[
https://issues.apache.org/jira/browse/SPARK-17824?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]
Yanbo Liang updated SPARK-17824:
--------------------------------
Description:
Cholesky decomposition is unstable (for near-singular and rank deficient
matrices) and only works on positive definite matrices which can not be
guaranteed in all cases, it was often used when matrix A is very large and
sparse due to faster calculation. QR decomposition has better numerical
properties than Cholesky and can works on matrices which are not positive
definite. Spark MLlib {{WeightedLeastSquares}} use Cholesky decomposition to
solve normal equation currently, we should also support or move to QR solver
for better stability. I'm preparing to send a PR.
cc [~dbtsai] [~sethah]
was:
Cholesky decomposition is unstable (for near-singular and rank deficient
matrices) and only works on positive definite matrices which can not guaranteed
in all cases, it was often used when matrix A is very large and sparse due to
faster calculation. QR decomposition has better numerical properties than
Cholesky and can works on matrices which are not positive definite. Spark MLlib
{{WeightedLeastSquares}} use Cholesky decomposition to solve normal equation
currently, we should also support or move to QR solver for better stability.
I'm preparing to send a PR.
cc [~dbtsai] [~sethah]
> QR solver for WeightedLeastSquares
> ----------------------------------
>
> 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) and only works on positive definite matrices which can not be
> guaranteed in all cases, it was often used when matrix A is very large and
> sparse due to faster calculation. QR decomposition has better numerical
> properties than Cholesky and can works on matrices which are not positive
> definite. Spark MLlib {{WeightedLeastSquares}} use Cholesky decomposition to
> solve normal equation currently, we should also support or move to QR solver
> for better stability. I'm preparing to send a PR.
> cc [~dbtsai] [~sethah]
--
This message was sent by Atlassian JIRA
(v6.3.4#6332)
---------------------------------------------------------------------
To unsubscribe, e-mail: [email protected]
For additional commands, e-mail: [email protected]
