[SPARK-9834][MLLIB] implement weighted least squares via normal equation#8588
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mengxr wants to merge 8 commits into
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[SPARK-9834][MLLIB] implement weighted least squares via normal equation#8588mengxr wants to merge 8 commits into
mengxr wants to merge 8 commits into
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Test build #41977 has finished for PR 8588 at commit
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Test build #41979 has finished for PR 8588 at commit
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mengxr
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Test build #41994 has finished for PR 8588 at commit
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Do we need standardizeLabel? I think without regularization, with/without standardization will not change the solution.
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We don't need it but I think it is useful to list the values explicitly here.
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LGTM, did not check low level implementation |
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jenkins test this please |
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Test build #42145 has finished for PR 8588 at commit
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Merged into master. I will make follow-up PRs to do the refactoring. |
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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:
dsprtoBLASIt would be nice to have this merged first because it blocks couple other features.
@dbtsai