Add functionality to force bin thresholds.

docs/Parameters.rst

@@ -404,6 +404,14 @@ Learning Control Parameters
 
    -  see `this file <https://github.com/microsoft/LightGBM/tree/master/examples/binary_classification/forced_splits.json>`__ as an example
 
+-  ``forcedbins_filename`` :raw-html:`<a id="forcedbins_filename" title="Permalink to this parameter" href="#forcedbins_filename">&#x1F517;&#xFE0E;</a>`, default = ``""``, type = string
+
+   -  path to a ``.json`` file that specifies bin upper bounds for some or all features
+
+   -  ``.json`` file should contain an array of objects, each containing the name ``feature`` (integer feature number) and ``bin_upper_bounds`` (array of thresolds for binning)
+
+   -  see `this file <https://github.com/microsoft/LightGBM/tree/master/tests/data/forced_bins.json>`__ as an example
+
 -  ``refit_decay_rate`` :raw-html:`<a id="refit_decay_rate" title="Permalink to this parameter" href="#refit_decay_rate">&#x1F517;&#xFE0E;</a>`, default = ``0.9``, type = double, constraints: ``0.0 <= refit_decay_rate <= 1.0``
 
    -  decay rate of ``refit`` task, will use ``leaf_output = refit_decay_rate * old_leaf_output + (1.0 - refit_decay_rate) * new_leaf_output`` to refit trees

include/LightGBM/bin.h

@@ -146,9 +146,10 @@ class BinMapper {
   * \param bin_type Type of this bin
   * \param use_missing True to enable missing value handle
   * \param zero_as_missing True to use zero as missing value
+  * \param forced_upper_bounds Vector of split points that must be used (if this has size less than max_bin, remaining splits are found by the algorithm)
   */
   void FindBin(double* values, int num_values, size_t total_sample_cnt, int max_bin, int min_data_in_bin, int min_split_data, BinType bin_type,
-               bool use_missing, bool zero_as_missing);
+               bool use_missing, bool zero_as_missing, std::vector<double> forced_upper_bounds);
 
   /*!
   * \brief Use specific number of bin to calculate the size of this class

include/LightGBM/config.h

@@ -402,6 +402,11 @@ struct Config {
   // desc = see `this file <https://github.com/microsoft/LightGBM/tree/master/examples/binary_classification/forced_splits.json>`__ as an example
   std::string forcedsplits_filename = "";
 
+  // desc = path to a ``.json`` file that specifies bin upper bounds for some or all features
+  // desc = ``.json`` file should contain an array of objects, each containing the name ``feature`` (integer feature number) and ``bin_upper_bounds`` (array of thresolds for binning)
+  // desc = see `this file <https://github.com/microsoft/LightGBM/tree/master/tests/data/forced_bins.json>`__ as an example
+  std::string forcedbins_filename = "";
+
   // check = >=0.0
   // check = <=1.0
   // desc = decay rate of ``refit`` task, will use ``leaf_output = refit_decay_rate * old_leaf_output + (1.0 - refit_decay_rate) * new_leaf_output`` to refit trees

include/LightGBM/dataset.h

@@ -596,6 +596,8 @@ class Dataset {
 
   void addFeaturesFrom(Dataset* other);
 
+  static std::vector<std::vector<double>> GetForcedBins(std::string forced_bins_path, int num_total_features);
+
  private:
   std::string data_filename_;
   /*! \brief Store used features */
@@ -630,6 +632,7 @@ class Dataset {
   bool is_finish_load_;
   int max_bin_;
   std::vector<int32_t> max_bin_by_feature_;
+  std::vector<std::vector<double>> forced_bin_bounds_;
   int bin_construct_sample_cnt_;
   int min_data_in_bin_;
   bool use_missing_;

src/io/bin.cpp

@@ -150,8 +150,10 @@ namespace LightGBM {
   }
 
   std::vector<double> FindBinWithZeroAsOneBin(const double* distinct_values, const int* counts,
-    int num_distinct_values, int max_bin, size_t total_sample_cnt, int min_data_in_bin) {
+    int num_distinct_values, int max_bin, size_t total_sample_cnt, int min_data_in_bin, std::vector<double> forced_upper_bounds) {
     std::vector<double> bin_upper_bound;
+
+    // get list of distinct values
     int left_cnt_data = 0;
     int cnt_zero = 0;
     int right_cnt_data = 0;
@@ -165,25 +167,17 @@ namespace LightGBM {
       }
     }
 
+    // get number of positive and negative distinct values
     int left_cnt = -1;
     for (int i = 0; i < num_distinct_values; ++i) {
       if (distinct_values[i] > -kZeroThreshold) {
         left_cnt = i;
         break;
       }
     }
-
     if (left_cnt < 0) {
       left_cnt = num_distinct_values;
     }
-
-    if (left_cnt > 0) {
-      int left_max_bin = static_cast<int>(static_cast<double>(left_cnt_data) / (total_sample_cnt - cnt_zero) * (max_bin - 1));
-      left_max_bin = std::max(1, left_max_bin);
-      bin_upper_bound = GreedyFindBin(distinct_values, counts, left_cnt, left_max_bin, left_cnt_data, min_data_in_bin);
-      bin_upper_bound.back() = -kZeroThreshold;
-    }
-
     int right_start = -1;
     for (int i = left_cnt; i < num_distinct_values; ++i) {
       if (distinct_values[i] > kZeroThreshold) {
@@ -192,21 +186,66 @@ namespace LightGBM {
       }
     }
 
-    if (right_start >= 0) {
-      int right_max_bin = max_bin - 1 - static_cast<int>(bin_upper_bound.size());
-      CHECK(right_max_bin > 0);
-      auto right_bounds = GreedyFindBin(distinct_values + right_start, counts + right_start,
-        num_distinct_values - right_start, right_max_bin, right_cnt_data, min_data_in_bin);
+    // include zero bounds if possible
+    if (max_bin == 2) {
+      if (left_cnt == 0) {
+        bin_upper_bound.push_back(kZeroThreshold);
+      } else {
+        bin_upper_bound.push_back(-kZeroThreshold);
+      }
+    } else if (max_bin >= 3) {
+      bin_upper_bound.push_back(-kZeroThreshold);
       bin_upper_bound.push_back(kZeroThreshold);
-      bin_upper_bound.insert(bin_upper_bound.end(), right_bounds.begin(), right_bounds.end());
-    } else {
-      bin_upper_bound.push_back(std::numeric_limits<double>::infinity());
     }
+
+    // add forced bounds, excluding zeros since we have already added zero bounds
+    int i = 0;
+    while (i < forced_upper_bounds.size()) {
+      if (std::fabs(forced_upper_bounds[i]) <= kZeroThreshold) {
+        forced_upper_bounds.erase(forced_upper_bounds.begin() + i);
+      } else {
+        ++i;
+      }
+    }
+    bin_upper_bound.push_back(std::numeric_limits<double>::infinity());
+    int max_to_insert = max_bin - static_cast<int>(bin_upper_bound.size());
+    int num_to_insert = std::min(max_to_insert, static_cast<int>(forced_upper_bounds.size()));
+    if (num_to_insert > 0) {
+      bin_upper_bound.insert(bin_upper_bound.end(), forced_upper_bounds.begin(), forced_upper_bounds.begin() + num_to_insert);
+    }
+    std::sort(bin_upper_bound.begin(), bin_upper_bound.end());
+
+    // find remaining bounds
+    std::vector<double> bounds_to_add;
+    int value_ind = 0;
+    for (int i = 0; i < bin_upper_bound.size(); ++i) {
+      int cnt_in_bin = 0;
+      int distinct_cnt_in_bin = 0;
+      int bin_start = value_ind;
+      while ((value_ind < num_distinct_values) && (distinct_values[value_ind] < bin_upper_bound[i])) {
+        cnt_in_bin += counts[value_ind];
+        ++distinct_cnt_in_bin;
+        ++value_ind;
+      }
+      int bins_remaining = max_bin - static_cast<int>(bin_upper_bound.size()) - static_cast<int>(bounds_to_add.size());
+      int num_sub_bins = static_cast<int>(std::lround((static_cast<double>(cnt_in_bin) * bins_remaining / total_sample_cnt)));
+      num_sub_bins = std::min(num_sub_bins, bins_remaining) + 1;
+      if (i == bin_upper_bound.size() - 1) {
+        num_sub_bins = bins_remaining + 1;
+      }
+      std::vector<double> new_upper_bounds = GreedyFindBin(distinct_values + bin_start, counts + bin_start, distinct_cnt_in_bin, 
+                                                            num_sub_bins, cnt_in_bin, min_data_in_bin);
+      bounds_to_add.insert(bounds_to_add.end(), new_upper_bounds.begin(), new_upper_bounds.end() - 1);  // last bound is infinity
+    }
+    bin_upper_bound.insert(bin_upper_bound.end(), bounds_to_add.begin(), bounds_to_add.end());
+    std::sort(bin_upper_bound.begin(), bin_upper_bound.end());
+    CHECK(bin_upper_bound.size() <= max_bin);
     return bin_upper_bound;
   }
 
   void BinMapper::FindBin(double* values, int num_sample_values, size_t total_sample_cnt,
-    int max_bin, int min_data_in_bin, int min_split_data, BinType bin_type, bool use_missing, bool zero_as_missing) {
+    int max_bin, int min_data_in_bin, int min_split_data, BinType bin_type, bool use_missing, bool zero_as_missing, 
+    std::vector<double> forced_upper_bounds) {
     int na_cnt = 0;
     int tmp_num_sample_values = 0;
     for (int i = 0; i < num_sample_values; ++i) {
@@ -274,14 +313,17 @@ namespace LightGBM {
     int num_distinct_values = static_cast<int>(distinct_values.size());
     if (bin_type_ == BinType::NumericalBin) {
       if (missing_type_ == MissingType::Zero) {
-        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin, total_sample_cnt, min_data_in_bin);
+        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin, total_sample_cnt, 
+                                                   min_data_in_bin, forced_upper_bounds);
         if (bin_upper_bound_.size() == 2) {
           missing_type_ = MissingType::None;
         }
       } else if (missing_type_ == MissingType::None) {
-        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin, total_sample_cnt, min_data_in_bin);
+        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin, total_sample_cnt, 
+                                                  min_data_in_bin, forced_upper_bounds);
       } else {
-        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin - 1, total_sample_cnt - na_cnt, min_data_in_bin);
+        bin_upper_bound_ = FindBinWithZeroAsOneBin(distinct_values.data(), counts.data(), num_distinct_values, max_bin - 1, total_sample_cnt - na_cnt, 
+                                                   min_data_in_bin, forced_upper_bounds);
         bin_upper_bound_.push_back(NaN);
       }
       num_bin_ = static_cast<int>(bin_upper_bound_.size());

src/io/config_auto.cpp

@@ -211,6 +211,7 @@ std::unordered_set<std::string> Config::parameter_set({
   "monotone_constraints",
   "feature_contri",
   "forcedsplits_filename",
+  "forcedbins_filename",
   "refit_decay_rate",
   "cegb_tradeoff",
   "cegb_penalty_split",
@@ -396,6 +397,8 @@ void Config::GetMembersFromString(const std::unordered_map<std::string, std::str
 
   GetString(params, "forcedsplits_filename", &forcedsplits_filename);
 
+  GetString(params, "forcedbins_filename", &forcedbins_filename);
+
   GetDouble(params, "refit_decay_rate", &refit_decay_rate);
   CHECK(refit_decay_rate >=0.0);
   CHECK(refit_decay_rate <=1.0);
@@ -608,6 +611,7 @@ std::string Config::SaveMembersToString() const {
   str_buf << "[monotone_constraints: " << Common::Join(Common::ArrayCast<int8_t, int>(monotone_constraints), ",") << "]\n";
   str_buf << "[feature_contri: " << Common::Join(feature_contri, ",") << "]\n";
   str_buf << "[forcedsplits_filename: " << forcedsplits_filename << "]\n";
+  str_buf << "[forcedbins_filename: " << forcedbins_filename << "]\n";
   str_buf << "[refit_decay_rate: " << refit_decay_rate << "]\n";
   str_buf << "[cegb_tradeoff: " << cegb_tradeoff << "]\n";
   str_buf << "[cegb_penalty_split: " << cegb_penalty_split << "]\n";

src/io/dataset.cpp

@@ -8,12 +8,17 @@
 #include <LightGBM/utils/array_args.h>
 #include <LightGBM/utils/openmp_wrapper.h>
 #include <LightGBM/utils/threading.h>
+#include <LightGBM/json11.hpp>
 
 #include <limits>
 #include <chrono>
 #include <cstdio>
 #include <sstream>
 #include <unordered_map>
+#include <fstream>
+
+using namespace json11;
+
 
 namespace LightGBM {
 
@@ -324,6 +329,7 @@ void Dataset::Construct(
     max_bin_by_feature_.resize(num_total_features_);
     max_bin_by_feature_.assign(io_config.max_bin_by_feature.begin(), io_config.max_bin_by_feature.end());
   }
+  forced_bin_bounds_ = Dataset::GetForcedBins(io_config.forcedbins_filename, num_total_features_);
   max_bin_ = io_config.max_bin;
   min_data_in_bin_ = io_config.min_data_in_bin;
   bin_construct_sample_cnt_ = io_config.bin_construct_sample_cnt;
@@ -356,6 +362,12 @@ void Dataset::ResetConfig(const char* parameters) {
   if (param.count("sparse_threshold") && io_config.sparse_threshold != sparse_threshold_) {
     Log::Warning("Cannot change sparse_threshold after constructed Dataset handle.");
   }
+  if (param.count("forcedbins_filename")) {
+    std::vector<std::vector<double>> config_bounds = Dataset::GetForcedBins(io_config.forcedbins_filename, num_total_features_);
+    if (config_bounds != forced_bin_bounds_) {
+      Log::Warning("Cannot change forced bins after constructed Dataset handle.");
+    }
+  }
 
   if (!io_config.monotone_constraints.empty()) {
     CHECK(static_cast<size_t>(num_total_features_) == io_config.monotone_constraints.size());
@@ -657,6 +669,10 @@ void Dataset::SaveBinaryFile(const char* bin_filename) {
     for (int i = 0; i < num_total_features_; ++i) {
       size_of_header += feature_names_[i].size() + sizeof(int);
     }
+    // size of forced bins
+    for (int i = 0; i < num_total_features_; ++i) {
+      size_of_header += forced_bin_bounds_[i].size() * sizeof(double) + sizeof(int);
+    }
     writer->Write(&size_of_header, sizeof(size_of_header));
     // write header
     writer->Write(&num_data_, sizeof(num_data_));
@@ -705,6 +721,15 @@ void Dataset::SaveBinaryFile(const char* bin_filename) {
       const char* c_str = feature_names_[i].c_str();
       writer->Write(c_str, sizeof(char) * str_len);
     }
+    // write forced bins
+    for (int i = 0; i < num_total_features_; ++i) {
+      int num_bounds = static_cast<int>(forced_bin_bounds_[i].size());
+      writer->Write(&num_bounds, sizeof(int));
+
+      for (int j = 0; j < forced_bin_bounds_[i].size(); ++j) {
+        writer->Write(&forced_bin_bounds_[i][j], sizeof(double));
+      }
+    }
 
     // get size of meta data
     size_t size_of_metadata = metadata_.SizesInByte();
@@ -754,6 +779,13 @@ void Dataset::DumpTextFile(const char* text_filename) {
   for (auto n : feature_names_) {
     fprintf(file, "%s, ", n.c_str());
   }
+  fprintf(file, "\nforced_bins: ");
+  for (int i = 0; i < num_total_features_; ++i) {
+    fprintf(file, "\nfeature %d: ", i);
+    for (int j = 0; j < forced_bin_bounds_[i].size(); ++j) {
+      fprintf(file, "%lf, ", forced_bin_bounds_[i][j]);
+    }
+  }
   std::vector<std::unique_ptr<BinIterator>> iterators;
   iterators.reserve(num_features_);
   for (int j = 0; j < num_features_; ++j) {
@@ -1005,6 +1037,7 @@ void Dataset::addFeaturesFrom(Dataset* other) {
   PushVector(feature_names_, other->feature_names_);
   PushVector(feature2subfeature_, other->feature2subfeature_);
   PushVector(group_feature_cnt_, other->group_feature_cnt_);
+  PushVector(forced_bin_bounds_, other->forced_bin_bounds_);
   feature_groups_.reserve(other->feature_groups_.size());
   for (auto& fg : other->feature_groups_) {
     feature_groups_.emplace_back(new FeatureGroup(*fg));
@@ -1027,10 +1060,39 @@ void Dataset::addFeaturesFrom(Dataset* other) {
 
   PushClearIfEmpty(monotone_types_, num_total_features_, other->monotone_types_, other->num_total_features_, (int8_t)0);
   PushClearIfEmpty(feature_penalty_, num_total_features_, other->feature_penalty_, other->num_total_features_, 1.0);
-
+  PushClearIfEmpty(max_bin_by_feature_, num_total_features_, other->max_bin_by_feature_, other->num_total_features_, -1);
   num_features_ += other->num_features_;
   num_total_features_ += other->num_total_features_;
   num_groups_ += other->num_groups_;
 }
 
+
+std::vector<std::vector<double>> Dataset::GetForcedBins(std::string forced_bins_path, int num_total_features) {
+  std::vector<std::vector<double>> forced_bins(num_total_features, std::vector<double>());
+  if (forced_bins_path != "") {
+    std::ifstream forced_bins_stream(forced_bins_path.c_str());
+    std::stringstream buffer;
+    buffer << forced_bins_stream.rdbuf();
+    std::string err;
+    Json forced_bins_json = Json::parse(buffer.str(), err);
+    CHECK(forced_bins_json.is_array());
+    std::vector<Json> forced_bins_arr = forced_bins_json.array_items();
+    for (int i = 0; i < forced_bins_arr.size(); ++i) {
+      int feature_num = forced_bins_arr[i]["feature"].int_value();
+      CHECK(feature_num < num_total_features);
+      std::vector<Json> bounds_arr = forced_bins_arr[i]["bin_upper_bound"].array_items();
+      for (int j = 0; j < bounds_arr.size(); ++j) {
+        forced_bins[feature_num].push_back(bounds_arr[j].number_value());
+      }
+    }
+    // remove duplicates
+    for (int i = 0; i < num_total_features; ++i) {
+      auto new_end = std::unique(forced_bins[i].begin(), forced_bins[i].end());
+      forced_bins[i].erase(new_end, forced_bins[i].end());
+    }
+  }
+  return forced_bins;
+}
+
+
 }  // namespace LightGBM