GitHub user dbtsai opened a pull request:
https://github.com/apache/spark/pull/3746
[SPARK-4907][MLlib] Inconsistent loss and gradient in LeastSquaresGradient
compared with R
In most of the academic paper and algorithm implementations,
people use L = 1/2n ||A weights-y||^2 instead of L = 1/n ||A weights-y||^2
for least-squared loss. See Eq. (1) in
http://web.stanford.edu/~hastie/Papers/glmnet.pdf
Since MLlib uses different convention, this will result different residuals
and
all the stats properties will be different from GLMNET package in R.
The model coefficients will be still the same under this change.
You can merge this pull request into a Git repository by running:
$ git pull https://github.com/AlpineNow/spark lir
Alternatively you can review and apply these changes as the patch at:
https://github.com/apache/spark/pull/3746.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 #3746
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commit 0b2c29c2791306a257413e0434f346d2884a31a0
Author: DB Tsai <[email protected]>
Date: 2014-12-19T20:27:39Z
first commit
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