Joseph K. Bradley created SPARK-7210:
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Summary: Test matrix decompositions for speed vs. numerical
stability for Gaussians
Key: SPARK-7210
URL: https://issues.apache.org/jira/browse/SPARK-7210
Project: Spark
Issue Type: Improvement
Components: MLlib
Reporter: Joseph K. Bradley
Priority: Minor
We currently use SVD for inverting the Gaussian's covariance matrix and
computing the determinant. SVD is numerically stable but slow. We could
experiment with Cholesky, etc. to figure out a better option, or a better
option for certain settings.
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