Github user mengxr commented on a diff in the pull request:
https://github.com/apache/spark/pull/10639#discussion_r50801341
--- Diff:
mllib/src/main/scala/org/apache/spark/ml/optim/IterativelyReweightedLeastSquares.scala
---
@@ -0,0 +1,100 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.ml.optim
+
+import org.apache.spark.Logging
+import org.apache.spark.ml.feature.Instance
+import org.apache.spark.mllib.linalg._
+import org.apache.spark.rdd.RDD
+
+/**
+ * Model fitted by [[IterativelyReweightedLeastSquares]].
+ * @param coefficients model coefficients
+ * @param intercept model intercept
+ */
+private[ml] class IterativelyReweightedLeastSquaresModel(
+ val coefficients: DenseVector,
+ val intercept: Double) extends Serializable
+
+/**
+ * Implements the method of iteratively reweighted least squares (IRLS)
which is used to solve
+ * certain optimization problems by an iterative method. In each step of
the iterations, it
+ * involves solving a weighted lease squares (WLS) problem by
[[WeightedLeastSquares]].
+ * It can be used to find maximum likelihood estimates of a generalized
linear model (GLM),
+ * find M-estimator in robust regression and other optimization problems.
--- End diff --
It would be good to provide a reference about IRLS. The IRLS page on
Wikipedia is specialized for Lp regression. I would recommend Green's paper as
a reference: http://www.jstor.org/stable/2345503
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