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From "Patrick Wendell (JIRA)" <>
Subject [jira] [Commented] (SPARK-3181) Add Robust Regression Algorithm with Huber Estimator
Date Thu, 04 Sep 2014 00:11:51 GMT


Patrick Wendell commented on SPARK-3181:

Hey [~fjiang6] please don't set the fix version on an issue until it is actually merged. Also,
in general this field set by the committers and not contributors.

> Add Robust Regression Algorithm with Huber Estimator
> ----------------------------------------------------
>                 Key: SPARK-3181
>                 URL:
>             Project: Spark
>          Issue Type: New Feature
>          Components: MLlib
>    Affects Versions: 1.0.2
>            Reporter: Fan Jiang
>            Priority: Critical
>              Labels: features
>   Original Estimate: 0h
>  Remaining Estimate: 0h
> Linear least square estimates assume the error has normal distribution and can behave
badly when the errors are heavy-tailed. In practical we get various types of data. We need
to include Robust Regression  to employ a fitting criterion that is not as vulnerable as least
> In 1973, Huber introduced M-estimation for regression which stands for "maximum likelihood
type". The method is resistant to outliers in the response variable and has been widely used.
> The new feature for MLlib will contain 3 new files
> /main/scala/org/apache/spark/mllib/regression/RobustRegression.scala
> /test/scala/org/apache/spark/mllib/regression/RobustRegressionSuite.scala
> /main/scala/org/apache/spark/examples/mllib/HuberRobustRegression.scala
> and one new class HuberRobustGradient in 
> /main/scala/org/apache/spark/mllib/optimization/Gradient.scala

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