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https://issues.apache.org/jira/browse/MATH-607?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13060744#comment-13060744
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Phil Steitz commented on MATH-607:
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First, thanks for pushing this along and sorry to be slow to respond.
I like both of the abstractions, but I am not sure that defining interfaces is
the best way to go in either case. The reporting interface (RegressionResults)
could be a concrete class and it is probably best to define a base class that
omits some of the reported stats (e.g. isRedundant, getRedundant). Making this
a class gives us more flexibility. It also makes it a little easier / more
convenient for users who want to store off intermediate results. One thing
that I would add to either the base or an extended version is adjusted
R-square. I think it is also a good idea at the point to ask what else might
be missing. Your suggestions on redundancy are a good example. For now, I
would suggest making RegressionResults a serializable class as we finalize its
contents. One small quibble on naming: s/getNobs/getNumberOfObservations or
if that is too onerous getN (similar to other stats).
Regarding the model interface, I would again suggest that we just define this
as a class, UpdatingOLSRegression. I suppose that if we end up implementing a
weighted or other non-OLS version, we might want to factor out a common
interface like what exists for MultipleLinearRegression, but in retrospect, I
am not sure that interface was worth much. Note that all that we could factor
out is essentially what is in MultivariateRegression, which is analogous to
your RegressionResults.
So, modulo the one name change, I propose to just change these to classes and
get going on the implementation. Any other suggestions on what we should add /
modify in the RegressionResults?
> Current Multiple Regression Object does calculations with all data incore.
> There are non incore techniques which would be useful with large datasets.
> -----------------------------------------------------------------------------------------------------------------------------------------------------
>
> Key: MATH-607
> URL: https://issues.apache.org/jira/browse/MATH-607
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 3.0
> Environment: Java
> Reporter: greg sterijevski
> Labels: Gentleman's, QR, Regression, Updating, decomposition,
> lemma
> Fix For: 3.0
>
> Attachments: updating_reg_ifaces
>
> Original Estimate: 840h
> Remaining Estimate: 840h
>
> The current multiple regression class does a QR decomposition on the complete
> data set. This necessitates the loading incore of the complete dataset. For
> large datasets, or large datasets and a requirement to do datamining or
> stepwise regression this is not practical. There are techniques which form
> the normal equations on the fly, as well as ones which form the QR
> decomposition on an update basis. I am proposing, first, the specification of
> an "UpdatingLinearRegression" interface which defines basic functionality all
> such techniques must fulfill.
> Related to this 'updating' regression, the results of running a regression on
> some subset of the data should be encapsulated in an immutable object. This
> is to ensure that subsequent additions of observations do not corrupt or
> render inconsistent parameter estimates. I am calling this interface
> "RegressionResults".
> Once the community has reached a consensus on the interface, work on the
> concrete implementation of these techniques will take place.
> Thanks,
> -Greg
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