Implementing a Sparse Logistic Regression Algorithm in Apache Spark

This talk tells the story of implementation and optimization of a sparse logistic regression algorithm in spark. I would like to share the lessons I learned and the steps I had to take to improve the speed of execution and convergence of my initial naive implementation. The message isn’t to convince the audience that logistic regression is great and my implementation is awesome, rather it will give details about how it works under the hood, and general tips for implementing an iterative parallel machine learning algorithm in spark. The talk is structured as a sequence of “lessons learned” that are shown in form of code examples building on the initial naive implementation. The performance impact of each “lesson” on execution time and speed of convergence is measured on benchmark datasets. You will see how to formulate logistic regression in a parallel setting, how to avoid data shuffles, when to use a custom partitioner, how to use the ‘aggregate’ and ‘treeAggregate’ functions, how momentum can accelerate the convergence of gradient descent, and much more. I will assume basic understanding of machine learning and some prior knowledge of spark. The code examples are written in scala, and the code will be made available for each step in the walkthrough. Lorand is a data scientist working on risk management and fraud prevention for the payment processing system of Zalando, the leading fashion platform in Europe. Previously, Lorand has developed highly scalable low-latency machine learning algorithms for real-time bidding in online advertising.