Verify strictly positive labels for gamma regression. (#6778)

Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>
dmlc · Mar 25, 2021 · 1d90577 · 1d90577
1 parent 794fd6a
commit 1d90577
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Showing 3 changed files with 22 additions and 16 deletions.
diff --git a/src/metric/elementwise_metric.cu b/src/metric/elementwise_metric.cu
@@ -304,13 +304,17 @@ struct EvalGammaNLogLik {
   }
 
   XGBOOST_DEVICE bst_float EvalRow(bst_float y, bst_float py) const {
-    const bst_float eps = 1e-16f;
-    if (y < eps) y = eps;
-    bst_float psi = 1.0;
+    py = std::max(py, 1e-6f);
+    // hardcoded dispersion.
+    float constexpr kPsi = 1.0;
     bst_float theta = -1. / py;
-    bst_float a = psi;
-    bst_float b = -std::log(-theta);
-    bst_float c = 1. / psi * std::log(y/psi) - std::log(y) - common::LogGamma(1. / psi);
+    bst_float a = kPsi;
+    // b = -std::log(-theta);
+    float b = 1.0f;
+    // c = 1. / kPsi * std::log(y/kPsi) - std::log(y) - common::LogGamma(1. / kPsi);
+    //   = 1.0f      * std::log(y)      - std::log(y) - 0 = 0
+    float c = 0;
+    // general form for exponential family.
     return -((y * theta - b) / a + c);
   }
   static bst_float GetFinal(bst_float esum, bst_float wsum) {

diff --git a/src/objective/regression_obj.cu b/src/objective/regression_obj.cu
@@ -404,7 +404,7 @@ class GammaRegression : public ObjFunction {
           bst_float p = _preds[_idx];
           bst_float w = is_null_weight ? 1.0f : _weights[_idx];
           bst_float y = _labels[_idx];
-          if (y < 0.0f) {
+          if (y <= 0.0f) {
             _label_correct[0] = 0;
           }
           _out_gpair[_idx] = GradientPair((1 - y / expf(p)) * w, y / expf(p) * w);
@@ -416,7 +416,7 @@ class GammaRegression : public ObjFunction {
     std::vector<int>& label_correct_h = label_correct_.HostVector();
     for (auto const flag : label_correct_h) {
       if (flag == 0) {
-        LOG(FATAL) << "GammaRegression: label must be nonnegative";
+        LOG(FATAL) << "GammaRegression: label must be positive.";
       }
     }
   }

diff --git a/tests/cpp/objective/test_regression_obj.cc b/tests/cpp/objective/test_regression_obj.cc
@@ -205,16 +205,16 @@ TEST(Objective, DeclareUnifiedTest(GammaRegressionGPair)) {
   obj->Configure(args);
   CheckObjFunction(obj,
                    {0, 0.1f, 0.9f, 1, 0,  0.1f,  0.9f,    1},
-                   {0,   0,   0, 0, 1,    1,    1,    1},
-                   {1,   1,   1, 1, 1,    1,    1,    1},
-                   {1,   1,   1, 1, 0, 0.09f, 0.59f, 0.63f},
-                   {0,   0,   0, 0, 1, 0.90f, 0.40f, 0.36f});
+                   {2,   2,   2,   2, 1,    1,    1,    1},
+                   {1,   1,   1,   1, 1,    1,    1,    1},
+                   {-1,  -0.809, 0.187, 0.264, 0, 0.09f, 0.59f, 0.63f},
+                   {2,   1.809,  0.813, 0.735, 1, 0.90f, 0.40f, 0.36f});
   CheckObjFunction(obj,
                    {0, 0.1f, 0.9f, 1, 0,  0.1f,  0.9f,    1},
-                   {0,   0,   0, 0, 1,    1,    1,    1},
+                   {2,   2,   2,   2, 1,    1,    1,    1},
                    {},  // Empty weight
-                   {1,   1,   1, 1, 0, 0.09f, 0.59f, 0.63f},
-                   {0,   0,   0, 0, 1, 0.90f, 0.40f, 0.36f});
+                   {-1,  -0.809, 0.187, 0.264, 0, 0.09f, 0.59f, 0.63f},
+                   {2,   1.809,  0.813, 0.735, 1, 0.90f, 0.40f, 0.36f});
 }
 
 TEST(Objective, DeclareUnifiedTest(GammaRegressionBasic)) {
@@ -228,7 +228,9 @@ TEST(Objective, DeclareUnifiedTest(GammaRegressionBasic)) {
   CheckConfigReload(obj, "reg:gamma");
 
   // test label validation
-  EXPECT_ANY_THROW(CheckObjFunction(obj, {0}, {-1}, {1}, {0}, {0}))
+  EXPECT_ANY_THROW(CheckObjFunction(obj, {0}, {0}, {1}, {0}, {0}))
+    << "Expected error when label = 0 for GammaRegression";
+  EXPECT_ANY_THROW(CheckObjFunction(obj, {-1}, {-1}, {1}, {-1}, {-3}))
     << "Expected error when label < 0 for GammaRegression";
 
   // test ProbToMargin