[SPARK-21285][ML] VectorAssembler reports the column name of unsupported data type

## What changes were proposed in this pull request?
add the column name in the exception which is raised by unsupported data type.

## How was this patch tested?
+ [x] pass all tests.

Author: Yan Facai (颜发才) <facai.yan@gmail.com>

Closes #18523 from facaiy/ENH/vectorassembler_add_col.

mllib/src/main/scala/org/apache/spark/ml/feature/VectorAssembler.scala

@@ -113,12 +113,15 @@ class VectorAssembler @Since("1.4.0") (@Since("1.4.0") override val uid: String)
   override def transformSchema(schema: StructType): StructType = {
     val inputColNames = $(inputCols)
     val outputColName = $(outputCol)
-    val inputDataTypes = inputColNames.map(name => schema(name).dataType)
-    inputDataTypes.foreach {
-      case _: NumericType | BooleanType =>
-      case t if t.isInstanceOf[VectorUDT] =>
-      case other =>
-        throw new IllegalArgumentException(s"Data type $other is not supported.")
+    val incorrectColumns = inputColNames.flatMap { name =>
+      schema(name).dataType match {
+        case _: NumericType | BooleanType => None
+        case t if t.isInstanceOf[VectorUDT] => None
+        case other => Some(s"Data type $other of column $name is not supported.")
+      }
+    }
+    if (incorrectColumns.nonEmpty) {
+      throw new IllegalArgumentException(incorrectColumns.mkString("\n"))
     }
     if (schema.fieldNames.contains(outputColName)) {
       throw new IllegalArgumentException(s"Output column $outputColName already exists.")

mllib/src/test/scala/org/apache/spark/ml/feature/VectorAssemblerSuite.scala

@@ -79,7 +79,10 @@ class VectorAssemblerSuite
     val thrown = intercept[IllegalArgumentException] {
       assembler.transform(df)
     }
-    assert(thrown.getMessage contains "Data type StringType is not supported")
+    assert(thrown.getMessage contains
+      "Data type StringType of column a is not supported.\n" +
+      "Data type StringType of column b is not supported.\n" +
+      "Data type StringType of column c is not supported.")
   }
 
   test("ML attributes") {