Recursive least squares

[MaxHalford]

It seems RLS is a way to reach the same solution as batch linear regression. It's probably more expensive than SGD, but is still interesting.

Resources

• https://www.wikiwand.com/en/Recursive_least_squares_filter
• https://people.eecs.berkeley.edu/~jiantao/225a2020spring/scribe/EECS225A_Lecture_15.pdf
• http://pfister.ee.duke.edu/courses/ece586/ex_proj_2008.pdf
• Deterministic Online Classification: Non-iteratively Reweighted Recursive
  Least-Squares for Binary Class Rebalancing

[slach31]

Hello,
We are a group of students from the French engineering school IMT Atlantique, currently enrolled in a course that involves contributing to an open-source project. We are particularly interested in contributing to River ML and would like to work on resolving the following issue.
Could we kindly request to be assigned to this issue?
Have a nice day

[MaxHalford]

Hey @slach31! That sounds great. I just assigned the issue to you :)

[slach31]

Hello,
As we near the completion of this task we want to inquire about the location you'd prefer the RLS file to be in the project repository.
Have a nice day

[MaxHalford]

Hey there. I'm not sure, but I guess this is a linear model, so the linear_model module should be appropriate. What do you think?

[gubertoli]

Dear @MaxHalford, please, any plans to merge PR #1645 ?