GitHub user mengxr opened a pull request:
https://github.com/apache/spark/pull/8588
[WIP][SPARK-9834][MLLIB] implement weighted least squares via normal
equation
This is a WIP. Please do not spend time on documentation or code style.
The goal is to have a weighted least squares implementation that can later
provide R-like summary statistics and support IRLS.
I try to match the result from glmnet but I found it quite hard to figure
out how it handles regularization.
@dbtsai
You can merge this pull request into a Git repository by running:
$ git pull https://github.com/mengxr/spark SPARK-9834
Alternatively you can review and apply these changes as the patch at:
https://github.com/apache/spark/pull/8588.patch
To close this pull request, make a commit to your master/trunk branch
with (at least) the following in the commit message:
This closes #8588
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commit 34107aa9654d9a7418fc5db9a67de556efde42c1
Author: Xiangrui Meng <[email protected]>
Date: 2015-09-03T07:24:43Z
implement weighted least squares via normal equation
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