JoinBoost: Grow Trees Over Normalized Data Using Only SQL (2307.00422v1)

Abstract: Although dominant for tabular data, ML libraries that train tree models over normalized databases (e.g., LightGBM, XGBoost) require the data to be denormalized as a single table, materialized, and exported. This process is not scalable, slow, and poses security risks. In-DB ML aims to train models within DBMSes to avoid data movement and provide data governance. Rather than modify a DBMS to support In-DB ML, is it possible to offer competitive tree training performance to specialized ML libraries...with only SQL? We present JoinBoost, a Python library that rewrites tree training algorithms over normalized databases into pure SQL. It is portable to any DBMS, offers performance competitive with specialized ML libraries, and scales with the underlying DBMS capabilities. JoinBoost extends prior work from both algorithmic and systems perspectives. Algorithmically, we support factorized gradient boosting, by updating the $Y$ variable to the residual in the non-materialized join result. Although this view update problem is generally ambiguous, we identify addition-to-multiplication preserving, the key property of variance semi-ring to support rmse, the most widely used criterion. System-wise, we identify residual updates as a performance bottleneck. Such overhead can be natively minimized on columnar DBMSes by creating a new column of residual values and adding it as a projection. We validate this with two implementations on DuckDB, with no or minimal modifications to its internals for portability. Our experiment shows that JoinBoost is 3x (1.1x) faster for random forests (gradient boosting) compared to LightGBM, and over an order magnitude faster than state-of-the-art In-DB ML systems. Further, JoinBoost scales well beyond LightGBM in terms of the # features, DB size (TPC-DS SF=1000), and join graph complexity (galaxy schemas).