Github user srowen commented on a diff in the pull request: https://github.com/apache/spark/pull/16344#discussion_r93215688 --- Diff: mllib/src/main/scala/org/apache/spark/ml/regression/GeneralizedLinearRegression.scala --- @@ -592,6 +629,59 @@ object GeneralizedLinearRegression extends DefaultParamsReadable[GeneralizedLine } /** + * Tweedie exponential family distribution. + * The default link for the Tweedie family is the log link. + */ + private[regression] object Tweedie extends Family("tweedie") { + + val defaultLink: Link = Log + + var variancePower: Double = 1.5 + + override def initialize(y: Double, weight: Double): Double = { + if (variancePower > 1.0 && variancePower < 2.0) { + require(y >= 0.0, "The response variable of the specified Tweedie distribution " + + s"should be non-negative, but got $y") + math.max(y, 0.1) + } else { + require(y > 0.0, "The response variable of the specified Tweedie distribution " + + s"should be non-negative, but got $y") + y + } + } + + override def variance(mu: Double): Double = math.pow(mu, variancePower) + + private def yp(y: Double, mu: Double, p: Double): Double = { + (math.pow(y, p) - math.pow(mu, p)) / p + } + + // Force y >= 0.1 for deviance to work for (1 - variancePower). see tweedie()$dev.resid + override def deviance(y: Double, mu: Double, weight: Double): Double = { + 2.0 * weight * + (y * yp(math.max(y, 0.1), mu, 1.0 - variancePower) - yp(y, mu, 2.0 - variancePower)) + } + + // This depends on the density of the tweedie distribution. Not yet implemented. + override def aic( + predictions: RDD[(Double, Double, Double)], + deviance: Double, + numInstances: Double, + weightSum: Double): Double = { + 0.0 --- End diff -- Throw a UnsupportedOperationException?
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