Add more tests and doc for QDM. (dmlc#10692)

Author: trivialfis

python-package/xgboost/core.py

@@ -1522,6 +1522,20 @@ class QuantileDMatrix(DMatrix):
 
     .. versionadded:: 1.7.0
 
+    Examples
+    --------
+
+    .. code-block::
+
+        from sklearn.datasets import make_regression
+        from sklearn.model_selection import train_test_split
+
+        X, y = make_regression()
+        X_train, X_test, y_train, y_test = train_test_split(X, y)
+        Xy_train = xgb.QuantileDMatrix(X_train, y_train)
+        # It's necessary to have the training DMatrix as a reference for valid quantiles.
+        Xy_test = xgb.QuantileDMatrix(X_test, y_test, ref=Xy_train)
+
     Parameters
     ----------
     max_bin :

python-package/xgboost/testing/quantile_dmatrix.py

@@ -0,0 +1,35 @@
+"""QuantileDMatrix related tests."""
+
+import numpy as np
+from sklearn.model_selection import train_test_split
+
+import xgboost as xgb
+
+from .data import make_batches
+
+
+def check_ref_quantile_cut(device: str) -> None:
+    """Check obtaining the same cut values given a reference."""
+    X, y, _ = (
+        data[0]
+        for data in make_batches(
+            n_samples_per_batch=8192,
+            n_features=16,
+            n_batches=1,
+            use_cupy=device.startswith("cuda"),
+        )
+    )
+
+    X_train, X_valid, y_train, y_valid = train_test_split(X, y)
+    Xy_train = xgb.QuantileDMatrix(X_train, y_train)
+    Xy_valid = xgb.QuantileDMatrix(X_valid, y_valid, ref=Xy_train)
+
+    cut_train = Xy_train.get_quantile_cut()
+    cut_valid = Xy_valid.get_quantile_cut()
+
+    np.testing.assert_allclose(cut_train[0], cut_valid[0])
+    np.testing.assert_allclose(cut_train[1], cut_valid[1])
+
+    Xy_valid = xgb.QuantileDMatrix(X_valid, y_valid)
+    cut_valid = Xy_valid.get_quantile_cut()
+    assert not np.allclose(cut_train[1], cut_valid[1])

python-package/xgboost/testing/updater.py

@@ -250,10 +250,10 @@ def check_get_quantile_cut_device(tree_method: str, use_cupy: bool) -> None:
     check_cut(n_entries, indptr, data, X.dtypes)
 
 
-def check_get_quantile_cut(tree_method: str) -> None:
+def check_get_quantile_cut(tree_method: str, device: str) -> None:
     """Check the quantile cut getter."""
 
-    use_cupy = tree_method == "gpu_hist"
+    use_cupy = device.startswith("cuda")
     check_get_quantile_cut_device(tree_method, False)
     if use_cupy:
         check_get_quantile_cut_device(tree_method, True)

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -8,6 +8,7 @@
 from xgboost import testing as tm
 from xgboost.testing.data import check_inf
 from xgboost.testing.data_iter import run_mixed_sparsity
+from xgboost.testing.quantile_dmatrix import check_ref_quantile_cut
 
 sys.path.append("tests/python")
 import test_quantile_dmatrix as tqd
@@ -142,6 +143,9 @@ def test_interoperability(self, tree_method: str, max_bin: int) -> None:
                 {"tree_method": "approx", "max_bin": max_bin}, Xy, num_boost_round=4
             )
 
+    def test_ref_quantile_cut(self) -> None:
+        check_ref_quantile_cut("cuda")
+
     @pytest.mark.skipif(**tm.no_cupy())
     def test_metainfo(self) -> None:
         import cupy as cp

tests/python-gpu/test_gpu_updaters.py

@@ -321,4 +321,4 @@ def test_issue8824(self):
 
     @pytest.mark.skipif(**tm.no_cudf())
     def test_get_quantile_cut(self) -> None:
-        check_get_quantile_cut("gpu_hist")
+        check_get_quantile_cut("hist", "cuda")

tests/python/test_quantile_dmatrix.py

@@ -17,6 +17,7 @@
 )
 from xgboost.testing.data import check_inf, np_dtypes
 from xgboost.testing.data_iter import run_mixed_sparsity
+from xgboost.testing.quantile_dmatrix import check_ref_quantile_cut
 
 
 class TestQuantileDMatrix:
@@ -266,6 +267,9 @@ def run_ref_dmatrix(self, rng: Any, tree_method: str, enable_cat: bool) -> None:
             dm_results["dvalid"]["rmse"], qdm_results["valid"]["rmse"]
         )
 
+    def test_ref_quantile_cut(self) -> None:
+        check_ref_quantile_cut("cpu")
+
     def test_ref_dmatrix(self) -> None:
         rng = np.random.RandomState(1994)
         self.run_ref_dmatrix(rng, "hist", True)

tests/python/test_updaters.py

@@ -412,4 +412,4 @@ def test_quantile_loss(self, weighted: bool) -> None:
     @pytest.mark.skipif(**tm.no_pandas())
     @pytest.mark.parametrize("tree_method", ["hist"])
     def test_get_quantile_cut(self, tree_method: str) -> None:
-        check_get_quantile_cut(tree_method)
+        check_get_quantile_cut(tree_method, "cpu")