#include "gbdt.h" #include #include #include #include #include #include #include #include #include #include #include namespace LightGBM { GBDT::GBDT() :iter_(0), train_data_(nullptr), object_function_(nullptr), early_stopping_round_(0), max_feature_idx_(0), num_class_(1), sigmoid_(1.0f), num_iteration_for_pred_(0), shrinkage_rate_(0.1f), num_init_iteration_(0) { #pragma omp parallel #pragma omp master { num_threads_ = omp_get_num_threads(); } } GBDT::~GBDT() { } void GBDT::Init(const BoostingConfig* config, const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector& training_metrics) { iter_ = 0; num_iteration_for_pred_ = 0; max_feature_idx_ = 0; num_class_ = config->num_class; for (int i = 0; i < num_threads_; ++i) { random_.emplace_back(config->bagging_seed + i); } train_data_ = nullptr; gbdt_config_ = nullptr; tree_learner_ = nullptr; ResetTrainingData(config, train_data, object_function, training_metrics); } void GBDT::ResetTrainingData(const BoostingConfig* config, const Dataset* train_data, const ObjectiveFunction* object_function, const std::vector& training_metrics) { auto new_config = std::unique_ptr(new BoostingConfig(*config)); if (train_data_ != nullptr && !train_data_->CheckAlign(*train_data)) { Log::Fatal("cannot reset training data, since new training data has different bin mappers"); } early_stopping_round_ = new_config->early_stopping_round; shrinkage_rate_ = new_config->learning_rate; object_function_ = object_function; sigmoid_ = -1.0f; if (object_function_ != nullptr && std::string(object_function_->GetName()) == std::string("binary")) { // only binary classification need sigmoid transform sigmoid_ = new_config->sigmoid; } if (train_data_ != train_data && train_data != nullptr) { if (tree_learner_ == nullptr) { tree_learner_ = std::unique_ptr(TreeLearner::CreateTreeLearner(new_config->tree_learner_type, &new_config->tree_config)); } // init tree learner tree_learner_->Init(train_data); // push training metrics training_metrics_.clear(); for (const auto& metric : training_metrics) { training_metrics_.push_back(metric); } training_metrics_.shrink_to_fit(); // not same training data, need reset score and others // create score tracker train_score_updater_.reset(new ScoreUpdater(train_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_init_iteration_) * num_class_ + curr_class; train_score_updater_->AddScore(models_[curr_tree].get(), curr_class); } } num_data_ = train_data->num_data(); // create buffer for gradients and hessians if (object_function_ != nullptr) { size_t total_size = static_cast(num_data_) * num_class_; 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(); // get feature infos feature_infos_.clear(); for (int i = 0; i < max_feature_idx_ + 1; ++i) { int feature_idx = train_data->GetInnerFeatureIndex(i); if (feature_idx < 0) { feature_infos_.push_back("trival feature"); } else { feature_infos_.push_back(train_data->FeatureAt(feature_idx)->bin_mapper()->bin_info()); } } } if ((train_data_ != train_data && train_data != nullptr) || (gbdt_config_ != nullptr && gbdt_config_->bagging_fraction != new_config->bagging_fraction)) { // if need bagging, create buffer if (new_config->bagging_fraction < 1.0 && new_config->bagging_freq > 0) { bag_data_cnt_ = static_cast(new_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_); } else { bag_data_cnt_ = num_data_; bag_data_indices_.clear(); tmp_indices_.clear(); } } train_data_ = train_data; if (train_data_ != nullptr) { // reset config for tree learner tree_learner_->ResetConfig(&new_config->tree_config); } gbdt_config_.reset(new_config.release()); } 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_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_init_iteration_) * 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) { 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(data_size_t start, data_size_t cnt, data_size_t* buffer){ const int tid = omp_get_thread_num(); 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; // random bagging, minimal unit is one record for (data_size_t i = 0; i < cnt; ++i) { double prob = (bag_data_cnt - cur_left_cnt) / static_cast(cnt - i); if (random_[tid].NextDouble() < prob) { buffer[cur_left_cnt++] = start + i; } else { buffer[bag_data_cnt + 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 = 10000; data_size_t inner_size = (num_data_ + num_threads_ - 1) / num_threads_; if (inner_size < min_inner_size) { inner_size = min_inner_size; } #pragma omp parallel for schedule(static, 1) for (int i = 0; i < num_threads_; ++i) { 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; } data_size_t cur_left_count = BaggingHelper(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; } 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) { 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)); } } Log::Debug("Re-bagging, using %d data to train", bag_data_cnt_); // set bagging data to tree learner tree_learner_->SetBaggingData(bag_data_indices_.data(), 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 (num_data_ - bag_data_cnt_ > 0) { train_score_updater_->AddScore(tree, bag_data_indices_.data() + bag_data_cnt_, num_data_ - 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_.data(); hessian = hessians_.data(); } // bagging logic Bagging(iter_); for (int curr_class = 0; curr_class < num_class_; ++curr_class) { // train a new tree std::unique_ptr new_tree(tree_learner_->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("Stopped training because there are no more leafs that meet the split requirements."); return true; } // shrinkage by learning rate new_tree->Shrinkage(shrinkage_rate_); // update score UpdateScore(new_tree.get(), curr_class); UpdateScoreOutOfBag(new_tree.get(), curr_class); // add model models_.push_back(std::move(new_tree)); } ++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 curr_class = 0; curr_class < num_class_; ++curr_class) { auto curr_tree = cur_iter * num_class_ + curr_class; models_[curr_tree]->Shrinkage(-1.0); train_score_updater_->AddScore(models_[curr_tree].get(), curr_class); for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(models_[curr_tree].get(), curr_class); } } // remove model for (int curr_class = 0; curr_class < num_class_; ++curr_class) { models_.pop_back(); } --iter_; } bool GBDT::EvalAndCheckEarlyStopping() { bool is_met_early_stopping = false; // print message for metric auto best_msg = OutputMetric(iter_); 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_class_; ++i) { 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_.get(), curr_class); // update validation score for (auto& score_updater : valid_score_updater_) { score_updater->AddScore(tree, curr_class); } } 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 = sub_metric->Eval(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 = valid_metrics_[i][j]->Eval(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 = sub_metric->Eval(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 = valid_metrics_[used_idx][j]->Eval(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 (num_class_ > 1) { #pragma omp parallel for schedule(static) for (data_size_t i = 0; i < num_data; ++i) { std::vector tmp_result(num_class_); for (int j = 0; j < num_class_; ++j) { tmp_result[j] = raw_scores[j * num_data + i]; } Common::Softmax(&tmp_result); for (int j = 0; j < num_class_; ++j) { out_result[j * num_data + i] = static_cast(tmp_result[j]); } } } else if(sigmoid_ > 0.0f){ #pragma omp parallel for schedule(static) for (data_size_t i = 0; i < num_data; ++i) { out_result[i] = static_cast(1.0f / (1.0f + std::exp(-2.0f * sigmoid_ * raw_scores[i]))); } } else { #pragma omp parallel for schedule(static) for (data_size_t i = 0; i < num_data; ++i) { out_result[i] = static_cast(raw_scores[i]); } } } void GBDT::Boosting() { if (object_function_ == nullptr) { Log::Fatal("No object function provided"); } // objective function will calculate gradients and hessians int64_t num_score = 0; object_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 << "\"label_index\":" << label_idx_ << "," << std::endl; str_buf << "\"max_feature_idx\":" << max_feature_idx_ << "," << std::endl; str_buf << "\"sigmoid\":" << sigmoid_ << "," << 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_used_model = std::min(num_iteration * num_class_, 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(); } bool GBDT::SaveModelToFile(int num_iteration, const char* filename) const { /*! \brief File to write models */ std::ofstream output_file; output_file.open(filename); // output model type output_file << SubModelName() << std::endl; // output number of class output_file << "num_class=" << num_class_ << std::endl; // output label index output_file << "label_index=" << label_idx_ << std::endl; // output max_feature_idx output_file << "max_feature_idx=" << max_feature_idx_ << std::endl; // output objective name if (object_function_ != nullptr) { output_file << "objective=" << object_function_->GetName() << std::endl; } // output sigmoid parameter output_file << "sigmoid=" << sigmoid_ << std::endl; output_file << "feature_names=" << Common::Join(feature_names_, " ") << std::endl; output_file << std::endl; int num_used_model = static_cast(models_.size()); if (num_iteration > 0) { num_used_model = std::min(num_iteration * num_class_, num_used_model); } // output tree models for (int i = 0; i < num_used_model; ++i) { output_file << "Tree=" << i << std::endl; output_file << models_[i]->ToString() << std::endl; } std::vector> pairs = FeatureImportance(); output_file << std::endl << "feature importances:" << std::endl; for (size_t i = 0; i < pairs.size(); ++i) { output_file << pairs[i].second << "=" << std::to_string(pairs[i].first) << std::endl; } output_file << std::endl << "feature information:" << std::endl; for (size_t i = 0; i < max_feature_idx_ + 1; ++i) { output_file << feature_names_[i] << "=" << feature_infos_[i] << std::endl; } 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::Split(model_str.c_str(), '\n'); // 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; } // 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 sigmoid parameter line = Common::FindFromLines(lines, "sigmoid="); if (line.size() > 0) { Common::Atof(Common::Split(line.c_str(), '=')[1].c_str(), &sigmoid_); } else { sigmoid_ = -1.0f; } // 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; } // 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"); auto new_tree = std::unique_ptr(new Tree(tree_str)); models_.push_back(std::move(new_tree)); } else { ++i; } } Log::Info("Finished loading %d models", models_.size()); num_iteration_for_pred_ = static_cast(models_.size()) / num_class_; num_init_iteration_ = num_iteration_for_pred_; iter_ = 0; return true; } std::vector> 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) { 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; } std::vector GBDT::PredictRaw(const double* value) const { std::vector ret(num_class_, 0.0f); for (int i = 0; i < num_iteration_for_pred_; ++i) { for (int j = 0; j < num_class_; ++j) { ret[j] += models_[i * num_class_ + j]->Predict(value); } } return ret; } std::vector GBDT::Predict(const double* value) const { std::vector ret(num_class_, 0.0f); for (int i = 0; i < num_iteration_for_pred_; ++i) { for (int j = 0; j < num_class_; ++j) { ret[j] += models_[i * num_class_ + j]->Predict(value); } } // if need sigmoid transform if (sigmoid_ > 0 && num_class_ == 1) { ret[0] = 1.0f / (1.0f + std::exp(- 2.0f * sigmoid_ * ret[0])); } else if (num_class_ > 1) { Common::Softmax(&ret); } return ret; } std::vector GBDT::PredictLeafIndex(const double* value) const { std::vector ret; for (int i = 0; i < num_iteration_for_pred_; ++i) { for (int j = 0; j < num_class_; ++j) { ret.push_back(models_[i * num_class_ + j]->PredictLeafIndex(value)); } } return ret; } } // namespace LightGBM