Details
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Bug
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Status: Resolved
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Major
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Resolution: Fixed
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2.4.5, 3.0.0
Description
I have written up a fairly detailed gist that includes code to reproduce the bug, as well as the output of the code and some commentary:
https://gist.github.com/ykerzhner/51358780a6a4cc33266515f17bf98a96
To summarize: under certain conditions, the minimization that fits a binary logistic regression contains a bug that pulls the intercept value towards the log(odds) of the target data. This is mathematically only correct when the data comes from distributions with zero means. In general, this gives incorrect intercept values, and consequently incorrect coefficients as well.
As I am not so familiar with the spark code base, I have not been able to find this bug within the spark code itself. A hint to this bug is here:
https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/ml/classification/LogisticRegression.scala#L894-L904
based on the code, I don't believe that the features have zero means at this point, and so this heuristic is incorrect. But an incorrect starting point does not explain this bug. The minimizer should drift to the correct place. I was not able to find the code of the actual objective function that is being minimized.
