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Posted to issues@spark.apache.org by "Yanbo Liang (JIRA)" <ji...@apache.org> on 2016/10/07 08:08:20 UTC

[jira] [Created] (SPARK-17824) QR solver for WeightedLeastSquare

Yanbo Liang created SPARK-17824:
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             Summary: QR solver for WeightedLeastSquare
                 Key: SPARK-17824
                 URL: https://issues.apache.org/jira/browse/SPARK-17824
             Project: Spark
          Issue Type: New Feature
          Components: ML
            Reporter: Yanbo Liang
            Assignee: Yanbo Liang


Cholesky decomposition is unstable (for near-singular and rank deficient matrices), it was often used when matrix A is very large and sparse due to faster calculation. QR decomposition has better numerical properties than Cholesky. Spark MLlib WeightedLeastSquares use Cholesky decomposition to solve normal equation currently, we should also support or move to QR solver for better stability.



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