Description
Note: this is a transcription from the docs section on ideas for contributors.
While scikit-learn-intelex uses the normal-equations method for linear regression, oneDAL also offers a QR-based algorithm, but this algorithm only works for inputs that have more rows than columns and no linear dependencies nor constant columns. It would be ideal to make this algorithm also support non-full-rank inputs by outputting the minimum-norm solution just like in the normal-equations method.
In theory, the QR algorithm's result could be post-processed to discard columns with linear dependencies and end up with a solution where some coefficients are undefined (e.g. as done by the R software), but in order to match the behavior of the normal-equations method (i.e. produce the minimum-norm solution, rather than the minimum-rank solution), a better alternative could be to fall back to spectral decomposition done through singular value decomposition on the original matrix
The idea would be to implement a fallback mechanism that would first try out QR, and if that fails, then resort to SVD instead. Perhaps even the GELSD routine in LAPACK could be used directly. Note that QR will invariably fail when there are more columns than rows, so in such case it should go for SVD-based procedures directly.