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Posted to issues@spark.apache.org by "Matthew Farrellee (JIRA)" <ji...@apache.org> on 2014/09/02 21:15:21 UTC
[jira] [Commented] (SPARK-3181) Add Robust Regression Algorithm
with Huber Estimator
[ https://issues.apache.org/jira/browse/SPARK-3181?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14118566#comment-14118566 ]
Matthew Farrellee commented on SPARK-3181:
------------------------------------------
pls excuse my changes to this issue, i'm not planning to work on it, but cannot appear to remove myself as the assignee.
> 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
> Affects Versions: 1.0.2
> Reporter: Fan Jiang
> Assignee: Matthew Farrellee
> Priority: Critical
> Labels: features
> Fix For: 1.1.1, 1.2.0
>
> 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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