Github user tgaloppo commented on a diff in the pull request:
https://github.com/apache/spark/pull/3923#discussion_r22628165
--- Diff:
mllib/src/main/scala/org/apache/spark/mllib/stat/impl/MultivariateGaussian.scala
---
@@ -91,7 +127,7 @@ private[mllib] class MultivariateGaussian(
// by inverting the square root of all non-zero values
val pinvS = diag(new DBV(d.map(v => if (v > tol) math.sqrt(1.0 / v)
else 0.0).toArray))
- (pinvS * u, math.pow(2.0 * math.Pi, -mu.length / 2.0) *
math.pow(pdetSigma, -0.5))
+ (pinvS * u, math.log(math.pow(2.0 * math.Pi, -mu.length / 2.0) *
math.pow(pdetSigma, -0.5)))
--- End diff --
Calculating log(pdetSigma) that way will incur a performance penalty
(calling log for each singular value), but it is probably more numerically
stable.
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