EXGBoost
Elixir bindings to the XGBoost C API using Native Implemented Functions (NIFs).
EXGBoost is currently based off of this commit for the upcoming 2.0.0 release of XGBoost.
EXGBoost provides an implementation of XGBoost that works with
Nx tensors.
Xtreme Gradient Boosting (XGBoost) is an optimized distributed gradient boosting library designed to be highly efficient, flexible and portable. It implements machine learning algorithms under the Gradient Boosting framework. XGBoost provides a parallel tree boosting (also known as GBDT, GBM) that solve many data science problems in a fast and accurate way. The same code runs on major distributed environment (Hadoop, SGE, MPI) and can solve problems beyond billions of examples.
Installation
def deps do
[
{:exgboost, "~> 0.3"}
]
endAPI Data Structures
EXGBoost's top-level EXGBoost API works directly and only with Nx tensors. However, under the hood,
it leverages the structs defined in the EXGBoost.Booster and EXGBoost.DMatrix modules. These structs
are wrappers around the structs defined in the XGBoost library.
The two main structs used are DMatrix
to represent the data matrix that will be used
to train the model, and Booster
which represents the model.
The top-level EXGBoost API does not expose the structs directly. Instead, the
structs are exposed through the EXGBoost.Booster and EXGBoost.DMatrix modules. Power users
might wish to use these modules directly. For example, if you wish to use the Booster struct
directly then you can use the EXGBoost.Booster.booster/2 function to create a Booster struct
from a DMatrix and a keyword list of options. See the EXGBoost.Booster and EXGBoost.DMatrix
modules source for more implementation details.
Basic Usage
key = Nx.Random.key(42)
{x, key} = Nx.Random.normal(key, 0, 1, shape: {10, 5})
{y, key} = Nx.Random.normal(key, 0, 1, shape: {10})
model = EXGBoost.train(x, y)
EXGBoost.predict(model, x)Training
EXGBoost is designed to feel familiar to the users of the Python XGBoost library. EXGBoost.train/2 is the
primary entry point for training a model. It accepts a Nx tensor for the features and a Nx tensor for the labels.
EXGBoost.train/2 returns a trainedBooster struct that can be used for prediction. EXGBoost.train/2 also
accepts a keyword list of options that can be used to configure the training process. See the
XGBoost documentation for the full list of options.
Exgbost.train/2 uses the EXGBoost.Training.train/1 function to perform the actual training. EXGBoost.Training.train/1
and can be used directly if you wish to work directly with the DMatrix and Booster structs.
One of the main features of EXGBoost.train/2 is the ability for the end user to provide a custom training function
that will be used to train the model. This is done by passing a function to the :obj option. The function must
accept a DMatrix and a Booster and return a Booster. The function will be called at each iteration of the
training process. This allows the user to implement custom training logic. For example, the user could implement
a custom loss function or a custom metric function. See the XGBoost documentation
for more information on custom loss functions and custom metric functions.
Another feature of EXGBoost.train/2 is the ability to provide a validation set for early stopping. This is done
by passing a list of 3-tuples to the :evals option. Each 3-tuple should contain a Nx tensor for the features, a Nx tensor
for the labels, and a string label for the validation set name. The validation set will be used to calculate the validation
error at each iteration of the training process. If the validation error does not improve for :early_stopping_rounds iterations
then the training process will stop. See the XGBoost documentation
for a more detailed explanation of early stopping.
Early stopping is achieved through the use of callbacks. EXGBoost.train/2 accepts a list of callbacks that will be called
at each iteration of the training process. The callbacks can be used to implement custom logic. For example, the user could
implement a callback that will print the validation error at each iteration of the training process or to provide a custom
setup function for training. See the EXGBoost.Training.Callback module for more information on callbacks.
Please notes that callbacks are called in the order that they are provided. If you provide multiple callbacks that modify
the same parameter then the last callback will trump the previous callbacks. For example, if you provide a callback that
sets the :early_stopping_rounds parameter to 10 and then provide a callback that sets the :early_stopping_rounds parameter
to 20 then the :early_stopping_rounds parameter will be set to 20.
You are also able to pass parameters to be applied to the Booster model using the :params option. These parameters will
be applied to the Booster model before training begins. This allows you to set parameters that are not available as options
to EXGBoost.train/2. See the XGBoost documentation for a full
list of parameters.
Exgboot.train(X,
y,
obj: &EXGBoost.Training.train/1,
evals: [{X_test, y_test, "test"}],
learning_rates: fn i -> i/10 end,
num_boost_round: 10,
early_stopping_rounds: 3,
max_depth: 3,
eval_metric: [:rmse,:logloss]
)Prediction
EXGBoost.predict/2 is the primary entry point for making predictions with a trained model.
It accepts a Booster struct (which is the output of EXGBoost.train/2).
EXGBoost.predict/2 returns a Nx tensor containing the predictions.
EXGBoost.predict/2 also accepts a keyword list of options that can be used to configure the prediction process.
preds = EXGBoost.train(X, y) |> EXGBoost.predict(X)Requirements
If you are contributing to the library and need to compile locally or choose to not use the precompiled libraries, you will need the following:
- Make
- CMake
- If MacOS:
brew install libomp
When you run mix compile, the xgboost shared library will be compiled, so the first time you compile your project will take longer than subsequent compilations.
You also need to set CC_PRECOMPILER_PRECOMPILE_ONLY_LOCAL=true before the first local compilation, otherwise you will get an error related to a missing checksum file.
Known Limitations
The XGBoost C API uses C function pointers to implement streaming data types. The Python ctypes library is able to pass function pointers to the C API which are then executed by XGBoost. Erlang/Elixir NIFs do not have this capability, and as such, streaming data types are not supported in EXGBoost.
Roadmap
- CUDA support
- Collective API?
License
Licensed under an Apache-2 license.