Thread: Recency weighted regression View Single Post
#9
08-26-2012, 01:37 AM
 itooam Senior Member Join Date: Jul 2012 Posts: 100
Re: Recency weighted regression

Having spent some time on this, (this area of maths I am very weak)

I think the solution is:

Where is a diagonal matrix. A bit like the Identity matrix but with weight values i.e.,
|, 0, 0, ... 0|
|0, , 0 ... 0|
|..................|
|0, 0, 0 .... |

The bit that makes this tricky (for me) is the regularisation. I suppose I could test the above using this formula and then try the same using gradient descent (where I know it will be correct) if the values are close then the above can be considered correct (if I plug in largely varying values of lamba for testing).