Fix weighted samples in multi-class AUC.

src/metric/auc.cu

@@ -291,7 +291,7 @@ float GPUMultiClassAUCOVR(common::Span<float const> predts, MetaInfo const &info
     // labels is a vector of size n_samples.
     float label = labels[idx % n_samples] == class_id;
 
-    float w = get_weight(i % n_samples);
+    float w = weights.empty() ? 1.0f : weights[d_sorted_idx[i] % n_samples];
     float fp = (1.0 - label) * w;
     float tp = label * w;
     return thrust::make_pair(fp, tp);

tests/cpp/helpers.cc

@@ -143,7 +143,7 @@ void CheckRankingObjFunction(std::unique_ptr<xgboost::ObjFunction> const& obj,
 }
 
 xgboost::bst_float GetMetricEval(xgboost::Metric * metric,
-                                 xgboost::HostDeviceVector<xgboost::bst_float> preds,
+                                 xgboost::HostDeviceVector<xgboost::bst_float> const& preds,
                                  std::vector<xgboost::bst_float> labels,
                                  std::vector<xgboost::bst_float> weights,
                                  std::vector<xgboost::bst_uint> groups) {

tests/cpp/helpers.h

@@ -86,7 +86,7 @@ void CheckRankingObjFunction(std::unique_ptr<xgboost::ObjFunction> const& obj,
 
 xgboost::bst_float GetMetricEval(
   xgboost::Metric * metric,
-  xgboost::HostDeviceVector<xgboost::bst_float> preds,
+  xgboost::HostDeviceVector<xgboost::bst_float> const& preds,
   std::vector<xgboost::bst_float> labels,
   std::vector<xgboost::bst_float> weights = std::vector<xgboost::bst_float>(),
   std::vector<xgboost::bst_uint> groups = std::vector<xgboost::bst_uint>());

tests/cpp/metric/test_auc.cc

@@ -90,6 +90,16 @@ TEST(Metric, DeclareUnifiedTest(MultiAUC)) {
                             },
                             {0, 1, 1});  // no class 2.
   EXPECT_TRUE(std::isnan(auc)) << auc;
+
+  HostDeviceVector<float> predts{
+    0.0f, 1.0f, 0.0f,
+    1.0f, 0.0f, 0.0f,
+    0.0f, 0.0f, 1.0f,
+    0.0f, 0.0f, 1.0f,
+  };
+  std::vector<float> labels {1.0f, 0.0f, 2.0f, 1.0f};
+  auc = GetMetricEval(metric, predts, labels, {1.0f, 2.0f, 3.0f, 4.0f});
+  ASSERT_GT(auc, 0.714);
 }
 
 TEST(Metric, DeclareUnifiedTest(RankingAUC)) {

tests/python-gpu/test_gpu_eval_metrics.py

@@ -13,9 +13,11 @@ class TestGPUEvalMetrics:
     def test_roc_auc_binary(self, n_samples):
         self.cpu_test.run_roc_auc_binary("gpu_hist", n_samples)
 
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
-    def test_roc_auc_multi(self, n_samples):
-        self.cpu_test.run_roc_auc_multi("gpu_hist", n_samples)
+    @pytest.mark.parametrize(
+        "n_samples,weighted", [(4, False), (100, False), (1000, False), (1000, True)]
+    )
+    def test_roc_auc_multi(self, n_samples, weighted):
+        self.cpu_test.run_roc_auc_multi("gpu_hist", n_samples, weighted)
 
     @pytest.mark.parametrize("n_samples", [4, 100, 1000])
     def test_roc_auc_ltr(self, n_samples):

tests/python/test_eval_metrics.py

@@ -191,11 +191,11 @@ def run_roc_auc_binary(self, tree_method, n_samples):
         np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
 
     @pytest.mark.skipif(**tm.no_sklearn())
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
+    @pytest.mark.parametrize("n_samples", [100, 1000])
     def test_roc_auc(self, n_samples):
         self.run_roc_auc_binary("hist", n_samples)
 
-    def run_roc_auc_multi(self, tree_method, n_samples):
+    def run_roc_auc_multi(self, tree_method, n_samples, weighted):
         import numpy as np
         from sklearn.datasets import make_classification
         from sklearn.metrics import roc_auc_score
@@ -213,8 +213,14 @@ def run_roc_auc_multi(self, tree_method, n_samples):
             n_classes=n_classes,
             random_state=rng
         )
-
-        Xy = xgb.DMatrix(X, y)
+        if weighted:
+            weights = rng.randn(n_samples)
+            weights -= weights.min()
+            weights /= weights.max()
+        else:
+            weights = None
+
+        Xy = xgb.DMatrix(X, y, weight=weights)
         booster = xgb.train(
             {
                 "tree_method": tree_method,
@@ -226,16 +232,22 @@ def run_roc_auc_multi(self, tree_method, n_samples):
             num_boost_round=8,
         )
         score = booster.predict(Xy)
-        skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
+        skl_auc = roc_auc_score(
+            y, score, average="weighted", sample_weight=weights, multi_class="ovr"
+        )
         auc = float(booster.eval(Xy).split(":")[1])
         np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
 
         X = rng.randn(*X.shape)
-        score = booster.predict(xgb.DMatrix(X))
-        skl_auc = roc_auc_score(y, score, average="weighted", multi_class="ovr")
-        auc = float(booster.eval(xgb.DMatrix(X, y)).split(":")[1])
-        np.testing.assert_allclose(skl_auc, auc, rtol=1e-6)
-
-    @pytest.mark.parametrize("n_samples", [4, 100, 1000])
-    def test_roc_auc_multi(self, n_samples):
-        self.run_roc_auc_multi("hist", n_samples)
+        score = booster.predict(xgb.DMatrix(X, weight=weights))
+        skl_auc = roc_auc_score(
+            y, score, average="weighted", sample_weight=weights, multi_class="ovr"
+        )
+        auc = float(booster.eval(xgb.DMatrix(X, y, weight=weights)).split(":")[1])
+        np.testing.assert_allclose(skl_auc, auc, rtol=1e-5)
+
+    @pytest.mark.parametrize(
+        "n_samples,weighted", [(4, False), (100, False), (1000, False), (1000, True)]
+    )
+    def test_roc_auc_multi(self, n_samples, weighted):
+        self.run_roc_auc_multi("hist", n_samples, weighted)