# A demo for multi-output regression

The demo is adopted from scikit-learn:

https://scikit-learn.org/stable/auto_examples/ensemble/plot_random_forest_regression_multioutput.html#sphx-glr-auto-examples-ensemble-plot-random-forest-regression-multioutput-py

Note

The feature is experimental. For the multi_output_tree strategy, many features are missing.

import argparse
from typing import Dict, List, Tuple

import numpy as np
from matplotlib import pyplot as plt

import xgboost as xgb

def plot_predt(y: np.ndarray, y_predt: np.ndarray, name: str) -> None:
s = 25
plt.scatter(y[:, 0], y[:, 1], c="navy", s=s, edgecolor="black", label="data")
plt.scatter(
y_predt[:, 0], y_predt[:, 1], c="cornflowerblue", s=s, edgecolor="black"
)
plt.xlim([-1, 2])
plt.ylim([-1, 2])
plt.show()

def gen_circle() -> Tuple[np.ndarray, np.ndarray]:
"Generate a sample dataset that y is a 2 dim circle."
rng = np.random.RandomState(1994)
X = np.sort(200 * rng.rand(100, 1) - 100, axis=0)
y = np.array([np.pi * np.sin(X).ravel(), np.pi * np.cos(X).ravel()]).T
y[::5, :] += 0.5 - rng.rand(20, 2)
y = y - y.min()
y = y / y.max()
return X, y

def rmse_model(plot_result: bool, strategy: str) -> None:
"""Draw a circle with 2-dim coordinate as target variables."""
X, y = gen_circle()
# Train a regressor on it
reg = xgb.XGBRegressor(
tree_method="hist",
n_estimators=128,
n_jobs=16,
max_depth=8,
multi_strategy=strategy,
subsample=0.6,
)
reg.fit(X, y, eval_set=[(X, y)])

y_predt = reg.predict(X)
if plot_result:
plot_predt(y, y_predt, "multi")

def custom_rmse_model(plot_result: bool, strategy: str) -> None:
"""Train using Python implementation of Squared Error."""

def gradient(predt: np.ndarray, dtrain: xgb.DMatrix) -> np.ndarray:
"""Compute the gradient squared error."""
y = dtrain.get_label().reshape(predt.shape)
return predt - y

def hessian(predt: np.ndarray, dtrain: xgb.DMatrix) -> np.ndarray:
"""Compute the hessian for squared error."""
return np.ones(predt.shape)

def squared_log(
predt: np.ndarray, dtrain: xgb.DMatrix
) -> Tuple[np.ndarray, np.ndarray]:
hess = hessian(predt, dtrain)
# both numpy.ndarray and cupy.ndarray works.

def rmse(predt: np.ndarray, dtrain: xgb.DMatrix) -> Tuple[str, float]:
y = dtrain.get_label().reshape(predt.shape)
v = np.sqrt(np.sum(np.power(y - predt, 2)))
return "PyRMSE", v

X, y = gen_circle()
Xy = xgb.DMatrix(X, y)
results: Dict[str, Dict[str, List[float]]] = {}
# Make sure the `num_target` is passed to XGBoost when custom objective is used.
# When builtin objective is used, XGBoost can figure out the number of targets
# automatically.
booster = xgb.train(
{
"tree_method": "hist",
"num_target": y.shape[1],
"multi_strategy": strategy,
},
dtrain=Xy,
num_boost_round=128,
obj=squared_log,
evals=[(Xy, "Train")],
evals_result=results,
custom_metric=rmse,
)

y_predt = booster.inplace_predict(X)
if plot_result:
plot_predt(y, y_predt, "multi")

if __name__ == "__main__":
parser = argparse.ArgumentParser()
parser.add_argument("--plot", choices=[0, 1], type=int, default=1)
args = parser.parse_args()

# Train with builtin RMSE objective
# - One model per output.
rmse_model(args.plot == 1, "one_output_per_tree")
# - One model for all outputs, this is still working in progress, many features are
# missing.
rmse_model(args.plot == 1, "multi_output_tree")

# Train with custom objective.
# - One model per output.
custom_rmse_model(args.plot == 1, "one_output_per_tree")
# - One model for all outputs, this is still working in progress, many features are
# missing.
custom_rmse_model(args.plot == 1, "multi_output_tree")

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