#' @importFrom R6 R6Class CVBooster <- R6::R6Class( classname = "lgb.CVBooster", cloneable = FALSE, public = list( best_iter = -1, best_score = NA, record_evals = list(), boosters = list(), initialize = function(x) { self$boosters <- x }, reset_parameter = function(new_params) { for (x in boosters) { x$reset_parameter(new_params) } self } ) ) #' @title Main CV logic for LightGBM #' @description Cross validation logic used by LightGBM #' @name lgb.cv #' @inheritParams lgb_shared_params #' @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. Examples include #' \code{regression}, \code{regression_l1}, \code{huber}, #' \code{binary}, \code{lambdarank}, \code{multiclass}, \code{multiclass} #' @param eval evaluation function, can be (list of) character or custom eval function #' @param record Boolean, TRUE will record iteration message to \code{booster$record_evals} #' @param showsd \code{boolean}, whether to show standard deviation of cross validation #' @param stratified a \code{boolean} indicating whether sampling of folds should be stratified #' by the values of outcome labels. #' @param folds \code{list} provides a possibility to use a list of pre-defined CV folds #' (each element must be a vector of test fold's indices). When folds are supplied, #' the \code{nfold} and \code{stratified} parameters are ignored. #' @param colnames feature names, if not null, will use this to overwrite the names in dataset #' @param categorical_feature list of str or int #' type int represents index, #' type str represents feature names #' @param callbacks List of callback functions that are applied at each iteration. #' @param reset_data Boolean, setting it to TRUE (not the default value) will transform the booster model #' into a predictor model which frees up memory and the original datasets #' @param ... other parameters, see Parameters.rst for more information. A few key parameters: #' \itemize{ #' \item{boosting}{Boosting type. \code{"gbdt"} or \code{"dart"}} #' \item{num_leaves}{number of leaves in one tree. defaults to 127} #' \item{max_depth}{Limit the max depth for tree model. This is used to deal with #' overfit when #data is small. Tree still grow by leaf-wise.} #' \item{num_threads}{Number of threads for LightGBM. For the best speed, set this to #' the number of real CPU cores, not the number of threads (most #' CPU using hyper-threading to generate 2 threads per CPU core).} #' } #' #' @return a trained model \code{lgb.CVBooster}. #' #' @examples #' library(lightgbm) #' data(agaricus.train, package = "lightgbm") #' train <- agaricus.train #' dtrain <- lgb.Dataset(train$data, label = train$label) #' params <- list(objective = "regression", metric = "l2") #' model <- lgb.cv( #' params = params #' , data = dtrain #' , nrounds = 10 #' , nfold = 3 #' , min_data = 1 #' , learning_rate = 1 #' , early_stopping_rounds = 5 #' ) #' @export lgb.cv <- function(params = list(), data, nrounds = 10, nfold = 3, label = NULL, weight = NULL, obj = NULL, eval = NULL, verbose = 1, record = TRUE, eval_freq = 1L, showsd = TRUE, stratified = TRUE, folds = NULL, init_model = NULL, colnames = NULL, categorical_feature = NULL, early_stopping_rounds = NULL, callbacks = list(), reset_data = FALSE, ...) { # Setup temporary variables addiction_params <- list(...) params <- append(params, addiction_params) params$verbose <- verbose params <- lgb.check.obj(params, obj) params <- lgb.check.eval(params, eval) fobj <- NULL feval <- NULL if (nrounds <= 0) { stop("nrounds should be greater than zero") } # Check for objective (function or not) if (is.function(params$objective)) { fobj <- params$objective params$objective <- "NONE" } # Check for loss (function or not) if (is.function(eval)) { feval <- eval } # Check for parameters lgb.check.params(params) # Init predictor to empty predictor <- NULL # Check for boosting from a trained model if (is.character(init_model)) { predictor <- Predictor$new(init_model) } else if (lgb.is.Booster(init_model)) { predictor <- init_model$to_predictor() } # Set the iteration to start from / end to (and check for boosting from a trained model, again) begin_iteration <- 1 if (!is.null(predictor)) { begin_iteration <- predictor$current_iter() + 1 } # Check for number of rounds passed as parameter - in case there are multiple ones, take only the first one n_trees <- c( "num_iterations" , "num_iteration" , "n_iter" , "num_tree" , "num_trees" , "num_round" , "num_rounds" , "num_boost_round" , "n_estimators" ) if (any(names(params) %in% n_trees)) { end_iteration <- begin_iteration + params[[which(names(params) %in% n_trees)[1]]] - 1 } else { end_iteration <- begin_iteration + nrounds - 1 } # Check for training dataset type correctness if (!lgb.is.Dataset(data)) { if (is.null(label)) { stop("Labels must be provided for lgb.cv") } data <- lgb.Dataset(data, label = label) } # Check for weights if (!is.null(weight)) { data$setinfo("weight", weight) } # Update parameters with parsed parameters data$update_params(params) # Create the predictor set data$.__enclos_env__$private$set_predictor(predictor) # Write column names if (!is.null(colnames)) { data$set_colnames(colnames) } # Write categorical features if (!is.null(categorical_feature)) { data$set_categorical_feature(categorical_feature) } # Construct datasets, if needed data$construct() # Check for folds if (!is.null(folds)) { # Check for list of folds or for single value if (!is.list(folds) || length(folds) < 2) { stop(sQuote("folds"), " must be a list with 2 or more elements that are vectors of indices for each CV-fold") } # Set number of folds nfold <- length(folds) } else { # Check fold value if (nfold <= 1) { stop(sQuote("nfold"), " must be > 1") } # Create folds folds <- generate.cv.folds( nfold , nrow(data) , stratified , getinfo(data, "label") , getinfo(data, "group") , params ) } # Add printing log callback if (verbose > 0 && eval_freq > 0) { callbacks <- add.cb(callbacks, cb.print.evaluation(eval_freq)) } # Add evaluation log callback if (record) { callbacks <- add.cb(callbacks, cb.record.evaluation()) } # Check for early stopping passed as parameter when adding early stopping callback early_stop <- c("early_stopping_round", "early_stopping_rounds", "early_stopping", "n_iter_no_change") if (any(names(params) %in% early_stop)) { if (params[[which(names(params) %in% early_stop)[1]]] > 0) { callbacks <- add.cb( callbacks , cb.early.stop( params[[which(names(params) %in% early_stop)[1]]] , verbose = verbose ) ) } } else { if (!is.null(early_stopping_rounds)) { if (early_stopping_rounds > 0) { callbacks <- add.cb( callbacks , cb.early.stop( early_stopping_rounds , verbose = verbose ) ) } } } # Categorize callbacks cb <- categorize.callbacks(callbacks) # Construct booster using a list apply, check if requires group or not if (!is.list(folds[[1]])) { bst_folds <- lapply(seq_along(folds), function(k) { dtest <- slice(data, folds[[k]]) dtrain <- slice(data, seq_len(nrow(data))[-folds[[k]]]) setinfo(dtrain, "weight", getinfo(data, "weight")[-folds[[k]]]) setinfo(dtrain, "init_score", getinfo(data, "init_score")[-folds[[k]]]) setinfo(dtest, "weight", getinfo(data, "weight")[folds[[k]]]) setinfo(dtest, "init_score", getinfo(data, "init_score")[folds[[k]]]) booster <- Booster$new(params, dtrain) booster$add_valid(dtest, "valid") list(booster = booster) }) } else { bst_folds <- lapply(seq_along(folds), function(k) { dtest <- slice(data, folds[[k]]$fold) dtrain <- slice(data, (seq_len(nrow(data)))[-folds[[k]]$fold]) setinfo(dtrain, "weight", getinfo(data, "weight")[-folds[[k]]$fold]) setinfo(dtrain, "init_score", getinfo(data, "init_score")[-folds[[k]]$fold]) setinfo(dtrain, "group", getinfo(data, "group")[-folds[[k]]$group]) setinfo(dtest, "weight", getinfo(data, "weight")[folds[[k]]$fold]) setinfo(dtest, "init_score", getinfo(data, "init_score")[folds[[k]]$fold]) setinfo(dtest, "group", getinfo(data, "group")[folds[[k]]$group]) booster <- Booster$new(params, dtrain) booster$add_valid(dtest, "valid") list(booster = booster) }) } # Create new booster cv_booster <- CVBooster$new(bst_folds) # Callback env env <- CB_ENV$new() env$model <- cv_booster env$begin_iteration <- begin_iteration env$end_iteration <- end_iteration # Start training model using number of iterations to start and end with for (i in seq.int(from = begin_iteration, to = end_iteration)) { # Overwrite iteration in environment env$iteration <- i env$eval_list <- list() # Loop through "pre_iter" element for (f in cb$pre_iter) { f(env) } # Update one boosting iteration msg <- lapply(cv_booster$boosters, function(fd) { fd$booster$update(fobj = fobj) fd$booster$eval_valid(feval = feval) }) # Prepare collection of evaluation results merged_msg <- lgb.merge.cv.result(msg) # Write evaluation result in environment env$eval_list <- merged_msg$eval_list # Check for standard deviation requirement if (showsd) { env$eval_err_list <- merged_msg$eval_err_list } # Loop through env for (f in cb$post_iter) { f(env) } # Check for early stopping and break if needed if (env$met_early_stop) break } if (record && is.na(env$best_score)) { if (env$eval_list[[1]]$higher_better[1] == TRUE) { cv_booster$best_iter <- unname(which.max(unlist(cv_booster$record_evals[[2]][[1]][[1]]))) cv_booster$best_score <- cv_booster$record_evals[[2]][[1]][[1]][[cv_booster$best_iter]] } else { cv_booster$best_iter <- unname(which.min(unlist(cv_booster$record_evals[[2]][[1]][[1]]))) cv_booster$best_score <- cv_booster$record_evals[[2]][[1]][[1]][[cv_booster$best_iter]] } } if (reset_data) { lapply(cv_booster$boosters, function(fd) { # Store temporarily model data elsewhere booster_old <- list( best_iter = fd$booster$best_iter , best_score = fd$booster$best_score, , record_evals = fd$booster$record_evals ) # Reload model fd$booster <- lgb.load(model_str = fd$booster$save_model_to_string()) fd$booster$best_iter <- booster_old$best_iter fd$booster$best_score <- booster_old$best_score fd$booster$record_evals <- booster_old$record_evals }) } # Return booster return(cv_booster) } # Generates random (stratified if needed) CV folds generate.cv.folds <- function(nfold, nrows, stratified, label, group, params) { # Check for group existence if (is.null(group)) { # Shuffle rnd_idx <- sample.int(nrows) # Request stratified folds if (isTRUE(stratified) && params$objective %in% c("binary", "multiclass") && length(label) == length(rnd_idx)) { y <- label[rnd_idx] y <- factor(y) folds <- lgb.stratified.folds(y, nfold) } else { # Make simple non-stratified folds folds <- list() # Loop through each fold for (i in seq_len(nfold)) { kstep <- length(rnd_idx) %/% (nfold - i + 1) folds[[i]] <- rnd_idx[seq_len(kstep)] rnd_idx <- rnd_idx[-seq_len(kstep)] } } } else { # When doing group, stratified is not possible (only random selection) if (nfold > length(group)) { stop("\n\tYou requested too many folds for the number of available groups.\n") } # Degroup the groups ungrouped <- inverse.rle(list(lengths = group, values = seq_along(group))) # Can't stratify, shuffle rnd_idx <- sample.int(length(group)) # Make simple non-stratified folds folds <- list() # Loop through each fold for (i in seq_len(nfold)) { kstep <- length(rnd_idx) %/% (nfold - i + 1) folds[[i]] <- list( fold = which(ungrouped %in% rnd_idx[seq_len(kstep)]) , group = rnd_idx[seq_len(kstep)] ) rnd_idx <- rnd_idx[-seq_len(kstep)] } } # Return folds 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. #' @importFrom stats quantile lgb.stratified.folds <- function(y, k = 10) { ## 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 if (is.numeric(y)) { cuts <- length(y) %/% k if (cuts < 2) { cuts <- 2 } if (cuts > 5) { cuts <- 5 } y <- cut( y , unique(stats::quantile(y, probs = seq.int(0, 1, length.out = 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 seq_along(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(seq_len(k), numInClass[i] %/% k) ## Add enough random integers to get length(seqVector) == numInClass[i] if (numInClass[i] %% k > 0) { seqVector <- c(seqVector, sample.int(k, numInClass[i] %% k)) } ## Shuffle the integers for fold assignment and assign to this classes's data foldVector[y == dimnames(numInClass)$y[i]] <- sample(seqVector) } } else { foldVector <- seq(along = y) } # Return data out <- split(seq(along = y), foldVector) names(out) <- NULL out } lgb.merge.cv.result <- function(msg, showsd = TRUE) { # Get CV message length if (length(msg) == 0) { stop("lgb.cv: size of cv result error") } # Get evaluation message length eval_len <- length(msg[[1]]) # Is evaluation message empty? if (eval_len == 0) { stop("lgb.cv: should provide at least one metric for CV") } # Get evaluation results using a list apply eval_result <- lapply(seq_len(eval_len), function(j) { as.numeric(lapply(seq_along(msg), function(i) { msg[[i]][[j]]$value })) }) # Get evaluation ret_eval <- msg[[1]] # Go through evaluation length items for (j in seq_len(eval_len)) { ret_eval[[j]]$value <- mean(eval_result[[j]]) } # Preinit evaluation error ret_eval_err <- NULL # Check for standard deviation if (showsd) { # Parse standard deviation for (j in seq_len(eval_len)) { ret_eval_err <- c( ret_eval_err , sqrt(mean(eval_result[[j]] ^ 2) - mean(eval_result[[j]]) ^ 2) ) } # Convert to list ret_eval_err <- as.list(ret_eval_err) } # Return errors list( eval_list = ret_eval , eval_err_list = ret_eval_err ) }