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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-607) Current Multiple Regression Object does calculations with all data incore. There are non incore techniques which would be useful with large datasets.
Date Tue, 19 Jul 2011 21:46:58 GMT

    [ https://issues.apache.org/jira/browse/MATH-607?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13068001#comment-13068001
] 

Phil Steitz commented on MATH-607:
----------------------------------

Second Miller patch committed in r1148557, modified to meet coding standards, other than a)
missing javadoc and b) exceptions. 

> Current Multiple Regression Object does calculations with all data incore. There are
non incore techniques which would be useful with large datasets.
> -----------------------------------------------------------------------------------------------------------------------------------------------------
>
>                 Key: MATH-607
>                 URL: https://issues.apache.org/jira/browse/MATH-607
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 3.0
>         Environment: Java
>            Reporter: greg sterijevski
>              Labels: Gentleman's, QR, Regression, Updating, decomposition, lemma
>             Fix For: 3.0
>
>         Attachments: millerreg, millerregtest, regres_change1, updating_reg_cut2, updating_reg_ifaces
>
>   Original Estimate: 840h
>  Remaining Estimate: 840h
>
> The current multiple regression class does a QR decomposition on the complete data set.
This necessitates the loading incore of the complete dataset. For large datasets, or large
datasets and a requirement to do datamining or stepwise regression this is not practical.
There are techniques which form the normal equations on the fly, as well as ones which form
the QR decomposition on an update basis. I am proposing, first, the specification of an "UpdatingLinearRegression"
interface which defines basic functionality all such techniques must fulfill. 
> Related to this 'updating' regression, the results of running a regression on some subset
of the data should be encapsulated in an immutable object. This is to ensure that subsequent
additions of observations do not corrupt or render inconsistent parameter estimates. I am
calling this interface "RegressionResults".  
> Once the community has reached a consensus on the interface, work on the concrete implementation
of these techniques will take place.
> Thanks,
> -Greg

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