Adding the MlNetMklDeps package, adding the entry point, tests and docs for OLS.

build/Dependencies.props

@@ -8,5 +8,6 @@
     <SystemReflectionEmitLightweightPackageVersion>4.3.0</SystemReflectionEmitLightweightPackageVersion>
     <PublishSymbolsPackageVersion>1.0.0-beta-62824-02</PublishSymbolsPackageVersion>
     <LightGBMPackageVersion>2.1.2.2</LightGBMPackageVersion>
+    <MlNetMklDepsPackageVersion>0.0.0.1</MlNetMklDepsPackageVersion>
   </PropertyGroup>
 </Project>

src/Microsoft.ML.StandardLearners/Microsoft.ML.StandardLearners.csproj

@@ -11,6 +11,8 @@
     <ProjectReference Include="..\Microsoft.ML.CpuMath\Microsoft.ML.CpuMath.csproj" />
     <ProjectReference Include="..\Microsoft.ML.Data\Microsoft.ML.Data.csproj" />
     <ProjectReference Include="..\Microsoft.ML\Microsoft.ML.csproj" />
+
+	<PackageReference Include="MlNetMklDeps" Version="$(MlNetMklDepsPackageVersion)" />
   </ItemGroup>
 
 </Project>

src/Microsoft.ML.StandardLearners/Standard/OlsLinearRegression.cs

@@ -28,8 +28,11 @@
     "OLS Linear Regression Executor",
     OlsLinearRegressionPredictor.LoaderSignature)]
 
+[assembly: LoadableClass(typeof(void), typeof(OlsLinearRegressionTrainer), null, typeof(SignatureEntryPointModule), OlsLinearRegressionTrainer.LoadNameValue)]
+
 namespace Microsoft.ML.Runtime.Learners
 {
+    /// <include file='doc.xml' path='doc/members/member[@name="OLS"]/*' />
     public sealed class OlsLinearRegressionTrainer : TrainerBase<OlsLinearRegressionPredictor>
     {
         public sealed class Arguments : LearnerInputBaseWithWeight
@@ -51,11 +54,6 @@ public sealed class Arguments : LearnerInputBaseWithWeight
         public const string ShortName = "ols";
         internal const string Summary = "The ordinary least square regression fits the target function as a linear function of the numerical features "
             + "that minimizes the square loss function.";
-        internal const string Remarks = @"<remarks>
-<a href='https://en.wikipedia.org/wiki/Ordinary_least_squares'>Ordinary least squares (OLS)</a> is a parameterized regression method. 
-It assumes that the conditional mean of the dependent variable follows a linear function of the dependent variables.
-By minimizing the squares of the difference between observed values and the predictions, the parameters of the regressor can be estimated.
-</remarks>";
 
         private readonly Float _l2Weight;
         private readonly bool _perParameterSignificance;
@@ -463,6 +461,24 @@ public static void Pptri(Layout layout, UpLo uplo, int n, Double[] ap)
                 }
             }
         }
+
+        [TlcModule.EntryPoint(Name = "Trainers.OrdinaryLeastSquaresRegressor",
+            Desc = "Train an OLS regression model.",
+            UserName = UserNameValue,
+            ShortName = ShortName,
+            XmlInclude = new[] { @"<include file='../Microsoft.ML.StandardLearners/Standard/doc.xml' path='doc/members/member[@name=""OLS""]/*' />" })]
+        public static CommonOutputs.RegressionOutput TrainRegression(IHostEnvironment env, Arguments input)
+        {
+            Contracts.CheckValue(env, nameof(env));
+            var host = env.Register("TrainOLS");
+            host.CheckValue(input, nameof(input));
+            EntryPointUtils.CheckInputArgs(host, input);
+
+            return LearnerEntryPointsUtils.Train<Arguments, CommonOutputs.RegressionOutput>(host, input,
+                () => new OlsLinearRegressionTrainer(host, input),
+                () => LearnerEntryPointsUtils.FindColumn(host, input.TrainingData.Schema, input.LabelColumn),
+                () => LearnerEntryPointsUtils.FindColumn(host, input.TrainingData.Schema, input.WeightColumn));
+        }
     }
 
     /// <summary>

src/Microsoft.ML.StandardLearners/Standard/doc.xml

@@ -68,6 +68,27 @@
         </code>
       </example>
     </example>
+
+     <member name="OLS">
+      <summary>
+        Train an OLS regression model.
+      </summary>
+      <remarks>
+        <a href='https://en.wikipedia.org/wiki/Ordinary_least_squares'>Ordinary least squares (OLS)</a> is a parameterized regression method. 
+        It assumes that the conditional mean of the dependent variable follows a linear function of the dependent variables.
+        The parameters of the regressor can be estimated by minimizing the squares of the difference between observed values and the predictions.
+      </remarks>
+       <example>
+        <code language="csharp">
+          new OrdinaryLeastSquaresRegressor
+          {
+            L2Weight = 0.1,
+            PerParameterSignificance = false,
+            NormalizeFeatures  = Microsoft.ML.Models.NormalizeOption.Yes
+          }
+        </code>
+      </example>
+    </member>
 
   </members>
 </doc>

src/Microsoft.ML/CSharpApi.cs

@@ -754,6 +754,18 @@ public void Add(Microsoft.ML.Trainers.OnlineGradientDescentRegressor input, Micr
                 _jsonNodes.Add(Serialize("Trainers.OnlineGradientDescentRegressor", input, output));
             }
 
+            public Microsoft.ML.Trainers.OrdinaryLeastSquaresRegressor.Output Add(Microsoft.ML.Trainers.OrdinaryLeastSquaresRegressor input)
+            {
+                var output = new Microsoft.ML.Trainers.OrdinaryLeastSquaresRegressor.Output();
+                Add(input, output);
+                return output;
+            }
+
+            public void Add(Microsoft.ML.Trainers.OrdinaryLeastSquaresRegressor input, Microsoft.ML.Trainers.OrdinaryLeastSquaresRegressor.Output output)
+            {
+                _jsonNodes.Add(Serialize("Trainers.OrdinaryLeastSquaresRegressor", input, output));
+            }
+
             public Microsoft.ML.Trainers.PcaAnomalyDetector.Output Add(Microsoft.ML.Trainers.PcaAnomalyDetector input)
             {
                 var output = new Microsoft.ML.Trainers.PcaAnomalyDetector.Output();
@@ -8824,6 +8836,93 @@ public OnlineGradientDescentRegressorPipelineStep(Output output)
         }
     }
 
+    namespace Trainers
+    {
+
+        /// <include file='../Microsoft.ML.StandardLearners/Standard/doc.xml' path='doc/members/member[@name="OLS"]/*' />
+        public sealed partial class OrdinaryLeastSquaresRegressor : Microsoft.ML.Runtime.EntryPoints.CommonInputs.ITrainerInputWithWeight, Microsoft.ML.Runtime.EntryPoints.CommonInputs.ITrainerInputWithLabel, Microsoft.ML.Runtime.EntryPoints.CommonInputs.ITrainerInput, Microsoft.ML.ILearningPipelineItem
+        {
+
+
+            /// <summary>
+            /// L2 regularization weight
+            /// </summary>
+            [TlcModule.SweepableDiscreteParamAttribute("L2Weight", new object[]{1E-06f, 0.1f, 1f})]
+            public float L2Weight { get; set; } = 1E-06f;
+
+            /// <summary>
+            /// Whether to calculate per parameter significance statistics
+            /// </summary>
+            public bool PerParameterSignificance { get; set; } = true;
+
+            /// <summary>
+            /// Column to use for example weight
+            /// </summary>
+            public Microsoft.ML.Runtime.EntryPoints.Optional<string> WeightColumn { get; set; }
+
+            /// <summary>
+            /// Column to use for labels
+            /// </summary>
+            public string LabelColumn { get; set; } = "Label";
+
+            /// <summary>
+            /// The data to be used for training
+            /// </summary>
+            public Var<Microsoft.ML.Runtime.Data.IDataView> TrainingData { get; set; } = new Var<Microsoft.ML.Runtime.Data.IDataView>();
+
+            /// <summary>
+            /// Column to use for features
+            /// </summary>
+            public string FeatureColumn { get; set; } = "Features";
+
+            /// <summary>
+            /// Normalize option for the feature column
+            /// </summary>
+            public Microsoft.ML.Models.NormalizeOption NormalizeFeatures { get; set; } = Microsoft.ML.Models.NormalizeOption.Auto;
+
+            /// <summary>
+            /// Whether learner should cache input training data
+            /// </summary>
+            public Microsoft.ML.Models.CachingOptions Caching { get; set; } = Microsoft.ML.Models.CachingOptions.Auto;
+
+
+            public sealed class Output : Microsoft.ML.Runtime.EntryPoints.CommonOutputs.IRegressionOutput, Microsoft.ML.Runtime.EntryPoints.CommonOutputs.ITrainerOutput
+            {
+                /// <summary>
+                /// The trained model
+                /// </summary>
+                public Var<Microsoft.ML.Runtime.EntryPoints.IPredictorModel> PredictorModel { get; set; } = new Var<Microsoft.ML.Runtime.EntryPoints.IPredictorModel>();
+
+            }
+            public Var<IDataView> GetInputData() => TrainingData;
+
+            public ILearningPipelineStep ApplyStep(ILearningPipelineStep previousStep, Experiment experiment)
+            {
+                if (previousStep != null)
+                {
+                    if (!(previousStep is ILearningPipelineDataStep dataStep))
+                    {
+                        throw new InvalidOperationException($"{ nameof(OrdinaryLeastSquaresRegressor)} only supports an { nameof(ILearningPipelineDataStep)} as an input.");
+                    }
+
+                    TrainingData = dataStep.Data;
+                }
+                Output output = experiment.Add(this);
+                return new OrdinaryLeastSquaresRegressorPipelineStep(output);
+            }
+
+            private class OrdinaryLeastSquaresRegressorPipelineStep : ILearningPipelinePredictorStep
+            {
+                public OrdinaryLeastSquaresRegressorPipelineStep(Output output)
+                {
+                    Model = output.PredictorModel;
+                }
+
+                public Var<IPredictorModel> Model { get; }
+            }
+        }
+    }
+
     namespace Trainers
     {
 

test/BaselineOutput/Common/EntryPoints/core_ep-list.tsv

@@ -59,6 +59,7 @@ Trainers.LogisticRegressionBinaryClassifier	Logistic Regression is a method in s
 Trainers.LogisticRegressionClassifier	Logistic Regression is a method in statistics used to predict the probability of occurrence of an event and can be used as a classification algorithm. The algorithm predicts the probability of occurrence of an event by fitting data to a logistical function.	Microsoft.ML.Runtime.Learners.LogisticRegression	TrainMultiClass	Microsoft.ML.Runtime.Learners.MulticlassLogisticRegression+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+MulticlassClassificationOutput
 Trainers.NaiveBayesClassifier	Train a MultiClassNaiveBayesTrainer.	Microsoft.ML.Runtime.Learners.MultiClassNaiveBayesTrainer	TrainMultiClassNaiveBayesTrainer	Microsoft.ML.Runtime.Learners.MultiClassNaiveBayesTrainer+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+MulticlassClassificationOutput
 Trainers.OnlineGradientDescentRegressor	Train a Online gradient descent perceptron.	Microsoft.ML.Runtime.Learners.OnlineGradientDescentTrainer	TrainRegression	Microsoft.ML.Runtime.Learners.OnlineGradientDescentTrainer+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+RegressionOutput
+Trainers.OrdinaryLeastSquaresRegressor	Train an OLS regression model.	Microsoft.ML.Runtime.Learners.OlsLinearRegressionTrainer	TrainRegression	Microsoft.ML.Runtime.Learners.OlsLinearRegressionTrainer+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+RegressionOutput
 Trainers.PcaAnomalyDetector	Train an PCA Anomaly model.	Microsoft.ML.Runtime.PCA.RandomizedPcaTrainer	TrainPcaAnomaly	Microsoft.ML.Runtime.PCA.RandomizedPcaTrainer+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+AnomalyDetectionOutput
 Trainers.PoissonRegressor	Train an Poisson regression model.	Microsoft.ML.Runtime.Learners.PoissonRegression	TrainRegression	Microsoft.ML.Runtime.Learners.PoissonRegression+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+RegressionOutput
 Trainers.StochasticDualCoordinateAscentBinaryClassifier	Train an SDCA binary model.	Microsoft.ML.Runtime.Learners.Sdca	TrainBinary	Microsoft.ML.Runtime.Learners.LinearClassificationTrainer+Arguments	Microsoft.ML.Runtime.EntryPoints.CommonOutputs+BinaryClassificationOutput

test/BaselineOutput/Common/EntryPoints/core_manifest.json

@@ -14050,6 +14050,149 @@
         "ITrainerOutput"
       ]
     },
+    {
+      "Name": "Trainers.OrdinaryLeastSquaresRegressor",
+      "Desc": "Train an OLS regression model.",
+      "FriendlyName": "Ordinary Least Squares (Regression)",
+      "ShortName": "ols",
+      "Inputs": [
+        {
+          "Name": "TrainingData",
+          "Type": "DataView",
+          "Desc": "The data to be used for training",
+          "Aliases": [
+            "data"
+          ],
+          "Required": true,
+          "SortOrder": 1.0,
+          "IsNullable": false
+        },
+        {
+          "Name": "FeatureColumn",
+          "Type": "String",
+          "Desc": "Column to use for features",
+          "Aliases": [
+            "feat"
+          ],
+          "Required": false,
+          "SortOrder": 2.0,
+          "IsNullable": false,
+          "Default": "Features"
+        },
+        {
+          "Name": "LabelColumn",
+          "Type": "String",
+          "Desc": "Column to use for labels",
+          "Aliases": [
+            "lab"
+          ],
+          "Required": false,
+          "SortOrder": 3.0,
+          "IsNullable": false,
+          "Default": "Label"
+        },
+        {
+          "Name": "WeightColumn",
+          "Type": "String",
+          "Desc": "Column to use for example weight",
+          "Aliases": [
+            "weight"
+          ],
+          "Required": false,
+          "SortOrder": 4.0,
+          "IsNullable": false,
+          "Default": "Weight"
+        },
+        {
+          "Name": "NormalizeFeatures",
+          "Type": {
+            "Kind": "Enum",
+            "Values": [
+              "No",
+              "Warn",
+              "Auto",
+              "Yes"
+            ]
+          },
+          "Desc": "Normalize option for the feature column",
+          "Aliases": [
+            "norm"
+          ],
+          "Required": false,
+          "SortOrder": 5.0,
+          "IsNullable": false,
+          "Default": "Auto"
+        },
+        {
+          "Name": "Caching",
+          "Type": {
+            "Kind": "Enum",
+            "Values": [
+              "Auto",
+              "Memory",
+              "Disk",
+              "None"
+            ]
+          },
+          "Desc": "Whether learner should cache input training data",
+          "Aliases": [
+            "cache"
+          ],
+          "Required": false,
+          "SortOrder": 6.0,
+          "IsNullable": false,
+          "Default": "Auto"
+        },
+        {
+          "Name": "L2Weight",
+          "Type": "Float",
+          "Desc": "L2 regularization weight",
+          "Aliases": [
+            "l2"
+          ],
+          "Required": false,
+          "SortOrder": 50.0,
+          "IsNullable": false,
+          "Default": 1E-06,
+          "SweepRange": {
+            "RangeType": "Discrete",
+            "Values": [
+              1E-06,
+              0.1,
+              1.0
+            ]
+          }
+        },
+        {
+          "Name": "PerParameterSignificance",
+          "Type": "Bool",
+          "Desc": "Whether to calculate per parameter significance statistics",
+          "Aliases": [
+            "sig"
+          ],
+          "Required": false,
+          "SortOrder": 150.0,
+          "IsNullable": false,
+          "Default": true
+        }
+      ],
+      "Outputs": [
+        {
+          "Name": "PredictorModel",
+          "Type": "PredictorModel",
+          "Desc": "The trained model"
+        }
+      ],
+      "InputKind": [
+        "ITrainerInputWithWeight",
+        "ITrainerInputWithLabel",
+        "ITrainerInput"
+      ],
+      "OutputKind": [
+        "IRegressionOutput",
+        "ITrainerOutput"
+      ]
+    },
     {
       "Name": "Trainers.PcaAnomalyDetector",
       "Desc": "Train an PCA Anomaly model.",

test/BaselineOutput/SingleDebug/OLS/OLS-CV-wine-out.txt

@@ -0,0 +1,33 @@
+maml.exe CV tr=OLS threads=- norm=No dout=%Output% loader=Text{col=Label:R4:11 col=Features:R4:0-10 sep=; header+} data=%Data% seed=1
+Not adding a normalizer.
+Trainer solving for 12 parameters across 2409 examples
+Coefficient of determination R2 = 0.291173667189042, or 0.287920813763543 (adjusted)
+Not training a calibrator because it is not needed.
+Not adding a normalizer.
+Trainer solving for 12 parameters across 2489 examples
+Coefficient of determination R2 = 0.280280855195625, or 0.277084686203761 (adjusted)
+Not training a calibrator because it is not needed.
+L1(avg):            0.586798
+L2(avg):            0.573048
+RMS(avg):           0.756999
+Loss-fn(avg):       0.573048
+R Squared:          0.263841
+L1(avg):            0.587999
+L2(avg):            0.571859
+RMS(avg):           0.756214
+Loss-fn(avg):       0.571859
+R Squared:          0.276072
+
+OVERALL RESULTS
+---------------------------------------
+L1(avg):            0.587398 (0.0006)
+L2(avg):            0.572454 (0.0006)
+RMS(avg):           0.756606 (0.0004)
+Loss-fn(avg):       0.572454 (0.0006)
+R Squared:          0.269956 (0.0061)
+
+---------------------------------------
+Physical memory usage(MB): %Number%
+Virtual memory usage(MB): %Number%
+%DateTime%	 Time elapsed(s): %Number%
+