From 2231940d1d08f5aca23cf53d922642996a098d44 Mon Sep 17 00:00:00 2001
From: Gorkem Ozkaya <gorkemozkaya@gmail.com>
Date: Mon, 21 Dec 2020 11:11:40 -0800
Subject: [PATCH] Clip small positive values in gamma-nloglik (#6537)

For the `gamma-nloglik` eval metric, small positive values in the labels are causing `NaN`'s in the outputs, as reported here: https://github.com/dmlc/xgboost/issues/5349. This will add clipping on them, similar to what is done in other metrics like `poisson-nloglik` and `logloss`.
---
 src/metric/elementwise_metric.cu | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/src/metric/elementwise_metric.cu b/src/metric/elementwise_metric.cu
index e1e3de6cdf91..7e4e47444ef7 100644
--- a/src/metric/elementwise_metric.cu
+++ b/src/metric/elementwise_metric.cu
@@ -291,6 +291,8 @@ 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;
     bst_float theta = -1. / py;
     bst_float a = psi;