This project implements random forests and gradient boosted decision trees (GBDT). The latter uses gradient tree boosting. Both use ensemble learning to produce ensembles of decision trees (that is, forests).
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CMakeLists.txt
CartNode.lua
CartTrainer.lua
CartTree.lua
DFD.lua
DataSet.lua
DecisionForest.lua
DecisionForestTrainer.lua
DecisionTree.lua
GBDT_common.h
GiniState.lua
GradientBoostState.lua
GradientBoostTrainer.lua
LICENSE
LogitBoostCriterion.lua
MSECriterion.lua
README.md
RandomForestTrainer.lua
Sparse2Dense.lua
SparseTensor.lua
TreeState.lua
WorkPool.lua
_env.lua
benchmark.lua
error.h
hash_map.c
hash_map.h
init.c
init.lua
internal_hash_map.h
khash.h
math.lua
test.lua
utils.h
utils.lua

README.md

Torch decision tree library

local dt = require 'decisiontree'

This project implements random forests and gradient boosted decision trees (GBDT). The latter uses gradient tree boosting. Both use ensemble learning to produce ensembles of decision trees (that is, forests).

nn.DFD

One practical application for decision forests is to discretize an input feature space into a richer output feature space. The nn.DFD Module can be used as a decision forest discretizer (DFD):

local dfd = nn.DFD(df, onlyLastNode)

where df is a dt.DecisionForest instance or the table returned by the method getReconstructionInfo() on another nn.DFD module, and onlyLastNode is a boolean that indicates that module should return only the id of the last node visited on each tree (by default it outputs all traversed nodes except for the roots). The nn.DFD module requires dense input tensors. Sparse input tensors (tables of tensors) are not supported. The output returned by a call to updateOutput is a batch of sparse tensors. This output where output[1] and output[2] are a respectively a list of key and value tensors:

{
  { [torch.LongTensor], ... , [torch.LongTensor] },
  { [torch.Tensor], ... , [torch.Tensor] }
}

This module doesn't support CUDA.

Example

As a concrete example, let us first train a Random Forest on a dummy dense dataset:

local nExample = 100
local batchsize = 2
local inputsize = 10

-- train Random Forest
local trainSet = dt.getDenseDummyData(nExample, nil, inputsize)
local opt = {
   activeRatio=0.5,
   featureBaggingSize=5,
   nTree=4,
   maxLeafNodes=nExample/2,
   minLeafSize=nExample/10,
}
local trainer = dt.RandomForestTrainer(opt)
local df = trainer:train(trainSet, trainSet.featureIds)
mytester:assert(#df.trees == opt.nTree)

Now that we have df, a dt.DecisionForest instance, we can use it to initialize nn.DFD:

local dfd = nn.DFD(df)

The dfd instance holds no reference to df, instead it extracts the relevant attributes from df. These attributes are stored in tensors for batching and efficiency.

We can discretize a hypothetical input by calling forward:

local input = trainSet.input:sub(1,batchsize)
local output = dfd:forward(input)

The resulting output is a table consisting of two tables: keys and values. The keys and values tables each contains batchsize tensors:

print(output)
{
  1 :
    {
      1 : LongTensor - size: 14
      2 : LongTensor - size: 16
      3 : LongTensor - size: 15
      4 : LongTensor - size: 13
    }
  2 :
    {
      1 : DoubleTensor - size: 14
      2 : DoubleTensor - size: 16
      3 : DoubleTensor - size: 15
      4 : DoubleTensor - size: 13
    }
}

An example's feature keys (LongTensor) and commensurate values (DoubleTensor) have the same number of elements. The examples have variable number of key-value pairs representing the nodes traversed in the tree. The output feature space has as many dimensions (that is, possible feature keys) for each node in the forest.

torch.SparseTensor

Suppose you have a set of keys mapped to values:

local keys = torch.LongTensor{1,3,4,7,2}
local values = torch.Tensor{0.1,0.3,0.4,0.7,0.2}

You can use a SparseTensor to encapsulate these into a read-only tensor:

local st = torch.SparseTensor(input, target)

The decisiontree library uses SparseTensors to simulate the __index method of the torch.Tensor. For example, one can obtain the value associated to key 3 of the above st instance:

local value = st[3]
assert(value == 0.3)

When the key,value pair are missing, nil is returned instead:

local value = st[2]
assert(value == nil)

The best implementation for this kind of indexing is slow (it uses a sequential scan of the keys). To speedup indexing, one can call the buildIndex()` method before hand:

st:buildIndex()

The buildIndex() creates a hash map (a Lua table) of keys to their commensurate indices in the values table.

dt.DataSet

The CartTrainer, RandomForestTrainer and GradientBoostTrainer require that data sets be encapsulated into a DataSet. Suppose you have a dataset of dense inputs and targets:

local nExample = 10
local nFeature = 5
local input = torch.randn(nExample, nFeature)
local target = torch.Tensor(nExample):random(0,1)

these can be encapsulated into a DataSet object:

local dataset = dt.DataSet(input, target)

Now suppose you have a dataset where the input is a table of SparseTensor instances:

local input = {}
for i=1,nExample do
   local nKeyVal = math.random(2,nFeature)
   local keys = torch.LongTensor(nKeyVal):random(1,nFeature)
   local values = torch.randn(nKeyVal)
   input[i] = torch.SparseTensor(keys, values)
end

You can still use a DataSet to encapsulate the sparse dataset:

local dataset = dt.DataSet(input, target)

The main purpose of the DataSet class is to sort each feature by value. This is captured by the sortFeatureValues(input) method, which is called in the constructor:

local sortedFeatureValues, featureIds = self:sortFeatureValues(input)

The featureIds is a torch.LongTensor of all available feature IDs. For a dense input tensor, this is just torch.LongTensor():range(1,input:size(2)). But for a sparse input tensor, the featureIds tensor only contains the feature IDs present in the dataset.

The resulting sortedFeatureValues is a table mapping featureIds to exampleIds sorted by featureValues. For each featureId, examples are sorted by featureValue in ascending order. For example, the table might look like: {featureId=exampleIds} where examplesIds={1,3,2}.

The CartTrainer accesses the sortedFeatureValues tensor by calling getSortedFeature(featureId):

local exampleIdsWithFeature = dataset:getSortedFeature(featureId)

The ability to access examples IDs sorted by feature value, given a feature ID, is the main purpose of the DataSet. The CartTrainer relies on these sorted lists to find the best way to split a set of examples between two tree nodes.

dt.CartTrainer

local trainer = dt.CartTrainer(dataset, minLeafSize, maxLeafNodes)

The CartTrainer is used by the RandomForestTrainer and GradientBoostTrainer to train individual trees. CART stands for classification and regression trees. However, only binary classifiers are unit tested.

The constructor takes the following arguments:

  • dataset is a dt.DataSet instance representing the training set.
  • minLeafSize is the minimum examples per leaf node in a tree. The larger the value, the more regularization.
  • maxLeafNodes is the maximum nodes in the tree. The lower the value, the more regularization.

Training is initiated by calling the train() method:

local trainSet = dt.DataSet(input, target)
local rootTreeState = dt.GiniState(trainSet:getExampleIds())
local activeFeatures = trainSet.featureIds
local tree = trainer:train(rootTreeState, activeFeatures)

The resulting tree is a CartTree instance. The rootTreeState is a TreeState instance like GiniState (used by RandomForestTrainer) or GradientBoostState (used by GradientBoostTrainer). The activeFeatures is a LongTensor of feature IDs that used to build the tree. Every other feature ID is ignored during training. This is useful for feature bagging.

By default the CartTrainer runs in a single-thread. The featureParallel(nThread) method can be called before calling train() to parallelize training using nThread workers:

local nThread = 3
trainer:featureParallel(nThread)
trainer:train(rootTreeState, activeFeatures)

Feature parallelization assigns a set of features IDs to each thread.

The CartTrainer can be used as a stand-alone tree trainer. But it is recommended to use it within the context of a RandomForestTrainer or GradientBoostTrainer instead. The latter typically generalize better.

RandomForestTrainer

The RandomForestTrainer is used to train a random forest:

local nExample = trainSet:size()
local opt = {
   activeRatio=0.5,
   featureBaggingSize=5,
   nTree=14,
   maxLeafNodes=nExample/2,
   minLeafSize=nExample/10,
}
local trainer = dt.RandomForestTrainer(opt)
local forest = trainer:train(trainSet, trainSet.featureIds)

The returned forest is a DecisionForest instance. A DecisionForest has a similar interface to the CartTree. Indeed, they both sub-class the DecisionTree abstract class.

The constructor takes a single opt table argument, which contains the actual arguments:

  • activeRatio is the ratio of active examples per tree. This is used for boostrap sampling.
  • featureBaggingSize is the number of features per tree. This is also used fpr feature bagging.
  • nTree is the number of trees to be trained.
  • maxLeafNodes and minLeafSize are passed to the underlying CartTrainer constructor (controls regularization).

Internally, the RandomForestTrainer passes a GiniBoostState to the CartTrainer:train() method.

Training can be parallelized by calling treeParallel(nThread):

local nThread = 3
trainer:treeParallel(nThread)
local forest = trainer:train(trainSet, trainSet.featureIds)

Training then parallelizes by training each tree in its own thread worker.

GradientBoostTrainer

References:

Graient boosted decision trees (GBDT) can be trained as follows:

local nExample = trainSet:size()
local maxLeafNode, minLeafSize = nExample/2, nExample/10
local cartTrainer = dt.CartTrainer(trainSet, minLeafSize, maxLeafNode)

local opt = {
  lossFunction=nn.LogitBoostCriterion(false),
  treeTrainer=cartTrainer,
  shrinkage=0.1,
  downsampleRatio=0.8,
  featureBaggingSize=-1,
  nTree=14,
  evalFreq=8,
  earlyStop=0
}

local trainer = dt.GradientBoostTrainer(opt)
local forest = trainer:train(trainSet, trainSet.featureIds, validSet)

The above code snippet uses the LogitBoostCriterion outlined in reference A. It is used for training binary classification trees.

The returned forest is a DecisionForest instance. A DecisionForest has a similar interface to the CartTree. Indeed, they both sub-class the DecisionTree abstract class.

The constructor takes a single opt table argument, which contains the actual arguments:

  • lossFunction is a nn.Criterion instance extended to include the updateHessInput(input, target) and backward2(input, target). These return the hessian of the input.
  • treeTrainer is a CartTrainer instance. Its featureParallel() method can be called to implement feature parallelization.
  • shrinkage is the weight of each additional tree.
  • downsampleRatio is the ratio of examples to be sampled for each tree. Used for bootstrap sampling.
  • featureBaggingSize is the number of features to sample per tree. Used for feature bagging. -1 defaults to torch.round(math.sqrt(featureIds:size(1)))
  • nTree is the maximum number of trees.
  • evalFreq is the number of epochs between calls to validate() for cross-validation and early-stopping.
  • earlyStop is the maximum number of epochs to wait for early-stopping.

Internally, the GradientBoostTrainer passes a GradientBoostState to the CartTrainer:train() method.

TreeState

An abstract class that holds the state of a subtree during decision tree training. It also manages the state of candidate splits.

local treeState = dt.TreeState(exampleIds)

The exampleIds argument is a LongTensor containing the example IDs that make up the sub-tree.

GiniState

A TreeState subclass used internally by the RandomForestTrainer. Uses Gini impurity to determine how to split trees.

local treeState = dt.GiniState(exampleIds)

The exampleIds argument is a LongTensor containing the example IDs that make up the sub-tree.

GradientBoostState

A TreeState subclass used internally by the GradientBoostTrainer. It implements the GBDT spliting algorithm, which uses a loss function.

local treeState = dt.GradientBoostState(exampleIds, lossFunction)

The exampleIds argument is a LongTensor containing the example IDs that make up the sub-tree. The lossFunction is an nn.Criterion instance (see GradientBoostTrainer).

WorkPool

Utility class that simplifies construction of a pool of daemon threads with which to execute tasks in parallel.

local workpool = dt.WorkPool(nThread)

CartTree

Implements a trained CART decision tree:

local tree = nn.CartTree(rootNode)

The rootNode is a CartNode instance. Each CartNode contains pointers to left and right branches, which are themselves CartNode instances.

For inference, use the score(input) method:

local score = tree:score(input)