Reviews: Scaled Least Squares Estimator for GLMs in Large-Scale Problems

The main idea of the paper is an interesting and, at least to me, novel one. Sections 1 to 3 are extremely well written, while the second half of the paper seems a bit more hurried. It would be worthwhile pointing out early in the paper that the proposed approach applies only when the canonical link is used (currently stated in line 92). However, the authors say: "Motivated by the results in the previous section, we design a computationally efficient algorithm for any GLM task that is as simple as solving the least squares problem; it is described in Algorithm 1." The "any" suggests that the canonical link is not required.