support base_margin for xgboost

NEWS.md

@@ -1,7 +1,8 @@
 # mlr3learners (development version)
 
+* feat: use `base_margin` in xgboost learners (#205)
 * bugfix: validation for learner `lrn("regr.xgboost")` now works properly. Previously the training data was used.
-* feat: add weights for logistic regression again, which were incorrectlu removed
+* feat: add weights for logistic regression again, which were incorrectly removed
   in a previous release (#265)
 * BREAKING_CHANGE: When using internal tuning for xgboost learners, the `eval_metric` must now be set.
   This achieves that one needs to make the conscious decision which performance metric to use for

R/LearnerClassifXgboost.R

@@ -95,6 +95,7 @@ LearnerClassifXgboost = R6Class("LearnerClassifXgboost",
         alpha                       = p_dbl(0, default = 0, tags = "train"),
         approxcontrib               = p_lgl(default = FALSE, tags = "predict"),
         base_score                  = p_dbl(default = 0.5, tags = "train"),
+        base_margin                 = p_uty(default = NULL, tags = "train", custom_check = crate({function(x) check_character(x, len = 1, null.ok = TRUE, min.chars = 1)})),
         booster                     = p_fct(c("gbtree", "gblinear", "dart"), default = "gbtree", tags = c("train", "control")),
         callbacks                   = p_uty(default = list(), tags = "train"),
         colsample_bylevel           = p_dbl(0, 1, default = 1, tags = "train"),
@@ -244,13 +245,24 @@ LearnerClassifXgboost = R6Class("LearnerClassifXgboost",
       )
 
       data = task$data(cols = task$feature_names)
-      # recode to 0:1 to that for the binary case the positive class translates to 1 (#32)
+      # recode to 0:1 so that for the binary case the positive class translates to 1 (#32)
       # note that task$truth() is guaranteed to have the factor levels in the right order
       label = nlvls - as.integer(task$truth())
-      data = xgboost::xgb.DMatrix(data = as_numeric_matrix(data), label = label)
+      xgb_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(data), label = label)
 
       if ("weights" %in% task$properties) {
-        xgboost::setinfo(data, "weight", task$weights$weight)
+        xgboost::setinfo(xgb_data, "weight", task$weights$weight)
+      }
+
+      base_margin = pv$base_margin
+      pv$base_margin = NULL # silence xgb.train message
+      if (!is.null(base_margin)) {
+        # base_margin must be a task feature and works only with
+        # binary classification objectives
+        assert(check_true(base_margin %in% task$feature_names),
+               check_true(startsWith(pv$objective, "binary")),
+               combine = "and")
+        xgboost::setinfo(xgb_data, "base_margin", data[[base_margin]])
       }
 
       # the last element in the watchlist is used as the early stopping set
@@ -262,8 +274,12 @@ LearnerClassifXgboost = R6Class("LearnerClassifXgboost",
       if (!is.null(internal_valid_task)) {
         test_data = internal_valid_task$data(cols = internal_valid_task$feature_names)
         test_label = nlvls - as.integer(internal_valid_task$truth())
-        test_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(test_data), label = test_label)
-        pv$watchlist = c(pv$watchlist, list(test = test_data))
+        xgb_test_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(test_data), label = test_label)
+        if (!is.null(base_margin)) {
+          xgboost::setinfo(xgb_test_data, "base_margin", test_data[[base_margin]])
+        }
+
+        pv$watchlist = c(pv$watchlist, list(test = xgb_test_data))
       }
 
       # set internal validation measure
@@ -293,7 +309,7 @@ LearnerClassifXgboost = R6Class("LearnerClassifXgboost",
         pv$maximize = !measure$minimize
       }
 
-      invoke(xgboost::xgb.train, data = data, .args = pv)
+      invoke(xgboost::xgb.train, data = xgb_data, .args = pv)
     },
 
     .predict = function(task) {

R/LearnerRegrXgboost.R

@@ -72,6 +72,7 @@ LearnerRegrXgboost = R6Class("LearnerRegrXgboost",
         alpha                       = p_dbl(0, default = 0, tags = "train"),
         approxcontrib               = p_lgl(default = FALSE, tags = "predict"),
         base_score                  = p_dbl(default = 0.5, tags = "train"),
+        base_margin                 = p_uty(default = NULL, tags = "train", custom_check = crate({function(x) check_character(x, len = 1, null.ok = TRUE, min.chars = 1)})),
         booster                     = p_fct(c("gbtree", "gblinear", "dart"), default = "gbtree", tags = "train"),
         callbacks                   = p_uty(default = list(), tags = "train"),
         colsample_bylevel           = p_dbl(0, 1, default = 1, tags = "train"),
@@ -200,10 +201,18 @@ LearnerRegrXgboost = R6Class("LearnerRegrXgboost",
 
       data = task$data(cols = task$feature_names)
       target = task$data(cols = task$target_names)
-      data = xgboost::xgb.DMatrix(data = as_numeric_matrix(data), label = data.matrix(target))
+      xgb_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(data), label = data.matrix(target))
 
       if ("weights" %in% task$properties) {
-        xgboost::setinfo(data, "weight", task$weights$weight)
+        xgboost::setinfo(xgb_data, "weight", task$weights$weight)
+      }
+
+      base_margin = pv$base_margin
+      pv$base_margin = NULL # silence xgb.train message
+      if (!is.null(base_margin)) {
+        # base_margin must be a task feature
+        assert_true(base_margin %in% task$feature_names)
+        xgboost::setinfo(xgb_data, "base_margin", data[[base_margin]])
       }
 
       # the last element in the watchlist is used as the early stopping set
@@ -214,8 +223,12 @@ LearnerRegrXgboost = R6Class("LearnerRegrXgboost",
       if (!is.null(internal_valid_task)) {
         test_data = internal_valid_task$data(cols = task$feature_names)
         test_target = internal_valid_task$data(cols = task$target_names)
-        test_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(test_data), label = data.matrix(test_target))
-        pv$watchlist = c(pv$watchlist, list(test = test_data))
+        xgb_test_data = xgboost::xgb.DMatrix(data = as_numeric_matrix(test_data), label = data.matrix(test_target))
+        if (!is.null(base_margin)) {
+          xgboost::setinfo(xgb_test_data, "base_margin", test_data[[base_margin]])
+        }
+
+        pv$watchlist = c(pv$watchlist, list(test = xgb_test_data))
       }
 
       # set internal validation measure
@@ -235,7 +248,7 @@ LearnerRegrXgboost = R6Class("LearnerRegrXgboost",
         pv$maximize = !measure$minimize
       }
 
-      invoke(xgboost::xgb.train, data = data, .args = pv)
+      invoke(xgboost::xgb.train, data = xgb_data, .args = pv)
     },
     #' Returns the `$best_iteration` when early stopping is activated.
     .predict = function(task) {

inst/paramtest/test_paramtest_classif.xgboost.R

@@ -17,7 +17,7 @@ add_params_xgboost = x %>%
   # values which do not match regex
   append(values = c("interaction_constraints", "monotone_constraints", "base_score")) %>%
   # only defined in help page but not in signature or website
-  append(values = "lambda_bias")
+  append(values = c("lambda_bias", "base_margin"))
 
 test_that("classif.xgboost", {
   learner = lrn("classif.xgboost", nrounds = 1L)

inst/paramtest/test_paramtest_regr.xgboost.R

@@ -17,7 +17,7 @@ add_params_xgboost = x %>%
   # values which do not match regex
   append(values = c("interaction_constraints", "monotone_constraints", "base_score")) %>%
   # only defined in help page but not in signature or website
-  append(values = "lambda_bias")
+  append(values = c("lambda_bias", "base_margin"))
 
 test_that("regr.xgboost", {
   learner = lrn("regr.xgboost", nrounds = 1L)

tests/testthat/test_classif_xgboost.R

@@ -366,3 +366,28 @@ test_that("mlr3measures are equal to internal measures", {
   expect_equal(log_mlr3$test_classif.ce, log_internal$test_error)
 
 })
+
+
+test_that("base_margin", {
+  # input checks
+  expect_error(lrn("classif.xgboost", base_margin = 1), "Must be of type")
+  expect_error(lrn("classif.xgboost", base_margin = ""), "have at least 1 characters")
+  expect_error(lrn("classif.xgboost", base_margin = c("a", "b")), "have length 1")
+
+  # base_margin not a feature
+  task = tsk("iris")
+  learner = lrn("classif.xgboost", base_margin = "not_a_feature")
+  expect_error(learner$train(task), "base_margin %in%")
+
+  # base_margin is a feature but objective is multiclass
+  learner = lrn("classif.xgboost", base_margin = "Petal.Length")
+  expect_error(learner$train(task), "startsWith")
+
+  # predictions change
+  task = tsk("sonar") # binary classification task
+  l1 = lrn("classif.xgboost", nrounds = 5, predict_type = "prob")
+  l2 = lrn("classif.xgboost", nrounds = 5, base_margin = "V9", predict_type = "prob")
+  p1 = l1$train(task)$predict(task)
+  p2 = l2$train(task)$predict(task)
+  expect_false(all(p1$prob[, 1L] == p2$prob[, 1L]))
+})

tests/testthat/test_regr_xgboost.R

@@ -226,3 +226,22 @@ test_that("mlr3measures are equal to internal measures", {
 
   expect_equal(log_mlr3, log_internal)
 })
+
+test_that("base_margin", {
+  # input checks
+  expect_error(lrn("regr.xgboost", base_margin = 1), "Must be of type")
+  expect_error(lrn("regr.xgboost", base_margin = ""), "have at least 1 characters")
+  expect_error(lrn("regr.xgboost", base_margin = c("a", "b")), "have length 1")
+
+  # base_margin not a feature
+  task = tsk("mtcars")
+  learner = lrn("regr.xgboost", base_margin = "not_a_feature")
+  expect_error(learner$train(task), "base_margin %in%")
+
+  # predictions change
+  l1 = lrn("regr.xgboost", nrounds = 5)
+  l2 = lrn("regr.xgboost", nrounds = 5, base_margin = "qsec")
+  p1 = l1$train(task)$predict(task)
+  p2 = l2$train(task)$predict(task)
+  expect_false(all(p1$response == p2$response))
+})