Advanced Optimization
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# Advanced Optimization ## 8.1 Newton-Raphson for GLM Iteratively re-weighted least squares (IRLS): $$ \boldsymbol{\beta}^{(t+1)} = (\mathbf{X}^T\mathbf{W}\mathbf{X})^{-1}\mathbf{X}^T\mathbf{W}\mathbf{z} $$ ## 8.2 BFGS (Quasi-Newton) Approximates Hessian using gradient information, avoiding $O(p^3)$ computation. [Jo...
Advanced Optimization
8.1 Newton-Raphson for GLM
Iteratively re-weighted least squares (IRLS):
8.2 BFGS (Quasi-Newton)
Approximates Hessian using gradient information, avoiding computation.
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