[jira] [Updated] (SPARK-3181) Add Robust Regression Algorithm with Huber Estimator

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

     [ https://issues.apache.org/jira/browse/SPARK-3181?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Xiangrui Meng updated SPARK-3181:
---------------------------------
    Target Version/s: 1.3.0  (was: 1.2.0)

> Add Robust Regression Algorithm with Huber Estimator
> ----------------------------------------------------
>
>                 Key: SPARK-3181
>                 URL: https://issues.apache.org/jira/browse/SPARK-3181
>             Project: Spark
>          Issue Type: New Feature
>          Components: MLlib
>            Reporter: Fan Jiang
>              Labels: features
>   Original Estimate: 0h
>  Remaining Estimate: 0h
>
> Linear least square estimates assume the error has normal distribution and can behave badly when the errors are heavy-tailed. In practical we get various types of data. We need to include Robust Regression  to employ a fitting criterion that is not as vulnerable as least square.
> In 1973, Huber introduced M-estimation for regression which stands for "maximum likelihood type". The method is resistant to outliers in the response variable and has been widely used.
> The new feature for MLlib will contain 3 new files
> /main/scala/org/apache/spark/mllib/regression/RobustRegression.scala
> /test/scala/org/apache/spark/mllib/regression/RobustRegressionSuite.scala
> /main/scala/org/apache/spark/examples/mllib/HuberRobustRegression.scala
> and one new class HuberRobustGradient in 
> /main/scala/org/apache/spark/mllib/optimization/Gradient.scala



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