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//! This module implements the process of gradient boosting decision tree
//! algorithm. This module depends on the following module:
//!
//! 1. [gbdt::config::Config](../config/): [Config](../config/struct.Config.html) is needed to configure the gbdt algorithm.
//!
//! 2. [gbdt::decision_tree](../decision_tree/): [DecisionTree](../decision_tree/struct.DecisionTree.html) is used
//! for training and predicting.
//!
//! 3. [rand](https://docs.rs/rand/0.6.1/rand/): This standard module is used to randomly select the data or
//! features used in a single iteration of training if the
//! [data_sample_ratio](../config/struct.Config.html#structfield.data_sample_ratio) or
//! [feature_sample_ratio](../config/struct.Config.html#structfield.feature_sample_ratio) is less than 1.0 .
//!
//! # Example
//! ```rust
//! use gbdt::config::Config;
//! use gbdt::gradient_boost::GBDT;
//! use gbdt::decision_tree::{Data, DataVec};
//!
//! // set config for algorithm
//! let mut cfg = Config::new();
//! cfg.set_feature_size(3);
//! cfg.set_max_depth(2);
//! cfg.set_min_leaf_size(1);
//! cfg.set_loss("SquaredError");
//! cfg.set_iterations(2);
//!
//! // initialize GBDT algorithm
//! let mut gbdt = GBDT::new(&cfg);
//!
//! // setup training data
//! let data1 = Data::new_training_data (
//! vec![1.0, 2.0, 3.0],
//! 1.0,
//! 1.0,
//! None
//! );
//! let data2 = Data::new_training_data (
//! vec![1.1, 2.1, 3.1],
//! 1.0,
//! 1.0,
//! None
//! );
//! let data3 = Data::new_training_data (
//! vec![2.0, 2.0, 1.0],
//! 1.0,
//! 2.0,
//! None
//! );
//! let data4 = Data::new_training_data (
//! vec![2.0, 2.3, 1.2],
//! 1.0,
//! 0.0,
//! None
//! );
//!
//! let mut training_data: DataVec = Vec::new();
//! training_data.push(data1.clone());
//! training_data.push(data2.clone());
//! training_data.push(data3.clone());
//! training_data.push(data4.clone());
//!
//! // train the decision trees.
//! gbdt.fit(&mut training_data);
//!
//! // setup the test data
//!
//! let mut test_data: DataVec = Vec::new();
//! test_data.push(data1.clone());
//! test_data.push(data2.clone());
//! test_data.push(Data::new_test_data(
//! vec![2.0, 2.0, 1.0],
//! None));
//! test_data.push(Data::new_test_data(
//! vec![2.0, 2.3, 1.2],
//! None));
//!
//! println!("{:?}", gbdt.predict(&test_data));
//!
//! // output:
//! // [1.0, 1.0, 2.0, 0.0]
//! ```
#[cfg(all(feature = "mesalock_sgx", not(target_env = "sgx")))]
use std::prelude::v1::*;
use crate::config::{Config, Loss};
use crate::decision_tree::DecisionTree;
#[cfg(feature = "enable_training")]
use crate::decision_tree::TrainingCache;
use crate::decision_tree::{DataVec, PredVec, ValueType, VALUE_TYPE_MIN, VALUE_TYPE_UNKNOWN};
#[cfg(feature = "enable_training")]
use crate::fitness::{label_average, logit_loss_gradient, weighted_label_median, AUC, MAE, RMSE};
#[cfg(feature = "enable_training")]
use rand::prelude::SliceRandom;
#[cfg(feature = "enable_training")]
use rand::thread_rng;
use std::error::Error;
#[cfg(not(feature = "mesalock_sgx"))]
use std::fs::File;
#[cfg(feature = "mesalock_sgx")]
use std::untrusted::fs::File;
use std::io::prelude::*;
use std::io::{BufRead, BufReader};
use serde_derive::{Deserialize, Serialize};
#[cfg(feature = "profiling")]
use time::PreciseTime;
/// The gradient boosting decision tree.
#[derive(Default, Serialize, Deserialize)]
pub struct GBDT {
/// The config of gbdt. See [gbdt::config](../config/) for detail.
conf: Config,
/// The trained decision trees.
trees: Vec<DecisionTree>,
/// The bias estimated.
bias: ValueType,
}
impl GBDT {
/// Return a new gbdt with manually set config.
///
/// # Example
/// ```rust
/// use gbdt::config::Config;
/// use gbdt::gradient_boost::GBDT;
///
/// // set config for algorithm
/// let mut cfg = Config::new();
/// cfg.set_feature_size(3);
/// cfg.set_max_depth(2);
/// cfg.set_min_leaf_size(1);
/// cfg.set_loss("SquaredError");
/// cfg.set_iterations(2);
///
/// // initialize GBDT algorithm
/// let mut gbdt = GBDT::new(&cfg);
/// ```
pub fn new(conf: &Config) -> GBDT {
GBDT {
conf: conf.clone(),
trees: Vec::new(),
bias: 0.0,
}
}
/// Return true if the data in the given data vector are all valid. In other case
/// returns false.
///
/// We simply check whether the length of feature vector in each data
/// equals to the specified feature size in config.
#[cfg(feature = "enable_training")]
fn check_valid_data(&self, dv: &DataVec) -> bool {
dv.iter().all(|x| x.feature.len() == self.conf.feature_size)
}
/// If initial_guess_enabled is set false in gbdt config, this function will calculate
/// bias for initial guess based on train data. Different methods will be used according
/// to different loss type. This is a private method and should not be called manually.
///
/// # Panic
/// If specified length is greater than the length of data vector, it will panic.
///
/// If there is invalid data that will confuse the training process, it will panic.
#[cfg(feature = "enable_training")]
fn init(&mut self, len: usize, dv: &DataVec) {
assert!(dv.len() >= len);
if !self.check_valid_data(&dv) {
panic!("There are invalid data in data vector, check your data please.");
}
if self.conf.initial_guess_enabled {
return;
}
self.bias = match self.conf.loss {
Loss::SquaredError => label_average(dv, len),
Loss::LogLikelyhood => {
let v: ValueType = label_average(dv, len);
((1.0 + v) / (1.0 - v)).ln() / 2.0
}
Loss::LAD => weighted_label_median(dv, len),
_ => label_average(dv, len),
}
}
/// Fit the train data.
///
/// First, initialize and configure decision trees. Then train the model with certain
/// iterations set by config.
///
/// # Example
/// ```rust
/// use gbdt::config::Config;
/// use gbdt::gradient_boost::GBDT;
/// use gbdt::decision_tree::{Data, DataVec, PredVec, ValueType};
///
/// // set config for algorithm
/// let mut cfg = Config::new();
/// cfg.set_feature_size(3);
/// cfg.set_max_depth(2);
/// cfg.set_min_leaf_size(1);
/// cfg.set_loss("SquaredError");
/// cfg.set_iterations(2);
///
/// // initialize GBDT algorithm
/// let mut gbdt = GBDT::new(&cfg);
///
/// // setup training data
/// let data1 = Data::new_training_data (
/// vec![1.0, 2.0, 3.0],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data2 = Data::new_training_data (
/// vec![1.1, 2.1, 3.1],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data3 = Data::new_training_data (
/// vec![2.0, 2.0, 1.0],
/// 1.0,
/// 2.0,
/// None
/// );
/// let data4 = Data::new_training_data (
/// vec![2.0, 2.3, 1.2],
/// 1.0,
/// 0.0,
/// None
/// );
///
/// let mut training_data: DataVec = Vec::new();
/// training_data.push(data1.clone());
/// training_data.push(data2.clone());
/// training_data.push(data3.clone());
/// training_data.push(data4.clone());
///
/// // train the decision trees.
/// gbdt.fit(&mut training_data);
/// ```
#[cfg(feature = "enable_training")]
pub fn fit(&mut self, train_data: &mut DataVec) {
self.trees = Vec::with_capacity(self.conf.iterations);
// initialize each decision tree
for i in 0..self.conf.iterations {
self.trees.push(DecisionTree::new());
self.trees[i].set_feature_size(self.conf.feature_size);
self.trees[i].set_max_depth(self.conf.max_depth);
self.trees[i].set_min_leaf_size(self.conf.min_leaf_size);
self.trees[i].set_feature_sample_ratio(self.conf.feature_sample_ratio);
self.trees[i].set_loss(self.conf.loss.clone());
}
// number of samples for training
let nr_samples: usize = if self.conf.data_sample_ratio < 1.0 {
((train_data.len() as f64) * self.conf.data_sample_ratio) as usize
} else {
train_data.len()
};
self.init(train_data.len(), &train_data);
let mut rng = thread_rng();
// initialize the predicted_cache, which records the predictions for training data
let mut predicted_cache: PredVec = self.predict_n(train_data, 0, 0, train_data.len());
#[cfg(feature = "profiling")]
let t1 = PreciseTime::now();
// allocat the TrainingCache
let mut cache = TrainingCache::get_cache(
self.conf.feature_size,
&train_data,
self.conf.training_optimization_level,
);
#[cfg(feature = "profiling")]
let t2 = PreciseTime::now();
#[cfg(feature = "profiling")]
println!("cache {}", t1.to(t2));
for i in 0..self.conf.iterations {
#[cfg(feature = "profiling")]
let t1 = PreciseTime::now();
let mut samples: Vec<usize> = (0..train_data.len()).collect();
// randomly select some data for training
let (subset, remaining) = if nr_samples < train_data.len() {
samples.shuffle(&mut rng);
let (left, right) = samples.split_at(nr_samples);
let mut left = left.to_vec();
let mut right = right.to_vec();
left.sort();
right.sort();
(left, right)
} else {
(samples, Vec::new())
};
// Update the target for training
match self.conf.loss {
Loss::SquaredError => {
self.square_loss_process(train_data, train_data.len(), &predicted_cache)
}
Loss::LogLikelyhood => {
self.log_loss_process(train_data, train_data.len(), &predicted_cache)
}
Loss::LAD => self.lad_loss_process(train_data, train_data.len(), &predicted_cache),
_ => self.square_loss_process(train_data, train_data.len(), &predicted_cache),
}
// train a new decision tree
self.trees[i].fit_n(train_data, &subset, &mut cache);
// update the predicted_cache for the data in the `subset`
let train_preds = cache.get_preds();
for index in subset.iter() {
predicted_cache[*index] += train_preds[*index] * self.conf.shrinkage;
}
// update the predicted_cache for the data in the `remaining`
let predicted_tmp = self.trees[i].predict_n(train_data, &remaining);
for index in remaining.iter() {
predicted_cache[*index] += predicted_tmp[*index] * self.conf.shrinkage;
}
//output elapsed time
#[cfg(feature = "profiling")]
let t2 = PreciseTime::now();
#[cfg(feature = "profiling")]
println!(
"iteration {} {} nodes: {}",
i,
t1.to(t2),
self.trees[i].len()
);
}
}
/// Predict the first `n` data in data vector with the [`begin`, `begin`+iters) trees.
///
/// The output will be a vector, having same size as the `test_data`. The first n elements are the predicted values, the others are `VALUE_TYPE_UNKNOWN`
///
/// Note that the result will not be normalized no matter what loss type is used.
///
/// # Panic
/// If n is greater than the length of test data vector, it will panic.
///
/// If the iterations is greater than the number of trees that have been trained, it will panic.
fn predict_n(&self, test_data: &DataVec, begin: usize, iters: usize, n: usize) -> PredVec {
assert!((begin + iters) <= self.trees.len());
assert!(n <= test_data.len());
if self.trees.is_empty() {
return vec![VALUE_TYPE_UNKNOWN; test_data.len()];
}
// initialize the vector with bias/initial_guess
let mut predicted: PredVec = if !self.conf.initial_guess_enabled {
vec![self.bias; n]
} else {
test_data.iter().take(n).map(|x| x.initial_guess).collect()
};
// inference the data with individual decision tree.
let subset: Vec<usize> = (0..n).collect();
for i in begin..(iters + begin) {
let v: PredVec = self.trees[i].predict_n(&test_data, &subset);
for (e, v) in predicted.iter_mut().take(n).zip(v.iter()) {
*e += self.conf.shrinkage * v;
}
}
predicted
}
/// Predict the given data.
///
/// Note that for log likelyhood loss type, the predicted value will be
/// normalized between 0 and 1, which is the possibility of label 1
///
/// # Example
/// ```rust
/// use gbdt::config::Config;
/// use gbdt::gradient_boost::GBDT;
/// use gbdt::decision_tree::{Data, DataVec, PredVec, ValueType};
///
/// // set config for algorithm
/// let mut cfg = Config::new();
/// cfg.set_feature_size(3);
/// cfg.set_max_depth(2);
/// cfg.set_min_leaf_size(1);
/// cfg.set_loss("SquaredError");
/// cfg.set_iterations(2);
///
/// // initialize GBDT algorithm
/// let mut gbdt = GBDT::new(&cfg);
///
/// // setup training data
/// let data1 = Data::new_training_data (
/// vec![1.0, 2.0, 3.0],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data2 = Data::new_training_data (
/// vec![1.1, 2.1, 3.1],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data3 = Data::new_training_data (
/// vec![2.0, 2.0, 1.0],
/// 1.0,
/// 2.0,
/// None
/// );
/// let data4 = Data::new_training_data (
/// vec![2.0, 2.3, 1.2],
/// 1.0,
/// 0.0,
/// None
/// );
///
/// let mut training_data: DataVec = Vec::new();
/// training_data.push(data1.clone());
/// training_data.push(data2.clone());
/// training_data.push(data3.clone());
/// training_data.push(data4.clone());
///
/// // train the decision trees.
/// gbdt.fit(&mut training_data);
///
/// // setup the test data
///
/// let mut test_data: DataVec = Vec::new();
/// test_data.push(data1.clone());
/// test_data.push(data2.clone());
/// test_data.push(data3.clone());
/// test_data.push(data4.clone());
///
/// println!("{:?}", gbdt.predict(&test_data));
/// ```
///
/// # Panic
/// If the training process is not completed, thus, the number of trees that have been
/// is less than the iteration configuration in `self.conf`, it will panic.
pub fn predict(&self, test_data: &DataVec) -> PredVec {
assert_eq!(self.conf.iterations, self.trees.len());
let predicted = self.predict_n(test_data, 0, self.conf.iterations, test_data.len());
match self.conf.loss {
Loss::LogLikelyhood => predicted
.iter()
.map(|x| {
//if (1.0 / (1.0 + ((-2.0 * x).exp()))) >= 0.5 {
// 1.0
//} else {
// -1.0
//}
1.0 / (1.0 + ((-2.0 * x).exp()))
})
.collect(),
Loss::BinaryLogistic | Loss::RegLogistic => {
predicted.iter().map(|x| 1.0 / (1.0 + (-x).exp())).collect()
}
_ => predicted,
}
}
/// Predict multi class data and return the probabilities for each class. The loss type should be "multi:softmax" or "multi:softprob"
///
/// test_data: the test set
///
/// class_num: the number of class
///
/// output: the predicted class label, the predicted possiblity for each class
///
/// # Example
///
/// ```rust
/// use gbdt::gradient_boost::GBDT;
/// use gbdt::input::{load, InputFormat};
/// use gbdt::decision_tree::DataVec;
/// let gbdt =
/// GBDT::from_xgoost_dump("xgb-data/xgb_multi_softmax/gbdt.model", "multi:softmax").unwrap();
/// let test_file = "xgb-data/xgb_multi_softmax/dermatology.data.test";
/// let mut fmt = InputFormat::csv_format();
/// fmt.set_label_index(34);
/// let test_data: DataVec = load(test_file, fmt).unwrap();
/// let (labels, probs) = gbdt.predict_multiclass(&test_data, 6);
/// ```
pub fn predict_multiclass(
&self,
test_data: &DataVec,
class_num: usize,
) -> (Vec<usize>, Vec<Vec<ValueType>>) {
assert_eq!(self.conf.iterations, self.trees.len());
assert_eq!(self.trees.len() % class_num, 0);
// this api is used for xgboost's model, so shrinkage is 1.0
// and config.initial_guess is false
let mut probs: Vec<Vec<ValueType>> = Vec::with_capacity(test_data.len());
// initialize the vector with bias value
for _index in 0..test_data.len() {
probs.push(vec![self.bias; class_num]);
}
// compute the raw predicted values for each class
for (index, tree) in self.trees.iter().enumerate() {
let preds = tree.predict(test_data);
for (x, y) in probs.iter_mut().zip(preds.iter()) {
x[index % class_num] += y;
}
}
let mut labels = vec![0; test_data.len()];
// normalize the predicted probilities and compute the label
for (elem_index, elem) in probs.iter_mut().enumerate() {
let mut sum: ValueType = 0.0;
let mut max_value = VALUE_TYPE_MIN;
let mut max_index = 0;
let mut prob_vec = vec![0.0; class_num];
for (index, item) in elem.iter().enumerate() {
let v = item.exp();
prob_vec[index] = v;
sum += v;
if v > max_value {
max_index = index;
max_value = v;
}
}
for item in prob_vec.iter_mut() {
*item /= sum;
}
*elem = prob_vec;
labels[elem_index] = max_index;
}
(labels, probs)
}
/// Print the tress for debug
///
/// # Example
/// ```rust
/// use gbdt::config::Config;
/// use gbdt::gradient_boost::GBDT;
/// use gbdt::decision_tree::{Data, DataVec, PredVec, ValueType};
///
/// // set config for algorithm
/// let mut cfg = Config::new();
/// cfg.set_feature_size(3);
/// cfg.set_max_depth(2);
/// cfg.set_min_leaf_size(1);
/// cfg.set_loss("SquaredError");
/// cfg.set_iterations(2);
///
/// // initialize GBDT algorithm
/// let mut gbdt = GBDT::new(&cfg);
///
/// // setup training data
/// let data1 = Data::new_training_data (
/// vec![1.0, 2.0, 3.0],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data2 = Data::new_training_data (
/// vec![1.1, 2.1, 3.1],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data3 = Data::new_training_data (
/// vec![2.0, 2.0, 1.0],
/// 1.0,
/// 2.0,
/// None
/// );
/// let data4 = Data::new_training_data (
/// vec![2.0, 2.3, 1.2],
/// 1.0,
/// 0.0,
/// None
/// );
///
/// let mut dv: DataVec = Vec::new();
/// dv.push(data1.clone());
/// dv.push(data2.clone());
/// dv.push(data3.clone());
/// dv.push(data4.clone());
///
/// // train the decision trees.
/// gbdt.fit(&mut dv);
///
/// // print the tree.
/// gbdt.print_trees();
/// ```
pub fn print_trees(&self) {
for i in 0..self.trees.len() {
self.trees[i].print();
}
}
/// This is the process to calculate the residual as the target in next iteration
/// for squared error loss.
#[cfg(feature = "enable_training")]
fn square_loss_process(&self, dv: &mut DataVec, samples: usize, predicted: &PredVec) {
for i in 0..samples {
dv[i].target = dv[i].label - predicted[i];
}
if self.conf.debug {
println!("RMSE = {}", RMSE(&dv, &predicted, samples));
}
}
/// This is the process to calculate the residual as the target in next iteration
/// for negative binomial log-likehood loss.
#[cfg(feature = "enable_training")]
fn log_loss_process(&self, dv: &mut DataVec, samples: usize, predicted: &PredVec) {
for i in 0..samples {
dv[i].target = logit_loss_gradient(dv[i].label, predicted[i]);
}
if self.conf.debug {
let normalized_preds = predicted
.iter()
.map(|x| 1.0 / (1.0 + ((-2.0 * x).exp())))
.collect();
println!("AUC = {}", AUC(&dv, &normalized_preds, dv.len()));
}
}
/// This is the process to calculate the residual as the target in next iteration
/// for LAD loss.
#[cfg(feature = "enable_training")]
fn lad_loss_process(&self, dv: &mut DataVec, samples: usize, predicted: &PredVec) {
for i in 0..samples {
dv[i].residual = dv[i].label - predicted[i];
dv[i].target = if dv[i].residual >= 0.0 { 1.0 } else { -1.0 };
}
if self.conf.debug {
println!("MAE {}", MAE(&dv, &predicted, samples));
}
}
/// Save the model to a file using serde.
///
/// # Example
/// ```rust
/// use gbdt::config::Config;
/// use gbdt::gradient_boost::GBDT;
/// use gbdt::decision_tree::{Data, DataVec, PredVec, ValueType};
///
/// // set config for algorithm
/// let mut cfg = Config::new();
/// cfg.set_feature_size(3);
/// cfg.set_max_depth(2);
/// cfg.set_min_leaf_size(1);
/// cfg.set_loss("SquaredError");
/// cfg.set_iterations(2);
///
/// // initialize GBDT algorithm
/// let mut gbdt = GBDT::new(&cfg);
///
/// // setup training data
/// let data1 = Data::new_training_data (
/// vec![1.0, 2.0, 3.0],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data2 = Data::new_training_data (
/// vec![1.1, 2.1, 3.1],
/// 1.0,
/// 1.0,
/// None
/// );
/// let data3 = Data::new_training_data (
/// vec![2.0, 2.0, 1.0],
/// 1.0,
/// 2.0,
/// None
/// );
/// let data4 = Data::new_training_data (
/// vec![2.0, 2.3, 1.2],
/// 1.0,
/// 0.0,
/// None
/// );
///
/// let mut dv: DataVec = Vec::new();
/// dv.push(data1.clone());
/// dv.push(data2.clone());
/// dv.push(data3.clone());
/// dv.push(data4.clone());
///
/// // train the decision trees.
/// gbdt.fit(&mut dv);
///
/// // Save model.
/// // gbdt.save_model("gbdt.model");
/// ```
pub fn save_model(&self, filename: &str) -> Result<(), Box<Error>> {
let mut file = File::create(filename)?;
let serialized = serde_json::to_string(self)?;
file.write_all(serialized.as_bytes())?;
Ok(())
}
/// Load the model from the file.
///
/// # Example
///
/// ```rust
/// use gbdt::gradient_boost::GBDT;
/// //let gbdt = GBDT::load_model("./gbdt-rs.model").unwrap();
/// ```
///
/// # Error
/// Error when get exception during model file parsing or deserialize.
pub fn load_model(filename: &str) -> Result<Self, Box<Error>> {
let mut file = File::open(filename)?;
let mut contents = String::new();
file.read_to_string(&mut contents)?;
let ret: Self = serde_json::from_str(&contents)?;
Ok(ret)
}
/// Load the model from xgboost's model. The xgboost's model should be converted by "convert_xgboost.py"
///
/// # Example
///
/// ```rust
/// use gbdt::gradient_boost::GBDT;
/// let gbdt =
/// GBDT::from_xgoost_dump("xgb-data/xgb_binary_logistic/gbdt.model", "binary:logistic").unwrap();
/// ```
///
/// # Error
/// Error when get exception during model file parsing.
pub fn from_xgoost_dump(model_file: &str, objective: &str) -> Result<Self, Box<Error>> {
let tree_file = File::open(&model_file)?;
let reader = BufReader::new(tree_file);
let mut all_lines: Vec<String> = Vec::new();
let mut has_read_score = false;
let mut base_score: ValueType = 0.0;
for line in reader.lines() {
// read base score
if !has_read_score {
has_read_score = true;
base_score = line?.parse::<ValueType>()?;
continue;
}
// read trees
let value: String = line?;
all_lines.push(value);
}
let single_line = all_lines.join("");
let json_obj: serde_json::Value = serde_json::from_str(&single_line)?;
let nodes = json_obj.as_array().ok_or("parse trees error")?;
let mut cfg = Config::new();
cfg.set_loss(objective);
cfg.set_iterations(nodes.len());
cfg.shrinkage = 1.0;
let mut gbdt = GBDT::new(&cfg);
gbdt.bias = base_score;
// load trees
for node in nodes.iter() {
let tree = DecisionTree::get_from_xgboost(node)?;
gbdt.trees.push(tree);
}
Ok(gbdt)
}
}