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Posted to issues@spark.apache.org by "Joseph K. Bradley (JIRA)" <ji...@apache.org> on 2016/04/25 20:53:13 UTC

[jira] [Created] (SPARK-14898) MultivariateGaussian could use Cholesky in calculateCovarianceConstants

Joseph K. Bradley created SPARK-14898:
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             Summary: MultivariateGaussian could use Cholesky in calculateCovarianceConstants
                 Key: SPARK-14898
                 URL: https://issues.apache.org/jira/browse/SPARK-14898
             Project: Spark
          Issue Type: Improvement
          Components: ML
            Reporter: Joseph K. Bradley
            Priority: Minor


In spark.ml.stat.distribution.MultivariateGaussian, calculateCovarianceConstants uses SVD.  It might be more efficient to use Cholesky.  We should check other numerical libraries and see if we should switch to Cholesky.



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