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  1. Spark
  2. SPARK-3181

Add Robust Regression Algorithm with Huber Estimator

    Details

    • Type: New Feature
    • Status: Resolved
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 2.2.0
    • Fix Version/s: 2.3.0
    • Component/s: ML
    • Labels:
    • Target Version/s:

      Description

      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 square.

      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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              • Assignee:
                yanboliang Yanbo Liang
                Reporter:
                fjiang6 Fan Jiang
                Shepherd:
                DB Tsai
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                • Created:
                  Updated:
                  Resolved: