Newton-Stein Method: An optimization method for GLMs via Stein's Lemma

28 Nov 2015Murat A. Erdogdu

We consider the problem of efficiently computing the maximum likelihood estimator in Generalized Linear Models (GLMs) when the number of observations is much larger than the number of coefficients ($n \gg p \gg 1$). In this regime, optimization algorithms can immensely benefit from approximate second order information... (read more)

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