TMVACrossValidation.C

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/// \file
/// \ingroup tutorial_tmva
/// \notebook -nodraw
/// This macro provides an example of how to use TMVA for k-folds cross
/// evaluation.
///
/// As input data is used a toy-MC sample consisting of two guassian
/// distributions.
///
/// The output file "TMVA.root" can be analysed with the use of dedicated
/// macros (simply say: root -l <macro.C>), which can be conveniently
/// invoked through a GUI that will appear at the end of the run of this macro.
/// Launch the GUI via the command:
///
/// ```
/// root -l -e 'TMVA::TMVAGui("TMVA.root")'
/// ```
///
/// ## Cross Evaluation
/// Cross evaluation is a special case of k-folds cross validation where the
/// splitting into k folds is computed deterministically. This ensures that the
/// a given event will always end up in the same fold.
///
/// In addition all resulting classifiers are saved and can be applied to new
/// data using `MethodCrossValidation`. One requirement for this to work is a
/// splitting function that is evaluated for each event to determine into what
/// fold it goes (for training/evaluation) or to what classifier (for
/// application).
///
/// ## Split Expression
/// Cross evaluation uses a deterministic split to partition the data into
/// folds called the split expression. The expression can be any valid
/// `TFormula` as long as all parts used are defined.
///
/// For each event the split expression is evaluated to a number and the event
/// is put in the fold corresponding to that number.
///
/// It is recommended to always use `%int([NumFolds])` at the end of the
/// expression.
///
/// The split expression has access to all spectators and variables defined in
/// the dataloader. Additionally, the number of folds in the split can be
/// accessed with `NumFolds` (or `numFolds`).
///
/// ### Example
///  ```
///  "int(fabs([eventID]))%int([NumFolds])"
///  ```
///
/// - Project   : TMVA - a ROOT-integrated toolkit for multivariate data analysis
/// - Package   : TMVA
/// - Root Macro: TMVACrossValidation
///
/// \macro_output
/// \macro_code
/// \author Kim Albertsson (adapted from code originally by Andreas Hoecker)
 
#include <cstdlib>
#include <iostream>
#include <map>
#include <string>
 
#include "TChain.h"
#include "TFile.h"
#include "TTree.h"
#include "TString.h"
#include "TObjString.h"
#include "TSystem.h"
#include "TROOT.h"
 
#include "TMVA/CrossValidation.h"
#include "TMVA/DataLoader.h"
#include "TMVA/Factory.h"
#include "TMVA/Tools.h"
#include "TMVA/TMVAGui.h"
 
// Helper function to load data into TTrees.
TTree *genTree(Int_t nPoints, Double_t offset, Double_t scale, UInt_t seed = 100)
{
   TRandom3 rng(seed);
   Float_t x = 0;
   Float_t y = 0;
   UInt_t eventID = 0;
 
   TTree *data = new TTree();
   data->Branch("x", &x, "x/F");
   data->Branch("y", &y, "y/F");
   data->Branch("eventID", &eventID, "eventID/I");
 
   for (Int_t n = 0; n < nPoints; ++n) {
      x = rng.Gaus(offset, scale);
      y = rng.Gaus(offset, scale);
 
      // For our simple example it is enough that the id's are uniformly
      // distributed and independent of the data.
      ++eventID;
 
      data->Fill();
   }
 
   // Important: Disconnects the tree from the memory locations of x and y.
   data->ResetBranchAddresses();
   return data;
}
 
int TMVACrossValidation(bool useRandomSplitting = false)
{
   // This loads the library
   TMVA::Tools::Instance();
 
   // --------------------------------------------------------------------------
 
   // Load the data into TTrees. If you load data from file you can use a
   // variant of
   // ```
   // TString filename = "/path/to/file";
   // TFile * input = TFile::Open( filename );
   // TTree * signalTree = (TTree*)input->Get("TreeName");
   // ```
   TTree *sigTree = genTree(1000, 1.0, 1.0, 100);
   TTree *bkgTree = genTree(1000, -1.0, 1.0, 101);
 
   // Create a ROOT output file where TMVA will store ntuples, histograms, etc.
   TString outfileName("TMVA.root");
   TFile *outputFile = TFile::Open(outfileName, "RECREATE");
 
   // DataLoader definitions; We declare variables in the tree so that TMVA can
   // find them. For more information see TMVAClassification tutorial.
   TMVA::DataLoader *dataloader = new TMVA::DataLoader("dataset");
 
   // Data variables
   dataloader->AddVariable("x", 'F');
   dataloader->AddVariable("y", 'F');
 
   // Spectator used for split
   dataloader->AddSpectator("eventID", 'I');
 
   // NOTE: Currently TMVA treats all input variables, spectators etc as
   //       floats. Thus, if the absolute value of the input is too large
   //       there can be precision loss. This can especially be a problem for
   //       cross validation with large event numbers.
   //       A workaround is to define your splitting variable as:
   //           `dataloader->AddSpectator("eventID := eventID % 4096", 'I');`
   //       where 4096 should be a number much larger than the number of folds
   //       you intend to run with.
 
   // Attaches the trees so they can be read from
   dataloader->AddSignalTree(sigTree, 1.0);
   dataloader->AddBackgroundTree(bkgTree, 1.0);
 
   // The CV mechanism of TMVA splits up the training set into several folds.
   // The test set is currently left unused. The `nTest_ClassName=1` assigns
   // one event to the the test set for each class and puts the rest in the
   // training set. A value of 0 is a special value and would split the
   // datasets 50 / 50.
   dataloader->PrepareTrainingAndTestTree("", "",
                                          "nTest_Signal=1"
                                          ":nTest_Background=1"
                                          ":SplitMode=Random"
                                          ":NormMode=NumEvents"
                                          ":!V");
 
   // --------------------------------------------------------------------------
 
   //
   // This sets up a CrossValidation class (which wraps a TMVA::Factory
   // internally) for 2-fold cross validation.
   //
   // The split type can be "Random", "RandomStratified" or "Deterministic".
   // For the last option, check the comment below. Random splitting randomises
   // the order of events and distributes events as evenly as possible.
   // RandomStratified applies the same logic but distributes events within a
   // class as evenly as possible over the folds.
   //
   UInt_t numFolds = 2;
   TString analysisType = "Classification";
   
   TString splitType = (useRandomSplitting) ? "Random" : "Deterministic";
 
   //
   // One can also use a custom splitting function for producing the folds.
   // The example uses a dataset spectator `eventID`.
   //
   // The idea here is that eventID should be an event number that is integral,
   // random and independent of the data, generated only once. This last
   // property ensures that if a calibration is changed the same event will
   // still be assigned the same fold.
   // 
   // This can be used to use the cross validated classifiers in application,
   // a technique that can simplify statistical analysis.
   // 
   // If you want to run TMVACrossValidationApplication, make sure you have 
   // run this tutorial with Deterministic splitting type, i.e.
   // with the option useRandomSPlitting = false
   // 
 
   TString splitExpr = (!useRandomSplitting) ? "int(fabs([eventID]))%int([NumFolds])" : "";
 
   TString cvOptions = Form("!V"
                            ":!Silent"
                            ":ModelPersistence"
                            ":AnalysisType=%s"
                            ":SplitType=%s"
                            ":NumFolds=%i"
                            ":SplitExpr=%s",
                            analysisType.Data(), splitType.Data(), numFolds,
                            splitExpr.Data());
 
   TMVA::CrossValidation cv{"TMVACrossValidation", dataloader, outputFile, cvOptions};
 
   // --------------------------------------------------------------------------
 
   //
   // Books a method to use for evaluation
   //
   cv.BookMethod(TMVA::Types::kBDT, "BDTG",
                 "!H:!V:NTrees=100:MinNodeSize=2.5%:BoostType=Grad"
                 ":NegWeightTreatment=Pray:Shrinkage=0.10:nCuts=20"
                 ":MaxDepth=2");
 
   cv.BookMethod(TMVA::Types::kFisher, "Fisher",
                 "!H:!V:Fisher:VarTransform=None");
 
   // --------------------------------------------------------------------------
 
   //
   // Train, test and evaluate the booked methods.
   // Evaluates the booked methods once for each fold and aggregates the result
   // in the specified output file.
   //
   cv.Evaluate();
 
   // --------------------------------------------------------------------------
 
   //
   // Process some output programatically, printing the ROC score for each
   // booked method.
   //
   size_t iMethod = 0;
   for (auto && result : cv.GetResults()) {
      std::cout << "Summary for method " << cv.GetMethods()[iMethod++].GetValue<TString>("MethodName")
                << std::endl;
      for (UInt_t iFold = 0; iFold<cv.GetNumFolds(); ++iFold) {
         std::cout << "\tFold " << iFold << ": "
                   << "ROC int: " << result.GetROCValues()[iFold]
                   << ", "
                   << "BkgEff@SigEff=0.3: " << result.GetEff30Values()[iFold]
                   << std::endl;
      }
   }
 
   // --------------------------------------------------------------------------
 
   //
   // Save the output
   //
   outputFile->Close();
 
   std::cout << "==> Wrote root file: " << outputFile->GetName() << std::endl;
   std::cout << "==> TMVACrossValidation is done!" << std::endl;
 
   // --------------------------------------------------------------------------
 
   //
   // Launch the GUI for the root macros
   //
   if (!gROOT->IsBatch()) {
      // Draw cv-specific graphs
      cv.GetResults()[0].DrawAvgROCCurve(kTRUE, "Avg ROC for BDTG");
      cv.GetResults()[0].DrawAvgROCCurve(kTRUE, "Avg ROC for Fisher");
 
      // You can also use the classical gui
      TMVA::TMVAGui(outfileName);
   }
 
   return 0;
}
 
//
// This is used if the macro is compiled. If run through ROOT with
// `root -l -b -q MACRO.C` or similar it is unused.
//
int main(int argc, char **argv)
{
   TMVACrossValidation();
}