Yanbo Liang created SPARK-17824:
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Summary: QR solver for WeightedLeastSquare
Key: SPARK-17824
URL: https://issues.apache.org/jira/browse/SPARK-17824
Project: Spark
Issue Type: New Feature
Components: ML
Reporter: Yanbo Liang
Assignee: Yanbo Liang
Cholesky decomposition is unstable (for near-singular and rank deficient
matrices), it was often used when matrix A is very large and sparse due to
faster calculation. QR decomposition has better numerical properties than
Cholesky. Spark MLlib WeightedLeastSquares use Cholesky decomposition to solve
normal equation currently, we should also support or move to QR solver for
better stability.
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