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https://issues.apache.org/jira/browse/MAHOUT-672?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13134347#comment-13134347
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Jake Mannix commented on MAHOUT-672:
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> That's the Achilles' heel of much of distributed stuff in Mahout. I.e. space
> of iterations (I feel) must be very close to O(1), otherwise it severely
> affects stuff. Even using side information is not that painful it seems
> compared to iteration growth. That severely decreases pragmatical use.
I think it's a bit extreme to say we need to have nearly O(1) Map-reduce passes
to be useful. Lots of iterative stuff requires quite a few passes before
convergence (as you say: Lanczos and LDA both fall into this realm), yet it's
just the price you have to pay sometimes.
This may be similar.
Jonathan, what size inputs have you run this on, with what running time in
comparison to the other algorithms we have? From what I can see, this looks
good to commit as well.
> Implementation of Conjugate Gradient for solving large linear systems
> ---------------------------------------------------------------------
>
> Key: MAHOUT-672
> URL: https://issues.apache.org/jira/browse/MAHOUT-672
> Project: Mahout
> Issue Type: New Feature
> Components: Math
> Affects Versions: 0.5
> Reporter: Jonathan Traupman
> Priority: Minor
> Fix For: 0.6
>
> Attachments: 0001-MAHOUT-672-LSMR-iterative-linear-solver.patch,
> 0001-MAHOUT-672-LSMR-iterative-linear-solver.patch, MAHOUT-672.patch,
> mahout-672-111023.patch, mahout-672.patch
>
> Original Estimate: 48h
> Remaining Estimate: 48h
>
> This patch contains an implementation of conjugate gradient, an iterative
> algorithm for solving large linear systems. In particular, it is well suited
> for large sparse systems where a traditional QR or Cholesky decomposition is
> infeasible. Conjugate gradient only works for matrices that are square,
> symmetric, and positive definite (basically the same types where Cholesky
> decomposition is applicable). Systems like these commonly occur in statistics
> and machine learning problems (e.g. regression).
> Both a standard (in memory) solver and a distributed hadoop-based solver
> (basically the standard solver run using a DistributedRowMatrix a la
> DistributedLanczosSolver) are included.
> There is already a version of this algorithm in taste package, but it doesn't
> operate on standard mahout matrix/vector objects, nor does it implement a
> distributed version. I believe this implementation will be more generically
> useful to the community than the specialized one in taste.
> This implementation solves the following types of systems:
> Ax = b, where A is square, symmetric, and positive definite
> A'Ax = b where A is arbitrary but A'A is positive definite. Directly solving
> this system is more efficient than computing A'A explicitly then solving.
> (A + lambda * I)x = b and (A'A + lambda * I)x = b, for systems where A or A'A
> is singular and/or not full rank. This occurs commonly if A is large and
> sparse. Solving a system of this form is used, for example, in ridge
> regression.
> In addition to the normal conjugate gradient solver, this implementation also
> handles preconditioning, and has a sample Jacobi preconditioner included as
> an example. More work will be needed to build more advanced preconditioners
> if desired.
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