Speed up first iteration with sketching

[lorentzenchr]

I'm wondering if the initial guess of GLM coefficients could be made faster by using random matrix sketching in the first iteration of Newton-Raphons/IRLS in the spirit of:

• Blendenpik: Supercharging LAPACK's Least-Squares Solver
• LSRN: A Parallel Iterative Solver for Strongly Over- or Underdetermined Systems
• Sketching as a Tool for Numerical Linear Algebra