[SPARK-13777] [ML] Remove constant features from training in normal solver (WLS)

mllib/src/main/scala/org/apache/spark/ml/optim/WeightedLeastSquares.scala

@@ -80,23 +80,16 @@ private[ml] class WeightedLeastSquares(
     val summary = instances.treeAggregate(new Aggregator)(_.add(_), _.merge(_))
     summary.validate()
     logInfo(s"Number of instances: ${summary.count}.")
-    val k = if (fitIntercept) summary.k + 1 else summary.k
-    val triK = summary.triK
     val wSum = summary.wSum
     val bBar = summary.bBar
     val bStd = summary.bStd
-    val aBar = summary.aBar
-    val aVar = summary.aVar
-    val abBar = summary.abBar
-    val aaBar = summary.aaBar
-    val aaValues = aaBar.values
 
     if (bStd == 0) {
       if (fitIntercept) {
         logWarning(s"The standard deviation of the label is zero, so the coefficients will be " +
           s"zeros and the intercept will be the mean of the label; as a result, " +
           s"training is not needed.")
-        val coefficients = new DenseVector(Array.ofDim(k-1))
+        val coefficients = new DenseVector(Array.ofDim(summary.k))
         val intercept = bBar
         val diagInvAtWA = new DenseVector(Array(0D))
         return new WeightedLeastSquaresModel(coefficients, intercept, diagInvAtWA)
@@ -108,6 +101,57 @@ private[ml] class WeightedLeastSquares(
           "Consider setting fitIntercept=true.")
       }
     }
+    /*
+     * If more than one of the features in the data are constant (i.e. data matrix has constant
+     * columns), then A^T.A is no longer positive definite and Cholesky decomposition fails
+     * (because the normal equation does not have a solution).
+     * In order to find a solution, we need to drop constant columns from the data matrix. Or,
+     * we can drop corresponding column and row from A^T.A matrix.
+     * Once we drop rows/columns from A^T.A matrix, the Cholesky decomposition will produce
+     * correct coefficients. But, for the final result, we need to add zeros to the list of
+     * coefficients corresponding to the constant features.
+     */
+    val aVarRaw = summary.aVar.values
+    // this will keep track of features to keep in the model, and remove
+    // features with zero variance.
+    val nzVarIndex = aVarRaw.zipWithIndex.filter(_._1 != 0).map(_._2)
+    val nz = nzVarIndex.length
+    // if there are features with zero variance, then ATA is not positive definite, and we need to
+    // keep track of that.
+    val singular = summary.k > nz
+    val k = if (fitIntercept) nz + 1 else nz
+    val triK = nz * (nz + 1) / 2
+
+    val aVar = if (singular) {
+      for (i <- nzVarIndex) yield aVarRaw(i)
+    } else {
+      aVarRaw
+    }
+    val aBar = if (singular) {
+      val aBarTemp = summary.aBar.values
+      for (i <- nzVarIndex) yield aBarTemp(i)
+    } else {
+      summary.aBar.values
+    }
+    val abBar = if (singular) {
+      val abBarTemp = summary.abBar.values
+      for (i <- nzVarIndex) yield {abBarTemp(i)}
+    } else {
+      summary.abBar.values
+    }
+    // NOTE: aaBar represents upper triangular part of A^T.A matrix in column major order.
+    // We need to drop columns and rows from A^T.A corresponding to the features which have
+    // zero variance. The following logic removes elements from aaBar corresponding to zerp
+    // variance which effectively removes columns and rows from A^T.A.
+    val aaBar = if (singular) {
+      val aaBarTemp = summary.aaBar.values
+      (for { col <- 0 until summary.k
+             row <- 0 to col
+             if aVarRaw(col) != 0 && aVarRaw(row) != 0 } yield
+        aaBarTemp(row + col * (col + 1) / 2)).toArray
+    } else {
+      summary.aaBar.values
+    }
 
     // add regularization to diagonals
     var i = 0
@@ -120,34 +164,47 @@ private[ml] class WeightedLeastSquares(
       if (standardizeLabel && bStd != 0) {
         lambda /= bStd
       }
-      aaValues(i) += lambda
+      aaBar(i) += lambda
       i += j
       j += 1
     }
 
     val aa = if (fitIntercept) {
-      Array.concat(aaBar.values, aBar.values, Array(1.0))
+      Array.concat(aaBar, aBar, Array(1.0))
     } else {
-      aaBar.values
+      aaBar
     }
     val ab = if (fitIntercept) {
-      Array.concat(abBar.values, Array(bBar))
+      Array.concat(abBar, Array(bBar))
     } else {
-      abBar.values
+      abBar
     }
 
     val x = CholeskyDecomposition.solve(aa, ab)
-
+    val (coefs, intercept) = if (fitIntercept) {
+      (x.init, x.last)
+    } else {
+      (x, 0.0)
+    }
     val aaInv = CholeskyDecomposition.inverse(aa, k)
-
     // aaInv is a packed upper triangular matrix, here we get all elements on diagonal
-    val diagInvAtWA = new DenseVector((1 to k).map { i =>
-      aaInv(i + (i - 1) * i / 2 - 1) / wSum }.toArray)
+    val aaInvDiag = (1 to k).map { i =>
+      aaInv(i + (i - 1) * i / 2 - 1) / wSum }.toArray
 
-    val (coefficients, intercept) = if (fitIntercept) {
-      (new DenseVector(x.slice(0, x.length - 1)), x.last)
+    val (coefficients, diagInvAtWA) = if (singular) {
+      // if there are constant features in the data, we need to add zeros for the coefficients
+      // for these features.
+      val coefTemp = Array.ofDim[Double](summary.k)
+      val diagTemp = Array.ofDim[Double](summary.k)
+      var i = 0
+      while (i < nz) {
+        coefTemp(nzVarIndex(i)) = coefs(i)
+        diagTemp(nzVarIndex(i)) = aaInvDiag(i)
+        i += 1
+      }
+      (new DenseVector(coefTemp), new DenseVector(diagTemp))
     } else {
-      (new DenseVector(x), 0.0)
+      (new DenseVector(coefs), new DenseVector(aaInvDiag))
     }
 
     new WeightedLeastSquaresModel(coefficients, intercept, diagInvAtWA)

mllib/src/test/scala/org/apache/spark/ml/regression/LinearRegressionSuite.scala

@@ -39,6 +39,7 @@ class LinearRegressionSuite
   @transient var datasetWithWeight: DataFrame = _
   @transient var datasetWithWeightConstantLabel: DataFrame = _
   @transient var datasetWithWeightZeroLabel: DataFrame = _
+  @transient var datasetWithWeightConstantFeatures: DataFrame = _
 
   /*
      In `LinearRegressionSuite`, we will make sure that the model trained by SparkML
@@ -117,6 +118,21 @@ class LinearRegressionSuite
         Instance(0.0, 3.0, Vectors.dense(2.0, 11.0)),
         Instance(0.0, 4.0, Vectors.dense(3.0, 13.0))
       ), 2))
+
+    /*
+       R code:
+       A <- matrix(c(0, 1, 2, 3, 9, 9, 9, 9, 5, 7, 11, 13, 6, 6, 6, 6), 4, 4)
+       b <- c(17, 19, 23, 29)
+       w <- c(1, 2, 3, 4)
+       df.const.feature <- as.data.frame(cbind(A, b))
+     */
+    datasetWithWeightConstantFeatures = sqlContext.createDataFrame(
+      sc.parallelize(Seq(
+        Instance(17.0, 1.0, Vectors.dense(0.0, 9.0, 5.0, 6.0)),
+        Instance(19.0, 2.0, Vectors.dense(1.0, 9.0, 7.0, 6.0)),
+        Instance(23.0, 3.0, Vectors.dense(2.0, 9.0, 11.0, 6.0)),
+        Instance(29.0, 4.0, Vectors.dense(3.0, 9.0, 13.0, 6.0))
+      ), 2))
   }
 
   test("params") {
@@ -622,6 +638,36 @@ class LinearRegressionSuite
     }
   }
 
+  test("linear regression model with constant features") {
+    /*
+      R code:
+      for (intercept in c(TRUE, FALSE)) {
+        model <- glmnet(A, b, weights=w, intercept=intercept, lambda=0, alpha=0,
+                        thresh=1E-20)
+        print(as.vector(coef(model)))
+      }
+      [1] 18.08  6.08  0.00 -0.60  0.00
+      [1]  0.000000 -3.727121  0.000000  3.009983  0.000000
+     */
+    val expected = Seq(
+      Vectors.dense(18.08, 6.08, 0.0, -0.60, 0.0),
+      Vectors.dense(0.0, -3.727121, 0.0, 3.009983, 0.0))
+    Seq("auto", "l-bfgs", "normal").foreach { solver =>
+      var idx = 0
+      for (fitIntercept <- Seq(true, false)) {
+        val model = new LinearRegression()
+          .setFitIntercept(fitIntercept)
+          .setWeightCol("weight")
+          .setSolver(solver)
+          .fit(datasetWithWeightConstantFeatures)
+        val actual = Vectors.dense(model.intercept, model.coefficients(0),
+          model.coefficients(1), model.coefficients(2), model.coefficients(3))
+        assert(actual ~== expected(idx) absTol 1e-4)
+        idx += 1
+      }
+    }
+  }
+
   test("regularized linear regression through origin with constant label") {
     // The problem is ill-defined if fitIntercept=false, regParam is non-zero.
     // An exception is thrown in this case.