Looking at the Iterative reweighting computation more, I could hack in weighting at the y-mu step and just see how it performs, I wouldn't be surprised if that would be correct (equivalent to repeating rows in the x matrix and y vector):
Logistic regression iteration step
https://en.wikipedia.org/wiki/Logistic_regression#Algorithm
mu = sigmoid(x*w)
s = diag(mu * (1 - mu))
wnew = (x' * s * x)^-1 * x' * (s * x * w + y - mu)
aritter / Adam Ritter | rbr.bio
npub1dc…ux5ey
2023-04-19 07:32:33
in reply to nevent1q…cp0m
Author Public Key
npub1dcl4zejwr8sg9h6jzl75fy4mj6g8gpdqkfczseca6lef0d5gvzxqvux5eyPublished at
2023-04-19 07:32:33Event JSON
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"content": "Looking at the Iterative reweighting computation more, I could hack in weighting at the y-mu step and just see how it performs, I wouldn't be surprised if that would be correct (equivalent to repeating rows in the x matrix and y vector):\n\nLogistic regression iteration step\nhttps://en.wikipedia.org/wiki/Logistic_regression#Algorithm\nmu = sigmoid(x*w)\ns = diag(mu * (1 - mu))\nwnew = (x' * s * x)^-1 * x' * (s * x * w + y - mu)\n",
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