Github user srowen commented on a diff in the pull request:
https://github.com/apache/spark/pull/7361#discussion_r34448778
--- Diff:
mllib/src/main/scala/org/apache/spark/mllib/evaluation/RegressionMetrics.scala
---
@@ -53,14 +53,21 @@ class RegressionMetrics(predictionAndObservations:
RDD[(Double, Double)]) extend
)
summary
}
+ private lazy val SSerr = math.pow(summary.normL2(1), 2)
+ private lazy val SStot = summary.variance(0) * (summary.count - 1)
+ private lazy val SSreg = {
+ val yMean = summary.mean(0)
+ predictionAndObservations.map {
+ case (prediction, _) => math.pow(prediction - yMean, 2)
+ }.reduce(_ + _)
+ }
/**
- * Returns the explained variance regression score.
- * explainedVariance = 1 - variance(y - \hat{y}) / variance(y)
- * Reference: [[http://en.wikipedia.org/wiki/Explained_variation]]
+ * Returns the variance explained by regression.
+ * @see
[[https://en.wikipedia.org/wiki/Fraction_of_variance_unexplained]]
*/
def explainedVariance: Double = {
- 1 - summary.variance(1) / summary.variance(0)
+ SSreg / summary.count
--- End diff --
Before this was really _fraction_ of variance unexplained, and that's what
your new reference says, but then shouldn't this be `SSreg / SStot`?
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