""" This module contains the loss classes. Specific losses are used for regression, binary classification or multiclass classification. """ # Author: Nicolas Hug from abc import ABC, abstractmethod import numpy as np from scipy.special import expit, logsumexp, xlogy from .common import Y_DTYPE from .common import G_H_DTYPE from ._loss import _update_gradients_least_squares from ._loss import _update_gradients_hessians_least_squares from ._loss import _update_gradients_least_absolute_deviation from ._loss import _update_gradients_hessians_least_absolute_deviation from ._loss import _update_gradients_hessians_binary_crossentropy from ._loss import _update_gradients_hessians_categorical_crossentropy from ._loss import _update_gradients_hessians_poisson from ...utils.stats import _weighted_percentile class BaseLoss(ABC): """Base class for a loss.""" def __init__(self, hessians_are_constant): self.hessians_are_constant = hessians_are_constant def __call__(self, y_true, raw_predictions, sample_weight): """Return the weighted average loss""" return np.average(self.pointwise_loss(y_true, raw_predictions), weights=sample_weight) @abstractmethod def pointwise_loss(self, y_true, raw_predictions): """Return loss value for each input""" # This variable indicates whether the loss requires the leaves values to # be updated once the tree has been trained. The trees are trained to # predict a Newton-Raphson step (see grower._finalize_leaf()). But for # some losses (e.g. least absolute deviation) we need to adjust the tree # values to account for the "line search" of the gradient descent # procedure. See the original paper Greedy Function Approximation: A # Gradient Boosting Machine by Friedman # (https://statweb.stanford.edu/~jhf/ftp/trebst.pdf) for the theory. need_update_leaves_values = False def init_gradients_and_hessians(self, n_samples, prediction_dim, sample_weight): """Return initial gradients and hessians. Unless hessians are constant, arrays are initialized with undefined values. Parameters ---------- n_samples : int The number of samples passed to `fit()`. prediction_dim : int The dimension of a raw prediction, i.e. the number of trees built at each iteration. Equals 1 for regression and binary classification, or K where K is the number of classes for multiclass classification. sample_weight : array-like of shape(n_samples,) default=None Weights of training data. Returns ------- gradients : ndarray, shape (prediction_dim, n_samples) The initial gradients. The array is not initialized. hessians : ndarray, shape (prediction_dim, n_samples) If hessians are constant (e.g. for `LeastSquares` loss, the array is initialized to ``1``. Otherwise, the array is allocated without being initialized. """ shape = (prediction_dim, n_samples) gradients = np.empty(shape=shape, dtype=G_H_DTYPE) if self.hessians_are_constant: # If the hessians are constant, we consider they are equal to 1. # - This is correct for the half LS loss # - For LAD loss, hessians are actually 0, but they are always # ignored anyway. hessians = np.ones(shape=(1, 1), dtype=G_H_DTYPE) else: hessians = np.empty(shape=shape, dtype=G_H_DTYPE) return gradients, hessians @abstractmethod def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): """Return initial predictions (before the first iteration). Parameters ---------- y_train : ndarray, shape (n_samples,) The target training values. sample_weight : array-like of shape(n_samples,) default=None Weights of training data. prediction_dim : int The dimension of one prediction: 1 for binary classification and regression, n_classes for multiclass classification. Returns ------- baseline_prediction : float or ndarray, shape (1, prediction_dim) The baseline prediction. """ @abstractmethod def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): """Update gradients and hessians arrays, inplace. The gradients (resp. hessians) are the first (resp. second) order derivatives of the loss for each sample with respect to the predictions of model, evaluated at iteration ``i - 1``. Parameters ---------- gradients : ndarray, shape (prediction_dim, n_samples) The gradients (treated as OUT array). hessians : ndarray, shape (prediction_dim, n_samples) or \ (1,) The hessians (treated as OUT array). y_true : ndarray, shape (n_samples,) The true target values or each training sample. raw_predictions : ndarray, shape (prediction_dim, n_samples) The raw_predictions (i.e. values from the trees) of the tree ensemble at iteration ``i - 1``. sample_weight : array-like of shape(n_samples,) default=None Weights of training data. """ class LeastSquares(BaseLoss): """Least squares loss, for regression. For a given sample x_i, least squares loss is defined as:: loss(x_i) = 0.5 * (y_true_i - raw_pred_i)**2 This actually computes the half least squares loss to simplify the computation of the gradients and get a unit hessian (and be consistent with what is done in LightGBM). """ def __init__(self, sample_weight): # If sample weights are provided, the hessians and gradients # are multiplied by sample_weight, which means the hessians are # equal to sample weights. super().__init__(hessians_are_constant=sample_weight is None) def pointwise_loss(self, y_true, raw_predictions): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) loss = 0.5 * np.power(y_true - raw_predictions, 2) return loss def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): return np.average(y_train, weights=sample_weight) @staticmethod def inverse_link_function(raw_predictions): return raw_predictions def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) gradients = gradients.reshape(-1) if sample_weight is None: _update_gradients_least_squares(gradients, y_true, raw_predictions) else: hessians = hessians.reshape(-1) _update_gradients_hessians_least_squares(gradients, hessians, y_true, raw_predictions, sample_weight) class LeastAbsoluteDeviation(BaseLoss): """Least absolute deviation, for regression. For a given sample x_i, the loss is defined as:: loss(x_i) = |y_true_i - raw_pred_i| """ def __init__(self, sample_weight): # If sample weights are provided, the hessians and gradients # are multiplied by sample_weight, which means the hessians are # equal to sample weights. super().__init__(hessians_are_constant=sample_weight is None) # This variable indicates whether the loss requires the leaves values to # be updated once the tree has been trained. The trees are trained to # predict a Newton-Raphson step (see grower._finalize_leaf()). But for # some losses (e.g. least absolute deviation) we need to adjust the tree # values to account for the "line search" of the gradient descent # procedure. See the original paper Greedy Function Approximation: A # Gradient Boosting Machine by Friedman # (https://statweb.stanford.edu/~jhf/ftp/trebst.pdf) for the theory. need_update_leaves_values = True def pointwise_loss(self, y_true, raw_predictions): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) loss = np.abs(y_true - raw_predictions) return loss def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): if sample_weight is None: return np.median(y_train) else: return _weighted_percentile(y_train, sample_weight, 50) @staticmethod def inverse_link_function(raw_predictions): return raw_predictions def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) gradients = gradients.reshape(-1) if sample_weight is None: _update_gradients_least_absolute_deviation(gradients, y_true, raw_predictions) else: hessians = hessians.reshape(-1) _update_gradients_hessians_least_absolute_deviation( gradients, hessians, y_true, raw_predictions, sample_weight) def update_leaves_values(self, grower, y_true, raw_predictions, sample_weight): # Update the values predicted by the tree with # median(y_true - raw_predictions). # See note about need_update_leaves_values in BaseLoss. # TODO: ideally this should be computed in parallel over the leaves # using something similar to _update_raw_predictions(), but this # requires a cython version of median() for leaf in grower.finalized_leaves: indices = leaf.sample_indices if sample_weight is None: median_res = np.median(y_true[indices] - raw_predictions[indices]) else: median_res = _weighted_percentile(y_true[indices] - raw_predictions[indices], sample_weight=sample_weight, percentile=50) leaf.value = grower.shrinkage * median_res # Note that the regularization is ignored here class Poisson(BaseLoss): """Poisson deviance loss with log-link, for regression. For a given sample x_i, Poisson deviance loss is defined as:: loss(x_i) = y_true_i * log(y_true_i/exp(raw_pred_i)) - y_true_i + exp(raw_pred_i)) This actually computes half the Poisson deviance to simplify the computation of the gradients. """ def __init__(self, sample_weight): super().__init__(hessians_are_constant=False) inverse_link_function = staticmethod(np.exp) def pointwise_loss(self, y_true, raw_predictions): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) # TODO: For speed, we could remove the constant xlogy(y_true, y_true) # Advantage of this form: minimum of zero at raw_predictions = y_true. loss = (xlogy(y_true, y_true) - y_true * (raw_predictions + 1) + np.exp(raw_predictions)) return loss def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): y_pred = np.average(y_train, weights=sample_weight) eps = np.finfo(y_train.dtype).eps y_pred = np.clip(y_pred, eps, None) return np.log(y_pred) def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) gradients = gradients.reshape(-1) hessians = hessians.reshape(-1) _update_gradients_hessians_poisson(gradients, hessians, y_true, raw_predictions, sample_weight) class BinaryCrossEntropy(BaseLoss): """Binary cross-entropy loss, for binary classification. For a given sample x_i, the binary cross-entropy loss is defined as the negative log-likelihood of the model which can be expressed as:: loss(x_i) = log(1 + exp(raw_pred_i)) - y_true_i * raw_pred_i See The Elements of Statistical Learning, by Hastie, Tibshirani, Friedman, section 4.4.1 (about logistic regression). """ def __init__(self, sample_weight): super().__init__(hessians_are_constant=False) inverse_link_function = staticmethod(expit) def pointwise_loss(self, y_true, raw_predictions): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) # logaddexp(0, x) = log(1 + exp(x)) loss = np.logaddexp(0, raw_predictions) - y_true * raw_predictions return loss def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): if prediction_dim > 2: raise ValueError( "loss='binary_crossentropy' is not defined for multiclass" " classification with n_classes=%d, use" " loss='categorical_crossentropy' instead" % prediction_dim) proba_positive_class = np.average(y_train, weights=sample_weight) eps = np.finfo(y_train.dtype).eps proba_positive_class = np.clip(proba_positive_class, eps, 1 - eps) # log(x / 1 - x) is the anti function of sigmoid, or the link function # of the Binomial model. return np.log(proba_positive_class / (1 - proba_positive_class)) def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) gradients = gradients.reshape(-1) hessians = hessians.reshape(-1) _update_gradients_hessians_binary_crossentropy( gradients, hessians, y_true, raw_predictions, sample_weight) def predict_proba(self, raw_predictions): # shape (1, n_samples) --> (n_samples,). reshape(-1) is more likely to # return a view. raw_predictions = raw_predictions.reshape(-1) proba = np.empty((raw_predictions.shape[0], 2), dtype=Y_DTYPE) proba[:, 1] = expit(raw_predictions) proba[:, 0] = 1 - proba[:, 1] return proba class CategoricalCrossEntropy(BaseLoss): """Categorical cross-entropy loss, for multiclass classification. For a given sample x_i, the categorical cross-entropy loss is defined as the negative log-likelihood of the model and generalizes the binary cross-entropy to more than 2 classes. """ def __init__(self, sample_weight): super().__init__(hessians_are_constant=False) def pointwise_loss(self, y_true, raw_predictions): one_hot_true = np.zeros_like(raw_predictions) prediction_dim = raw_predictions.shape[0] for k in range(prediction_dim): one_hot_true[k, :] = (y_true == k) loss = (logsumexp(raw_predictions, axis=0) - (one_hot_true * raw_predictions).sum(axis=0)) return loss def get_baseline_prediction(self, y_train, sample_weight, prediction_dim): init_value = np.zeros(shape=(prediction_dim, 1), dtype=Y_DTYPE) eps = np.finfo(y_train.dtype).eps for k in range(prediction_dim): proba_kth_class = np.average(y_train == k, weights=sample_weight) proba_kth_class = np.clip(proba_kth_class, eps, 1 - eps) init_value[k, :] += np.log(proba_kth_class) return init_value def update_gradients_and_hessians(self, gradients, hessians, y_true, raw_predictions, sample_weight): _update_gradients_hessians_categorical_crossentropy( gradients, hessians, y_true, raw_predictions, sample_weight) def predict_proba(self, raw_predictions): # TODO: This could be done in parallel # compute softmax (using exp(log(softmax))) proba = np.exp(raw_predictions - logsumexp(raw_predictions, axis=0)[np.newaxis, :]) return proba.T _LOSSES = { 'least_squares': LeastSquares, 'least_absolute_deviation': LeastAbsoluteDeviation, 'binary_crossentropy': BinaryCrossEntropy, 'categorical_crossentropy': CategoricalCrossEntropy, 'poisson': Poisson, }