In this post, I introduce the widely used stochastic optimization technique, namely the stochastic gradient descent. I also implement the algorithm for the linear-regression problem and provide the Matlab code.
Gaussianity, Least squares, Pseudoinverse
Introduction.
In this post, we show the relationship between Gaussian observation model, Least-squares and pseudoinverse. We start with a Gaussian observation model and then move to the least-squares estimation. Then we show that the solution of the least-squares corresponds to the pseudoinverse operation.
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