I’m using CrossValidator in pyspark (spark 1.4.1).
I’ve seen in the class Estimator that all 'fit' are done sequentially.
You can check the method _fit in CrossValidator class for the current
implementation:

https://spark.apache.org/docs/1.4.1/api/python/_modules/pyspark/ml/tuning.html

In the  scala api
<https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/ml/Estimator.scala#L67-L79>
  
there is this comment:

   * Fits multiple models to the input data with multiple sets of
parameters.
   * The default implementation uses a for loop on each parameter map.
   * Subclasses could override this to optimize multi-model training.

Is it possible to parallelize CrossValidator on nFolds and numModels so that
is faster?
The times in comparison to R glmnet are not competitive, at least for
dataframes under 3.5 million rows…

Thanks!
Julia.



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