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https://issues.apache.org/jira/browse/SPARK-2505?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Xiangrui Meng updated SPARK-2505:
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Fix Version/s: (was: 1.2.0)
> Weighted Regularizer
> --------------------
>
> Key: SPARK-2505
> URL: https://issues.apache.org/jira/browse/SPARK-2505
> Project: Spark
> Issue Type: New Feature
> Components: MLlib
> Reporter: DB Tsai
>
> The current implementation of regularization in linear model is using
> `Updater`, and this design has couple issues as the following.
> 1) It will penalize all the weights including intercept. In machine learning
> training process, typically, people don't penalize the intercept.
> 2) The `Updater` has the logic of adaptive step size for gradient decent, and
> we would like to clean it up by separating the logic of regularization out
> from updater to regularizer so in LBFGS optimizer, we don't need the trick
> for getting the loss and gradient of objective function.
> In this work, a weighted regularizer will be implemented, and users can
> exclude the intercept or any weight from regularization by setting that term
> with zero weighted penalty. Since the regularizer will return a tuple of loss
> and gradient, the adaptive step size logic, and soft thresholding for L1 in
> Updater will be moved to SGD optimizer.
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