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Old 08-25-2012, 09:26 AM
itooam itooam is offline
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Join Date: Jul 2012
Posts: 100
Default Re: Recency weighted regression

Thank you for all your help it has been really appreciated. I have one final question, do you know if there is a closed form solution to

E_{in}=\sum_{t}\alpha_t(\mathbf{w}\cdot\mathbf{x}_t-y_t)^2

(assuming \alpha is a vector with the same number of rows as x?)

i.e., the closed form solution as used for linear regression and regularization - copied from lecture notes is this:

W_{reg} = (Z^{T} Z+\lambda I)^{-1}Z^Ty

I am not sure where \alpha would end up in the above, the derivation is beyond me mathematically?
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