[jira] [Created] (SPARK-9834) Normal equation solver and summary statistics for ordinary least squares

["Xiangrui Meng (JIRA)" <ji...@apache.org>]

Xiangrui Meng created SPARK-9834:
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             Summary: Normal equation solver and summary statistics for ordinary least squares
                 Key: SPARK-9834
                 URL: https://issues.apache.org/jira/browse/SPARK-9834
             Project: Spark
          Issue Type: New Feature
          Components: ML
            Reporter: Xiangrui Meng
            Assignee: Xiangrui Meng


Add normal equation solver for ordinary least squares with not many features. The approach requires one pass to collect AtA and Atb, then solve the problem on driver. It works well when the problem is not very ill-conditioned and not having many columns. It also provides R-like summary statistics.

We can hide this implementation under LinearRegression. It is triggered when there are no more than, e.g., 4096 features.



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