|Non-linear optimization problem near a local optimum
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|Author:||johan [ Tue Jul 07, 2015 6:03 pm ]|
|Post subject:||Non-linear optimization problem near a local optimum|
Problem (this is not a "homework" problem but a "minimum working example" of the problem that I think I have. My problem can only be solved using least-square-ish approaches):
Using f(x) = sin(x), find the solution for f(x) = 0 using the Levenberg-Marquardt (LM) argorithm that is closest to x = 0.9 * (pi/2) as initial guess. Hence, a local optimum is searched for.
The expected solution is x = 0. However, the alglib implementation of LM yields -18.85, which numerically represents -6 * pi.
Further, assume that:
The following can help to obtain the correct solution:
But what if bounds and/or step size information is not available?
Many thanks in advance!
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