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Iteratively reweighted least squares for 1-norm approximation. In an ordinary least squares problem, we are givenARmn(skinny and full rank) andyRm, and we choosexRnin order to

Iteratively reweighted least squares for 1-norm approximation.

In an ordinary least squares problem, we are givenARmn(skinny and full rank) andyRm, and we choosexRnin order to minimize

Axy2=

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