Support creating Dataset from list of matrices (#1474)

include/LightGBM/c_api.h

@@ -204,6 +204,27 @@ LIGHTGBM_C_EXPORT int LGBM_DatasetCreateFromMat(const void* data,
                                                 const DatasetHandle reference,
                                                 DatasetHandle* out);
 
+/*!
+* \brief create dataset from array of dense matrices
+* \param data pointer to the data space
+* \param data_type type of data pointer, can be C_API_DTYPE_FLOAT32 or C_API_DTYPE_FLOAT64
+* \param nrow number of rows
+* \param ncol number columns
+* \param parameters additional parameters
+* \param reference used to align bin mapper with other dataset, nullptr means don't used
+* \param out created dataset
+* \return 0 when succeed, -1 when failure happens
+*/
+LIGHTGBM_C_EXPORT int LGBM_DatasetCreateFromMats(int32_t nmat,
+                                                 const void** data,
+                                                 int data_type,
+                                                 int32_t* nrow,
+                                                 int32_t ncol,
+                                                 int is_row_major,
+                                                 const char* parameters,
+                                                 const DatasetHandle reference,
+                                                 DatasetHandle* out);
+
 /*!
 * \brief Create subset of a data
 * \param handle handle of full dataset

python-package/lightgbm/basic.py

@@ -712,6 +712,8 @@ def _lazy_init(self, data, label=None, reference=None,
             self.__init_from_csc(data, params_str, ref_dataset)
         elif isinstance(data, np.ndarray):
             self.__init_from_np2d(data, params_str, ref_dataset)
+        elif isinstance(data, list) and len(data) > 0 and all(isinstance(x, np.ndarray) for x in data):
+            self.__init_from_list_np2d(data, params_str, ref_dataset)
         else:
             try:
                 csr = scipy.sparse.csr_matrix(data)
@@ -775,6 +777,54 @@ def __init_from_np2d(self, mat, params_str, ref_dataset):
             ref_dataset,
             ctypes.byref(self.handle)))
 
+    def __init_from_list_np2d(self, mats, params_str, ref_dataset):
+        """
+        Initialize data from list of 2-D numpy matrices.
+        """
+        ncol = mats[0].shape[1]
+        nrow = np.zeros((len(mats),), np.int32)
+        if mats[0].dtype == np.float64:
+            ptr_data = (ctypes.POINTER(ctypes.c_double) * len(mats))()
+        else:
+            ptr_data = (ctypes.POINTER(ctypes.c_float) * len(mats))()
+
+        holders = []
+        type_ptr_data = None
+
+        for i, mat in enumerate(mats):
+            if len(mat.shape) != 2:
+                raise ValueError('Input numpy.ndarray must be 2 dimensional')
+
+            if mat.shape[1] != ncol:
+                raise ValueError('Input arrays must have same number of columns')
+
+            nrow[i] = mat.shape[0]
+
+            if mat.dtype == np.float32 or mat.dtype == np.float64:
+                mats[i] = np.array(mat.reshape(mat.size), dtype=mat.dtype, copy=False)
+            else:
+                # change non-float data to float data, need to copy
+                mats[i] = np.array(mat.reshape(mat.size), dtype=np.float32)
+
+            chunk_ptr_data, chunk_type_ptr_data, holder = c_float_array(mats[i])
+            if type_ptr_data is not None and chunk_type_ptr_data != type_ptr_data:
+                raise ValueError('Input chunks must have same type')
+            ptr_data[i] = chunk_ptr_data
+            type_ptr_data = chunk_type_ptr_data
+            holders.append(holder)
+
+        self.handle = ctypes.c_void_p()
+        _safe_call(_LIB.LGBM_DatasetCreateFromMats(
+            ctypes.c_int(len(mats)),
+            ctypes.cast(ptr_data, ctypes.POINTER(ctypes.POINTER(ctypes.c_double))),
+            ctypes.c_int(type_ptr_data),
+            nrow.ctypes.data_as(ctypes.POINTER(ctypes.c_int32)),
+            ctypes.c_int(ncol),
+            ctypes.c_int(C_API_IS_ROW_MAJOR),
+            c_str(params_str),
+            ref_dataset,
+            ctypes.byref(self.handle)))
+
     def __init_from_csr(self, csr, params_str, ref_dataset):
         """
         Initialize data from a CSR matrix.

src/c_api.cpp

@@ -475,6 +475,27 @@ int LGBM_DatasetCreateFromMat(const void* data,
                               const char* parameters,
                               const DatasetHandle reference,
                               DatasetHandle* out) {
+  return LGBM_DatasetCreateFromMats(1,
+                                    &data,
+                                    data_type,
+                                    &nrow,
+                                    ncol,
+                                    is_row_major,
+                                    parameters,
+                                    reference,
+                                    out);
+}
+
+
+int LGBM_DatasetCreateFromMats(int32_t nmat,
+                               const void** data,
+                               int data_type,
+                               int32_t* nrow,
+                               int32_t ncol,
+                               int is_row_major,
+                               const char* parameters,
+                               const DatasetHandle reference,
+                               DatasetHandle* out) {
   API_BEGIN();
   auto param = Config::Str2Map(parameters);
   Config config;
@@ -483,22 +504,39 @@ int LGBM_DatasetCreateFromMat(const void* data,
     omp_set_num_threads(config.num_threads);
   }
   std::unique_ptr<Dataset> ret;
-  auto get_row_fun = RowFunctionFromDenseMatric(data, nrow, ncol, data_type, is_row_major);
+  int32_t total_nrow = 0;
+  for (int j = 0; j < nmat; ++j) {
+    total_nrow += nrow[j];
+  }
+
+  std::vector<std::function<std::vector<double>(int row_idx)>> get_row_fun;
+  for (int j = 0; j < nmat; ++j) {
+    get_row_fun.push_back(RowFunctionFromDenseMatric(data[j], nrow[j], ncol, data_type, is_row_major));
+  }
+
   if (reference == nullptr) {
     // sample data first
     Random rand(config.data_random_seed);
-    int sample_cnt = static_cast<int>(nrow < config.bin_construct_sample_cnt ? nrow : config.bin_construct_sample_cnt);
-    auto sample_indices = rand.Sample(nrow, sample_cnt);
+    int sample_cnt = static_cast<int>(total_nrow < config.bin_construct_sample_cnt ? total_nrow : config.bin_construct_sample_cnt);
+    auto sample_indices = rand.Sample(total_nrow, sample_cnt);
     sample_cnt = static_cast<int>(sample_indices.size());
     std::vector<std::vector<double>> sample_values(ncol);
     std::vector<std::vector<int>> sample_idx(ncol);
+
+    int offset = 0;
+    int j = 0;
     for (size_t i = 0; i < sample_indices.size(); ++i) {
       auto idx = sample_indices[i];
-      auto row = get_row_fun(static_cast<int>(idx));
-      for (size_t j = 0; j < row.size(); ++j) {
-        if (std::fabs(row[j]) > kZeroThreshold || std::isnan(row[j])) {
-          sample_values[j].emplace_back(row[j]);
-          sample_idx[j].emplace_back(static_cast<int>(i));
+      while ((idx - offset) >= nrow[j]) {
+        offset += nrow[j];
+        ++j;
+      }
+
+      auto row = get_row_fun[j](static_cast<int>(idx - offset));
+      for (size_t k = 0; k < row.size(); ++k) {
+        if (std::fabs(row[k]) > kZeroThreshold || std::isnan(row[k])) {
+          sample_values[k].emplace_back(row[k]);
+          sample_idx[k].emplace_back(static_cast<int>(i));
         }
       }
     }
@@ -507,22 +545,27 @@ int LGBM_DatasetCreateFromMat(const void* data,
                                             Common::Vector2Ptr<int>(sample_idx).data(),
                                             static_cast<int>(sample_values.size()),
                                             Common::VectorSize<double>(sample_values).data(),
-                                            sample_cnt, nrow));
+                                            sample_cnt, total_nrow));
   } else {
-    ret.reset(new Dataset(nrow));
+    ret.reset(new Dataset(total_nrow));
     ret->CreateValid(
       reinterpret_cast<const Dataset*>(reference));
   }
-  OMP_INIT_EX();
-  #pragma omp parallel for schedule(static)
-  for (int i = 0; i < nrow; ++i) {
-    OMP_LOOP_EX_BEGIN();
-    const int tid = omp_get_thread_num();
-    auto one_row = get_row_fun(i);
-    ret->PushOneRow(tid, i, one_row);
-    OMP_LOOP_EX_END();
+  int32_t start_row = 0;
+  for (int j = 0; j < nmat; ++j) {
+    OMP_INIT_EX();
+    #pragma omp parallel for schedule(static)
+    for (int i = 0; i < nrow[j]; ++i) {
+      OMP_LOOP_EX_BEGIN();
+      const int tid = omp_get_thread_num();
+      auto one_row = get_row_fun[j](i);
+      ret->PushOneRow(tid, start_row + i, one_row);
+      OMP_LOOP_EX_END();
+    }
+    OMP_THROW_EX();
+
+    start_row += nrow[j];
   }
-  OMP_THROW_EX();
   ret->FinishLoad();
   *out = ret.release();
   API_END();

tests/python_package_test/test_basic.py

@@ -60,3 +60,16 @@ def test(self):
         for preds in zip(pred_early_stopping, pred_from_matr):
             # scores likely to be different, but prediction should still be the same
             self.assertEqual(preds[0] > 0, preds[1] > 0)
+
+    def test_chunked_dataset(self):
+        X_train, X_test, y_train, y_test = train_test_split(*load_breast_cancer(True), test_size=0.1, random_state=2)
+
+        chunk_size = X_train.shape[0] // 10 + 1
+        X_train = [X_train[i * chunk_size:(i + 1) * chunk_size, :] for i in range(X_train.shape[0] // chunk_size + 1)]
+        X_test = [X_test[i * chunk_size:(i + 1) * chunk_size, :] for i in range(X_test.shape[0] // chunk_size + 1)]
+
+        train_data = lgb.Dataset(X_train, label=y_train, params={"bin_construct_sample_cnt": 100})
+        valid_data = train_data.create_valid(X_test, label=y_test, params={"bin_construct_sample_cnt": 100})
+
+        train_data.construct()
+        valid_data.construct()