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From Weichen Xu <weichen...@databricks.com>
Subject Re: [MLLib] Logistic Regression and standadization
Date Tue, 17 Apr 2018 09:40:05 GMT
Not a bug.

When disabling standadization, mllib LR will still do standadization for
features, but it will scale the coefficients back at the end (after
training finished). So it will get the same result with no standadization
training. The purpose of it is to improve the rate of convergence. So the
result should be always exactly the same with R's glmnet, no matter enable
or disable standadization.

Thanks!

On Sat, Apr 14, 2018 at 2:21 AM, Yanbo Liang <ybliang8@gmail.com> wrote:

> Hi Filipp,
>
> MLlib’s LR implementation did the same way as R’s glmnet for
> standardization.
> Actually you don’t need to care about the implementation detail, as the
> coefficients are always returned on the original scale, so it should be
> return the same result as other popular ML libraries.
> Could you point me where glmnet doesn’t scale features?
> I suspect other issues cause your prediction quality dropped. If you can
> share the code and data, I can help to check it.
>
> Thanks
> Yanbo
>
>
> On Apr 8, 2018, at 1:09 PM, Filipp Zhinkin <filipp.zhinkin@gmail.com>
> wrote:
>
> Hi all,
>
> While migrating from custom LR implementation to MLLib's LR implementation
> my colleagues noticed that prediction quality dropped (accoring to
> different business metrics).
> It's turned out that this issue caused by features standardization
> perfomed by MLLib's LR: disregard to 'standardization' option's value all
> features are scaled during loss and gradient computation (as well as in few
> other places): https://github.com/apache/spark/blob/
> 6cc7021a40b64c41a51f337ec4be9545a25e838c/mllib/src/main/
> scala/org/apache/spark/ml/optim/aggregator/LogisticAggregator.scala#L229
>
> According to comments in the code, standardization should be implemented
> the same way it was implementes in R's glmnet package. I've looked through
> corresponding Fortran code, an it seems like glmnet don't scale features
> when you're disabling standardisation (but MLLib still does).
>
> Our models contains multiple one-hot encoded features and scaling them is
> a pretty bad idea.
>
> Why MLLib's LR always scale all features? From my POV it's a bug.
>
> Thanks in advance,
> Filipp.
>
>
>

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