Fix multi-output with alternating strategies. (#9933)

---------

Co-authored-by: Philip Hyunsu Cho <[email protected]>

python-package/xgboost/testing/updater.py

@@ -394,3 +394,14 @@ def train_result(
     assert booster.feature_types == dmat.feature_types
 
     return result
+
+
+class ResetStrategy(xgb.callback.TrainingCallback):
+    """Callback for testing multi-output."""
+
+    def after_iteration(self, model: xgb.Booster, epoch: int, evals_log: dict) -> bool:
+        if epoch % 2 == 0:
+            model.set_param({"multi_strategy": "multi_output_tree"})
+        else:
+            model.set_param({"multi_strategy": "one_output_per_tree"})
+        return False

src/tree/updater_quantile_hist.cc

@@ -545,12 +545,12 @@ class QuantileHistMaker : public TreeUpdater {
   }
 
   bool UpdatePredictionCache(const DMatrix *data, linalg::MatrixView<float> out_preds) override {
-    if (p_impl_) {
-      return p_impl_->UpdatePredictionCache(data, out_preds);
-    } else if (p_mtimpl_) {
+    if (out_preds.Shape(1) > 1) {
+      CHECK(p_mtimpl_);
       return p_mtimpl_->UpdatePredictionCache(data, out_preds);
     } else {
-      return false;
+      CHECK(p_impl_);
+      return p_impl_->UpdatePredictionCache(data, out_preds);
     }
   }
 

tests/ci_build/lint_python.py

@@ -22,6 +22,7 @@ class LintersPaths:
         "tests/python/test_dmatrix.py",
         "tests/python/test_dt.py",
         "tests/python/test_demos.py",
+        "tests/python/test_multi_target.py",
         "tests/python/test_predict.py",
         "tests/python/test_quantile_dmatrix.py",
         "tests/python/test_tree_regularization.py",
@@ -79,6 +80,7 @@ class LintersPaths:
         "tests/python/test_dt.py",
         "tests/python/test_demos.py",
         "tests/python/test_data_iterator.py",
+        "tests/python/test_multi_target.py",
         "tests/python-gpu/test_gpu_data_iterator.py",
         "tests/python-gpu/load_pickle.py",
         "tests/test_distributed/test_with_spark/test_data.py",

tests/python/test_basic_models.py

@@ -8,6 +8,7 @@
 
 import xgboost as xgb
 from xgboost import testing as tm
+from xgboost.testing.updater import ResetStrategy
 
 dpath = tm.data_dir(__file__)
 
@@ -653,11 +654,6 @@ def test_slice_multi(self) -> None:
         num_parallel_tree = 4
         num_boost_round = 16
 
-        class ResetStrategy(xgb.callback.TrainingCallback):
-            def after_iteration(self, model, epoch: int, evals_log) -> bool:
-                model.set_param({"multi_strategy": "multi_output_tree"})
-                return False
-
         booster = xgb.train(
             {
                 "num_parallel_tree": num_parallel_tree,

tests/python/test_multi_target.py

@@ -0,0 +1,105 @@
+from typing import Any, Dict
+
+from hypothesis import given, note, settings, strategies
+
+import xgboost as xgb
+from xgboost import testing as tm
+from xgboost.testing.params import (
+    exact_parameter_strategy,
+    hist_cache_strategy,
+    hist_multi_parameter_strategy,
+    hist_parameter_strategy,
+)
+from xgboost.testing.updater import ResetStrategy, train_result
+
+
+class TestTreeMethodMulti:
+    @given(
+        exact_parameter_strategy, strategies.integers(1, 20), tm.multi_dataset_strategy
+    )
+    @settings(deadline=None, print_blob=True)
+    def test_exact(self, param: dict, num_rounds: int, dataset: tm.TestDataset) -> None:
+        if dataset.name.endswith("-l1"):
+            return
+        param["tree_method"] = "exact"
+        param = dataset.set_params(param)
+        result = train_result(param, dataset.get_dmat(), num_rounds)
+        assert tm.non_increasing(result["train"][dataset.metric])
+
+    @given(
+        exact_parameter_strategy,
+        hist_parameter_strategy,
+        hist_cache_strategy,
+        strategies.integers(1, 20),
+        tm.multi_dataset_strategy,
+    )
+    @settings(deadline=None, print_blob=True)
+    def test_approx(
+        self,
+        param: Dict[str, Any],
+        hist_param: Dict[str, Any],
+        cache_param: Dict[str, Any],
+        num_rounds: int,
+        dataset: tm.TestDataset,
+    ) -> None:
+        param["tree_method"] = "approx"
+        param = dataset.set_params(param)
+        param.update(hist_param)
+        param.update(cache_param)
+        result = train_result(param, dataset.get_dmat(), num_rounds)
+        note(str(result))
+        assert tm.non_increasing(result["train"][dataset.metric])
+
+    @given(
+        exact_parameter_strategy,
+        hist_multi_parameter_strategy,
+        hist_cache_strategy,
+        strategies.integers(1, 20),
+        tm.multi_dataset_strategy,
+    )
+    @settings(deadline=None, print_blob=True)
+    def test_hist(
+        self,
+        param: Dict[str, Any],
+        hist_param: Dict[str, Any],
+        cache_param: Dict[str, Any],
+        num_rounds: int,
+        dataset: tm.TestDataset,
+    ) -> None:
+        if dataset.name.endswith("-l1"):
+            return
+        param["tree_method"] = "hist"
+        param = dataset.set_params(param)
+        param.update(hist_param)
+        param.update(cache_param)
+        result = train_result(param, dataset.get_dmat(), num_rounds)
+        note(str(result))
+        assert tm.non_increasing(result["train"][dataset.metric])
+
+
+def test_multiclass() -> None:
+    X, y = tm.datasets.make_classification(
+        128, n_features=12, n_informative=10, n_classes=4
+    )
+    clf = xgb.XGBClassifier(
+        multi_strategy="multi_output_tree", callbacks=[ResetStrategy()], n_estimators=10
+    )
+    clf.fit(X, y, eval_set=[(X, y)])
+    assert clf.objective == "multi:softprob"
+    assert tm.non_increasing(clf.evals_result()["validation_0"]["mlogloss"])
+
+    proba = clf.predict_proba(X)
+    assert proba.shape == (y.shape[0], 4)
+
+
+def test_multilabel() -> None:
+    X, y = tm.datasets.make_multilabel_classification(128)
+    clf = xgb.XGBClassifier(
+        multi_strategy="multi_output_tree", callbacks=[ResetStrategy()], n_estimators=10
+    )
+    clf.fit(X, y, eval_set=[(X, y)])
+    assert clf.objective == "binary:logistic"
+    assert tm.non_increasing(clf.evals_result()["validation_0"]["logloss"])
+
+    proba = clf.predict_proba(X)
+    assert proba.shape == y.shape

tests/python/test_updaters.py

@@ -12,7 +12,6 @@
     cat_parameter_strategy,
     exact_parameter_strategy,
     hist_cache_strategy,
-    hist_multi_parameter_strategy,
     hist_parameter_strategy,
 )
 from xgboost.testing.updater import (
@@ -25,69 +24,6 @@
 )
 
 
-class TestTreeMethodMulti:
-    @given(
-        exact_parameter_strategy, strategies.integers(1, 20), tm.multi_dataset_strategy
-    )
-    @settings(deadline=None, print_blob=True)
-    def test_exact(self, param: dict, num_rounds: int, dataset: tm.TestDataset) -> None:
-        if dataset.name.endswith("-l1"):
-            return
-        param["tree_method"] = "exact"
-        param = dataset.set_params(param)
-        result = train_result(param, dataset.get_dmat(), num_rounds)
-        assert tm.non_increasing(result["train"][dataset.metric])
-
-    @given(
-        exact_parameter_strategy,
-        hist_parameter_strategy,
-        hist_cache_strategy,
-        strategies.integers(1, 20),
-        tm.multi_dataset_strategy,
-    )
-    @settings(deadline=None, print_blob=True)
-    def test_approx(
-        self, param: Dict[str, Any],
-        hist_param: Dict[str, Any],
-        cache_param: Dict[str, Any],
-        num_rounds: int,
-        dataset: tm.TestDataset,
-    ) -> None:
-        param["tree_method"] = "approx"
-        param = dataset.set_params(param)
-        param.update(hist_param)
-        param.update(cache_param)
-        result = train_result(param, dataset.get_dmat(), num_rounds)
-        note(str(result))
-        assert tm.non_increasing(result["train"][dataset.metric])
-
-    @given(
-        exact_parameter_strategy,
-        hist_multi_parameter_strategy,
-        hist_cache_strategy,
-        strategies.integers(1, 20),
-        tm.multi_dataset_strategy,
-    )
-    @settings(deadline=None, print_blob=True)
-    def test_hist(
-        self,
-        param: Dict[str, Any],
-        hist_param: Dict[str, Any],
-        cache_param: Dict[str, Any],
-        num_rounds: int,
-        dataset: tm.TestDataset,
-    ) -> None:
-        if dataset.name.endswith("-l1"):
-            return
-        param["tree_method"] = "hist"
-        param = dataset.set_params(param)
-        param.update(hist_param)
-        param.update(cache_param)
-        result = train_result(param, dataset.get_dmat(), num_rounds)
-        note(str(result))
-        assert tm.non_increasing(result["train"][dataset.metric])
-
-
 class TestTreeMethod:
     USE_ONEHOT = np.iinfo(np.int32).max
     USE_PART = 1