Demo for using data iterator with Quantile DMatrix

Added in version 1.2.0.

The demo that defines a customized iterator for passing batches of data into xgboost.QuantileDMatrix and use this QuantileDMatrix for training. The feature is used primarily designed to reduce the required GPU memory for training on distributed environment.

Aftering going through the demo, one might ask why don’t we use more native Python iterator? That’s because XGBoost requires a reset function, while using itertools.tee might incur significant memory usage according to:

import cupy
import numpy

import xgboost

COLS = 64
ROWS_PER_BATCH = 1000  # data is splited by rows

class IterForDMatrixDemo(xgboost.core.DataIter):
    """A data iterator for XGBoost DMatrix.

    `reset` and `next` are required for any data iterator, other functions here
    are utilites for demonstration's purpose.


    def __init__(self):
        """Generate some random data for demostration.

        Actual data can be anything that is currently supported by XGBoost.
        self.rows = ROWS_PER_BATCH
        self.cols = COLS
        rng = cupy.random.RandomState(1994)
        self._data = [rng.randn(self.rows, self.cols)] * BATCHES
        self._labels = [rng.randn(self.rows)] * BATCHES
        self._weights = [rng.uniform(size=self.rows)] * BATCHES = 0  # set iterator to 0

    def as_array(self):
        return cupy.concatenate(self._data)

    def as_array_labels(self):
        return cupy.concatenate(self._labels)

    def as_array_weights(self):
        return cupy.concatenate(self._weights)

    def data(self):
        """Utility function for obtaining current batch of data."""
        return self._data[]

    def labels(self):
        """Utility function for obtaining current batch of label."""
        return self._labels[]

    def weights(self):
        return self._weights[]

    def reset(self):
        """Reset the iterator""" = 0

    def next(self, input_data):
        """Yield next batch of data."""
        if == len(self._data):
            # Return 0 when there's no more batch.
            return 0
        input_data(, label=self.labels(), weight=self.weights()) += 1
        return 1

def main():
    rounds = 100
    it = IterForDMatrixDemo()

    # Use iterator, must be `QuantileDMatrix`.

    # In this demo, the input batches are created using cupy, and the data processing
    # (quantile sketching) will be performed on GPU. If data is loaded with CPU based
    # data structures like numpy or pandas, then the processing step will be performed
    # on CPU instead.
    m_with_it = xgboost.QuantileDMatrix(it)

    # Use regular DMatrix.
    m = xgboost.DMatrix(
        it.as_array(), it.as_array_labels(), weight=it.as_array_weights()

    assert m_with_it.num_col() == m.num_col()
    assert m_with_it.num_row() == m.num_row()
    # Tree meethod must be `hist`.
    reg_with_it = xgboost.train(
        {"tree_method": "hist", "device": "cuda"}, m_with_it, num_boost_round=rounds
    predict_with_it = reg_with_it.predict(m_with_it)

    reg = xgboost.train(
        {"tree_method": "hist", "device": "cuda"}, m, num_boost_round=rounds
    predict = reg.predict(m)

    numpy.testing.assert_allclose(predict_with_it, predict, rtol=1e6)

if __name__ == "__main__":

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