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https://issues.apache.org/jira/browse/SPARK-7210?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14623019#comment-14623019
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Feynman Liang commented on SPARK-7210:
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{{MultiVariateGaussian}} already checks for a positive semi-definite covariance
matrix
https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/stat/distribution/MultivariateGaussian.scala#L131
> Test matrix decompositions for speed vs. numerical stability for Gaussians
> --------------------------------------------------------------------------
>
> Key: SPARK-7210
> URL: https://issues.apache.org/jira/browse/SPARK-7210
> Project: Spark
> Issue Type: Improvement
> Components: MLlib
> Reporter: Joseph K. Bradley
> Priority: Minor
>
> We currently use SVD for inverting the Gaussian's covariance matrix and
> computing the determinant. SVD is numerically stable but slow. We could
> experiment with Cholesky, etc. to figure out a better option, or a better
> option for certain settings.
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