#include "gbdt.h" #include #include #include #include #include #include #include #include #include #include namespace LightGBM { GBDT::GBDT() : train_score_updater_(nullptr), gradients_(nullptr), hessians_(nullptr), out_of_bag_data_indices_(nullptr), bag_data_indices_(nullptr) { } GBDT::~GBDT() { for (auto& tree_learner: tree_learner_){ if (tree_learner != nullptr) { delete tree_learner; } } if (gradients_ != nullptr) { delete[] gradients_; } if (hessians_ != nullptr) { delete[] hessians_; } if (out_of_bag_data_indices_ != nullptr) { delete[] out_of_bag_data_indices_; } if (bag_data_indices_ != nullptr) { delete[] bag_data_indices_; } for (auto& tree : models_) { if (tree != nullptr) { delete tree; } } if (train_score_updater_ != nullptr) { delete train_score_updater_; } for (auto& score_tracker : valid_score_updater_) { if (score_tracker != nullptr) { delete score_tracker; } } } void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector& training_metrics) { gbdt_config_ = dynamic_cast(config); iter_ = 0; max_feature_idx_ = 0; early_stopping_round_ = gbdt_config_->early_stopping_round; train_data_ = train_data; num_class_ = config->num_class; tree_learner_ = std::vector(num_class_, nullptr); // create tree learner for (int i = 0; i < num_class_; ++i){ tree_learner_[i] = TreeLearner::CreateTreeLearner(gbdt_config_->tree_learner_type, gbdt_config_->tree_config); // init tree learner tree_learner_[i]->Init(train_data_); } object_function_ = object_function; // push training metrics for (const auto& metric : training_metrics) { training_metrics_.push_back(metric); } // create score tracker train_score_updater_ = new ScoreUpdater(train_data_, num_class_); num_data_ = train_data_->num_data(); // create buffer for gradients and hessians if (object_function_ != nullptr) { gradients_ = new score_t[num_data_ * num_class_]; hessians_ = new score_t[num_data_ * num_class_]; } // get max feature index max_feature_idx_ = train_data_->num_total_features() - 1; // get label index label_idx_ = train_data_->label_idx(); // if need bagging, create buffer if (gbdt_config_->bagging_fraction < 1.0 && gbdt_config_->bagging_freq > 0) { out_of_bag_data_indices_ = new data_size_t[num_data_]; bag_data_indices_ = new data_size_t[num_data_]; } else { out_of_bag_data_cnt_ = 0; out_of_bag_data_indices_ = nullptr; bag_data_cnt_ = num_data_; bag_data_indices_ = nullptr; } // initialize random generator random_ = Random(gbdt_config_->bagging_seed); } void GBDT::AddDataset(const Dataset* valid_data, const std::vector& valid_metrics) { // for a validation dataset, we need its score and metric valid_score_updater_.push_back(new ScoreUpdater(valid_data, num_class_)); valid_metrics_.emplace_back(); best_iter_.emplace_back(); best_score_.emplace_back(); for (const auto& metric : valid_metrics) { valid_metrics_.back().push_back(metric); best_iter_.back().push_back(0); best_score_.back().push_back(-1); } } void GBDT::Bagging(int iter, const int curr_class) { // if need bagging if (out_of_bag_data_indices_ != nullptr && iter % gbdt_config_->bagging_freq == 0) { // if doesn't have query data if (train_data_->metadata().query_boundaries() == nullptr) { bag_data_cnt_ = static_cast(gbdt_config_->bagging_fraction * num_data_); out_of_bag_data_cnt_ = num_data_ - bag_data_cnt_; data_size_t cur_left_cnt = 0; data_size_t cur_right_cnt = 0; // random bagging, minimal unit is one record for (data_size_t i = 0; i < num_data_; ++i) { double prob = (bag_data_cnt_ - cur_left_cnt) / static_cast(num_data_ - i); if (random_.NextDouble() < prob) { bag_data_indices_[cur_left_cnt++] = i; } else { out_of_bag_data_indices_[cur_right_cnt++] = i; } } } else { // if have query data const data_size_t* query_boundaries = train_data_->metadata().query_boundaries(); data_size_t num_query = train_data_->metadata().num_queries(); data_size_t bag_query_cnt = static_cast(num_query * gbdt_config_->bagging_fraction); data_size_t cur_left_query_cnt = 0; data_size_t cur_left_cnt = 0; data_size_t cur_right_cnt = 0; // random bagging, minimal unit is one query for (data_size_t i = 0; i < num_query; ++i) { double prob = (bag_query_cnt - cur_left_query_cnt) / static_cast(num_query - i); if (random_.NextDouble() < prob) { for (data_size_t j = query_boundaries[i]; j < query_boundaries[i + 1]; ++j) { bag_data_indices_[cur_left_cnt++] = j; } cur_left_query_cnt++; } else { for (data_size_t j = query_boundaries[i]; j < query_boundaries[i + 1]; ++j) { out_of_bag_data_indices_[cur_right_cnt++] = j; } } } bag_data_cnt_ = cur_left_cnt; out_of_bag_data_cnt_ = num_data_ - bag_data_cnt_; } Log::Info("re-bagging, using %d data to train", bag_data_cnt_); // set bagging data to tree learner tree_learner_[curr_class]->SetBaggingData(bag_data_indices_, bag_data_cnt_); } } void GBDT::UpdateScoreOutOfBag(const Tree* tree, const int curr_class) { // we need to predict out-of-bag socres of data for boosting if (out_of_bag_data_indices_ != nullptr) { train_score_updater_-> AddScore(tree, out_of_bag_data_indices_, out_of_bag_data_cnt_, curr_class); } } bool GBDT::TrainOneIter(const score_t* gradient, const score_t* hessian, bool is_eval) { // boosting first if (gradient == nullptr || hessian == nullptr) { Boosting(); gradient = gradients_; hessian = hessians_; } for (int curr_class = 0; curr_class < num_class_; ++curr_class){ // bagging logic Bagging(iter_, curr_class); // train a new tree Tree * new_tree = tree_learner_[curr_class]->Train(gradient + curr_class * num_data_, hessian+ curr_class * num_data_); // if cannot learn a new tree, then stop if (new_tree->num_leaves() <= 1) { Log::Info("Can't training anymore, there isn't any leaf meets split requirements."); return true; } // shrinkage by learning rate new_tree->Shrinkage(gbdt_config_->learning_rate); // update score UpdateScore(new_tree, curr_class); UpdateScoreOutOfBag(new_tree, curr_class); // add model models_.push_back(new_tree); } bool is_met_early_stopping = false; // print message for metric if (is_eval) { is_met_early_stopping = OutputMetric(iter_ + 1); } ++iter_; if (is_met_early_stopping) { Log::Info("Early stopping at iteration %d, the best iteration round is %d", iter_, iter_ - early_stopping_round_); // pop last early_stopping_round_ models for (int i = 0; i < early_stopping_round_ * num_class_; ++i) { delete models_.back(); models_.pop_back(); } } return is_met_early_stopping; } void GBDT::UpdateScore(const Tree* tree, const int curr_class) { // update training score train_score_updater_->AddScore(tree_learner_[curr_class], curr_class); // update validation score for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(tree, curr_class); } } bool GBDT::OutputMetric(int iter) { bool ret = false; // print training metric if ((iter % gbdt_config_->output_freq) == 0) { for (auto& sub_metric : training_metrics_) { auto name = sub_metric->GetName(); auto scores = sub_metric->Eval(train_score_updater_->score()); Log::Info("Iteration:%d, %s : %s", iter, name, Common::ArrayToString(scores, ' ').c_str()); } } // print validation metric if ((iter % gbdt_config_->output_freq) == 0 || 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 = valid_metrics_[i][j]->Eval(valid_score_updater_[i]->score()); if ((iter % gbdt_config_->output_freq) == 0) { auto name = valid_metrics_[i][j]->GetName(); Log::Info("Iteration:%d, %s : %s", iter, name, Common::ArrayToString(test_scores, ' ').c_str()); } if (!ret && early_stopping_round_ > 0) { bool the_bigger_the_better = valid_metrics_[i][j]->is_bigger_better(); if (best_score_[i][j] < 0 || (!the_bigger_the_better && test_scores.back() < best_score_[i][j]) || (the_bigger_the_better && test_scores.back() > best_score_[i][j])) { best_score_[i][j] = test_scores.back(); best_iter_[i][j] = iter; } else { if (iter - best_iter_[i][j] >= early_stopping_round_) ret = true; } } } } } return ret; } /*! \brief Get eval result */ std::vector GBDT::EvalCurrent(bool is_eval_train) const { std::vector ret; if (is_eval_train) { for (auto& sub_metric : training_metrics_) { auto name = sub_metric->GetName(); auto scores = sub_metric->Eval(train_score_updater_->score()); std::stringstream str_buf; str_buf << name << " : " << Common::ArrayToString(scores, ' '); ret.emplace_back(str_buf.str()); } } for (size_t i = 0; i < valid_metrics_.size(); ++i) { for (size_t j = 0; j < valid_metrics_[i].size(); ++j) { auto name = valid_metrics_[i][j]->GetName(); auto test_scores = valid_metrics_[i][j]->Eval(valid_score_updater_[i]->score()); std::stringstream str_buf; str_buf << name << " : " << Common::ArrayToString(test_scores, ' '); ret.emplace_back(str_buf.str()); } } return ret; } /*! \brief Get prediction result */ const std::vector GBDT::PredictCurrent(bool is_predict_train) const { std::vector ret; if (is_predict_train) { ret.push_back(train_score_updater_->score()); } for (size_t i = 0; i < valid_metrics_.size(); ++i) { ret.push_back(valid_score_updater_[i]->score()); } return ret; } void GBDT::Boosting() { if (object_function_ == nullptr) { Log::Fatal("No object function provided"); } // objective function will calculate gradients and hessians object_function_-> GetGradients(train_score_updater_->score(), gradients_, hessians_); } void GBDT::SaveModelToFile(bool is_finish, const char* filename) { // first time to this function, open file if (saved_model_size_ == -1) { model_output_file_.open(filename); // output model type model_output_file_ << "gbdt" << std::endl; // output number of class model_output_file_ << "num_class=" << num_class_ << std::endl; // output label index model_output_file_ << "label_index=" << label_idx_ << std::endl; // output max_feature_idx model_output_file_ << "max_feature_idx=" << max_feature_idx_ << std::endl; // output sigmoid parameter model_output_file_ << "sigmoid=" << object_function_->GetSigmoid() << std::endl; model_output_file_ << std::endl; saved_model_size_ = 0; } // already saved if (!model_output_file_.is_open()) { return; } int rest = static_cast(models_.size()) - early_stopping_round_ * num_class_; // output tree models for (int i = saved_model_size_; i < rest; ++i) { model_output_file_ << "Tree=" << i << std::endl; model_output_file_ << models_[i]->ToString() << std::endl; } saved_model_size_ = Common::Max(saved_model_size_, rest); model_output_file_.flush(); // training finished, can close file if (is_finish) { for (int i = saved_model_size_; i < static_cast(models_.size()); ++i) { model_output_file_ << "Tree=" << i << std::endl; model_output_file_ << models_[i]->ToString() << std::endl; } model_output_file_ << std::endl << FeatureImportance() << std::endl; model_output_file_.close(); } } void GBDT::ModelsFromString(const std::string& model_str) { // use serialized string to restore this object models_.clear(); std::vector lines = Common::Split(model_str.c_str(), '\n'); size_t i = 0; // get number of class while (i < lines.size()) { size_t find_pos = lines[i].find("num_class="); if (find_pos != std::string::npos) { std::vector strs = Common::Split(lines[i].c_str(), '='); Common::Atoi(strs[1].c_str(), &num_class_); ++i; break; } else { ++i; } } if (i == lines.size()) { Log::Fatal("Model file doesn't contain number of class"); return; } // get index of label i = 0; while (i < lines.size()) { size_t find_pos = lines[i].find("label_index="); if (find_pos != std::string::npos) { std::vector strs = Common::Split(lines[i].c_str(), '='); Common::Atoi(strs[1].c_str(), &label_idx_); ++i; break; } else { ++i; } } if (i == lines.size()) { Log::Fatal("Model file doesn't contain label index"); return; } // get max_feature_idx first i = 0; while (i < lines.size()) { size_t find_pos = lines[i].find("max_feature_idx="); if (find_pos != std::string::npos) { std::vector strs = Common::Split(lines[i].c_str(), '='); Common::Atoi(strs[1].c_str(), &max_feature_idx_); ++i; break; } else { ++i; } } if (i == lines.size()) { Log::Fatal("Model file doesn't contain max_feature_idx"); return; } // get sigmoid parameter i = 0; while (i < lines.size()) { size_t find_pos = lines[i].find("sigmoid="); if (find_pos != std::string::npos) { std::vector strs = Common::Split(lines[i].c_str(), '='); Common::Atof(strs[1].c_str(), &sigmoid_); ++i; break; } else { ++i; } } // if sigmoid doesn't exists if (i == lines.size()) { sigmoid_ = -1.0f; } // get tree models 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_.push_back(new Tree(tree_str)); } else { ++i; } } Log::Info("%d models has been loaded\n", models_.size()); } std::string GBDT::FeatureImportance() const { std::vector feature_importances(max_feature_idx_ + 1, 0); for (size_t iter = 0; iter < models_.size(); ++iter) { for (int split_idx = 0; split_idx < models_[iter]->num_leaves() - 1; ++split_idx) { ++feature_importances[models_[iter]->split_feature_real(split_idx)]; } } // store the importance first std::vector> pairs; for (size_t i = 0; i < feature_importances.size(); ++i) { pairs.emplace_back(feature_importances[i], train_data_->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; }); std::stringstream str_buf; // write to model file str_buf << std::endl << "feature importances:" << std::endl; for (size_t i = 0; i < pairs.size(); ++i) { str_buf << pairs[i].second << "=" << std::to_string(pairs[i].first) << std::endl; } return str_buf.str(); } double GBDT::PredictRaw(const double* value, int num_used_model) const { if (num_used_model < 0) { num_used_model = static_cast(models_.size()); } double ret = 0.0f; for (int i = 0; i < num_used_model; ++i) { ret += models_[i]->Predict(value); } return ret; } double GBDT::Predict(const double* value, int num_used_model) const { if (num_used_model < 0) { num_used_model = static_cast(models_.size()); } double ret = 0.0f; for (int i = 0; i < num_used_model; ++i) { ret += models_[i]->Predict(value); } // if need sigmoid transform if (sigmoid_ > 0) { ret = 1.0f / (1.0f + std::exp(- 2.0f * sigmoid_ * ret)); } return ret; } std::vector GBDT::PredictMulticlass(const double* value, int num_used_model) const { if (num_used_model < 0) { num_used_model = static_cast(models_.size()) / num_class_; } std::vector ret(num_class_, 0.0f); for (int i = 0; i < num_used_model; ++i) { for (int j = 0; j < num_class_; ++j){ ret[j] += models_[i * num_class_ + j] -> Predict(value); } } Common::Softmax(&ret); return ret; } std::vector GBDT::PredictLeafIndex(const double* value, int num_used_model) const { if (num_used_model < 0) { num_used_model = static_cast(models_.size()); } std::vector ret; for (int i = 0; i < num_used_model; ++i) { ret.push_back(models_[i]->PredictLeafIndex(value)); } return ret; } } // namespace LightGBM