Iteratively Reweighted Least Squares
Definition
- The method of iteratively reweighted least squares (IRLS) is used to solve certain optimization problems with objective functions of the form of a p-norm
- $\displaystyle\underset{\boldsymbol{\beta}}{\arg\min}\sum_{i=1}^{n}\left|y_{i}-f_{i}(\boldsymbol{\beta})\right|^{p}$
- IRLS is used to find the maximum likelihood estimates of a generalized linear model