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From "Miao Wang (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (SPARK-14898) MultivariateGaussian could use Cholesky in calculateCovarianceConstants
Date Fri, 29 Apr 2016 21:33:13 GMT

    [ https://issues.apache.org/jira/browse/SPARK-14898?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=15264794#comment-15264794
] 

Miao Wang commented on SPARK-14898:
-----------------------------------

As I finished SPARK-14434, I will work on this too.

Thanks!

Miao

> MultivariateGaussian could use Cholesky in calculateCovarianceConstants
> -----------------------------------------------------------------------
>
>                 Key: SPARK-14898
>                 URL: https://issues.apache.org/jira/browse/SPARK-14898
>             Project: Spark
>          Issue Type: Improvement
>          Components: ML
>            Reporter: Joseph K. Bradley
>            Priority: Minor
>
> In spark.ml.stat.distribution.MultivariateGaussian, calculateCovarianceConstants uses
SVD.  It might be more efficient to use Cholesky.  We should check other numerical libraries
and see if we should switch to Cholesky.



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