModelToFile(int num_iteration, const char* filename) const { /*! \brief File to write models */ std::ofstream output_file; output_file.open(filename); output_file << SaveModelToString(num_iteration); output_file.close(); return (bool)output_file; } bool GBDT::LoadModelFromString(const std::string& model_str) { // use serialized string to restore this object models_.clear(); std::vector lines = Common::SplitLines(model_str.c_str()); // get number of classes auto line = Common::FindFromLines(lines, "num_class="); if (line.size() > 0) { Common::Atoi(Common::Split(line.c_str(), '=')[1].c_str(), &num_class_); } else { Log::Fatal("Model file doesn't specify the number of classes"); return false; } line = Common::FindFromLines(lines, "num_tree_per_iteration="); if (line.size() > 0) { Common::Atoi(Common::Split(line.c_str(), '=')[1].c_str(), &num_tree_per_iteration_); } else { num_tree_per_iteration_ = num_class_; } // get index of label line = Common::FindFromLines(lines, "label_index="); if (line.size() > 0) { Common::Atoi(Common::Split(line.c_str(), '=')[1].c_str(), &label_idx_); } else { Log::Fatal("Model file doesn't specify the label index"); return false; } // get max_feature_idx first line = Common::FindFromLines(lines, "max_feature_idx="); if (line.size() > 0) { Common::Atoi(Common::Split(line.c_str(), '=')[1].c_str(), &max_feature_idx_); } else { Log::Fatal("Model file doesn't specify max_feature_idx"); return false; } // get boost_from_average_ line = Common::FindFromLines(lines, "boost_from_average"); if (line.size() > 0) { boost_from_average_ = true; } // get average_output line = Common::FindFromLines(lines, "average_output"); if (line.size() > 0) { average_output_ = true; } // get feature names line = Common::FindFromLines(lines, "feature_names="); if (line.size() > 0) { feature_names_ = Common::Split(line.substr(std::strlen("feature_names=")).c_str(), ' '); if (feature_names_.size() != static_cast(max_feature_idx_ + 1)) { Log::Fatal("Wrong size of feature_names"); return false; } } else { Log::Fatal("Model file doesn't contain feature names"); return false; } line = Common::FindFromLines(lines, "feature_infos="); if (line.size() > 0) { feature_infos_ = Common::Split(line.substr(std::strlen("feature_infos=")).c_str(), ' '); if (feature_infos_.size() != static_cast(max_feature_idx_ + 1)) { Log::Fatal("Wrong size of feature_infos"); return false; } } else { Log::Fatal("Model file doesn't contain feature infos"); return false; } line = Common::FindFromLines(lines, "objective="); if (line.size() > 0) { auto str = Common::Split(line.c_str(), '=')[1]; loaded_objective_.reset(ObjectiveFunction::CreateObjectiveFunction(str)); objective_function_ = loaded_objective_.get(); } // get tree models size_t i = 0; while (i < lines.size()) { size_t find_pos = lines[i].find("Tree="); if (find_pos != std::string::npos) { ++i; int start = static_cast(i); while (i < lines.size() && lines[i].find("Tree=") == std::string::npos) { ++i; } int end = static_cast(i); std::string tree_str = Common::Join(lines, start, end, "\n"); models_.emplace_back(new Tree(tree_str)); } else { ++i; } } Log::Info("Finished loading %d models", models_.size()); num_iteration_for_pred_ = static_cast(models_.size()) / num_tree_per_iteration_; num_init_iteration_ = num_iteration_for_pred_; iter_ = 0; return true; } std::vector> GBDT::FeatureImportance(int num_used_model) const { std::vector feature_importances(max_feature_idx_ + 1, 0); for (int iter = 0; iter < num_used_model; ++iter) { for (int split_idx = 0; split_idx < models_[iter]->num_leaves() - 1; ++split_idx) { if (models_[iter]->split_gain(split_idx) > 0) { ++feature_importances[models_[iter]->split_feature(split_idx)]; } } } // store the importance first std::vector> pairs; for (size_t i = 0; i < feature_importances.size(); ++i) { if (feature_importances[i] > 0) { pairs.emplace_back(feature_importances[i], feature_names_[i]); } } // sort the importance std::sort(pairs.begin(), pairs.end(), [] (const std::pair& lhs, const std::pair& rhs) { return lhs.first > rhs.first; }); return pairs; } } // namespace LightGBM