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Commit 52fe32f6 authored by Xiangrui Meng's avatar Xiangrui Meng
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[SPARK-9834] [MLLIB] implement weighted least squares via normal equation

The goal of this PR is to have a weighted least squares implementation that takes the normal equation approach, and hence to be able to provide R-like summary statistics and support IRLS (used by GLMs). The tests match R's lm and glmnet.

There are couple TODOs that can be addressed in future PRs:
* consolidate summary statistics aggregators
* move `dspr` to `BLAS`
* etc

It would be nice to have this merged first because it blocks couple other features.

dbtsai

Author: Xiangrui Meng <meng@databricks.com>

Closes #8588 from mengxr/SPARK-9834.
parent 820913f5
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