Weighted Linear Regression

If you are here there are high chances you already know how a simple linear regression works, it is the first and simplest algorithm you meet you your machine learning journey, but let's recap since it will be useful to later introduce its weighted form. Let's say that you have a set of values $X$ and for each of them a _target_ value $Y$, if you plot them can be easily seen that they could be approximated by a simple straight line.