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The goal of this PR is to have a weighted least squares implementation that takes the normal equation approach, and hence to be able to provide R-like summary statistics and support IRLS (used by GLMs). The tests match R's lm and glmnet. There are couple TODOs that can be addressed in future PRs: * consolidate summary statistics aggregators * move `dspr` to `BLAS` * etc It would be nice to have this merged first because it blocks couple other features. dbtsai Author: Xiangrui Meng <meng@databricks.com> Closes #8588 from mengxr/SPARK-9834. |
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