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Posted to issues@spark.apache.org by "Hyukjin Kwon (JIRA)" <ji...@apache.org> on 2019/05/21 04:33:41 UTC
[jira] [Resolved] (SPARK-14533) RowMatrix.computeCovariance
inaccurate when values are very large
[ https://issues.apache.org/jira/browse/SPARK-14533?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Hyukjin Kwon resolved SPARK-14533.
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Resolution: Incomplete
> RowMatrix.computeCovariance inaccurate when values are very large
> -----------------------------------------------------------------
>
> Key: SPARK-14533
> URL: https://issues.apache.org/jira/browse/SPARK-14533
> Project: Spark
> Issue Type: Bug
> Components: MLlib
> Affects Versions: 1.6.1, 2.0.0
> Reporter: Sean Owen
> Priority: Minor
> Labels: bulk-closed
>
> The following code will produce a Pearson correlation that's quite different from 0, sometimes outside [-1,1] or even NaN:
> {code}
> val a = RandomRDDs.normalRDD(sc, 100000, 10).map(_ + 1000000000.0)
> val b = RandomRDDs.normalRDD(sc, 100000, 10).map(_ + 1000000000.0)
> val p = Statistics.corr(a, b, method = "pearson")
> {code}
> This is a "known issue" to some degree, given how Cov(X,Y) is calculated in {{RowMatrix.getCovariance}}, as Cov(X,Y) = E[XY] - E[X]E[Y]. The easier and more accurate approach involves just centering the input before computing the Gramian, but this would be inefficient for sparse data.
> However, for dense data -- which includes the code paths that compute correlations -- this approach is quite sensible. This would improve accuracy for the dense row case, at least.
> Also, the mean column values computed in this method can be computed more simply and accurately from {{computeColumnSummaryStatistics()}}
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