# frozen_string_literal: true require 'rumale/rumale' require 'rumale/base/base_estimator' require 'rumale/base/regressor' require 'rumale/tree/node' module Rumale module Tree # GradientTreeRegressor is a class that implements decision tree for regression with exact gredy algorithm. # This class is used internally for estimators with gradient tree boosting. # # *Reference* # - Friedman, J H., "Greedy Function Approximation: A Gradient Boosting Machine," Annals of Statistics, 29 (5), pp. 1189--1232, 2001. # - Friedman, J H., "Stochastic Gradient Boosting," Computational Statistics and Data Analysis, 38 (4), pp. 367--378, 2002. # - Chen, T., and Guestrin, C., "XGBoost: A Scalable Tree Boosting System," Proc. KDD'16, pp. 785--794, 2016. class GradientTreeRegressor include Base::BaseEstimator include Base::Regressor include ExtGradientTreeRegressor # Return the importance for each feature. # The feature importances are calculated based on the numbers of times the feature is used for splitting. # @return [Numo::DFloat] (shape: [n_features]) attr_reader :feature_importances # Return the learned tree. # @return [Node] attr_reader :tree # Return the random generator for random selection of feature index. # @return [Random] attr_reader :rng # Return the values assigned each leaf. # @return [Numo::DFloat] (shape: [n_leaves]) attr_reader :leaf_weights # Initialize a gradient tree regressor # # @param reg_lambda [Float] The L2 regularization term on weight. # @param shrinkage_rate [Float] The shrinkage rate for weight. # @param max_depth [Integer] The maximum depth of the tree. # If nil is given, decision tree grows without concern for depth. # @param max_leaf_nodes [Integer] The maximum number of leaves on decision tree. # If nil is given, number of leaves is not limited. # @param min_samples_leaf [Integer] The minimum number of samples at a leaf node. # @param max_features [Integer] The number of features to consider when searching optimal split point. # If nil is given, split process considers all features. # @param random_seed [Integer] The seed value using to initialize the random generator. # It is used to randomly determine the order of features when deciding spliting point. def initialize(reg_lambda: 0.0, shrinkage_rate: 1.0, max_depth: nil, max_leaf_nodes: nil, min_samples_leaf: 1, max_features: nil, random_seed: nil) check_params_numeric_or_nil(max_depth: max_depth, max_leaf_nodes: max_leaf_nodes, max_features: max_features, random_seed: random_seed) check_params_numeric(reg_lambda: reg_lambda, shrinkage_rate: shrinkage_rate, min_samples_leaf: min_samples_leaf) check_params_positive(reg_lambda: reg_lambda, shrinkage_rate: shrinkage_rate, max_depth: max_depth, max_leaf_nodes: max_leaf_nodes, min_samples_leaf: min_samples_leaf, max_features: max_features) @params = {} @params[:reg_lambda] = reg_lambda @params[:shrinkage_rate] = shrinkage_rate @params[:max_depth] = max_depth @params[:max_leaf_nodes] = max_leaf_nodes @params[:min_samples_leaf] = min_samples_leaf @params[:max_features] = max_features @params[:random_seed] = random_seed @params[:random_seed] ||= srand @tree = nil @feature_importances = nil @n_leaves = nil @leaf_weights = nil @rng = Random.new(@params[:random_seed]) end # Fit the model with given training data. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The training data to be used for fitting the model. # @param y [Numo::DFloat] (shape: [n_samples]) The taget values to be used for fitting the model. # @param g [Numo::DFloat] (shape: [n_samples]) The gradient of loss function. # @param h [Numo::DFloat] (shape: [n_samples]) The hessian of loss function. # @return [GradientTreeRegressor] The learned regressor itself. def fit(x, y, g, h) x = check_convert_sample_array(x) y = check_convert_tvalue_array(y) g = check_convert_tvalue_array(g) h = check_convert_tvalue_array(h) check_sample_tvalue_size(x, y) # Initialize some variables. n_features = x.shape[1] @params[:max_features] ||= n_features @n_leaves = 0 @leaf_weights = [] @feature_importances = Numo::DFloat.zeros(n_features) @sub_rng = @rng.dup # Build tree. build_tree(x, y, g, h) @leaf_weights = Numo::DFloat[*@leaf_weights] self end # Predict values for samples. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the values. # @return [Numo::DFloat] (size: n_samples) Predicted values per sample. def predict(x) x = check_convert_sample_array(x) @leaf_weights[apply(x)].dup end # Return the index of the leaf that each sample reached. # # @param x [Numo::DFloat] (shape: [n_samples, n_features]) The samples to predict the labels. # @return [Numo::Int32] (shape: [n_samples]) Leaf index for sample. def apply(x) x = check_convert_sample_array(x) Numo::Int32[*(Array.new(x.shape[0]) { |n| apply_at_node(@tree, x[n, true]) })] end private def apply_at_node(node, sample) return node.leaf_id if node.leaf return apply_at_node(node.left, sample) if node.right.nil? return apply_at_node(node.right, sample) if node.left.nil? if sample[node.feature_id] <= node.threshold apply_at_node(node.left, sample) else apply_at_node(node.right, sample) end end def build_tree(x, y, g, h) @feature_ids = Array.new(x.shape[1]) { |v| v } @tree = grow_node(0, x, y, g, h) @feature_ids = nil nil end def grow_node(depth, x, y, g, h) # intialize some variables. sum_g = g.sum sum_h = h.sum n_samples = x.shape[0] node = Node.new(depth: depth, n_samples: n_samples) # terminate growing. unless @params[:max_leaf_nodes].nil? return nil if @n_leaves >= @params[:max_leaf_nodes] end return nil if n_samples < @params[:min_samples_leaf] return put_leaf(node, sum_g, sum_h) if n_samples == @params[:min_samples_leaf] unless @params[:max_depth].nil? return put_leaf(node, sum_g, sum_h) if depth == @params[:max_depth] end return put_leaf(node, sum_g, sum_h) if stop_growing?(y) # calculate optimal parameters. feature_id, threshold, gain = rand_ids.map { |n| [n, *best_split(x[true, n], g, h, sum_g, sum_h)] }.max_by(&:last) return put_leaf(node, sum_g, sum_h) if gain.nil? || gain.zero? left_ids = x[true, feature_id].le(threshold).where right_ids = x[true, feature_id].gt(threshold).where node.left = grow_node(depth + 1, x[left_ids, true], y[left_ids], g[left_ids], h[left_ids]) node.right = grow_node(depth + 1, x[right_ids, true], y[right_ids], g[right_ids], h[right_ids]) return put_leaf(node, sum_g, sum_h) if node.left.nil? && node.right.nil? @feature_importances[feature_id] += 1.0 node.feature_id = feature_id node.threshold = threshold node.leaf = false node end def stop_growing?(y) y.to_a.uniq.size == 1 end def put_leaf(node, sum_g, sum_h) node.probs = nil node.leaf = true node.leaf_id = @n_leaves weight = -@params[:shrinkage_rate] * sum_g / (sum_h + @params[:reg_lambda]) @leaf_weights.push(weight) @n_leaves += 1 node end def best_split(f, g, h, sum_g, sum_h) find_split_params(f.sort_index, f, g, h, sum_g, sum_h, @params[:reg_lambda]) end def rand_ids @feature_ids.sample(@params[:max_features], random: @sub_rng) end end end end