[jira] [Updated] (SPARK-21818) MultivariateOnlineSummarizer.variance generate negative result

["Sean Owen (JIRA)" <ji...@apache.org>]

     [ https://issues.apache.org/jira/browse/SPARK-21818?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Sean Owen updated SPARK-21818:
------------------------------
    Fix Version/s: 2.2.1

> MultivariateOnlineSummarizer.variance generate negative result
> --------------------------------------------------------------
>
>                 Key: SPARK-21818
>                 URL: https://issues.apache.org/jira/browse/SPARK-21818
>             Project: Spark
>          Issue Type: Bug
>          Components: ML, MLlib
>    Affects Versions: 2.2.0
>            Reporter: Weichen Xu
>            Assignee: Weichen Xu
>             Fix For: 2.2.1, 2.3.0
>
>   Original Estimate: 24h
>  Remaining Estimate: 24h
>
> Because of numerical error, MultivariateOnlineSummarizer.variance is possible to generate negative variance.
> This is a serious bug because many algos in MLLib use stddev computed from sqrt(variance),
> it will generate NaN and crash the whole algorithm.
> we can reproduce this bug use the following code:
> {code}
>     val summarizer1 = (new MultivariateOnlineSummarizer)
>       .add(Vectors.dense(3.0), 0.7)
>     val summarizer2 = (new MultivariateOnlineSummarizer)
>       .add(Vectors.dense(3.0), 0.4)
>     val summarizer3 = (new MultivariateOnlineSummarizer)
>       .add(Vectors.dense(3.0), 0.5)
>     val summarizer4 = (new MultivariateOnlineSummarizer)
>       .add(Vectors.dense(3.0), 0.4)
>     val summarizer = summarizer1
>       .merge(summarizer2)
>       .merge(summarizer3)
>       .merge(summarizer4)
>     println(summarizer.variance(0))
> {code}



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