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2 votes

Confusion over Fisher-scoring algorithm

TLDR: always use line-search gradient descent or the BFGS algorithm to find the MLE. Fisher scoring is a bad idea. To discuss this method, we need to compare it to other methods to find the MLE. Let's ...
Guillaume Dehaene's user avatar
2 votes
Accepted

Confusion over Fisher-scoring algorithm

Yes, but that matters less than you might think For canonical-link generalised linear models, which are a very popular special case, the algorithm is exactly Newton-Raphson For regression models more ...
Thomas Lumley's user avatar
2 votes
Accepted

Do convergence rates for (convex) gradient descent apply when domain is (convex) subset of reals?

I think your assumption is mistaken. Most algorithms I worked with handle simple constrains on domains by automatically transforming to an unconstrained $\mathbb{R}^n$ under the hood. For your ...
Martin Modrák's user avatar

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