Implementation of hinge loss for binary classification (dmlc#3477)

amalgamation/xgboost-all0.cc

@@ -20,6 +20,7 @@
 #include "../src/objective/regression_obj.cc"
 #include "../src/objective/multiclass_obj.cc"
 #include "../src/objective/rank_obj.cc"
+#include "../src/objective/hinge.cc"
 
 // gbms
 #include "../src/gbm/gbm.cc"

doc/parameter.rst

@@ -248,6 +248,7 @@ Specify the learning task and the corresponding learning objective. The objectiv
   - ``reg:logistic``: logistic regression
   - ``binary:logistic``: logistic regression for binary classification, output probability
   - ``binary:logitraw``: logistic regression for binary classification, output score before logistic transformation
+  - ``binary:hinge``: hinge loss for binary classification. This makes predictions of 0 or 1, rather than producing probabilities.
   - ``gpu:reg:linear``, ``gpu:reg:logistic``, ``gpu:binary:logistic``, ``gpu:binary:logitraw``: versions
     of the corresponding objective functions evaluated on the GPU; note that like the GPU histogram algorithm,
     they can only be used when the entire training session uses the same dataset

src/objective/hinge.cc

@@ -0,0 +1,71 @@
+/*!
+ * Copyright 2018 by Contributors
+ * \file hinge.cc
+ * \brief Provides an implementation of the hinge loss function
+ * \author Henry Gouk
+ */
+#include <xgboost/objective.h>
+#include "../common/math.h"
+
+namespace xgboost {
+namespace obj {
+
+DMLC_REGISTRY_FILE_TAG(hinge);
+
+class HingeObj : public ObjFunction {
+ public:
+  HingeObj() = default;
+
+  void Configure(
+      const std::vector<std::pair<std::string, std::string> > &args) override {
+    // This objective does not take any parameters
+  }
+
+  void GetGradient(HostDeviceVector<bst_float> *preds,
+                   const MetaInfo &info,
+                   int iter,
+                   HostDeviceVector<GradientPair> *out_gpair) override {
+    CHECK_NE(info.labels_.size(), 0U) << "label set cannot be empty";
+    CHECK_EQ(preds->Size(), info.labels_.size())
+        << "labels are not correctly provided"
+        << "preds.size=" << preds->Size()
+        << ", label.size=" << info.labels_.size();
+    auto& preds_h = preds->HostVector();
+
+    out_gpair->Resize(preds_h.size());
+    auto& gpair = out_gpair->HostVector();
+
+    for (size_t i = 0; i < preds_h.size(); ++i) {
+      auto y = info.labels_[i] * 2.0 - 1.0;
+      bst_float p = preds_h[i];
+      bst_float w = info.GetWeight(i);
+      bst_float g, h;
+      if (p * y < 1.0) {
+        g = -y * w;
+        h = w;
+      } else {
+        g = 0.0;
+        h = std::numeric_limits<bst_float>::min();
+      }
+      gpair[i] = GradientPair(g, h);
+    }
+  }
+
+  void PredTransform(HostDeviceVector<bst_float> *io_preds) override {
+    std::vector<bst_float> &preds = io_preds->HostVector();
+    for (auto& p : preds) {
+      p = p > 0.0 ? 1.0 : 0.0;
+    }
+  }
+
+  const char* DefaultEvalMetric() const override {
+    return "error";
+  }
+};
+
+XGBOOST_REGISTER_OBJECTIVE(HingeObj, "binary:hinge")
+.describe("Hinge loss. Expects labels to be in [0,1f]")
+.set_body([]() { return new HingeObj(); });
+
+}  // namespace obj
+}  // namespace xgboost

src/objective/objective.cc

@@ -36,5 +36,6 @@ DMLC_REGISTRY_LINK_TAG(regression_obj);
 #endif
 DMLC_REGISTRY_LINK_TAG(multiclass_obj);
 DMLC_REGISTRY_LINK_TAG(rank_obj);
+DMLC_REGISTRY_LINK_TAG(hinge);
 }  // namespace obj
 }  // namespace xgboost

tests/cpp/objective/test_hinge.cc

@@ -0,0 +1,20 @@
+// Copyright by Contributors
+#include <xgboost/objective.h>
+#include <limits>
+
+#include "../helpers.h"
+
+TEST(Objective, HingeObj) {
+  xgboost::ObjFunction * obj = xgboost::ObjFunction::Create("binary:hinge");
+  std::vector<std::pair<std::string, std::string> > args;
+  obj->Configure(args);
+  xgboost::bst_float eps = std::numeric_limits<xgboost::bst_float>::min();
+  CheckObjFunction(obj,
+                   {-1.0f, -0.5f, 0.5f, 1.0f, -1.0f, -0.5f,  0.5f, 1.0f},
+                   { 0.0f,  0.0f, 0.0f, 0.0f,  1.0f,  1.0f,  1.0f, 1.0f},
+                   { 1.0f,  1.0f, 1.0f, 1.0f,  1.0f,  1.0f,  1.0f, 1.0f},
+                   { 0.0f,  1.0f, 1.0f, 1.0f, -1.0f, -1.0f, -1.0f, 0.0f},
+                   {  eps,  1.0f, 1.0f, 1.0f,  1.0f,  1.0f,  1.0f, eps });
+
+  ASSERT_NO_THROW(obj->DefaultEvalMetric());
+}