[Roadmap] Multiple outputs.

[trivialfis]

Since XGBoost 1.6, we have been working on having multi-output support for the tree model. In 2.0, we will have the initial implementation for the vector-leaf-based multi-output model. This issue serves as a tracker for future development and related discussion. The original feature request is here: #2087 . The related features are for vector-leaf rather than general multi-output.

Feel free to share your suggestions or make related feature requests in the comments.

Implementation Optimization

• Use f-order for the gradient. Currently, the gradient has one column for each target but is written in C-order. The transformation takes about one-fifth of the training time. (Use matrix for gradient. #9508)
• Use f-order for the custom objective. (Inefficient Casting Grad and Hess to c_float for Custom Obj in Python API #9089)
• Improve array type dispatching by moving the dispatch logic from per-element to per-array. This enables us to have a more efficient custom objective interface. (Optimize array interface input. #9090)

Algorithmic Optimization

We are still looking for potential algorithmic optimization for vector-leaf and here's the pool of candidates. We need to survey all available options. Feel free to share if you have ideas or paper recommendations.

• Sketch boost. ([mt] Split up gradient types for the GPU hist. #11798, [mt] Implement reduced gradient for the CPU hist. #11922)
• https://arxiv.org/abs/2201.06239 ([mt] Split up gradient types for the GPU hist. #11798, [mt] Implement reduced gradient for the CPU hist. #11922)
• Extra tree.

(#11798)

GPU Implementation

• Evaluation ([mt] Implement vector leaf for a decision stump on GPU. #11781, [mt] Support feature selection. #11883)
• Histogram ([mt] Implement vector leaf for a decision stump on GPU. #11781, [mt] Support building histogram with shared memory. #11855)
• Prediction (Replace the device model. #11752)
• Prediction cache. ([mt] Implement prediction cache. #11862)
• Model ([MT] Add device storage to multi-target tree. #11277)
• Partition. ([mt] Implement partitioning for GPU. #11789)
• Gradient sampling.

Documentation

• Derive the approximated Hessian in the context of boosting trees.

Multi-task

• Multi-task xgboost. This is not yet decided. I think it's wise to at least do some exploration before forging the rest of the implementation since we will have a very different interface if we need to consider multi-task. Related: [RFC] Exposing objectives and metrics as part of the API. #7693 .

Features

• Tree SHAP
• Plotting (Support graphviz plot for multi-target tree. #10093)
• Model text dump (JSON, txt, graphviz) (Support graphviz plot for multi-target tree. #10093, [mt] Implement model dump for all formats. #11747)
• Tree data frame.
• Categorical feature.
• Interaction constraints
• Subsample.
• Column sampling.
• Approx tree method
• Exact tree method
• Loss weight
• Feature importance (be careful with tree index) ([multi] Implement weight feature importance. #10700)
• Intercept. ([mt] Implement vector intercept. #11656)

Learning to rank

We can have a ranking model to consider multiple criteria. This might require multi-task to be supported.

Quantile regression

• l1 [mt] Support the quantile loss. #11917
• quantile [mt] Support the quantile loss. #11917

Distributed

• Dask
• PySpark
• Spark
• Flink?
• Federated (Support column split in multi-target hist #9171)

Binding

• R ([R] Support multi-class custom objective. #9526)
• Scala
• Python
• Java
• C

HPO

• Check compatibility with major HPO frameworks.

Other extensions

• Sparse label. (multi-label classification optimization)
• Missing label.
• Early stopping for each target?

Applications

• https://arxiv.org/abs/2210.06831
• FIL

Benchmarks

• Collection of datasets for future comparison.

[CarloLepelaars]

Hi, great work on the initial multitarget implementation!

Given the roadmap when can we expect GPU support for multi output regression? When this support is added will xgboost-ray also support it?

[trivialfis]

Hi @CarloLepelaars ,

• For model-per-target, it's already implemented.
• For vector leaf, it will take some more work, but eventually yes. I don't have an eta for when it will be available.
• I think there is on-going work on the ray-xgboost, but you will need to open an issue on that repository for concrete answers.

[wiktorolszowy]

Hi, very nice work! I am wondering how SHAP should be used for multi-output models, e.g. how to explain links between the Ys, and how to interpret the effects of Xs - e.g., which Xs display common effects across the Ys, and which Xs display differential effects. Do you know a good example of using SHAP for a multi-output model?

[trivialfis]

For model per target, it's the same as single target. As for vector leaf, I haven't looked into it yet, but no significant difference on top of my mind.

[lcrmorin]

I am currently toying with multitargets approach ... I have a hard time defining a custom metric (haven't tried custom loss). Preds seems to be of size (len(y) x len(targets)) while y_true is of shape (len(y), len(targets)), I have managed to handle this internally to my metric to return one value. But now I have an error about an output being a tuple instead of a number.
Any way to handle this properly or is it too early ?

[Reederey87]

Hi.

Did anybody train the multiple outputs XGBoost model on Mac arm64 machine?

On recent stable version I have got error:
XGBoostError('[...] Check failed: !trees.front()->IsMultiTarget(): Update tree leaf support for multi-target tree is not yet implemented.

On latest nightly version xgboost-2.1.0.dev0+a7226c02223246be78a59c3a4e8c32d1c68c1ff9 - I have managed load CPU, but it was no feedback on terminal window.