Advanced Optimization

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Now · 8.1 Newton-Raphson for GLM

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}

Approximates Hessian using gradient information, avoiding

O(p^3)

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