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</pre><pre class="rust"><code><span class="doccomment">//! This module implements some math functions used for gradient boosting process.
</span><span class="attribute">#[cfg(all(feature = <span class="string">&quot;mesalock_sgx&quot;</span>, not(target_env = <span class="string">&quot;sgx&quot;</span>)))]
</span><span class="kw">use </span>std::prelude::v1::<span class="kw-2">*</span>;
<span class="kw">use </span><span class="kw">crate</span>::decision_tree::{DataVec, PredVec, ValueType};
<span class="doccomment">/// Comparing two number with a costomized floating error threshold.
///
/// # Example
/// ```rust
/// use gbdt::fitness::almost_equal_thrs;
/// assert_eq!(true, almost_equal_thrs(1.0, 0.998, 0.01));
/// ```
</span><span class="attribute">#[inline(always)]
</span><span class="kw">pub fn </span>almost_equal_thrs(a: ValueType, b: ValueType, thrs: f64) -&gt; bool {
f64::from((a - b).abs()) &lt; thrs
}
<span class="doccomment">/// Comparing two number with default floating error threshold.
///
/// # Example
/// ```rust
/// use gbdt::fitness::almost_equal;
/// assert_eq!(false, almost_equal(1.0, 0.998));
/// assert_eq!(true, almost_equal(1.0, 0.999998));
/// ```
</span><span class="kw">pub fn </span>almost_equal(a: ValueType, b: ValueType) -&gt; bool {
f64::from((a - b).abs()) &lt; <span class="number">1.0e-5
</span>}
<span class="doccomment">/// Return whether the first n data in data vector have same target values.
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
</span><span class="kw">pub fn </span>same(dv: <span class="kw-2">&amp;</span>DataVec, len: usize) -&gt; bool {
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">if </span>len &lt; <span class="number">1 </span>{
<span class="kw">return </span><span class="bool-val">false</span>;
}
<span class="kw">let </span>t: ValueType = dv[<span class="number">0</span>].target;
<span class="kw">for </span>i <span class="kw">in </span>dv.iter().skip(<span class="number">1</span>) {
<span class="kw">if </span>!(almost_equal(t, i.target)) {
<span class="kw">return </span><span class="bool-val">false</span>;
}
}
<span class="bool-val">true
</span>}
<span class="doccomment">/// Logistic value function.
</span><span class="kw">pub fn </span>logit(f: ValueType) -&gt; ValueType {
<span class="number">1.0 </span>/ (<span class="number">1.0 </span>+ (-<span class="number">2.0 </span>* f).exp())
}
<span class="doccomment">/// Negative binomial log-likelyhood loss function.
</span><span class="kw">pub fn </span>logit_loss(y: ValueType, f: ValueType) -&gt; ValueType {
<span class="number">2.0 </span>* (<span class="number">1.0 </span>+ (-<span class="number">2.0 </span>* y * f)).ln()
}
<span class="doccomment">/// Log-likelyhood gradient calculation.
</span><span class="kw">pub fn </span>logit_loss_gradient(y: ValueType, f: ValueType) -&gt; ValueType {
<span class="number">2.0 </span>* y / (<span class="number">1.0 </span>+ (<span class="number">2.0 </span>* y * f).exp())
}
<span class="doccomment">/// LAD loss function.
</span><span class="kw">pub fn </span>lad_loss(y: ValueType, f: ValueType) -&gt; ValueType {
(y - f).abs()
}
<span class="doccomment">/// LAD gradient calculation.
</span><span class="kw">pub fn </span>lad_loss_gradient(y: ValueType, f: ValueType) -&gt; ValueType {
<span class="kw">if </span>y - f &gt; <span class="number">0.0 </span>{
<span class="number">1.0
</span>} <span class="kw">else </span>{
-<span class="number">1.0
</span>}
}
<span class="doccomment">/// RMSE (Root-Mean-Square deviation) calculation for first n element in data vector.
/// See [wikipedia](https://en.wikipedia.org/wiki/Root-mean-square_deviation) for detailed algorithm.
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
///
/// If the length of data vector and predicted vector is not same, it will panic.
</span><span class="attribute">#[allow(non_snake_case)]
</span><span class="kw">pub fn </span>RMSE(dv: <span class="kw-2">&amp;</span>DataVec, predict: <span class="kw-2">&amp;</span>PredVec, len: usize) -&gt; ValueType {
<span class="macro">assert_eq!</span>(dv.len(), predict.len());
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>s: f64 = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>c: f64 = <span class="number">0.0</span>;
<span class="kw">for </span>i <span class="kw">in </span><span class="number">0</span>..dv.len() {
s += (f64::from(predict[i]) - f64::from(dv[i].label)).powf(<span class="number">2.0</span>) * f64::from(dv[i].weight);
c += f64::from(dv[i].weight);
}
<span class="kw">if </span>c.abs() &lt; <span class="number">1e-10 </span>{
<span class="number">0.0
</span>} <span class="kw">else </span>{
(s / c) <span class="kw">as </span>ValueType
}
}
<span class="doccomment">/// MAE (Mean Absolute Error) calculation for first n element in data vector.
/// See [wikipedia](https://en.wikipedia.org/wiki/Mean_absolute_error) for detail for detailed algorithm.
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
///
/// If the length of data vector and predicted vector is not same, it will panic.
</span><span class="attribute">#[allow(non_snake_case)]
</span><span class="kw">pub fn </span>MAE(dv: <span class="kw-2">&amp;</span>DataVec, predict: <span class="kw-2">&amp;</span>PredVec, len: usize) -&gt; ValueType {
<span class="macro">assert_eq!</span>(dv.len(), predict.len());
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>s: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>c: ValueType = <span class="number">0.0</span>;
<span class="kw">for </span>i <span class="kw">in </span><span class="number">0</span>..dv.len() {
s += (predict[i] - dv[i].label).abs() * dv[i].weight;
c += dv[i].weight;
}
s / c
}
<span class="kw">struct </span>AucPred {
score: ValueType,
label: ValueType,
}
<span class="doccomment">/// AUC (Area Under the Curve) calculation for first n element in data vector.
/// See [wikipedia](https://en.wikipedia.org/wiki/Receiver_operating_characteristic#Area_under_the_curve) for detailed algorithm.
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
///
/// If the length of data vector and predicted vector is not same, it will panic.
///
/// If the data vector contains only one class or more than two classes, it will panic.
</span><span class="attribute">#[allow(non_snake_case)]
</span><span class="kw">pub fn </span>AUC(dv: <span class="kw-2">&amp;</span>DataVec, predict: <span class="kw-2">&amp;</span>PredVec, len: usize) -&gt; ValueType {
<span class="macro">assert_eq!</span>(dv.len(), predict.len());
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>classes: Vec&lt;ValueType&gt; = Vec::new();
<span class="kw">for </span>i <span class="kw">in </span>dv {
<span class="kw">if </span>!classes.contains(<span class="kw-2">&amp;</span>i.label) {
classes.push(i.label);
}
}
<span class="macro">assert!</span>(classes.len() == <span class="number">2</span>);
<span class="kw">let </span><span class="kw-2">mut </span>preds: Vec&lt;AucPred&gt; = Vec::new();
<span class="kw">for </span>i <span class="kw">in </span><span class="number">0</span>..predict.len() {
preds.push(AucPred {
score: predict[i],
label: dv[i].label,
});
}
preds.sort_by(|a, b| b.score.partial_cmp(<span class="kw-2">&amp;</span>a.score).unwrap());
<span class="kw">let </span><span class="kw-2">mut </span>tp: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>fp: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span>(<span class="kw-2">mut </span>tps, <span class="kw-2">mut </span>fps) = (<span class="macro">vec!</span>[], <span class="macro">vec!</span>[]);
<span class="kw">for </span>x <span class="kw">in </span>preds.iter() {
tps.push(tp);
fps.push(fp);
<span class="kw">if </span>almost_equal(x.label, <span class="number">1.0</span>) {
tp += <span class="number">1.0</span>;
} <span class="kw">else </span>{
fp += <span class="number">1.0</span>;
}
}
tps.push(tp);
fps.push(fp);
<span class="kw">let </span>true_positives = tps[tps.len() - <span class="number">1</span>];
<span class="kw">let </span>false_positives = fps[fps.len() - <span class="number">1</span>];
<span class="comment">// println!(&quot;tps={}, fps={}&quot;, true_positives, false_positives);
</span><span class="kw">for </span>(tp, fp) <span class="kw">in </span>tps.iter_mut().zip(fps.iter_mut()) {
<span class="kw-2">*</span>tp /= true_positives;
<span class="kw-2">*</span>fp /= false_positives;
<span class="comment">// println!(&quot;fp={}, tp={}&quot;, fp, tp);
</span>}
<span class="kw">let </span><span class="kw-2">mut </span>prev_y: ValueType = <span class="kw-2">*</span>tps.first().unwrap();
<span class="kw">let </span><span class="kw-2">mut </span>prev_x: ValueType = <span class="kw-2">*</span>fps.first().unwrap();
<span class="kw">let </span><span class="kw-2">mut </span>auc: ValueType = <span class="number">0.0</span>;
<span class="kw">for </span>(<span class="kw-2">&amp;</span>x, <span class="kw-2">&amp;</span>y) <span class="kw">in </span>fps.iter().skip(<span class="number">1</span>).zip(tps.iter().skip(<span class="number">1</span>)) {
auc += (x - prev_x) * (prev_y + y) / <span class="number">2.0</span>;
prev_x = x;
prev_y = y;
}
auc
}
<span class="doccomment">/// Return the weighted target average for first n data in data vector.
///
/// # Example
/// ```rust
/// use gbdt::decision_tree::{DataVec, Data, VALUE_TYPE_UNKNOWN};
/// use gbdt::fitness::{average, almost_equal};
/// let mut dv: DataVec = Vec::new();
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.1,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.2,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.3,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.4,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// assert!(almost_equal(0.3, average(&amp;dv, dv.len())));
/// ```
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
</span><span class="kw">pub fn </span>average(dv: <span class="kw-2">&amp;</span>DataVec, len: usize) -&gt; ValueType {
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">if </span>len == <span class="number">0 </span>{
<span class="kw">return </span><span class="number">0.0</span>;
}
<span class="kw">let </span><span class="kw-2">mut </span>s: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>c: ValueType = <span class="number">0.0</span>;
<span class="kw">for </span>d <span class="kw">in </span>dv {
s += d.weight * d.target;
c += d.weight;
}
s / c
}
<span class="doccomment">/// Return the weighted label average for first n data in data vector.
///
/// # Example
/// ```rust
/// use gbdt::decision_tree::{DataVec, Data, VALUE_TYPE_UNKNOWN};
/// use gbdt::fitness::{label_average, almost_equal};
/// let mut dv: DataVec = Vec::new();
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.1,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.2,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.3,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.4,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// assert!(almost_equal(0.4, label_average(&amp;dv, dv.len())));
/// ```
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
</span><span class="kw">pub fn </span>label_average(dv: <span class="kw-2">&amp;</span>DataVec, len: usize) -&gt; ValueType {
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>s: f64 = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>c: f64 = <span class="number">0.0</span>;
<span class="kw">for </span>d <span class="kw">in </span>dv {
s += f64::from(d.label) * f64::from(d.weight);
c += f64::from(d.weight);
}
<span class="kw">if </span>c.abs() &lt; <span class="number">1e-10 </span>{
<span class="number">0.0
</span>} <span class="kw">else </span>{
(s / c) <span class="kw">as </span>ValueType
}
}
<span class="doccomment">/// Return the weighted label median for first n data in data vector.
///
/// # Example
/// ```rust
/// use gbdt::decision_tree::{DataVec, Data, VALUE_TYPE_UNKNOWN};
/// use gbdt::fitness::{weighted_label_median, almost_equal};
/// let mut dv: DataVec = Vec::new();
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.1,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.2,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.3,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.4,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// assert!(almost_equal(0.0, weighted_label_median(&amp;dv, dv.len())));
/// ```
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
</span><span class="kw">pub fn </span>weighted_label_median(dv: <span class="kw-2">&amp;</span>DataVec, len: usize) -&gt; ValueType {
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>dv_copy = dv.to_vec();
dv_copy.sort_by(|a, b| a.label.partial_cmp(<span class="kw-2">&amp;</span>b.label).unwrap());
<span class="kw">let </span><span class="kw-2">mut </span>all_weight: f64 = <span class="number">0.0</span>;
<span class="kw">for </span>d <span class="kw">in </span><span class="kw-2">&amp;</span>dv_copy {
all_weight += f64::from(d.weight);
}
<span class="kw">let </span><span class="kw-2">mut </span>weighted_median: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>weight: f64 = <span class="number">0.0</span>;
<span class="kw">for </span>i <span class="kw">in </span><span class="number">0</span>..len {
weight += f64::from(dv_copy[i].weight);
<span class="kw">if </span>weight * <span class="number">2.0 </span>&gt; all_weight {
<span class="kw">if </span>i - <span class="number">1 </span>&gt; <span class="number">0 </span>{
weighted_median = (dv_copy[i].label + dv_copy[i - <span class="number">1</span>].label) / <span class="number">2.0</span>;
} <span class="kw">else </span>{
weighted_median = dv_copy[i].label;
}
<span class="kw">break</span>;
}
}
weighted_median
}
<span class="doccomment">/// Return the weighted residual median for first n data in data vector.
///
/// # Example
/// ```rust
/// use gbdt::decision_tree::{DataVec, Data, VALUE_TYPE_UNKNOWN};
/// use gbdt::fitness::{weighted_residual_median, almost_equal};
/// let mut dv: DataVec = Vec::new();
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.1,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 1.0,
/// weight: 0.2,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.3,
/// label: 1.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// dv.push(Data {
/// feature: Vec::new(),
/// target: 0.0,
/// weight: 0.4,
/// label: 0.0,
/// residual: 0.5,
/// initial_guess: VALUE_TYPE_UNKNOWN,
/// });
/// assert!(almost_equal(0.5, weighted_residual_median(&amp;dv, dv.len())));
/// ```
///
/// # Panic
/// If the specified length is greater than the length of data vector, it will panic.
</span><span class="kw">pub fn </span>weighted_residual_median(dv: <span class="kw-2">&amp;</span>DataVec, len: usize) -&gt; ValueType {
<span class="macro">assert!</span>(dv.len() &gt;= len);
<span class="kw">let </span><span class="kw-2">mut </span>dv_copy = dv.to_vec();
dv_copy.sort_by(|a, b| a.residual.partial_cmp(<span class="kw-2">&amp;</span>b.residual).unwrap());
<span class="kw">let </span><span class="kw-2">mut </span>all_weight: ValueType = <span class="number">0.0</span>;
<span class="kw">for </span>d <span class="kw">in </span><span class="kw-2">&amp;</span>dv_copy {
all_weight += d.weight;
}
<span class="kw">let </span><span class="kw-2">mut </span>weighted_median: ValueType = <span class="number">0.0</span>;
<span class="kw">let </span><span class="kw-2">mut </span>weight: ValueType = <span class="number">0.0</span>;
<span class="kw">for </span>i <span class="kw">in </span><span class="number">0</span>..len {
weight += dv_copy[i].weight;
<span class="kw">if </span>weight * <span class="number">2.0 </span>&gt; all_weight {
<span class="kw">if </span>i - <span class="number">1 </span>&gt; <span class="number">0 </span>{
weighted_median = (dv_copy[i].residual + dv_copy[i - <span class="number">1</span>].residual) / <span class="number">2.0</span>;
} <span class="kw">else </span>{
weighted_median = dv_copy[i].residual;
}
<span class="kw">break</span>;
}
}
weighted_median
}
</code></pre></div>
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