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

    https://github.com/apache/spark/pull/14858#discussion_r77320714
  
    --- Diff: 
mllib/src/main/scala/org/apache/spark/ml/feature/QuantileDiscretizer.scala ---
    @@ -114,10 +115,10 @@ final class QuantileDiscretizer @Since("1.6.0") 
(@Since("1.6.0") override val ui
         splits(0) = Double.NegativeInfinity
         splits(splits.length - 1) = Double.PositiveInfinity
     
    -    val distinctSplits = splits.distinct
    +    val distinctSplits = splits.filter(!_.isNaN).distinct
    --- End diff --
    
    Sure it could be faster, but it's also incorrect. We can't return a wrong 
answer here to save time. Do we disagree on the effect of including NaN when 
computing the quantiles?


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