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| author | Xiangrui Meng <meng@databricks.com> | 2015-09-08 20:51:20 -0700 |
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| committer | Xiangrui Meng <meng@databricks.com> | 2015-09-08 20:51:20 -0700 |
| commit | 52fe32f6ac7a04fa9b4478fda1307c5b0c61c4a2 (patch) | |
| tree | 3e2e955c99a17eee1a5b54179da650949db22b03 /python | |
| parent | 820913f554bef610d07ca2dadaead657f916ae63 (diff) | |
| download | spark-52fe32f6ac7a04fa9b4478fda1307c5b0c61c4a2.tar.gz spark-52fe32f6ac7a04fa9b4478fda1307c5b0c61c4a2.tar.bz2 spark-52fe32f6ac7a04fa9b4478fda1307c5b0c61c4a2.zip | |
[SPARK-9834] [MLLIB] implement weighted least squares via normal equation
The goal of this PR is to have a weighted least squares implementation that takes the normal equation approach, and hence to be able to provide R-like summary statistics and support IRLS (used by GLMs). The tests match R's lm and glmnet.
There are couple TODOs that can be addressed in future PRs:
* consolidate summary statistics aggregators
* move `dspr` to `BLAS`
* etc
It would be nice to have this merged first because it blocks couple other features.
dbtsai
Author: Xiangrui Meng <meng@databricks.com>
Closes #8588 from mengxr/SPARK-9834.
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