Added method for customizable "boost-from-average" (#731)

* Created objectives and metrics xentropy and xentropy1

* Some coment and code cleanup.

* Added Kullback-Leibler version of metric. Changed some warning messages.

* Fixed sign error in KL-divergence calc.

* Removed __PRETTY_FUNCTION__.

* Fixed better name for alternative xentropy parameterization.
Documented details on the objectives / metrics in code comments.

* Common code for label interval checks. Cleanups.

* Use common utility for various weight property checks.

* Added code for customizable initial average to boost from.

* Fixed spelling error in aliases.

include/LightGBM/config.h

@@ -370,7 +370,7 @@ struct ParameterAlias {
       { "is_sparse", "is_enable_sparse" },
       { "enable_sparse", "is_enable_sparse" },
       { "pre_partition", "is_pre_partition" },
-      { "tranining_metric", "is_training_metric" },
+      { "training_metric", "is_training_metric" },
       { "train_metric", "is_training_metric" },
       { "ndcg_at", "ndcg_eval_at" },
       { "eval_at", "ndcg_eval_at" },

include/LightGBM/objective_function.h

@@ -37,6 +37,8 @@ class ObjectiveFunction {
 
   virtual bool BoostFromAverage() const { return false; }
 
+  virtual bool GetCustomAverage(double *) const { return false; }
+
   virtual bool SkipEmptyClass() const { return false; }
 
   virtual int NumTreePerIteration() const { return 1; }

src/boosting/gbdt.cpp

@@ -433,8 +433,13 @@ bool GBDT::TrainOneIter(const score_t* gradient, const score_t* hessian, bool is
       && num_class_ <= 1
       && objective_function_ != nullptr
       && objective_function_->BoostFromAverage()) {
-    auto label = train_data_->metadata().label();
-    double init_score = LabelAverage(label, num_data_);
+    double init_score = 0.0f;
+    // First try to poll the optional custom average score calculation for the specific objective
+    if (!objective_function_->GetCustomAverage(&init_score)) {
+      // otherwise compute a standard label average
+      auto label = train_data_->metadata().label();
+      init_score = LabelAverage(label, num_data_);
+    }
     std::unique_ptr<Tree> new_tree(new Tree(2));
     new_tree->Split(0, 0, BinType::NumericalBin, 0, 0, 0, init_score, init_score, 0, 0, -1, 0, 0, 0);
     train_score_updater_->AddScore(init_score, 0);

src/objective/xentropy_objective.hpp

@@ -102,8 +102,31 @@ class CrossEntropy: public ObjectiveFunction {
     return str_buf.str();
   }
 
+  // allow boost from average option
   bool BoostFromAverage() const override { return true; }
 
+  // implement custom average to boost from (if enabled among options)
+  bool GetCustomAverage(double *initscore) const override {
+    if (initscore == nullptr) return false;
+    double suml = 0.0f;
+    double sumw = 0.0f;
+    if (weights_ == nullptr) {
+      for (data_size_t i = 0; i < num_data_; ++i) {
+        suml += label_[i] * weights_[i];
+        sumw += weights_[i];
+      }
+    } else {
+      sumw = static_cast<double>(num_data_);
+      for (data_size_t i = 0; i < num_data_; ++i) {
+        suml += label_[i];
+      }
+    }
+    double pavg = suml / sumw;
+    *initscore = std::log(pavg / (1.0f - pavg));
+    Log::Info("[%s:%s]: pavg=%f -> initscore=%f",  GetName(), __func__, pavg, *initscore);
+    return true;
+  }
+
 private:
   /*! \brief Number of data points */
   data_size_t num_data_;
@@ -207,9 +230,24 @@ class CrossEntropyLambda: public ObjectiveFunction {
     return str_buf.str();
   }
 
-  // might want to boost from a weighted average in general, if possible
   bool BoostFromAverage() const override { return true; }
 
+  bool GetCustomAverage(double *initscore) const override {
+    if (initscore == nullptr) return false;
+    double sumy = 0.0f;
+    for (data_size_t i = 0; i < num_data_; ++i) sumy += label_[i];
+    double sumw = 0.0f;
+    if (weights_ == nullptr) {
+      for (data_size_t i = 0; i < num_data_; ++i) sumw += weights_[i];
+    } else {
+      sumw = static_cast<double>(num_data_);
+    }
+    double havg = sumy / sumw;
+    *initscore = std::log(std::exp(havg) - 1.0f);
+    Log::Info("[%s:%s]: havg=%f -> initscore=%f",  GetName(), __func__, havg, *initscore);
+    return true;
+  }
+
 private:
   /*! \brief Number of data points */
   data_size_t num_data_;