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bwlewis / GLM

Notes on generalized linear models
http://bwlewis.github.io/GLM
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Bug in IRLS Algorithm #2

Closed kaneplusplus closed 9 years ago

kaneplusplus commented 9 years ago

These notes are incredibly useful.

I think I've found a bug though. Check "Algorithm IRLS: Iteratively reweighted least squares estimation" in the "Input" section. I think the line:

Let x_{j+1}=x_j+(A^TWA)^{−1}A^TWz.

should be

Let x_{j+1}= (A^TWA)^{−1}A^TWz.

bwlewis commented 9 years ago

You're right! Thanks. Fixed in commit 58ea988084f385df50e7030c8a29fea3855ebc3f