public override double[] Solve()
{
int m = A.RowCount;
int n = A.ColCount;
IVector x = new SparseVector(n);
for (int i = 0; i < n; ++i)
{
x[i] = 0;
}
IMatrix W = null;
IMatrix AtWAInv = null;
for (int j = 0; j < mMaxIters; ++j)
{
IVector eta = A.Multiply(x);
IVector z = new SparseVector(m);
double[] g = new double[m];
double[] gprime = new double[m];
for (int k = 0; k < m; ++k)
{
g[k] = mLinkFunc.GetInvLink(eta[k]);
gprime[k] = mLinkFunc.GetInvLinkDerivative(eta[k]);
z[k] = eta[k] + (b[k] - g[k]) / gprime[k];
}
W = A.Identity(m);
for (int k = 0; k < m; ++k)
{
double g_variance = GetVariance(g[k]);
if (g_variance == 0)
{
Environment.Exit(0);
}
W[k, k] = gprime[k] * gprime[k] / g_variance;
}
IVector x_old = x;
IMatrix AtW = At.Multiply(W);
// solve x for At * W * A * x = At * W * z
IMatrix AtWA = AtW.Multiply(A);
AtWAInv = QRSolver.Invert(AtWA);
x = AtWAInv.Multiply(AtW).Multiply(z);
double cost = x.Minus(x_old).Norm(2);
if (j % 10 == 0)
{
Console.WriteLine("Iteration: {0}, Cost: {1}", j, cost);
}
if (cost < mTol)
{
break;
}
}
mX = new double[n];
for (int i = 0; i < n; ++i)
{
mX[i] = x[i];
}
UpdateStatistics(AtWAInv, W);
return(mX);
}
