Github user jkbradley commented on the pull request: https://github.com/apache/spark/pull/8757#issuecomment-148851400 This LGTM. I'll merge it with master. Thanks for the PR! @avulanov I looked at your code, but the results seem strange to me. We'll have to look into it more, I guess. As far as utility of block-diagonal matrices, I've mainly seen them in the context of specialized applications with very structured feature interactions, but my experience there is from research, not industry.
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