/// <summary>
/// This method implements the main functionality of stochastic gradient boosting
/// </summary>
private void BuildBoostTree(Metrics metrics, BoostTreeLoss boostTreeLoss, DataFeatureSampleRate dataFeatureSampleRate,
int maxTreeSize, int minNumSamples, int numIter,
int cThreads, Random r)
{
float minValidationErr = 100;
float[] funValueGain = new float[this.numSamples];
//(1) compute scores produced by the sub-model
boostTreeLoss.ModelEval(this.subModel, this.labelFeatureDataCoded, this.subModelScore);
//(2) compute the corresponding function values;
boostTreeLoss.ModelScoresToFuncValues();
//(3) compute the metrics of the sub-model
int m = optIter = 0;
metrics.ComputeMetrics(boostTreeLoss.ModelScores, m, false);
#if VERBOSE
Console.WriteLine(metrics.ResultsHeaderStr());
Console.WriteLine(metrics.ResultsStr(m));
#endif
//(4) creat samplers to sub-sampl the features and data during node spliting
RandomSampler featureSampler = new RandomSampler(r);
RandomSampler dataSampler = new RandomSampler(r);
//(5) creat the object that does node splitting
#if SINGLE_THREAD
// single-threaded
this.findSplit = new FindSplitSync();
#else
// multi-threaded
this.findSplit = new FindSplitAsync(cThreads);
#endif //SINGLE_THREAD
//(6) Iteratively building boosted trees
for (m = 0; m < numIter; m++)
{
// selecting a fraction of data groups for each iteration
float sampleRate = dataFeatureSampleRate.SampleDataGroupRate(m);
DataSet workDataSet = this.labelFeatureDataCoded.DataGroups.GetDataPartition(DataPartitionType.Train, sampleRate, r);
workDataSet.Sort(); // sorting gains some noticable speedup.
// compute the pseudo response of the current system
boostTreeLoss.ComputePseudoResponse(workDataSet);
//set the data and feature sampling rate for node spliting in this iteration
featureSampler.SampleRate = dataFeatureSampleRate.SampleFeatureRate(m);
dataSampler.SampleRate = dataFeatureSampleRate.SampleDataRate(m);
// fit a residual model (regression trees) from the pesuso response
// to compensate the error of the current system
for (int k = 0; k < boostTreeLoss.NumTreesPerIteration; k++)
{
//only use the important data points if necessary
int[] trimIndex = boostTreeLoss.TrimIndex(workDataSet, k, m);
//build a regression tree according to the pseduo-response
this.regressionTrees[m, k] = new RegressionTree(this.labelFeatureDataCoded, boostTreeLoss, k, trimIndex,
dataSampler, featureSampler, maxTreeSize, minNumSamples, this.findSplit, this.tempSpace);
//compute the function value of all data points produced by the newly generated regression tree
this.regressionTrees[m, k].PredictFunValue(this.labelFeatureDataCoded, ref funValueGain);
//try to do a more global optimalization - refine the leaf node response of a decision tree
//by looking at all the training data points, instead of only the ones falling into the regaion.
//Here we are estimate and apply a global mutiplication factor for all leaf nodes
float adjFactor = (m>0) ? boostTreeLoss.ComputeResponseAdjust(funValueGain) : 1.0F;
//apply the multiplication factor to the leaf nodes of the newly generated regression tree
this.regressionTrees[m, k].AdjustResponse(adjFactor);
//update the function value for all data points given the new regression tree
boostTreeLoss.AccFuncValueGain(funValueGain, adjFactor, k);
}
//compute the metrics of the current system
boostTreeLoss.FuncValuesToModelScores();
metrics.ComputeMetrics(boostTreeLoss.ModelScores, m + 1, false);
#if VERBOSE
Console.WriteLine(metrics.ResultsStr(m+1));
#endif
//keep track of the best (minimal Error) iteration on the Validation data set
this.optIter = metrics.GetBest(DataPartitionType.Validation, ref minValidationErr);
if ((m+1) % 5 == 0) // save the tree every 5 iterations
SaveBoostTree();
}
if (this.findSplit != null)
{
this.findSplit.Cleanup();
}
}
/// <summary>
/// This method implements the main functionality of stochastic gradient boosting, for distributed computing
/// </summary>
private void DistributedBuildBoostTree(Metrics metrics, BoostTreeLoss boostTreeLoss, DataFeatureSampleRate dataFeatureSampleRate,
int maxTreeSize, int minNumSamples, int numIter,
int cThreads, Random r)
{
float minValidationErr = 100;
float[] funValueGain = new float[this.numSamples];
//(1) compute scores produced by the sub-model
boostTreeLoss.ModelEval(this.subModel, this.labelFeatureDataCoded, this.subModelScore);
//(2) compute the corresponding function values;
boostTreeLoss.ModelScoresToFuncValues();
//(3) compute the metrics of the sub-model
int m = optIter = 0;
metrics.ComputeMetrics(boostTreeLoss.ModelScores, m, false);
#if VERBOSE
Console.WriteLine(metrics.ResultsHeaderStr());
Console.WriteLine(metrics.ResultsStr(m));
#endif
//(4) creat samplers to sub-sampl the features and data during node spliting
RandomSampler featureSampler = new RandomSampler(r);
RandomSampler dataSampler = new RandomSampler(r);
//(5) creat the object that does node splitting
#if SINGLE_THREAD
// single-threaded
this.findSplit = new FindSplitSync();
#else
// multi-threaded
this.findSplit = new FindSplitAsync(cThreads);
#endif //SINGLE_THREAD
//(6) Iteratively building boosted trees
for (m = 0; m < numIter; m++)
{
//returns array of regression trees (one per class k) for this iteration
RegressionTree[] candidateTree = GetNextWeakLearner(m, funValueGain, metrics,boostTreeLoss,dataFeatureSampleRate, dataSampler, featureSampler, maxTreeSize,minNumSamples,cThreads,r);
AddWeakLearner(candidateTree, funValueGain, m, metrics, boostTreeLoss, dataFeatureSampleRate, maxTreeSize, minNumSamples, cThreads, r);
//compute the metrics of the current system
boostTreeLoss.FuncValuesToModelScores();
metrics.ComputeMetrics(boostTreeLoss.ModelScores, m + 1, false);
#if VERBOSE
Console.WriteLine(metrics.ResultsStr(m + 1));
#endif
//keep track of the best (minimal Error) iteration on the Validation data set
this.optIter = metrics.GetBest(DataPartitionType.Validation, ref minValidationErr);
if ((m + 1) % 5 == 0) // save the tree every 5 iterations
SaveBoostTree();
}
if (this.findSplit != null)
{
this.findSplit.Cleanup();
}
}
public RegressionTree[] GetNextWeakLearner(int m, float[] funValueGain, Metrics metrics, BoostTreeLoss boostTreeLoss, DataFeatureSampleRate dataFeatureSampleRate, RandomSampler dataSampler, RandomSampler featureSampler,
int maxTreeSize, int minNumSamples, int cThreads, Random r)
{
// select a fraction of data groups for this iteration
float sampleRate = dataFeatureSampleRate.SampleDataGroupRate(m);
DataSet workDataSet = this.labelFeatureDataCoded.DataGroups.GetDataPartition(DataPartitionType.Train, sampleRate, r);
workDataSet.Sort(); // sorting gains some noticable speedup.
// compute the pseudo response of the current system
boostTreeLoss.ComputePseudoResponse(workDataSet);
//set the data and feature sampling rate for node spliting in this iteration
featureSampler.SampleRate = dataFeatureSampleRate.SampleFeatureRate(m);
dataSampler.SampleRate = dataFeatureSampleRate.SampleDataRate(m);
// fit a residual model (regression trees) from the pseudo response
// to compensate the error of the current system
RegressionTree[] newTree = new RegressionTree[boostTreeLoss.NumTreesPerIteration];
for (int k = 0; k < boostTreeLoss.NumTreesPerIteration; k++)
{
//only use the important data points if necessary
int[] trimIndex = boostTreeLoss.TrimIndex(workDataSet, k, m);
//build a regression tree according to the pseduo-response
newTree[k] = new RegressionTree(this.labelFeatureDataCoded, boostTreeLoss, k, trimIndex,
dataSampler, featureSampler, maxTreeSize, minNumSamples, this.findSplit, this.tempSpace);
//compute the function value of all data points produced by the newly generated regression tree
newTree[k].PredictFunValue(this.labelFeatureDataCoded, ref funValueGain);
//try to do a more global optimalization - refine the leaf node response of a decision tree
//by looking at all the training data points, instead of only the ones falling into the regaion.
//Here we are estimate and apply a global mutiplication factor for all leaf nodes
float adjFactor = (m > 0) ? boostTreeLoss.ComputeResponseAdjust(funValueGain) : 1.0F;
//apply the multiplication factor to the leaf nodes of the newly generated regression tree
newTree[k].AdjustResponse(adjFactor);
newTree[k].AdjustFactor = adjFactor;
}
//return the k regression trees
return newTree;
}
private void BuildRegressionTree(BoostTreeLoss boostTreeLoss, int iTree, IFindSplit findSplit, RandomSampler featureSampler, RandomSampler dataSampler)
{
this.responses = boostTreeLoss.PseudoResponse(iTree);
TreeNode root = new TreeNode();
root.isTerminal = true;
root.dataPoints = Vector.IndexArray(this.workIndex.Length);
this.tree = new TreeNode[2 * maxTreeSize - 1];
this.tree[0] = root;
for (int i = 0; i < maxTreeSize - 1; i++)
{
float maxGain = -1;
int bestRegion = -1;
TreeNode leftNode = new TreeNode();
TreeNode rightNode = new TreeNode();
//qiangwu: compute the best split for new nodes
// We only need to explore the last two nodes because they are and only they are new nodes i.e.
// for (int j = 2*i; j >= 0; j--)
for (int j = 0; j < 2 * i + 1; j++)
{
TreeNode curNode = this.tree[j];
//qiangwu: (assert curNode.split<0 && curNode.isTerminal) <==> (2*i-1 <= j <= 2*i)
if (curNode.split<0 && curNode.isTerminal && curNode.dataPoints.Length >= this.minNumSamples)
{
dataSampler.Shuffle(curNode.dataPoints.Length);
featureSampler.Shuffle(this.numFeatures);
Split bestSplit = findSplit.FindBestSplit(this.labelFeatureDataCoded, this.responses, curNode.dataPoints, this.workIndex, featureSampler, dataSampler, this.minNumSamples);
//qiangwu: the only way (bestSplit.feature < 0) not slippint is because this.dataColRange[dim]=1 for all
// dimensions. I.e. the values all of data points in every dimension are the same (or in one bin)
if (bestSplit.feature >= 0)
{
curNode.split = bestSplit.feature;
curNode.gain = (float)bestSplit.gain;
curNode.splitValueCoded = bestSplit.iThresh + 0.2F; // add 0.2 to avoid boundary check or floating point rounding
curNode.splitValue = this.labelFeatureDataCoded.ConvertToOrigData(curNode.split, curNode.splitValueCoded);
//SplitOneDim(curNode.dataPoints, regionSplitDim, regionSplitPoint, out curNode.leftPoints, out curNode.rightPoints);
}
}
if (curNode.gain > maxGain)
{
maxGain = curNode.gain;
bestRegion = j;
}
}
if (bestRegion == -1)
break;
TreeNode bestNode = this.tree[bestRegion];
SplitOneDim(bestNode.dataPoints, bestNode.split, (int)bestNode.splitValueCoded, out bestNode.leftPoints, out bestNode.rightPoints);
leftNode.isTerminal = true; leftNode.parent = bestRegion;
leftNode.dataPoints = bestNode.leftPoints;
rightNode.isTerminal = true; rightNode.parent = bestRegion;
rightNode.dataPoints = bestNode.rightPoints;
this.tree[2 * i + 1] = leftNode; this.tree[2 * i + 2] = rightNode;
this.featureImportance[bestNode.split] += bestNode.gain;
bestNode.leftChild = 2 * i + 1;
bestNode.rightChild = 2 * i + 2;
bestNode.isTerminal = false;
bestNode.gain = -1;
bestNode.dataPoints = null;
bestNode.leftPoints = null;
bestNode.rightPoints = null;
GC.Collect(); // hope for the best.
}
//qiangwu: compute the response of newly created region (node)
for (int i = 0; i < this.tree.Length; i++)
{
if (this.tree[i] != null && this.tree[i].isTerminal)
{
Debug.Assert(this.tree[i].dataPoints.Length >= this.minNumSamples, "Regression Tree split has problems");
float v = boostTreeLoss.Response(this.tree[i].dataPoints, this.workIndex, iTree);
//round the regional value to 5 decimal point
//to remove/alleviate the differences due to floating point precision
//so that different algorithms produces the same model/results
#if ROUND
this.tree[i].regionValue = (float)Math.Round(v, 5);
#else
this.tree[i].regionValue = v;
#endif //ROUND
this.tree[i].dataPoints = null;
this.tree[i].leftPoints = null;
this.tree[i].rightPoints = null;
GC.Collect();
}
}
}
public RegressionTree(LabelFeatureDataCoded labelFeatureDataCoded, BoostTreeLoss boostTreeLoss, int iTree, int[] workIndex,
RandomSampler featureSampler, RandomSampler dataSampler,
int maxTreeSize, int minNumSamples,
IFindSplit findSplit, TempSpace tempSpace)
{
this.labelFeatureDataCoded = labelFeatureDataCoded;
this.workIndex = workIndex;
this.numFeatures = labelFeatureDataCoded.NumFeatures;
this.maxTreeSize = maxTreeSize;
this.featureImportance = new float[this.numFeatures];
this.minNumSamples = minNumSamples;
//distributed setting
this.adjustFactor = 1.0F;
InitTempSpace(tempSpace);
BuildRegressionTree(boostTreeLoss, iTree, findSplit, dataSampler, featureSampler);
GC.Collect(); // hope for the best!!!
}
public Split FindBestSplit(LabelFeatureDataCoded labelFeatureDataCoded, float[] responses,
int[] dataPoints, int[] workIndex, RandomSampler featureSampler,
RandomSampler dataSampler, int minNumSamples)
{
findSplitObj.SetData(labelFeatureDataCoded, responses,
dataPoints, workIndex,
0, featureSampler.SampleSize, featureSampler, dataSampler,
minNumSamples);
findSplitObj.Find();
return findSplitObj.bestSplit;
}
public void SetData(LabelFeatureDataCoded LabelFeatureDataCoded, float[] responses,
int[] dataPoints, int[] workIndex,
int iStart, int iEnd, RandomSampler featureSampler,
RandomSampler dataSampler, int minNumSamples)
{
this.LabelFeatureDataCoded = LabelFeatureDataCoded;
this.responses = responses;
this.dataPoints = dataPoints;
this.workIndex = workIndex;
this.iStart = iStart;
this.iEnd = iEnd;
this.featureSampler = featureSampler;
this.dataSampler = dataSampler;
this.minNumSamples = minNumSamples;
}
public Split FindBestSplit(LabelFeatureDataCoded labelFeatureDataCoded, float[] responses,
int[] dataPoints, int[] workIndex, RandomSampler featureSampler,
RandomSampler dataSampler, int minNumSamples)
{
InitThreads();
for (int i = 0; i < featureSampler.SampleSize; i++)
{
//wait for any of the thread to finish
int iThread = WaitHandle.WaitAny(this.DoneEvents);
DoneEvents[iThread].Reset();
FindSplitObj_Thread threadObj = findSplitThreadObjList[iThread];
//update the bestSplit given the result of just finished thread
if (threadObj.bestSplit > bestSplit)
{
threadObj.bestSplit.CopyTo(bestSplit);
}
//assign the data to the thread
threadObj.SetData(labelFeatureDataCoded, responses,
dataPoints, workIndex, i, i+1, featureSampler, dataSampler, minNumSamples);
//set the thread into motion
StartEvents[iThread].Set();
}
WaitHandle.WaitAll(DoneEvents);
for (int i = 0; i < this.cThreads; i++)
{
FindSplitObj_Thread threadObj = findSplitThreadObjList[i];
if (threadObj.bestSplit > bestSplit)
{
threadObj.bestSplit.CopyTo(bestSplit);
}
}
return bestSplit;
}