The classic, surprisingly deep.
A few non-comprehensive notes here.
As used in, e.g. lasso regression.
- Nonlinear least squares with ceres-solver:
Ceres Solve is an open source C++ library for modeling and solving large, complicated optimization problems. It can be used to solve Non-linear Least Squares problems with bounds constraints and general unconstrained optimization problems. It is a mature, feature rich, and performant library that has been used in production at Google since 2010.
- Minimal python Iteratively reweighted least squares by A.E. Haynes
- Ricardo Carvalho, Adaptive Lasso: What it is and how to implement in R
- How to correctly implement iteratively reweighted least squares algorithm for multiple logistic regression?
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