#' @importFrom R6 R6Class CVBooster <- R6::R6Class( classname = "lgb.CVBooster", cloneable = FALSE, public = list( best_iter = -1L, best_score = NA, record_evals = list(), boosters = list(), initialize = function(x) { self$boosters <- x return(invisible(NULL)) }, reset_parameter = function(new_params) { for (x in self$boosters) { x[["booster"]]$reset_parameter(params = new_params) } return(invisible(self)) } ) ) #' @name lgb.cv #' @title Main CV logic for LightGBM #' @description Cross validation logic used by LightGBM #' @inheritParams lgb_shared_params #' @param nfold the original dataset is randomly partitioned into \code{nfold} equal size subsamples. #' @param label Deprecated. See "Deprecated Arguments" section below. #' @param weight Deprecated. See "Deprecated Arguments" section below. #' @param record Boolean, TRUE will record iteration message to \code{booster$record_evals} #' @param showsd \code{boolean}, whether to show standard deviation of cross validation. #' This parameter defaults to \code{TRUE}. Setting it to \code{FALSE} can lead to a #' slight speedup by avoiding unnecessary computation. #' @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 Deprecated. See "Deprecated Arguments" section below. #' @param categorical_feature Deprecated. See "Deprecated Arguments" section below. #' @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 eval_train_metric \code{boolean}, whether to add the cross validation results on the #' training data. This parameter defaults to \code{FALSE}. Setting it to \code{TRUE} #' will increase run time. #' @inheritSection lgb_shared_params Early Stopping #' @return a trained model \code{lgb.CVBooster}. #' #' @examples #' \donttest{ #' \dontshow{setLGBMthreads(2L)} #' \dontshow{data.table::setDTthreads(1L)} #' data(agaricus.train, package = "lightgbm") #' train <- agaricus.train #' dtrain <- lgb.Dataset(train$data, label = train$label) #' params <- list( #' objective = "regression" #' , metric = "l2" #' , min_data = 1L #' , learning_rate = 1.0 #' , num_threads = 2L #' ) #' model <- lgb.cv( #' params = params #' , data = dtrain #' , nrounds = 5L #' , nfold = 3L #' ) #' } #' #' @section Deprecated Arguments: #' #' A future release of \code{lightgbm} will require passing an \code{lgb.Dataset} #' to argument \code{'data'}. It will also remove support for passing arguments #' \code{'categorical_feature'}, \code{'colnames'}, \code{'label'}, and \code{'weight'}. #' #' @importFrom data.table data.table setorderv #' @export lgb.cv <- function(params = list() , data , nrounds = 100L , nfold = 3L , label = NULL , weight = NULL , obj = NULL , eval = NULL , verbose = 1L , 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 , serializable = TRUE , eval_train_metric = FALSE ) { if (nrounds <= 0L) { stop("nrounds should be greater than zero") } # If 'data' is not an lgb.Dataset, try to construct one using 'label' if (!.is_Dataset(x = data)) { warning(paste0( "Passing anything other than an lgb.Dataset object to lgb.cv() is deprecated. " , "Either pass an lgb.Dataset object, or use lightgbm()." )) if (is.null(label)) { stop("'label' must be provided for lgb.cv if 'data' is not an 'lgb.Dataset'") } data <- lgb.Dataset(data = data, label = label) } # raise deprecation warnings if necessary # ref: https://github.com/microsoft/LightGBM/issues/6435 args <- names(match.call()) if ("categorical_feature" %in% args) { .emit_dataset_kwarg_warning("categorical_feature", "lgb.cv") } if ("colnames" %in% args) { .emit_dataset_kwarg_warning("colnames", "lgb.cv") } if ("label" %in% args) { .emit_dataset_kwarg_warning("label", "lgb.cv") } if ("weight" %in% args) { .emit_dataset_kwarg_warning("weight", "lgb.cv") } # set some parameters, resolving the way they were passed in with other parameters # in `params`. # this ensures that the model stored with Booster$save() correctly represents # what was passed in params <- .check_wrapper_param( main_param_name = "verbosity" , params = params , alternative_kwarg_value = verbose ) params <- .check_wrapper_param( main_param_name = "num_iterations" , params = params , alternative_kwarg_value = nrounds ) params <- .check_wrapper_param( main_param_name = "metric" , params = params , alternative_kwarg_value = NULL ) params <- .check_wrapper_param( main_param_name = "objective" , params = params , alternative_kwarg_value = obj ) params <- .check_wrapper_param( main_param_name = "early_stopping_round" , params = params , alternative_kwarg_value = early_stopping_rounds ) early_stopping_rounds <- params[["early_stopping_round"]] # extract any function objects passed for objective or metric fobj <- NULL if (is.function(params$objective)) { fobj <- params$objective params$objective <- "none" } # If eval is a single function, store it as a 1-element list # (for backwards compatibility). If it is a list of functions, store # all of them. This makes it possible to pass any mix of strings like "auc" # and custom functions to eval params <- .check_eval(params = params, eval = eval) eval_functions <- list(NULL) if (is.function(eval)) { eval_functions <- list(eval) } if (methods::is(eval, "list")) { eval_functions <- Filter( f = is.function , x = eval ) } # Init predictor to empty predictor <- NULL # Check for boosting from a trained model if (is.character(init_model)) { predictor <- Predictor$new(modelfile = init_model) } else if (.is_Booster(x = init_model)) { predictor <- init_model$to_predictor() } # Set the iteration to start from / end to (and check for boosting from a trained model, again) begin_iteration <- 1L if (!is.null(predictor)) { begin_iteration <- predictor$current_iter() + 1L } end_iteration <- begin_iteration + params[["num_iterations"]] - 1L # pop interaction_constraints off of params. It needs some preprocessing on the # R side before being passed into the Dataset object interaction_constraints <- params[["interaction_constraints"]] params["interaction_constraints"] <- NULL # Construct datasets, if needed data$update_params(params = params) data$construct() # Check interaction constraints cnames <- NULL if (!is.null(colnames)) { cnames <- colnames } else if (!is.null(data$get_colnames())) { cnames <- data$get_colnames() } params[["interaction_constraints"]] <- .check_interaction_constraints( interaction_constraints = interaction_constraints , column_names = cnames ) if (!is.null(weight)) { data$set_field(field_name = "weight", data = weight) } # Update parameters with parsed parameters data$update_params(params = params) # Create the predictor set data$.__enclos_env__$private$set_predictor(predictor = predictor) # Write column names if (!is.null(colnames)) { data$set_colnames(colnames = colnames) } # Write categorical features if (!is.null(categorical_feature)) { data$set_categorical_feature(categorical_feature = categorical_feature) } if (!is.null(folds)) { # Check for list of folds or for single value if (!identical(class(folds), "list") || length(folds) < 2L) { stop(sQuote("folds"), " must be a list with 2 or more elements that are vectors of indices for each CV-fold") } } else { if (nfold <= 1L) { stop(sQuote("nfold"), " must be > 1") } # Create folds folds <- .generate_cv_folds( nfold = nfold , nrows = nrow(data) , stratified = stratified , label = get_field(dataset = data, field_name = "label") , group = get_field(dataset = data, field_name = "group") , params = params ) } # Add printing log callback if (params[["verbosity"]] > 0L && eval_freq > 0L) { callbacks <- .add_cb(cb_list = callbacks, cb = cb_print_evaluation(period = eval_freq)) } # Add evaluation log callback if (record) { callbacks <- .add_cb(cb_list = callbacks, cb = cb_record_evaluation()) } # Did user pass parameters that indicate they want to use early stopping? using_early_stopping <- !is.null(early_stopping_rounds) && early_stopping_rounds > 0L boosting_param_names <- .PARAMETER_ALIASES()[["boosting"]] using_dart <- any( sapply( X = boosting_param_names , FUN = function(param) { identical(params[[param]], "dart") } ) ) # Cannot use early stopping with 'dart' boosting if (using_dart) { warning("Early stopping is not available in 'dart' mode.") using_early_stopping <- FALSE # Remove the cb_early_stop() function if it was passed in to callbacks callbacks <- Filter( f = function(cb_func) { !identical(attr(cb_func, "name"), "cb_early_stop") } , x = callbacks ) } # If user supplied early_stopping_rounds, add the early stopping callback if (using_early_stopping) { callbacks <- .add_cb( cb_list = callbacks , cb = cb_early_stop( stopping_rounds = early_stopping_rounds , first_metric_only = isTRUE(params[["first_metric_only"]]) , verbose = params[["verbosity"]] > 0L ) ) } cb <- .categorize_callbacks(cb_list = callbacks) # Construct booster for each fold. The data.table() code below is used to # guarantee that indices are sorted while keeping init_score and weight together # with the correct indices. Note that it takes advantage of the fact that # someDT$some_column returns NULL is 'some_column' does not exist in the data.table bst_folds <- lapply( X = seq_along(folds) , FUN = function(k) { # For learning-to-rank, each fold is a named list with two elements: # * `fold` = an integer vector of row indices # * `group` = an integer vector describing which groups are in the fold # For classification or regression tasks, it will just be an integer # vector of row indices folds_have_group <- "group" %in% names(folds[[k]]) if (folds_have_group) { test_indices <- folds[[k]]$fold test_group_indices <- folds[[k]]$group test_groups <- get_field(dataset = data, field_name = "group")[test_group_indices] train_groups <- get_field(dataset = data, field_name = "group")[-test_group_indices] } else { test_indices <- folds[[k]] } train_indices <- seq_len(nrow(data))[-test_indices] # set up test set indexDT <- data.table::data.table( indices = test_indices , weight = get_field(dataset = data, field_name = "weight")[test_indices] , init_score = get_field(dataset = data, field_name = "init_score")[test_indices] ) data.table::setorderv(x = indexDT, cols = "indices", order = 1L) dtest <- lgb.slice.Dataset(data, indexDT$indices) set_field(dataset = dtest, field_name = "weight", data = indexDT$weight) set_field(dataset = dtest, field_name = "init_score", data = indexDT$init_score) # set up training set indexDT <- data.table::data.table( indices = train_indices , weight = get_field(dataset = data, field_name = "weight")[train_indices] , init_score = get_field(dataset = data, field_name = "init_score")[train_indices] ) data.table::setorderv(x = indexDT, cols = "indices", order = 1L) dtrain <- lgb.slice.Dataset(data, indexDT$indices) set_field(dataset = dtrain, field_name = "weight", data = indexDT$weight) set_field(dataset = dtrain, field_name = "init_score", data = indexDT$init_score) if (folds_have_group) { set_field(dataset = dtest, field_name = "group", data = test_groups) set_field(dataset = dtrain, field_name = "group", data = train_groups) } booster <- Booster$new(params = params, train_set = dtrain) if (isTRUE(eval_train_metric)) { booster$add_valid(data = dtrain, name = "train") } booster$add_valid(data = dtest, name = "valid") return( list(booster = booster) ) } ) # Create new booster cv_booster <- CVBooster$new(x = bst_folds) # Callback env env <- CB_ENV$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$eval_list <- list() for (f in cb$pre_iter) { f(env) } # Update one boosting iteration msg <- lapply(cv_booster$boosters, function(fd) { fd$booster$update(fobj = fobj) out <- list() for (eval_function in eval_functions) { out <- append(out, fd$booster$eval_valid(feval = eval_function)) } return(out) }) # Prepare collection of evaluation results merged_msg <- .merge_cv_result( msg = msg , showsd = showsd ) # Write evaluation result in environment env$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$met_early_stop) break } # When early stopping is not activated, we compute the best iteration / score ourselves # based on the first first metric if (record && is.na(env$best_score)) { # when using a custom eval function, the metric name is returned from the # function, so figure it out from record_evals if (!is.null(eval_functions[1L])) { first_metric <- names(cv_booster$record_evals[["valid"]])[1L] } else { first_metric <- cv_booster$.__enclos_env__$private$eval_names[1L] } .find_best <- which.min if (isTRUE(env$eval_list[[1L]]$higher_better[1L])) { .find_best <- which.max } cv_booster$best_iter <- unname( .find_best( unlist( cv_booster$record_evals[["valid"]][[first_metric]][[.EVAL_KEY()]] ) ) ) cv_booster$best_score <- cv_booster$record_evals[["valid"]][[first_metric]][[.EVAL_KEY()]][[cv_booster$best_iter]] } # Propagate the best_iter attribute from the cv_booster to the individual boosters for (bst in cv_booster$boosters) { bst$booster$best_iter <- 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 }) } if (serializable) { lapply(cv_booster$boosters, function(model) model$booster$save_raw()) } return(cv_booster) } # Generates random (stratified if needed) CV folds .generate_cv_folds <- function(nfold, nrows, stratified, label, group, params) { # Check for group existence if (is.null(group)) { # Shuffle rnd_idx <- sample.int(nrows) # Request stratified folds if (isTRUE(stratified) && params$objective %in% c("binary", "multiclass") && length(label) == length(rnd_idx)) { y <- label[rnd_idx] y <- as.factor(y) folds <- .stratified_folds(y = y, k = 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 + 1L) 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("\nYou 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 + 1L) 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) } # Creates CV folds stratified by the values of y. # It was borrowed from caret::createFolds and simplified # by always returning an unnamed list of fold indices. #' @importFrom stats quantile .stratified_folds <- function(y, k) { # 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 < 2L) { cuts <- 2L } if (cuts > 5L) { cuts <- 5L } y <- cut( y , unique(stats::quantile(y, probs = seq.int(0.0, 1.0, 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 <- as.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 produced here. seqVector <- rep(seq_len(k), numInClass[i] %/% k) # Add enough random integers to get length(seqVector) == numInClass[i] if (numInClass[i] %% k > 0L) { 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)$y[i]] <- sample(seqVector) } } else { foldVector <- seq(along = y) } out <- split(seq(along = y), foldVector) names(out) <- NULL return(out) } .merge_cv_result <- function(msg, showsd) { if (length(msg) == 0L) { stop("lgb.cv: size of cv result error") } eval_len <- length(msg[[1L]]) if (eval_len == 0L) { stop("lgb.cv: should provide at least one metric for CV") } # Get evaluation results using a list apply eval_result <- lapply(seq_len(eval_len), function(j) { as.numeric(lapply(seq_along(msg), function(i) { msg[[i]][[j]]$value })) }) # Get evaluation. Just taking the first element here to # get structure (name, higher_better, data_name) ret_eval <- msg[[1L]] for (j in seq_len(eval_len)) { ret_eval[[j]]$value <- mean(eval_result[[j]]) } 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]] ^ 2L) - mean(eval_result[[j]]) ^ 2L) ) } ret_eval_err <- as.list(ret_eval_err) } return( list( eval_list = ret_eval , eval_err_list = ret_eval_err ) ) }