[jira] [Comment Edited] (SPARK-9834) Normal equation solver for ordinary least squares

["Debasish Das (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/SPARK-9834?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=15315935#comment-15315935 ] 

Debasish Das edited comment on SPARK-9834 at 6/5/16 4:49 PM:
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Do you have runtime comparisons that when features <= 4096, OLS using Normal Equations is faster than BFGS ? I am extending OLS for sparse features and it will be great if you can point to the runtime experiments you have done...


was (Author: debasish83):
Do you have runtime comparisons that when features <= 4096, OLS using Normal Equations is faster than BFGS ? 

> Normal equation solver for ordinary least squares
> -------------------------------------------------
>
>                 Key: SPARK-9834
>                 URL: https://issues.apache.org/jira/browse/SPARK-9834
>             Project: Spark
>          Issue Type: New Feature
>          Components: ML
>            Reporter: Xiangrui Meng
>            Assignee: Xiangrui Meng
>             Fix For: 1.6.0
>
>
> Add normal equation solver for ordinary least squares with not many features. The approach requires one pass to collect AtA and Atb, then solve the problem on driver. It works well when the problem is not very ill-conditioned and not having many columns. It also provides R-like summary statistics.
> We can hide this implementation under LinearRegression. It is triggered when there are no more than, e.g., 4096 features.



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