Iteratively reweighted least squares

The method of iteratively reweighted least squares (IRLS) is used to solve certain optimization problems with objective functions of the form:

by an iterative method in which each step involves solving a weighted least squares problem of the form:

IRLS is used to find the maximum likelihood estimates of a generalized linear model, and in robust regression to find an M-estimator, as a way of mitigating the influence of outliers in an otherwise normally-distributed data set. For example, by minimizing the least absolute error rather than the least square error.

单词	Iteratively reweighted least squares
释义	Iteratively reweighted least squares 英语百科 Iteratively reweighted least squares The method of iteratively reweighted least squares (IRLS) is used to solve certain optimization problems with objective functions of the form: by an iterative method in which each step involves solving a weighted least squares problem of the form: IRLS is used to find the maximum likelihood estimates of a generalized linear model, and in robust regression to find an M-estimator, as a way of mitigating the influence of outliers in an otherwise normally-distributed data set. For example, by minimizing the least absolute error rather than the least square error.
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