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Levenberg–Marquardt algorithm help

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Sergey.Bochkanov

Post subject: Re: Levenberg–Marquardt algorithm help

Posted: Wed May 15, 2013 11:19 am

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Joined: Fri May 07, 2010 7:06 am
Posts: 927

You don't have to modify ALGLIB source in oder to solve your problem. Create LM solver with 2 unknowns and 2*N functions, and set:
* F0 = W0*((f(x0,c)-Y0)
* F1 = Wcr.(Cr-C) for i=0
* F2 = W1*((f(x1,c)-Y1)
* F3 = Wcr.(Cr-C) for i=1
and so on.

LM algorithm will find minimum of the function F = F0^2 + F1^2 + F2^2 + F3^2 + ...

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