Github user mengxr commented on a diff in the pull request:
https://github.com/apache/spark/pull/9413#discussion_r43685896
--- Diff:
mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala ---
@@ -109,6 +113,9 @@ private[ml] class WeightedLeastSquares(
val x = new DenseVector(CholeskyDecomposition.solve(aaBar.values,
abBar.values))
+ val aaInv = CholeskyDecomposition.inverse(aaBar.values, k)
+ val diag = new DenseVector((1 to k).map{ i => aaInv(i + (i - 1) * i /
2 - 1) / wSum }.toArray)
--- End diff --
Need an inline comment to explain the index mapping. It is sufficient to
just mention that `aaInv` is a packed upper triangular matrix.
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