Github user mengxr commented on a diff in the pull request:

    https://github.com/apache/spark/pull/1624#discussion_r15623329
  
    --- Diff: python/pyspark/mllib/regression.py ---
    @@ -109,18 +109,27 @@ class 
LinearRegressionModel(LinearRegressionModelBase):
         True
         """
     
    -
     class LinearRegressionWithSGD(object):
         @classmethod
    -    def train(cls, data, iterations=100, step=1.0,
    -              miniBatchFraction=1.0, initialWeights=None):
    -        """Train a linear regression model on the given data."""
    +    def train(cls, data, iterations=100, step=1.0, regParam=1.0, 
regType=None,
    +              intercept=False, miniBatchFraction=1.0, initialWeights=None):
    +        """Train a linear regression model on the given data. The 
'regType' parameter can take
    +           one from the following string values: "L1Updater" for invoking 
the lasso regularizer,
    +           "SquaredUpdater" for invoking the ridge regularizer or "NONE" 
for not using a
    +           regularizer at all. The user can determine the regularizer 
parameter by setting the
    +           appropriate value to variable 'regParam' (by default is set to 
1.0)."""
             sc = data.context
    -        train_f = lambda d, i: 
sc._jvm.PythonMLLibAPI().trainLinearRegressionModelWithSGD(
    -            d._jrdd, iterations, step, miniBatchFraction, i)
    +        if regType is None:
    +            train_f = lambda d, i: 
sc._jvm.PythonMLLibAPI().trainLinearRegressionModelWithSGD(
    +                d._jrdd, iterations, step, regParam, "NONE", intercept, 
miniBatchFraction, i)
    +        elif regType == "SquaredUpdater" or regType == "L1Updater" or 
regType == "NONE":
    --- End diff --
    
    You can change it to `l2`, `l1`, and `none` (simpler and lowercases)


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