SPARK-1310: Start adding k-fold cross validation to MLLib [adds kFold to MLUtils & fixes bug in BernoulliSampler]

core/src/main/scala/org/apache/spark/util/random/RandomSampler.scala

@@ -69,7 +69,12 @@ class BernoulliSampler[T](lb: Double, ub: Double, complement: Boolean = false)
  }
  }
 
- override def clone = new BernoulliSampler[T](lb, ub)
+ /**
+ * Return a sampler with is the complement of the range specified of the current sampler.
+ */
+ def cloneComplement(): BernoulliSampler[T] = new BernoulliSampler[T](lb, ub, !complement)
+
+ override def clone = new BernoulliSampler[T](lb, ub, complement)
 }
 
 /**

core/src/test/scala/org/apache/spark/util/random/RandomSamplerSuite.scala

@@ -41,21 +41,31 @@ class RandomSamplerSuite extends FunSuite with BeforeAndAfter with EasyMockSugar
  random.nextDouble().andReturn(x)
  }
  }
- whenExecuting(random)
- {
+ whenExecuting(random) {
  val sampler = new BernoulliSampler[Int](0.25, 0.55)(random)
  assert(sampler.sample(a.iterator).toList == List(3, 4, 5))
  }
  }
 
+ test("BernoulliSamplerWithRangeInverse") {
+ expecting {
+ for(x <- Seq(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9)) {
+ random.nextDouble().andReturn(x)
+ }
+ }
+ whenExecuting(random) {
+ val sampler = new BernoulliSampler[Int](0.25, 0.55, true)(random)
+ assert(sampler.sample(a.iterator).toList === List(1, 2, 6, 7, 8, 9))
+ }
+ }
+
  test("BernoulliSamplerWithRatio") {
  expecting {
  for(x <- Seq(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9)) {
  random.nextDouble().andReturn(x)
  }
  }
- whenExecuting(random)
- {
+ whenExecuting(random) {
  val sampler = new BernoulliSampler[Int](0.35)(random)
  assert(sampler.sample(a.iterator).toList == List(1, 2, 3))
  }
@@ -67,8 +77,7 @@ class RandomSamplerSuite extends FunSuite with BeforeAndAfter with EasyMockSugar
  random.nextDouble().andReturn(x)
  }
  }
- whenExecuting(random)
- {
+ whenExecuting(random) {
  val sampler = new BernoulliSampler[Int](0.25, 0.55, true)(random)
  assert(sampler.sample(a.iterator).toList == List(1, 2, 6, 7, 8, 9))
  }
@@ -78,8 +87,7 @@ class RandomSamplerSuite extends FunSuite with BeforeAndAfter with EasyMockSugar
  expecting {
  random.setSeed(10L)
  }
- whenExecuting(random)
- {
+ whenExecuting(random) {
  val sampler = new BernoulliSampler[Int](0.2)(random)
  sampler.setSeed(10L)
  }

mllib/src/main/scala/org/apache/spark/mllib/util/MLUtils.scala

@@ -17,11 +17,16 @@
 
 package org.apache.spark.mllib.util
 
+import scala.reflect.ClassTag
+
 import breeze.linalg.{Vector => BV, SparseVector => BSV, squaredDistance => breezeSquaredDistance}
 
 import org.apache.spark.annotation.Experimental
 import org.apache.spark.SparkContext
 import org.apache.spark.rdd.RDD
+import org.apache.spark.rdd.PartitionwiseSampledRDD
+import org.apache.spark.SparkContext._
+import org.apache.spark.util.random.BernoulliSampler
 import org.apache.spark.mllib.regression.LabeledPoint
 import org.apache.spark.mllib.linalg.Vectors
 
@@ -157,6 +162,22 @@ object MLUtils {
  dataStr.saveAsTextFile(dir)
  }
 
+ /**
+ * Return a k element array of pairs of RDDs with the first element of each pair
+ * containing the training data, a complement of the validation data and the second
+ * element, the validation data, containing a unique 1/kth of the data. Where k=numFolds.
+ */
+ def kFold[T: ClassTag](rdd: RDD[T], numFolds: Int, seed: Int): Array[(RDD[T], RDD[T])] = {
+ val numFoldsF = numFolds.toFloat
+ (1 to numFolds).map { fold =>
+ val sampler = new BernoulliSampler[T]((fold - 1) / numFoldsF, fold / numFoldsF,
+ complement = false)
+ val validation = new PartitionwiseSampledRDD(rdd, sampler, seed)
+ val training = new PartitionwiseSampledRDD(rdd, sampler.cloneComplement(), seed)
+ (training, validation)
+ }.toArray
+ }
+
  /**
  * Returns the squared Euclidean distance between two vectors. The following formula will be used
  * if it does not introduce too much numerical error:

mllib/src/test/scala/org/apache/spark/mllib/util/MLUtilsSuite.scala

@@ -19,6 +19,9 @@ package org.apache.spark.mllib.util
 
 import java.io.File
 
+import scala.math
+import scala.util.Random
+
 import org.scalatest.FunSuite
 
 import breeze.linalg.{DenseVector => BDV, SparseVector => BSV, norm => breezeNorm,
@@ -93,4 +96,40 @@ class MLUtilsSuite extends FunSuite with LocalSparkContext {
  case t: Throwable =>
  }
  }
+
+ test("kFold") {
+ val data = sc.parallelize(1 to 100, 2)
+ val collectedData = data.collect().sorted
+ val twoFoldedRdd = MLUtils.kFold(data, 2, 1)
+ assert(twoFoldedRdd(0)._1.collect().sorted === twoFoldedRdd(1)._2.collect().sorted)
+ assert(twoFoldedRdd(0)._2.collect().sorted === twoFoldedRdd(1)._1.collect().sorted)
+ for (folds <- 2 to 10) {
+ for (seed <- 1 to 5) {
+ val foldedRdds = MLUtils.kFold(data, folds, seed)
+ assert(foldedRdds.size === folds)
+ foldedRdds.map { case (training, validation) =>
+ val result = validation.union(training).collect().sorted
+ val validationSize = validation.collect().size.toFloat
+ assert(validationSize > 0, "empty validation data")
+ val p = 1 / folds.toFloat
+ // Within 3 standard deviations of the mean
+ val range = 3 * math.sqrt(100 * p * (1 - p))
+ val expected = 100 * p
+ val lowerBound = expected - range
+ val upperBound = expected + range
+ assert(validationSize > lowerBound,
+ s"Validation data ($validationSize) smaller than expected ($lowerBound)" )
+ assert(validationSize < upperBound,
+ s"Validation data ($validationSize) larger than expected ($upperBound)" )
+ assert(training.collect().size > 0, "empty training data")
+ assert(result === collectedData,
+ "Each training+validation set combined should contain all of the data.")
+ }
+ // K fold cross validation should only have each element in the validation set exactly once
+ assert(foldedRdds.map(_._2).reduce((x,y) => x.union(y)).collect().sorted ===
+ data.collect().sorted)
+ }
+ }
+ }
+
 }