[SPARK-10194] [MLLIB] [PYSPARK] SGD algorithms need convergenceTol parameter in Python

[SPARK-3382](https://issues.apache.org/jira/browse/SPARK-3382) added a ```convergenceTol``` parameter for GradientDescent-based methods in Scala. We need that parameter in Python; otherwise, Python users will not be able to adjust that behavior (or even reproduce behavior from previous releases since the default changed).

Author: Yanbo Liang <ybliang8@gmail.com>

Closes #8457 from yanboliang/spark-10194.

mllib/src/main/scala/org/apache/spark/mllib/api/python/PythonMLLibAPI.scala

@@ -132,7 +132,8 @@ private[python] class PythonMLLibAPI extends Serializable {
       regParam: Double,
       regType: String,
       intercept: Boolean,
-      validateData: Boolean): JList[Object] = {
+      validateData: Boolean,
+      convergenceTol: Double): JList[Object] = {
     val lrAlg = new LinearRegressionWithSGD()
     lrAlg.setIntercept(intercept)
       .setValidateData(validateData)
@@ -141,6 +142,7 @@ private[python] class PythonMLLibAPI extends Serializable {
       .setRegParam(regParam)
       .setStepSize(stepSize)
       .setMiniBatchFraction(miniBatchFraction)
+      .setConvergenceTol(convergenceTol)
     lrAlg.optimizer.setUpdater(getUpdaterFromString(regType))
     trainRegressionModel(
       lrAlg,
@@ -159,7 +161,8 @@ private[python] class PythonMLLibAPI extends Serializable {
       miniBatchFraction: Double,
       initialWeights: Vector,
       intercept: Boolean,
-      validateData: Boolean): JList[Object] = {
+      validateData: Boolean,
+      convergenceTol: Double): JList[Object] = {
     val lassoAlg = new LassoWithSGD()
     lassoAlg.setIntercept(intercept)
       .setValidateData(validateData)
@@ -168,6 +171,7 @@ private[python] class PythonMLLibAPI extends Serializable {
       .setRegParam(regParam)
       .setStepSize(stepSize)
       .setMiniBatchFraction(miniBatchFraction)
+      .setConvergenceTol(convergenceTol)
     trainRegressionModel(
       lassoAlg,
       data,
@@ -185,7 +189,8 @@ private[python] class PythonMLLibAPI extends Serializable {
       miniBatchFraction: Double,
       initialWeights: Vector,
       intercept: Boolean,
-      validateData: Boolean): JList[Object] = {
+      validateData: Boolean,
+      convergenceTol: Double): JList[Object] = {
     val ridgeAlg = new RidgeRegressionWithSGD()
     ridgeAlg.setIntercept(intercept)
       .setValidateData(validateData)
@@ -194,6 +199,7 @@ private[python] class PythonMLLibAPI extends Serializable {
       .setRegParam(regParam)
       .setStepSize(stepSize)
       .setMiniBatchFraction(miniBatchFraction)
+      .setConvergenceTol(convergenceTol)
     trainRegressionModel(
       ridgeAlg,
       data,
@@ -212,7 +218,8 @@ private[python] class PythonMLLibAPI extends Serializable {
       initialWeights: Vector,
       regType: String,
       intercept: Boolean,
-      validateData: Boolean): JList[Object] = {
+      validateData: Boolean,
+      convergenceTol: Double): JList[Object] = {
     val SVMAlg = new SVMWithSGD()
     SVMAlg.setIntercept(intercept)
       .setValidateData(validateData)
@@ -221,6 +228,7 @@ private[python] class PythonMLLibAPI extends Serializable {
       .setRegParam(regParam)
       .setStepSize(stepSize)
       .setMiniBatchFraction(miniBatchFraction)
+      .setConvergenceTol(convergenceTol)
     SVMAlg.optimizer.setUpdater(getUpdaterFromString(regType))
     trainRegressionModel(
       SVMAlg,
@@ -240,7 +248,8 @@ private[python] class PythonMLLibAPI extends Serializable {
       regParam: Double,
       regType: String,
       intercept: Boolean,
-      validateData: Boolean): JList[Object] = {
+      validateData: Boolean,
+      convergenceTol: Double): JList[Object] = {
     val LogRegAlg = new LogisticRegressionWithSGD()
     LogRegAlg.setIntercept(intercept)
       .setValidateData(validateData)
@@ -249,6 +258,7 @@ private[python] class PythonMLLibAPI extends Serializable {
       .setRegParam(regParam)
       .setStepSize(stepSize)
       .setMiniBatchFraction(miniBatchFraction)
+      .setConvergenceTol(convergenceTol)
     LogRegAlg.optimizer.setUpdater(getUpdaterFromString(regType))
     trainRegressionModel(
       LogRegAlg,

python/pyspark/mllib/classification.py

@@ -241,7 +241,7 @@ class LogisticRegressionWithSGD(object):
     @classmethod
     def train(cls, data, iterations=100, step=1.0, miniBatchFraction=1.0,
               initialWeights=None, regParam=0.01, regType="l2", intercept=False,
-              validateData=True):
+              validateData=True, convergenceTol=0.001):
         """
         Train a logistic regression model on the given data.
 
@@ -274,11 +274,13 @@ class LogisticRegressionWithSGD(object):
         :param validateData:      Boolean parameter which indicates if
                                   the algorithm should validate data
                                   before training. (default: True)
+        :param convergenceTol:    A condition which decides iteration termination.
+                                  (default: 0.001)
         """
         def train(rdd, i):
             return callMLlibFunc("trainLogisticRegressionModelWithSGD", rdd, int(iterations),
                                  float(step), float(miniBatchFraction), i, float(regParam), regType,
-                                 bool(intercept), bool(validateData))
+                                 bool(intercept), bool(validateData), float(convergenceTol))
 
         return _regression_train_wrapper(train, LogisticRegressionModel, data, initialWeights)
 
@@ -439,7 +441,7 @@ class SVMWithSGD(object):
     @classmethod
     def train(cls, data, iterations=100, step=1.0, regParam=0.01,
               miniBatchFraction=1.0, initialWeights=None, regType="l2",
-              intercept=False, validateData=True):
+              intercept=False, validateData=True, convergenceTol=0.001):
         """
         Train a support vector machine on the given data.
 
@@ -472,11 +474,13 @@ class SVMWithSGD(object):
         :param validateData:      Boolean parameter which indicates if
                                   the algorithm should validate data
                                   before training. (default: True)
+        :param convergenceTol:    A condition which decides iteration termination.
+                                  (default: 0.001)
         """
         def train(rdd, i):
             return callMLlibFunc("trainSVMModelWithSGD", rdd, int(iterations), float(step),
                                  float(regParam), float(miniBatchFraction), i, regType,
-                                 bool(intercept), bool(validateData))
+                                 bool(intercept), bool(validateData), float(convergenceTol))
 
         return _regression_train_wrapper(train, SVMModel, data, initialWeights)
 
@@ -600,12 +604,15 @@ class StreamingLogisticRegressionWithSGD(StreamingLinearAlgorithm):
     :param miniBatchFraction: Fraction of data on which SGD is run for each
                               iteration.
     :param regParam: L2 Regularization parameter.
+    :param convergenceTol: A condition which decides iteration termination.
     """
-    def __init__(self, stepSize=0.1, numIterations=50, miniBatchFraction=1.0, regParam=0.01):
+    def __init__(self, stepSize=0.1, numIterations=50, miniBatchFraction=1.0, regParam=0.01,
+                 convergenceTol=0.001):
         self.stepSize = stepSize
         self.numIterations = numIterations
         self.regParam = regParam
         self.miniBatchFraction = miniBatchFraction
+        self.convergenceTol = convergenceTol
         self._model = None
         super(StreamingLogisticRegressionWithSGD, self).__init__(
             model=self._model)

python/pyspark/mllib/regression.py

@@ -28,7 +28,8 @@ __all__ = ['LabeledPoint', 'LinearModel',
            'LinearRegressionModel', 'LinearRegressionWithSGD',
            'RidgeRegressionModel', 'RidgeRegressionWithSGD',
            'LassoModel', 'LassoWithSGD', 'IsotonicRegressionModel',
-           'IsotonicRegression']
+           'IsotonicRegression', 'StreamingLinearAlgorithm',
+           'StreamingLinearRegressionWithSGD']
 
 
 class LabeledPoint(object):
@@ -202,7 +203,7 @@ class LinearRegressionWithSGD(object):
     @classmethod
     def train(cls, data, iterations=100, step=1.0, miniBatchFraction=1.0,
               initialWeights=None, regParam=0.0, regType=None, intercept=False,
-              validateData=True):
+              validateData=True, convergenceTol=0.001):
         """
         Train a linear regression model using Stochastic Gradient
         Descent (SGD).
@@ -244,11 +245,14 @@ class LinearRegressionWithSGD(object):
         :param validateData:      Boolean parameter which indicates if
                                   the algorithm should validate data
                                   before training. (default: True)
+        :param convergenceTol:    A condition which decides iteration termination.
+                                  (default: 0.001)
         """
         def train(rdd, i):
             return callMLlibFunc("trainLinearRegressionModelWithSGD", rdd, int(iterations),
                                  float(step), float(miniBatchFraction), i, float(regParam),
-                                 regType, bool(intercept), bool(validateData))
+                                 regType, bool(intercept), bool(validateData),
+                                 float(convergenceTol))
 
         return _regression_train_wrapper(train, LinearRegressionModel, data, initialWeights)
 
@@ -330,7 +334,7 @@ class LassoWithSGD(object):
     @classmethod
     def train(cls, data, iterations=100, step=1.0, regParam=0.01,
               miniBatchFraction=1.0, initialWeights=None, intercept=False,
-              validateData=True):
+              validateData=True, convergenceTol=0.001):
         """
         Train a regression model with L1-regularization using
         Stochastic Gradient Descent.
@@ -362,11 +366,13 @@ class LassoWithSGD(object):
         :param validateData:      Boolean parameter which indicates if
                                   the algorithm should validate data
                                   before training. (default: True)
+        :param convergenceTol:    A condition which decides iteration termination.
+                                  (default: 0.001)
         """
         def train(rdd, i):
             return callMLlibFunc("trainLassoModelWithSGD", rdd, int(iterations), float(step),
                                  float(regParam), float(miniBatchFraction), i, bool(intercept),
-                                 bool(validateData))
+                                 bool(validateData), float(convergenceTol))
 
         return _regression_train_wrapper(train, LassoModel, data, initialWeights)
 
@@ -449,7 +455,7 @@ class RidgeRegressionWithSGD(object):
     @classmethod
     def train(cls, data, iterations=100, step=1.0, regParam=0.01,
               miniBatchFraction=1.0, initialWeights=None, intercept=False,
-              validateData=True):
+              validateData=True, convergenceTol=0.001):
         """
         Train a regression model with L2-regularization using
         Stochastic Gradient Descent.
@@ -481,11 +487,13 @@ class RidgeRegressionWithSGD(object):
         :param validateData:      Boolean parameter which indicates if
                                   the algorithm should validate data
                                   before training. (default: True)
+        :param convergenceTol:    A condition which decides iteration termination.
+                                  (default: 0.001)
         """
         def train(rdd, i):
             return callMLlibFunc("trainRidgeModelWithSGD", rdd, int(iterations), float(step),
                                  float(regParam), float(miniBatchFraction), i, bool(intercept),
-                                 bool(validateData))
+                                 bool(validateData), float(convergenceTol))
 
         return _regression_train_wrapper(train, RidgeRegressionModel, data, initialWeights)
 
@@ -636,15 +644,17 @@ class StreamingLinearRegressionWithSGD(StreamingLinearAlgorithm):
     After training on a batch of data, the weights obtained at the end of
     training are used as initial weights for the next batch.
 
-    :param: stepSize Step size for each iteration of gradient descent.
-    :param: numIterations Total number of iterations run.
-    :param: miniBatchFraction Fraction of data on which SGD is run for each
+    :param stepSize: Step size for each iteration of gradient descent.
+    :param numIterations: Total number of iterations run.
+    :param miniBatchFraction: Fraction of data on which SGD is run for each
                               iteration.
+    :param convergenceTol: A condition which decides iteration termination.
     """
-    def __init__(self, stepSize=0.1, numIterations=50, miniBatchFraction=1.0):
+    def __init__(self, stepSize=0.1, numIterations=50, miniBatchFraction=1.0, convergenceTol=0.001):
         self.stepSize = stepSize
         self.numIterations = numIterations
         self.miniBatchFraction = miniBatchFraction
+        self.convergenceTol = convergenceTol
         self._model = None
         super(StreamingLinearRegressionWithSGD, self).__init__(
             model=self._model)