Github user dbtsai commented on a diff in the pull request:
https://github.com/apache/spark/pull/8013#discussion_r36719632
--- Diff:
mllib/src/main/scala/org/apache/spark/ml/regression/LinearRegression.scala ---
@@ -645,3 +658,80 @@ private class LeastSquaresCostFun(
(leastSquaresAggregator.loss + regVal, new BDV(totalGradientArray))
}
}
+
+/**
+ * HuberCostFun implements Breeze's DiffFunction[T] for Huber cost as used
in Robust regression.
+ * The Huber M-estimator corresponds to a probability distribution for the
errors which is normal
+ * in the centre but like a double exponential distribution in the tails
(Hogg 1979: 109).
+ * L = 1/2 ||A weights-y||^2 if |A weights-y| <= k
+ * L = k |A weights-y| - 1/2 K^2 if |A weights-y| > k
+ * where k = 1.345 which produce 95% efficiency when the errors are normal
and
--- End diff --
BTW, will be nice that users can set % of efficiency instead of 1.345 this
kind of magic number.
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