CVBooster <- R6Class( "lgb.CVBooster", cloneable=FALSE, public = list( best_iter = -1, record_evals = list(), boosters=list(), initialize=function(x){ self$boosters <- x } ) ) #' Main CV logic for LightGBM #' #' Main CV logic for LightGBM #' #' @param params List of parameters #' @param data a \code{lgb.Dataset} object, used for CV #' @param nrounds number of CV rounds #' @param nfold the original dataset is randomly partitioned into \code{nfold} equal size subsamples. #' @param label vector of response values. Should be provided only when data is an R-matrix. #' @param weight vector of response values. If not NULL, will set to dataset #' @param obj objective function, can be character or custom objective function #' @param eval evaluation function, can be (list of) character or custom eval function #' @param verbose verbosity for output #' if verbose > 0 , also will record iteration message to booster$record_evals #' @param eval_freq evalutaion output frequence #' @param showsd \code{boolean}, whether to show standard deviation of cross validation #' @param stratified a \code{boolean} indicating whether sampling of folds should be stratified #' by the values of outcome labels. #' @param folds \code{list} provides a possibility to use a list of pre-defined CV folds #' (each element must be a vector of test fold's indices). When folds are supplied, #' the \code{nfold} and \code{stratified} parameters are ignored. #' @param init_model path of model file of \code{lgb.Booster} object, will continue train from this model #' @param colnames feature names, if not null, will use this to overwrite the names in dataset #' @param categorical_feature list of str or int #' type int represents index, #' type str represents feature names #' @param early_stopping_rounds int #' Activates early stopping. #' Requires at least one validation data and one metric #' If there's more than one, will check all of them #' Returns the model with (best_iter + early_stopping_rounds) #' If early stopping occurs, the model will have 'best_iter' field #' @param callbacks list of callback functions #' List of callback functions that are applied at each iteration. #' @param ... other parameters, see parameters.md for more informations #' @return a trained booster model \code{lgb.Booster}. #' @examples #' library(lightgbm) #' data(agaricus.train, package='lightgbm') #' train <- agaricus.train #' dtrain <- lgb.Dataset(train$data, label=train$label) #' params <- list(objective="regression", metric="l2") #' model <- lgb.cv(params, dtrain, 10, nfold=5, min_data=1, learning_rate=1, early_stopping_rounds=10) #' #' @rdname lgb.train #' @export lgb.cv <- function(params=list(), data, nrounds=10, nfold=3, label = NULL, weight = NULL, obj=NULL, eval=NULL, verbose=1, eval_freq=1L, showsd = TRUE, stratified = TRUE, folds = NULL, init_model=NULL, colnames=NULL, categorical_feature=NULL, early_stopping_rounds=NULL, callbacks=list(), ...) { addiction_params <- list(...) params <- append(params, addiction_params) params$verbose <- verbose params <- lgb.check.obj(params, obj) params <- lgb.check.eval(params, eval) fobj <- NULL feval <- NULL if(typeof(params$objective) == "closure"){ fobj <- params$objective params$objective <- "NONE" } if (typeof(eval) == "closure"){ feval <- eval } lgb.check.params(params) predictor <- NULL if(is.character(init_model)){ predictor <- Predictor$new(init_model) } else if(lgb.is.Booster(init_model)) { predictor <- init_model$to_predictor() } begin_iteration <- 1 if(!is.null(predictor)){ begin_iteration <- predictor$current_iter() + 1 } end_iteration <- begin_iteration + nrounds - 1 # check dataset if(!lgb.is.Dataset(data)){ if(is.null(label)){ stop("Labels must be provided for lgb.cv") } data <- lgb.Dataset(data, label=label) } if(!is.null(weight)) data$set_info("weight", weight) data$update_params(params) data$.__enclos_env__$private$set_predictor(predictor) if(!is.null(colnames)){ data$set_colnames(colnames) } data$set_categorical_feature(categorical_feature) data$construct() # CV folds if(!is.null(folds)) { if(class(folds) != "list" || length(folds) < 2) stop("'folds' must be a list with 2 or more elements that are vectors of indices for each CV-fold") nfold <- length(folds) } else { if (nfold <= 1) stop("'nfold' must be > 1") folds <- generate.cv.folds(nfold, nrow(data), stratified, getinfo(data, 'label'), params) } # process callbacks if(eval_freq > 0){ callbacks <- add.cb(callbacks, cb.print.evaluation(eval_freq)) } if (verbose > 0) { callbacks <- add.cb(callbacks, cb.record.evaluation()) } # Early stopping callback if (!is.null(early_stopping_rounds)) { if(early_stopping_rounds > 0){ callbacks <- add.cb(callbacks, cb.early.stop(early_stopping_rounds, verbose=verbose)) } } cb <- categorize.callbacks(callbacks) # construct booster bst_folds <- lapply(1:length(folds), function(k) { dtest <- slice(data, folds[[k]]) dtrain <- slice(data, unlist(folds[-k])) booster <- Booster$new(params, dtrain) booster$add_valid(dtest, "valid") list(booster=booster) }) cv_booster <- CVBooster$new(bst_folds) # callback env env <- CB_ENV$new() env$model <- cv_booster env$begin_iteration <- begin_iteration env$end_iteration <- end_iteration #start training for(i in begin_iteration:end_iteration){ env$iteration <- i env$eval_list <- list() for (f in cb$pre_iter) f(env) # update one iter msg <- lapply(cv_booster$boosters, function(fd) { fd$booster$update(fobj=fobj) fd$booster$eval_valid(feval=feval) }) merged_msg <- lgb.merge.cv.result(msg) env$eval_list <- merged_msg$eval_list if(showsd) env$eval_err_list <- merged_msg$eval_err_list for (f in cb$post_iter) f(env) # met early stopping if(env$met_early_stop) break } return(cv_booster) } # Generates random (stratified if needed) CV folds generate.cv.folds <- function(nfold, nrows, stratified, label, params) { # cannot do it for rank if (exists('objective', where=params) && is.character(params$objective) && params$objective == 'lambdarank') { stop("\n\tAutomatic generation of CV-folds is not implemented for lambdarank!\n", "\tConsider providing pre-computed CV-folds through the 'folds=' parameter.\n") } # shuffle rnd_idx <- sample(1:nrows) if (stratified && length(label) == length(rnd_idx)) { y <- label[rnd_idx] y <- factor(y) folds <- lgb.stratified.folds(y, nfold) } else { # make simple non-stratified folds kstep <- length(rnd_idx) %/% nfold folds <- list() for (i in 1:(nfold - 1)) { folds[[i]] <- rnd_idx[1:kstep] rnd_idx <- rnd_idx[-(1:kstep)] } folds[[nfold]] <- rnd_idx } return(folds) } # Creates CV folds stratified by the values of y. # It was borrowed from caret::lgb.stratified.folds and simplified # by always returning an unnamed list of fold indices. lgb.stratified.folds <- function(y, k = 10) { if (is.numeric(y)) { ## Group the numeric data based on their magnitudes ## and sample within those groups. ## When the number of samples is low, we may have ## issues further slicing the numeric data into ## groups. The number of groups will depend on the ## ratio of the number of folds to the sample size. ## At most, we will use quantiles. If the sample ## is too small, we just do regular unstratified ## CV cuts <- floor(length(y) / k) if (cuts < 2) cuts <- 2 if (cuts > 5) cuts <- 5 y <- cut(y, unique(stats::quantile(y, probs = seq(0, 1, length = cuts))), include.lowest = TRUE) } if (k < length(y)) { ## reset levels so that the possible levels and ## the levels in the vector are the same y <- factor(as.character(y)) numInClass <- table(y) foldVector <- vector(mode = "integer", length(y)) ## For each class, balance the fold allocation as far ## as possible, then resample the remainder. ## The final assignment of folds is also randomized. for (i in 1:length(numInClass)) { ## create a vector of integers from 1:k as many times as possible without ## going over the number of samples in the class. Note that if the number ## of samples in a class is less than k, nothing is producd here. seqVector <- rep(1:k, numInClass[i] %/% k) ## add enough random integers to get length(seqVector) == numInClass[i] if (numInClass[i] %% k > 0) seqVector <- c(seqVector, sample(1:k, numInClass[i] %% k)) ## shuffle the integers for fold assignment and assign to this classes's data foldVector[which(y == dimnames(numInClass)$y[i])] <- sample(seqVector) } } else { foldVector <- seq(along = y) } out <- split(seq(along = y), foldVector) names(out) <- NULL out } lgb.merge.cv.result <- function(msg, showsd=TRUE){ eval_len <- length(msg[[1]]) eval_result <- lapply(1:eval_len, function(j) { as.numeric(lapply(1:length(msg), function(i){ msg[[i]][[j]]$value })) }) ret_eval <- msg[[1]] for(j in 1:eval_len){ ret_eval[[j]]$value <- mean(eval_result[[j]]) } ret_eval_err <- NULL if(showsd){ for(j in 1:eval_len){ ret_eval_err <- c( ret_eval_err, sqrt( mean(eval_result[[j]]^2) - mean(eval_result[[j]])^2 )) } ret_eval_err <- as.list(ret_eval_err) } return(list(eval_list=ret_eval, eval_err_list=ret_eval_err)) }