2#ifndef STOCHTREE_TREE_SAMPLER_H_
3#define STOCHTREE_TREE_SAMPLER_H_
5#include <stochtree/container.h>
6#include <stochtree/cutpoint_candidates.h>
7#include <stochtree/data.h>
8#include <stochtree/discrete_sampler.h>
9#include <stochtree/distributions.h>
10#include <stochtree/ensemble.h>
11#include <stochtree/leaf_model.h>
12#include <stochtree/openmp_utils.h>
13#include <stochtree/partition_tracker.h>
14#include <stochtree/prior.h>
49 var_min = std::numeric_limits<double>::max();
50 var_max = std::numeric_limits<double>::min();
53 std::vector<data_size_t>::iterator node_begin_iter = tracker.UnsortedNodeBeginIterator(tree_num, leaf_split);
54 std::vector<data_size_t>::iterator node_end_iter = tracker.UnsortedNodeEndIterator(tree_num, leaf_split);
56 for (
auto i = node_begin_iter; i != node_end_iter; i++) {
59 if (feature_value < var_min) {
60 var_min = feature_value;
61 }
else if (feature_value > var_max) {
62 var_max = feature_value;
82 double split_feature_value;
88 for (
int j = 0; j < p; j++) {
89 auto node_begin_iter = tracker.UnsortedNodeBeginIterator(tree_num, leaf_split);
90 auto node_end_iter = tracker.UnsortedNodeEndIterator(tree_num, leaf_split);
91 var_max_left = std::numeric_limits<double>::min();
92 var_min_left = std::numeric_limits<double>::max();
93 var_max_right = std::numeric_limits<double>::min();
94 var_min_right = std::numeric_limits<double>::max();
96 for (
auto i = node_begin_iter; i != node_end_iter; i++) {
100 if (split.
SplitTrue(split_feature_value)) {
101 if (var_max_left < feature_value) {
102 var_max_left = feature_value;
103 }
else if (var_min_left > feature_value) {
104 var_min_left = feature_value;
107 if (var_max_right < feature_value) {
108 var_max_right = feature_value;
109 }
else if (var_min_right > feature_value) {
110 var_min_right = feature_value;
114 if ((var_max_left > var_min_left) && (var_max_right > var_min_right)) {
121static inline bool NodeNonConstant(ForestDataset& dataset, ForestTracker& tracker,
int tree_num,
int node_id) {
122 int p = dataset.GetCovariates().cols();
124 double feature_value;
128 for (
int j = 0; j < p; j++) {
129 auto node_begin_iter = tracker.UnsortedNodeBeginIterator(tree_num, node_id);
130 auto node_end_iter = tracker.UnsortedNodeEndIterator(tree_num, node_id);
131 var_max = std::numeric_limits<double>::min();
132 var_min = std::numeric_limits<double>::max();
134 for (
auto i = node_begin_iter; i != node_end_iter; i++) {
136 feature_value = dataset.CovariateValue(idx, j);
137 if (var_max < feature_value) {
138 var_max = feature_value;
139 }
else if (var_min > feature_value) {
140 var_min = feature_value;
143 if (var_max > var_min) {
150static inline void AddSplitToModel(ForestTracker& tracker, ForestDataset& dataset, TreePrior& tree_prior, TreeSplit& split, std::mt19937& gen, Tree* tree,
151 int tree_num,
int leaf_node,
int feature_split,
bool keep_sorted =
false,
int num_threads = -1) {
153 if (tree->OutputDimension() > 1) {
154 std::vector<double> temp_leaf_values(tree->OutputDimension(), 0.);
155 tree->ExpandNode(leaf_node, feature_split, split, temp_leaf_values, temp_leaf_values);
157 double temp_leaf_value = 0.;
158 tree->ExpandNode(leaf_node, feature_split, split, temp_leaf_value, temp_leaf_value);
160 int left_node = tree->LeftChild(leaf_node);
161 int right_node = tree->RightChild(leaf_node);
164 tracker.AddSplit(dataset.GetCovariates(), split, feature_split, tree_num, leaf_node, left_node, right_node, keep_sorted, num_threads);
167static inline void RemoveSplitFromModel(ForestTracker& tracker, ForestDataset& dataset, TreePrior& tree_prior, std::mt19937& gen, Tree* tree,
168 int tree_num,
int leaf_node,
int left_node,
int right_node,
bool keep_sorted =
false) {
170 if (tree->OutputDimension() > 1) {
171 std::vector<double> temp_leaf_values(tree->OutputDimension(), 0.);
172 tree->CollapseToLeaf(leaf_node, temp_leaf_values);
174 double temp_leaf_value = 0.;
175 tree->CollapseToLeaf(leaf_node, temp_leaf_value);
179 tracker.RemoveSplit(dataset.GetCovariates(), tree, tree_num, leaf_node, left_node, right_node, keep_sorted);
182static inline double ComputeMeanOutcome(ColumnVector& residual) {
183 int n = residual.NumRows();
186 for (data_size_t i = 0; i < n; i++) {
187 y = residual.GetElement(i);
190 return sum_y /
static_cast<double>(n);
193static inline double ComputeVarianceOutcome(ColumnVector& residual) {
194 int n = residual.NumRows();
196 double sum_y_sq = 0.;
198 for (data_size_t i = 0; i < n; i++) {
199 y = residual.GetElement(i);
203 return sum_y_sq /
static_cast<double>(n) - (sum_y * sum_y) / (
static_cast<double>(n) *
static_cast<double>(n));
206static inline void UpdateModelVarianceForest(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual,
207 TreeEnsemble* forest,
bool requires_basis, std::function<
double(
double,
double)> op) {
208 data_size_t n = dataset.GetCovariates().rows();
209 double tree_pred = 0.;
210 double pred_value = 0.;
211 double new_resid = 0.;
213 for (data_size_t i = 0; i < n; i++) {
214 for (
int j = 0; j < forest->NumTrees(); j++) {
215 Tree* tree = forest->GetTree(j);
216 leaf_pred = tracker.GetNodeId(i, j);
217 if (requires_basis) {
218 tree_pred += tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
220 tree_pred += tree->PredictFromNode(leaf_pred);
222 tracker.SetTreeSamplePrediction(i, j, tree_pred);
223 pred_value += tree_pred;
227 new_resid = op(residual.GetElement(i), pred_value);
228 residual.SetElement(i, new_resid);
230 tracker.SyncPredictions();
233static inline void UpdateResidualNoTrackerUpdate(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, TreeEnsemble* forest,
234 bool requires_basis, std::function<
double(
double,
double)> op) {
235 data_size_t n = dataset.GetCovariates().rows();
236 double tree_pred = 0.;
237 double pred_value = 0.;
238 double new_resid = 0.;
240 for (data_size_t i = 0; i < n; i++) {
241 for (
int j = 0; j < forest->NumTrees(); j++) {
242 Tree* tree = forest->GetTree(j);
243 leaf_pred = tracker.GetNodeId(i, j);
244 if (requires_basis) {
245 tree_pred += tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
247 tree_pred += tree->PredictFromNode(leaf_pred);
249 pred_value += tree_pred;
253 new_resid = op(residual.GetElement(i), pred_value);
254 residual.SetElement(i, new_resid);
258static inline void UpdateResidualEntireForest(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, TreeEnsemble* forest,
259 bool requires_basis, std::function<
double(
double,
double)> op) {
260 data_size_t n = dataset.GetCovariates().rows();
261 double tree_pred = 0.;
262 double pred_value = 0.;
263 double new_resid = 0.;
265 for (data_size_t i = 0; i < n; i++) {
266 for (
int j = 0; j < forest->NumTrees(); j++) {
267 Tree* tree = forest->GetTree(j);
268 leaf_pred = tracker.GetNodeId(i, j);
269 if (requires_basis) {
270 tree_pred += tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
272 tree_pred += tree->PredictFromNode(leaf_pred);
274 tracker.SetTreeSamplePrediction(i, j, tree_pred);
275 pred_value += tree_pred;
279 new_resid = op(residual.GetElement(i), pred_value);
280 residual.SetElement(i, new_resid);
282 tracker.SyncPredictions();
285static inline void UpdateResidualNewOutcome(ForestTracker& tracker, ColumnVector& residual) {
286 data_size_t n = residual.NumRows();
290 for (data_size_t i = 0; i < n; i++) {
291 prev_outcome = residual.GetElement(i);
292 pred_value = tracker.GetSamplePrediction(i);
294 new_resid = prev_outcome - pred_value;
295 residual.SetElement(i, new_resid);
299static inline void UpdateMeanModelTree(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, Tree* tree,
int tree_num,
300 bool requires_basis, std::function<
double(
double,
double)> op,
bool tree_new) {
301 data_size_t n = dataset.GetCovariates().rows();
306 for (data_size_t i = 0; i < n; i++) {
310 leaf_pred = tracker.GetNodeId(i, tree_num);
311 if (requires_basis) {
312 pred_value = tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
314 pred_value = tree->PredictFromNode(leaf_pred);
316 pred_delta = pred_value - tracker.GetTreeSamplePrediction(i, tree_num);
317 tracker.SetTreeSamplePrediction(i, tree_num, pred_value);
318 tracker.SetSamplePrediction(i, tracker.GetSamplePrediction(i) + pred_delta);
322 pred_value = tracker.GetTreeSamplePrediction(i, tree_num);
325 new_resid = op(residual.GetElement(i), pred_value);
326 residual.SetElement(i, new_resid);
330static inline void UpdateResidualNewBasis(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, TreeEnsemble* forest) {
331 CHECK(dataset.HasBasis());
332 data_size_t n = dataset.GetCovariates().rows();
333 int num_trees = forest->NumTrees();
334 double prev_tree_pred;
335 double new_tree_pred;
338 for (
int tree_num = 0; tree_num < num_trees; tree_num++) {
339 Tree* tree = forest->GetTree(tree_num);
340 for (data_size_t i = 0; i < n; i++) {
342 prev_tree_pred = tracker.GetTreeSamplePrediction(i, tree_num);
343 new_resid = residual.GetElement(i) + prev_tree_pred;
346 leaf_pred = tracker.GetNodeId(i, tree_num);
347 new_tree_pred = tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
350 tracker.SetTreeSamplePrediction(i, tree_num, new_tree_pred);
353 new_resid -= new_tree_pred;
356 residual.SetElement(i, new_resid);
359 tracker.SyncPredictions();
362static inline void UpdateVarModelTree(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, Tree* tree,
363 int tree_num,
bool requires_basis, std::function<
double(
double,
double)> op,
bool tree_new) {
364 data_size_t n = dataset.GetCovariates().rows();
369 double prev_tree_pred;
371 for (data_size_t i = 0; i < n; i++) {
375 leaf_pred = tracker.GetNodeId(i, tree_num);
376 if (requires_basis) {
377 pred_value = tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
379 pred_value = tree->PredictFromNode(leaf_pred);
381 prev_tree_pred = tracker.GetTreeSamplePrediction(i, tree_num);
382 prev_pred = tracker.GetSamplePrediction(i);
383 pred_delta = pred_value - prev_tree_pred;
384 tracker.SetTreeSamplePrediction(i, tree_num, pred_value);
385 tracker.SetSamplePrediction(i, prev_pred + pred_delta);
386 new_weight = std::log(dataset.VarWeightValue(i)) + pred_value;
387 dataset.SetVarWeightValue(i, new_weight,
true);
391 pred_value = tracker.GetTreeSamplePrediction(i, tree_num);
392 new_weight = std::log(dataset.VarWeightValue(i)) - pred_value;
393 dataset.SetVarWeightValue(i, new_weight,
true);
398static inline void UpdateCLogLogModelTree(ForestTracker& tracker, ForestDataset& dataset, ColumnVector& residual, Tree* tree,
int tree_num,
399 bool requires_basis,
bool tree_new) {
400 data_size_t n = dataset.GetCovariates().rows();
405 for (data_size_t i = 0; i < n; i++) {
409 leaf_pred = tracker.GetNodeId(i, tree_num);
410 if (requires_basis) {
411 pred_value = tree->PredictFromNode(leaf_pred, dataset.GetBasis(), i);
413 pred_value = tree->PredictFromNode(leaf_pred);
415 pred_delta = pred_value - tracker.GetTreeSamplePrediction(i, tree_num);
416 tracker.SetTreeSamplePrediction(i, tree_num, pred_value);
417 tracker.SetSamplePrediction(i, tracker.GetSamplePrediction(i) + pred_delta);
419 dataset.SetAuxiliaryDataValue(1, i, tracker.GetSamplePrediction(i) - pred_value);
423 pred_value = tracker.GetTreeSamplePrediction(i, tree_num);
425 double current_lambda_hat = tracker.GetSamplePrediction(i);
426 double lambda_minus = current_lambda_hat - pred_value;
427 dataset.SetAuxiliaryDataValue(1, i, lambda_minus);
432template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
433static inline std::tuple<double, double, data_size_t, data_size_t> EvaluateProposedSplit(
434 ForestDataset& dataset, ForestTracker& tracker, ColumnVector& residual, LeafModel& leaf_model,
435 TreeSplit& split,
int tree_num,
int leaf_num,
int split_feature,
double global_variance,
436 int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args
439 LeafSuffStat node_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
440 LeafSuffStat left_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
441 LeafSuffStat right_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
444 AccumulateSuffStatProposed<LeafSuffStat, LeafSuffStatConstructorArgs...>(
445 node_suff_stat, left_suff_stat, right_suff_stat, dataset, tracker,
446 residual, global_variance, split, tree_num, leaf_num, split_feature, num_threads,
447 leaf_suff_stat_args...
449 data_size_t left_n = left_suff_stat.n;
450 data_size_t right_n = right_suff_stat.n;
453 double split_log_ml = leaf_model.SplitLogMarginalLikelihood(left_suff_stat, right_suff_stat, global_variance);
454 double no_split_log_ml = leaf_model.NoSplitLogMarginalLikelihood(node_suff_stat, global_variance);
456 return std::tuple<double, double, data_size_t, data_size_t>(split_log_ml, no_split_log_ml, left_n, right_n);
459template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
460static inline std::tuple<double, double, data_size_t, data_size_t> EvaluateExistingSplit(
461 ForestDataset& dataset, ForestTracker& tracker, ColumnVector& residual, LeafModel& leaf_model,
462 double global_variance,
int tree_num,
int split_node_id,
int left_node_id,
int right_node_id,
463 LeafSuffStatConstructorArgs&... leaf_suff_stat_args
466 LeafSuffStat node_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
467 LeafSuffStat left_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
468 LeafSuffStat right_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
471 AccumulateSuffStatExisting<LeafSuffStat>(node_suff_stat, left_suff_stat, right_suff_stat, dataset, tracker,
472 residual, global_variance, tree_num, split_node_id, left_node_id, right_node_id);
473 data_size_t left_n = left_suff_stat.n;
474 data_size_t right_n = right_suff_stat.n;
477 double split_log_ml = leaf_model.SplitLogMarginalLikelihood(left_suff_stat, right_suff_stat, global_variance);
478 double no_split_log_ml = leaf_model.NoSplitLogMarginalLikelihood(node_suff_stat, global_variance);
480 return std::tuple<double, double, data_size_t, data_size_t>(split_log_ml, no_split_log_ml, left_n, right_n);
483template <
typename LeafModel>
484static inline void AdjustStateBeforeTreeSampling(ForestTracker& tracker, LeafModel& leaf_model, ForestDataset& dataset,
485 ColumnVector& residual, TreePrior& tree_prior,
bool backfitting, Tree* tree,
int tree_num) {
486 if constexpr (std::is_same_v<LeafModel, CloglogOrdinalLeafModel>) {
487 UpdateCLogLogModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(),
false);
488 }
else if (backfitting) {
489 UpdateMeanModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(), std::plus<double>(),
false);
492 UpdateVarModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(), std::minus<double>(),
false);
496template <
typename LeafModel>
497static inline void AdjustStateAfterTreeSampling(ForestTracker& tracker, LeafModel& leaf_model, ForestDataset& dataset,
498 ColumnVector& residual, TreePrior& tree_prior,
bool backfitting, Tree* tree,
int tree_num) {
499 if constexpr (std::is_same_v<LeafModel, CloglogOrdinalLeafModel>) {
500 UpdateCLogLogModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(),
true);
501 }
else if (backfitting) {
502 UpdateMeanModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(), std::minus<double>(),
true);
505 UpdateVarModelTree(tracker, dataset, residual, tree, tree_num, leaf_model.RequiresBasis(), std::plus<double>(),
true);
509template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
510static inline void SampleSplitRule(Tree* tree, ForestTracker& tracker, LeafModel& leaf_model, ForestDataset& dataset, ColumnVector& residual,
511 TreePrior& tree_prior, std::mt19937& gen,
int tree_num,
double global_variance,
int cutpoint_grid_size,
512 std::unordered_map<
int, std::pair<data_size_t, data_size_t>>& node_index_map, std::deque<node_t>& split_queue,
513 int node_id, data_size_t node_begin, data_size_t node_end, std::vector<double>& variable_weights,
514 std::vector<FeatureType>& feature_types, std::vector<bool> feature_subset,
int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
516 int leaf_depth = tree->GetDepth(node_id);
519 int32_t max_depth = tree_prior.GetMaxDepth();
521 if ((max_depth == -1) || (leaf_depth < max_depth)) {
524 int p = dataset.NumCovariates();
525 std::vector<std::vector<double>> feature_log_cutpoint_evaluations(p+1);
526 std::vector<std::vector<double>> feature_cutpoint_values(p+1);
527 std::vector<int> feature_cutpoint_counts(p+1, 0);
528 StochTree::data_size_t valid_cutpoint_count;
534 LeafSuffStat node_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
537 AccumulateSingleNodeSuffStat<LeafSuffStat, false>(node_suff_stat, dataset, tracker, residual, tree_num, node_id);
540 double no_split_log_ml = leaf_model.NoSplitLogMarginalLikelihood(node_suff_stat, global_variance);
543 Eigen::MatrixXd& covariates = dataset.GetCovariates();
544 Eigen::VectorXd& outcome = residual.GetData();
545 Eigen::VectorXd var_weights;
546 bool has_weights = dataset.HasVarWeights();
547 if (has_weights) var_weights = dataset.GetVarWeights();
550 int32_t min_samples_in_leaf = tree_prior.GetMinSamplesLeaf();
553 data_size_t num_cutpoints = 0;
554 if (num_threads == -1) {
555 num_threads = GetOptimalThreadCount(
static_cast<int>(covariates.cols() * covariates.rows()));
559 CutpointGridContainer cutpoint_grid_container(covariates, outcome, cutpoint_grid_size);
562 StochTree::ParallelFor(0, covariates.cols(), num_threads, [&](
int j) {
563 if ((std::abs(variable_weights.at(j)) > kEpsilon) && (feature_subset[j])) {
565 cutpoint_grid_container.CalculateStrides(covariates, outcome, tracker.GetSortedNodeSampleTracker(), node_id, node_begin, node_end, j, feature_types);
568 LeafSuffStat left_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
569 LeafSuffStat right_suff_stat = LeafSuffStat(leaf_suff_stat_args...);
572 int32_t num_feature_cutpoints = cutpoint_grid_container.NumCutpoints(j);
573 FeatureType feature_type = feature_types[j];
575 for (data_size_t cutpoint_idx = 0; cutpoint_idx < (num_feature_cutpoints - 1); cutpoint_idx++) {
576 data_size_t current_bin_begin = cutpoint_grid_container.BinStartIndex(cutpoint_idx, j);
577 data_size_t current_bin_size = cutpoint_grid_container.BinLength(cutpoint_idx, j);
578 data_size_t next_bin_begin = cutpoint_grid_container.BinStartIndex(cutpoint_idx + 1, j);
581 AccumulateCutpointBinSuffStat<LeafSuffStat>(left_suff_stat, tracker, cutpoint_grid_container, dataset, residual,
582 global_variance, tree_num, node_id, j, cutpoint_idx);
585 right_suff_stat.SubtractSuffStat(node_suff_stat, left_suff_stat);
589 double cutoff_value = cutpoint_idx;
592 bool valid_split = (left_suff_stat.SampleGreaterThanEqual(min_samples_in_leaf) &&
593 right_suff_stat.SampleGreaterThanEqual(min_samples_in_leaf));
595 feature_cutpoint_counts[j]++;
597 feature_cutpoint_values[j].push_back(cutoff_value);
599 double split_log_ml = leaf_model.SplitLogMarginalLikelihood(left_suff_stat, right_suff_stat, global_variance);
600 feature_log_cutpoint_evaluations[j].push_back(split_log_ml);
607 valid_cutpoint_count = std::accumulate(feature_cutpoint_counts.begin(), feature_cutpoint_counts.end(), 0);
610 feature_log_cutpoint_evaluations[covariates.cols()].push_back(no_split_log_ml);
613 double bart_prior_no_split_adj;
614 double alpha = tree_prior.GetAlpha();
615 double beta = tree_prior.GetBeta();
616 int node_depth = tree->GetDepth(node_id);
617 if (valid_cutpoint_count == 0) {
618 bart_prior_no_split_adj = std::log(((std::pow(1+node_depth, beta))/alpha) - 1.0);
620 bart_prior_no_split_adj = std::log(((std::pow(1+node_depth, beta))/alpha) - 1.0) + std::log(valid_cutpoint_count);
622 feature_log_cutpoint_evaluations[covariates.cols()][0] += bart_prior_no_split_adj;
626 double largest_ml = -std::numeric_limits<double>::infinity();
627 for (
int j = 0; j < p + 1; j++) {
628 if (feature_log_cutpoint_evaluations[j].size() > 0) {
629 double feature_max_ml = *std::max_element(feature_log_cutpoint_evaluations[j].begin(), feature_log_cutpoint_evaluations[j].end());;
630 largest_ml = std::max(largest_ml, feature_max_ml);
633 std::vector<std::vector<double>> feature_cutpoint_evaluations(p+1);
634 for (
int j = 0; j < p + 1; j++) {
635 if (feature_log_cutpoint_evaluations[j].size() > 0) {
636 feature_cutpoint_evaluations[j].resize(feature_log_cutpoint_evaluations[j].size());
637 for (
int i = 0; i < feature_log_cutpoint_evaluations[j].size(); i++) {
638 feature_cutpoint_evaluations[j][i] = std::exp(feature_log_cutpoint_evaluations[j][i] - largest_ml);
644 std::vector<double> feature_total_cutpoint_evaluations(p+1, 0.0);
645 for (
int j = 0; j < p + 1; j++) {
646 if (feature_log_cutpoint_evaluations[j].size() > 0) {
647 feature_total_cutpoint_evaluations[j] = std::accumulate(feature_cutpoint_evaluations[j].begin(), feature_cutpoint_evaluations[j].end(), 0.0);
649 feature_total_cutpoint_evaluations[j] = 0.0;
654 int feature_chosen = sample_discrete_stateless(gen, feature_total_cutpoint_evaluations);
657 int cutpoint_chosen = sample_discrete_stateless(gen, feature_cutpoint_evaluations[feature_chosen], feature_total_cutpoint_evaluations[feature_chosen]);
659 if (feature_chosen == p){
664 int feature_split = feature_chosen;
665 FeatureType feature_type = feature_types[feature_split];
666 double split_value = feature_cutpoint_values[feature_split][cutpoint_chosen];
670 data_size_t node_n = node_end - node_begin;
673 double split_value_numeric;
674 TreeSplit tree_split;
677 data_size_t left_n = 0;
678 data_size_t right_n = 0;
679 data_size_t sort_idx;
680 double feature_value;
683 if (feature_type == FeatureType::kUnorderedCategorical) {
686 std::vector<std::uint32_t> categories = cutpoint_grid_container.CutpointVector(
static_cast<std::uint32_t
>(split_value), feature_split);
687 tree_split = TreeSplit(categories);
688 }
else if (feature_type == FeatureType::kOrderedCategorical) {
690 split_value_numeric = cutpoint_grid_container.CutpointValue(
static_cast<std::uint32_t
>(split_value), feature_split);
691 tree_split = TreeSplit(split_value_numeric);
692 }
else if (feature_type == FeatureType::kNumeric) {
694 split_value_numeric = cutpoint_grid_container.CutpointValue(
static_cast<std::uint32_t
>(split_value), feature_split);
695 tree_split = TreeSplit(split_value_numeric);
697 Log::Fatal(
"Invalid split type");
701 AddSplitToModel(tracker, dataset, tree_prior, tree_split, gen, tree, tree_num, node_id, feature_split,
true, num_threads);
704 int left_node = tree->LeftChild(node_id);
705 int right_node = tree->RightChild(node_id);
706 auto left_begin_iter = tracker.SortedNodeBeginIterator(left_node, feature_split);
707 auto left_end_iter = tracker.SortedNodeEndIterator(left_node, feature_split);
708 for (
auto i = left_begin_iter; i < left_end_iter; i++) {
713 node_index_map.insert({left_node, std::make_pair(node_begin, node_begin + left_n)});
714 node_index_map.insert({right_node, std::make_pair(node_begin + left_n, node_end)});
717 split_queue.push_front(right_node);
718 split_queue.push_front(left_node);
723template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
724static inline void GFRSampleTreeOneIter(Tree* tree, ForestTracker& tracker, ForestContainer& forests, LeafModel& leaf_model, ForestDataset& dataset,
725 ColumnVector& residual, TreePrior& tree_prior, std::mt19937& gen, std::vector<double>& variable_weights,
726 int tree_num,
double global_variance, std::vector<FeatureType>& feature_types,
int cutpoint_grid_size,
727 int num_features_subsample,
int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
728 int root_id = Tree::kRoot;
730 data_size_t curr_node_begin;
731 data_size_t curr_node_end;
732 data_size_t n = dataset.GetCovariates().rows();
733 int p = dataset.GetCovariates().cols();
736 std::vector<bool> feature_subset(p,
true);
737 if (num_features_subsample < p) {
739 int number_nonzero_weights = 0;
740 for (
int j = 0; j < p; j++) {
741 if (std::abs(variable_weights.at(j)) > kEpsilon) {
742 number_nonzero_weights++;
745 if (number_nonzero_weights > num_features_subsample) {
747 std::vector<int> feature_indices(p);
748 std::iota(feature_indices.begin(), feature_indices.end(), 0);
749 std::vector<int> features_selected(num_features_subsample);
750 sample_without_replacement<int, double>(
751 features_selected.data(), variable_weights.data(), feature_indices.data(),
752 p, num_features_subsample, gen
754 for (
int i = 0; i < p; i++) {
755 feature_subset.at(i) =
false;
757 for (
const auto& feat : features_selected) {
758 feature_subset.at(feat) =
true;
764 std::unordered_map<int, std::pair<data_size_t, data_size_t>> node_index_map;
765 node_index_map.insert({root_id, std::make_pair(0, n)});
766 std::pair<data_size_t, data_size_t> begin_end;
768 std::deque<node_t> split_queue;
769 split_queue.push_back(Tree::kRoot);
771 while (!split_queue.empty()) {
773 curr_node_id = split_queue.front();
774 split_queue.pop_front();
776 begin_end = node_index_map[curr_node_id];
777 curr_node_begin = begin_end.first;
778 curr_node_end = begin_end.second;
780 SampleSplitRule<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
781 tree, tracker, leaf_model, dataset, residual, tree_prior, gen, tree_num, global_variance, cutpoint_grid_size,
782 node_index_map, split_queue, curr_node_id, curr_node_begin, curr_node_end, variable_weights, feature_types,
783 feature_subset, num_threads, leaf_suff_stat_args...
819template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
821 ColumnVector& residual,
TreePrior& tree_prior, std::mt19937& gen, std::vector<double>& variable_weights,
822 std::vector<int>& sweep_update_indices,
double global_variance, std::vector<FeatureType>& feature_types,
int cutpoint_grid_size,
823 bool keep_forest,
bool pre_initialized,
bool backfitting,
int num_features_subsample,
int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
825 int num_trees = forests.NumTrees();
826 for (
const int& i : sweep_update_indices) {
832 AdjustStateBeforeTreeSampling<LeafModel>(tracker, leaf_model, dataset, residual, tree_prior, backfitting, tree, i);
836 tracker.ResetRoot(dataset.
GetCovariates(), feature_types, i);
837 tree = active_forest.
GetTree(i);
840 GFRSampleTreeOneIter<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
841 tree, tracker, forests, leaf_model, dataset, residual, tree_prior, gen,
842 variable_weights, i, global_variance, feature_types, cutpoint_grid_size,
843 num_features_subsample, num_threads, leaf_suff_stat_args...
847 tree = active_forest.
GetTree(i);
848 leaf_model.SampleLeafParameters(dataset, tracker, residual, tree, i, global_variance, gen);
854 AdjustStateAfterTreeSampling<LeafModel>(tracker, leaf_model, dataset, residual, tree_prior, backfitting, tree, i);
862template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
863static inline void MCMCGrowTreeOneIter(Tree* tree, ForestTracker& tracker, LeafModel& leaf_model, ForestDataset& dataset, ColumnVector& residual,
864 TreePrior& tree_prior, std::mt19937& gen,
int tree_num, std::vector<double>& variable_weights,
865 double global_variance,
double prob_grow_old,
int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
867 data_size_t n = dataset.GetCovariates().rows();
870 int num_leaves = tree->NumLeaves();
871 std::vector<int> leaves = tree->GetLeaves();
872 std::vector<double> leaf_weights(num_leaves);
873 std::fill(leaf_weights.begin(), leaf_weights.end(), 1.0/num_leaves);
874 walker_vose leaf_dist(leaf_weights.begin(), leaf_weights.end());
875 int leaf_chosen = leaves[leaf_dist(gen)];
876 int leaf_depth = tree->GetDepth(leaf_chosen);
879 int32_t max_depth = tree_prior.GetMaxDepth();
883 if ((leaf_depth >= max_depth) && (max_depth != -1)) {
888 int p = dataset.GetCovariates().cols();
889 CHECK_EQ(variable_weights.size(), p);
890 walker_vose var_dist(variable_weights.begin(), variable_weights.end());
891 int var_chosen = var_dist(gen);
895 double var_min, var_max;
896 VarSplitRange(tracker, dataset, tree_num, leaf_chosen, var_chosen, var_min, var_max);
897 if (var_max <= var_min) {
905 TreeSplit split = TreeSplit(split_point_chosen);
908 std::tuple<double, double, int32_t, int32_t> split_eval = EvaluateProposedSplit<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
909 dataset, tracker, residual, leaf_model, split, tree_num, leaf_chosen, var_chosen, global_variance, num_threads, leaf_suff_stat_args...
911 double split_log_marginal_likelihood = std::get<0>(split_eval);
912 double no_split_log_marginal_likelihood = std::get<1>(split_eval);
913 int32_t left_n = std::get<2>(split_eval);
914 int32_t right_n = std::get<3>(split_eval);
917 bool left_node_sample_cutoff = left_n >= tree_prior.GetMinSamplesLeaf();
918 bool right_node_sample_cutoff = right_n >= tree_prior.GetMinSamplesLeaf();
919 if ((left_node_sample_cutoff) && (right_node_sample_cutoff)) {
922 double pg = tree_prior.GetAlpha() * std::pow(1+leaf_depth, -tree_prior.GetBeta());
923 double pgl = tree_prior.GetAlpha() * std::pow(1+leaf_depth+1, -tree_prior.GetBeta());
924 double pgr = tree_prior.GetAlpha() * std::pow(1+leaf_depth+1, -tree_prior.GetBeta());
930 bool min_samples_left_check = left_n >= 2*tree_prior.GetMinSamplesLeaf();
931 bool min_samples_right_check = right_n >= 2*tree_prior.GetMinSamplesLeaf();
932 double prob_prune_new;
933 if (non_constant && (min_samples_left_check || min_samples_right_check)) {
934 prob_prune_new = 0.5;
936 prob_prune_new = 1.0;
940 int num_leaf_parents = tree->NumLeafParents();
941 double p_leaf = 1/
static_cast<double>(num_leaves);
942 double p_leaf_parent = 1/
static_cast<double>(num_leaf_parents+1);
945 double log_mh_ratio = (
946 std::log(pg) + std::log(1-pgl) + std::log(1-pgr) - std::log(1-pg) + std::log(prob_prune_new) +
947 std::log(p_leaf_parent) - std::log(prob_grow_old) - std::log(p_leaf) - no_split_log_marginal_likelihood + split_log_marginal_likelihood
950 if (log_mh_ratio > 0) {
956 if (log_acceptance_prob <= log_mh_ratio) {
958 AddSplitToModel(tracker, dataset, tree_prior, split, gen, tree, tree_num, leaf_chosen, var_chosen,
false, num_threads);
969template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
970static inline void MCMCPruneTreeOneIter(Tree* tree, ForestTracker& tracker, LeafModel& leaf_model, ForestDataset& dataset, ColumnVector& residual,
971 TreePrior& tree_prior, std::mt19937& gen,
int tree_num,
double global_variance,
int num_threads,
972 LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
974 int num_leaves = tree->NumLeaves();
975 int num_leaf_parents = tree->NumLeafParents();
976 std::vector<int> leaf_parents = tree->GetLeafParents();
977 std::vector<double> leaf_parent_weights(num_leaf_parents);
978 std::fill(leaf_parent_weights.begin(), leaf_parent_weights.end(), 1.0/num_leaf_parents);
979 walker_vose leaf_parent_dist(leaf_parent_weights.begin(), leaf_parent_weights.end());
980 int leaf_parent_chosen = leaf_parents[leaf_parent_dist(gen)];
981 int leaf_parent_depth = tree->GetDepth(leaf_parent_chosen);
982 int left_node = tree->LeftChild(leaf_parent_chosen);
983 int right_node = tree->RightChild(leaf_parent_chosen);
984 int feature_split = tree->SplitIndex(leaf_parent_chosen);
987 std::tuple<double, double, int32_t, int32_t> split_eval = EvaluateExistingSplit<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
988 dataset, tracker, residual, leaf_model, global_variance, tree_num, leaf_parent_chosen, left_node, right_node, leaf_suff_stat_args...
990 double split_log_marginal_likelihood = std::get<0>(split_eval);
991 double no_split_log_marginal_likelihood = std::get<1>(split_eval);
992 int32_t left_n = std::get<2>(split_eval);
993 int32_t right_n = std::get<3>(split_eval);
996 double pg = tree_prior.GetAlpha() * std::pow(1+leaf_parent_depth, -tree_prior.GetBeta());
997 double pgl = tree_prior.GetAlpha() * std::pow(1+leaf_parent_depth+1, -tree_prior.GetBeta());
998 double pgr = tree_prior.GetAlpha() * std::pow(1+leaf_parent_depth+1, -tree_prior.GetBeta());
1003 bool non_root_tree = tree->NumNodes() > 1;
1004 double prob_grow_new;
1005 if (non_root_tree) {
1006 prob_grow_new = 0.5;
1008 prob_grow_new = 1.0;
1013 bool non_constant_left = NodeNonConstant(dataset, tracker, tree_num, left_node);
1014 bool non_constant_right = NodeNonConstant(dataset, tracker, tree_num, right_node);
1015 double prob_prune_old;
1016 if (non_constant_left && non_constant_right) {
1017 prob_prune_old = 0.5;
1019 prob_prune_old = 1.0;
1023 double p_leaf = 1/
static_cast<double>(num_leaves-1);
1024 double p_leaf_parent = 1/
static_cast<double>(num_leaf_parents);
1027 double log_mh_ratio = (
1028 std::log(1-pg) - std::log(pg) - std::log(1-pgl) - std::log(1-pgr) + std::log(prob_prune_old) +
1029 std::log(p_leaf) - std::log(prob_grow_new) - std::log(p_leaf_parent) + no_split_log_marginal_likelihood - split_log_marginal_likelihood
1032 if (log_mh_ratio > 0) {
1039 if (log_acceptance_prob <= log_mh_ratio) {
1041 RemoveSplitFromModel(tracker, dataset, tree_prior, gen, tree, tree_num, leaf_parent_chosen, left_node, right_node,
false);
1047template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
1048static inline void MCMCSampleTreeOneIter(Tree* tree, ForestTracker& tracker, ForestContainer& forests, LeafModel& leaf_model, ForestDataset& dataset,
1049 ColumnVector& residual, TreePrior& tree_prior, std::mt19937& gen, std::vector<double>& variable_weights,
1050 int tree_num,
double global_variance,
int num_threads, LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
1052 bool grow_possible =
false;
1053 std::vector<int> leaves = tree->GetLeaves();
1054 for (
auto& leaf: leaves) {
1055 if (tracker.UnsortedNodeSize(tree_num, leaf) > 2 * tree_prior.GetMinSamplesLeaf()) {
1056 grow_possible =
true;
1062 bool prune_possible =
false;
1063 if (tree->NumValidNodes() > 1) {
1064 prune_possible =
true;
1069 std::vector<double> step_probs(2);
1070 if (grow_possible && prune_possible) {
1071 step_probs = {0.5, 0.5};
1073 }
else if (!grow_possible && prune_possible) {
1074 step_probs = {0.0, 1.0};
1076 }
else if (grow_possible && !prune_possible) {
1077 step_probs = {1.0, 0.0};
1080 Log::Fatal(
"In this tree, neither grow nor prune is possible");
1082 walker_vose step_dist(step_probs.begin(), step_probs.end());
1085 data_size_t step_chosen = step_dist(gen);
1088 if (step_chosen == 0) {
1089 MCMCGrowTreeOneIter<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
1090 tree, tracker, leaf_model, dataset, residual, tree_prior, gen, tree_num, variable_weights, global_variance, prob_grow, num_threads, leaf_suff_stat_args...
1093 MCMCPruneTreeOneIter<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
1094 tree, tracker, leaf_model, dataset, residual, tree_prior, gen, tree_num, global_variance, num_threads, leaf_suff_stat_args...
1127template <
typename LeafModel,
typename LeafSuffStat,
typename... LeafSuffStatConstructorArgs>
1129 ColumnVector& residual,
TreePrior& tree_prior, std::mt19937& gen, std::vector<double>& variable_weights,
1130 std::vector<int>& sweep_update_indices,
double global_variance,
bool keep_forest,
bool pre_initialized,
bool backfitting,
int num_threads,
1131 LeafSuffStatConstructorArgs&... leaf_suff_stat_args) {
1133 int num_trees = forests.NumTrees();
1134 for (
const int& i : sweep_update_indices) {
1140 AdjustStateBeforeTreeSampling<LeafModel>(tracker, leaf_model, dataset, residual, tree_prior, backfitting, tree, i);
1143 tree = active_forest.
GetTree(i);
1144 MCMCSampleTreeOneIter<LeafModel, LeafSuffStat, LeafSuffStatConstructorArgs...>(
1145 tree, tracker, forests, leaf_model, dataset, residual, tree_prior, gen, variable_weights, i,
1146 global_variance, num_threads, leaf_suff_stat_args...
1150 tree = active_forest.
GetTree(i);
1151 leaf_model.SampleLeafParameters(dataset, tracker, residual, tree, i, global_variance, gen);
1157 AdjustStateAfterTreeSampling<LeafModel>(tracker, leaf_model, dataset, residual, tree_prior, backfitting, tree, i);
Internal wrapper around Eigen::VectorXd interface for univariate floating point data....
Definition data.h:193
Container of TreeEnsemble forest objects. This is the primary (in-memory) storage interface for multi...
Definition container.h:23
void AddSample(TreeEnsemble &forest)
Add a new forest to the container by copying forest.
API for loading and accessing data used to sample tree ensembles The covariates / bases / weights use...
Definition data.h:271
Eigen::MatrixXd & GetCovariates()
Return a reference to the raw Eigen::MatrixXd storing the covariate data.
Definition data.h:383
double CovariateValue(data_size_t row, int col)
Returns a dataset's covariate value stored at (row, col)
Definition data.h:364
"Superclass" wrapper around tracking data structures for forest sampling algorithms
Definition partition_tracker.h:46
Class storing a "forest," or an ensemble of decision trees.
Definition ensemble.h:31
Tree * GetTree(int i)
Return a pointer to a tree in the forest.
Definition ensemble.h:134
void ResetInitTree(int i)
Reset a single tree in an ensemble.
Definition ensemble.h:163
Representation of arbitrary tree split rules, including numeric split rules (X[,i] <= c) and categori...
Definition tree.h:958
bool SplitTrue(double fvalue)
Whether a given covariate value is True or False on the rule defined by a TreeSplit object.
Definition tree.h:990
Decision tree data structure.
Definition tree.h:66
static void MCMCSampleOneIter(TreeEnsemble &active_forest, ForestTracker &tracker, ForestContainer &forests, LeafModel &leaf_model, ForestDataset &dataset, ColumnVector &residual, TreePrior &tree_prior, std::mt19937 &gen, std::vector< double > &variable_weights, std::vector< int > &sweep_update_indices, double global_variance, bool keep_forest, bool pre_initialized, bool backfitting, int num_threads, LeafSuffStatConstructorArgs &... leaf_suff_stat_args)
Runs one iteration of the MCMC sampler for a tree ensemble model, which consists of two steps for eve...
Definition tree_sampler.h:1128
static void VarSplitRange(ForestTracker &tracker, ForestDataset &dataset, int tree_num, int leaf_split, int feature_split, double &var_min, double &var_max)
Computer the range of available split values for a continuous variable, given the current structure o...
Definition tree_sampler.h:48
static bool NodesNonConstantAfterSplit(ForestDataset &dataset, ForestTracker &tracker, TreeSplit &split, int tree_num, int leaf_split, int feature_split)
Determines whether a proposed split creates two leaf nodes with constant values for every feature (th...
Definition tree_sampler.h:78
static void GFRSampleOneIter(TreeEnsemble &active_forest, ForestTracker &tracker, ForestContainer &forests, LeafModel &leaf_model, ForestDataset &dataset, ColumnVector &residual, TreePrior &tree_prior, std::mt19937 &gen, std::vector< double > &variable_weights, std::vector< int > &sweep_update_indices, double global_variance, std::vector< FeatureType > &feature_types, int cutpoint_grid_size, bool keep_forest, bool pre_initialized, bool backfitting, int num_features_subsample, int num_threads, LeafSuffStatConstructorArgs &... leaf_suff_stat_args)
Definition tree_sampler.h:820
A collection of random number generation utilities.
Definition category_tracker.h:36
double standard_uniform_draw_53bit(std::mt19937 &gen)
Definition distributions.h:19