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author | sethah <seth.hendrickson16@gmail.com> | 2016-08-18 22:16:48 -0700 |
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committer | DB Tsai <dbt@netflix.com> | 2016-08-18 22:16:48 -0700 |
commit | 287bea13050b8eedc3b8b6b3491f1b5e5bc24d7a (patch) | |
tree | 06f68fcbd5774ede799a8f3633377f1298c5303e /python | |
parent | b482c09fa22c5762a355f95820e4ba3e2517fb77 (diff) | |
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[SPARK-7159][ML] Add multiclass logistic regression to Spark ML
## What changes were proposed in this pull request?
This patch adds a new estimator/transformer `MultinomialLogisticRegression` to spark ML.
JIRA: [SPARK-7159](https://issues.apache.org/jira/browse/SPARK-7159)
## How was this patch tested?
Added new test suite `MultinomialLogisticRegressionSuite`.
## Approach
### Do not use a "pivot" class in the algorithm formulation
Many implementations of multinomial logistic regression treat the problem as K - 1 independent binary logistic regression models where K is the number of possible outcomes in the output variable. In this case, one outcome is chosen as a "pivot" and the other K - 1 outcomes are regressed against the pivot. This is somewhat undesirable since the coefficients returned will be different for different choices of pivot variables. An alternative approach to the problem models class conditional probabilites using the softmax function and will return uniquely identifiable coefficients (assuming regularization is applied). This second approach is used in R's glmnet and was also recommended by dbtsai.
### Separate multinomial logistic regression and binary logistic regression
The initial design makes multinomial logistic regression a separate estimator/transformer than the existing LogisticRegression estimator/transformer. An alternative design would be to merge them into one.
**Arguments for:**
* The multinomial case without pivot is distinctly different than the current binary case since the binary case uses a pivot class.
* The current logistic regression model in ML uses a vector of coefficients and a scalar intercept. In the multinomial case, we require a matrix of coefficients and a vector of intercepts. There are potential workarounds for this issue if we were to merge the two estimators, but none are particularly elegant.
**Arguments against:**
* It may be inconvenient for users to have to switch the estimator class when transitioning between binary and multiclass (although the new multinomial estimator can be used for two class outcomes).
* Some portions of the code are repeated.
This is a major design point and warrants more discussion.
### Mean centering
When no regularization is applied, the coefficients will not be uniquely identifiable. This is not hard to show and is discussed in further detail [here](https://core.ac.uk/download/files/153/6287975.pdf). R's glmnet deals with this by choosing the minimum l2 regularized solution (i.e. mean centering). Additionally, the intercepts are never regularized so they are always mean centered. This is the approach taken in this PR as well.
### Feature scaling
In current ML logistic regression, the features are always standardized when running the optimization algorithm. They are always returned to the user in the original feature space, however. This same approach is maintained in this patch as well, but the implementation details are different. In ML logistic regression, the unregularized feature values are divided by the column standard deviation in every gradient update iteration. In contrast, MLlib transforms the entire input dataset to the scaled space _before_ optimizaton. In ML, this means that `numFeatures * numClasses` extra scalar divisions are required in every iteration. Performance testing shows that this has significant (4x in some cases) slow downs in each iteration. This can be avoided by transforming the input to the scaled space ala MLlib once, before iteration begins. This does add some overhead initially, but can make significant time savings in some cases.
One issue with this approach is that if the input data is already cached, there may not be enough memory to cache the transformed data, which would make the algorithm _much_ slower. The tradeoffs here merit more discussion.
### Specifying and inferring the number of outcome classes
The estimator checks the dataframe label column for metadata which specifies the number of values. If they are not specified, the length of the `histogram` variable is used, which is essentially the maximum value found in the column. The assumption then, is that the labels are zero-indexed when they are provided to the algorithm.
## Performance
Below are some performance tests I have run so far. I am happy to add more cases or trials if we deem them necessary.
Test cluster: 4 bare metal nodes, 128 GB RAM each, 48 cores each
Notes:
* Time in units of seconds
* Metric is classification accuracy
| algo | elasticNetParam | fitIntercept | metric | maxIter | numPoints | numClasses | numFeatures | time | standardization | regParam |
|--------|-------------------|----------------|----------|-----------|-------------|--------------|---------------|---------|-------------------|------------|
| ml | 0 | true | 0.746415 | 30 | 100000 | 3 | 100000 | 327.923 | true | 0 |
| mllib | 0 | true | 0.743785 | 30 | 100000 | 3 | 100000 | 390.217 | true | 0 |
| algo | elasticNetParam | fitIntercept | metric | maxIter | numPoints | numClasses | numFeatures | time | standardization | regParam |
|--------|-------------------|----------------|----------|-----------|-------------|--------------|---------------|---------|-------------------|------------|
| ml | 0 | true | 0.973238 | 30 | 2000000 | 3 | 10000 | 385.476 | true | 0 |
| mllib | 0 | true | 0.949828 | 30 | 2000000 | 3 | 10000 | 550.403 | true | 0 |
| algo | elasticNetParam | fitIntercept | metric | maxIter | numPoints | numClasses | numFeatures | time | standardization | regParam |
|--------|-------------------|----------------|----------|-----------|-------------|--------------|---------------|---------|-------------------|------------|
| mllib | 0 | true | 0.864358 | 30 | 2000000 | 3 | 10000 | 543.359 | true | 0.1 |
| ml | 0 | true | 0.867418 | 30 | 2000000 | 3 | 10000 | 401.955 | true | 0.1 |
| algo | elasticNetParam | fitIntercept | metric | maxIter | numPoints | numClasses | numFeatures | time | standardization | regParam |
|--------|-------------------|----------------|----------|-----------|-------------|--------------|---------------|---------|-------------------|------------|
| ml | 1 | true | 0.807449 | 30 | 2000000 | 3 | 10000 | 334.892 | true | 0.05 |
| algo | elasticNetParam | fitIntercept | metric | maxIter | numPoints | numClasses | numFeatures | time | standardization | regParam |
|--------|-------------------|----------------|----------|-----------|-------------|--------------|---------------|---------|-------------------|------------|
| ml | 0 | true | 0.602006 | 30 | 2000000 | 500 | 100 | 112.319 | true | 0 |
| mllib | 0 | true | 0.567226 | 30 | 2000000 | 500 | 100 | 263.768 | true | 0 |e | 0.567226 | 30 | 2000000 | 500 | 100 | 263.768 | true | 0 |
## References
Friedman, et al. ["Regularization Paths for Generalized Linear Models via Coordinate Descent"](https://core.ac.uk/download/files/153/6287975.pdf)
[http://web.stanford.edu/~hastie/glmnet/glmnet_alpha.html](http://web.stanford.edu/~hastie/glmnet/glmnet_alpha.html)
## Follow up items
* Consider using level 2 BLAS routines in the gradient computations - [SPARK-17134](https://issues.apache.org/jira/browse/SPARK-17134)
* Add model summary for MLOR - [SPARK-17139](https://issues.apache.org/jira/browse/SPARK-17139)
* Add initial model to MLOR and add test for intercept priors - [SPARK-17140](https://issues.apache.org/jira/browse/SPARK-17140)
* Python API - [SPARK-17138](https://issues.apache.org/jira/browse/SPARK-17138)
* Consider changing the tree aggregation level for MLOR/BLOR or making it user configurable to avoid memory problems with high dimensional data - [SPARK-17090](https://issues.apache.org/jira/browse/SPARK-17090)
* Refactor helper classes out of `LogisticRegression.scala` - [SPARK-17135](https://issues.apache.org/jira/browse/SPARK-17135)
* Design optimizer interface for added flexibility in ML algos - [SPARK-17136](https://issues.apache.org/jira/browse/SPARK-17136)
* Support compressing the coefficients and intercepts for MLOR models - [SPARK-17137](https://issues.apache.org/jira/browse/SPARK-17137)
Author: sethah <seth.hendrickson16@gmail.com>
Closes #13796 from sethah/SPARK-7159_M.
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