| forum.alglib.net http://forum.alglib.net/ |
|
| How to use Levenberg-Marquardt solver without Jacobian? http://forum.alglib.net/viewtopic.php?f=2&t=74 |
Page 1 of 1 |
| Author: | su_ull [ Thu Oct 07, 2010 6:52 pm ] |
| Post subject: | How to use Levenberg-Marquardt solver without Jacobian? |
Hi, How to use the Levenberg-Marquardt solver if it is hard to get the analytic expression of the Jacobian function? Can Alglib handle it with approximate Jacobian like other solvers (such as levmar)? |
|
| Author: | Sergey.Bochkanov [ Thu Oct 07, 2010 7:50 pm ] |
| Post subject: | Re: How to use Levenberg-Marquardt solver without Jacobian? |
As of 3.0.0, ALGLIB doesn't have built-in numerical differentiation or other means of approximating Jacobian (like secant updates). You can differentiate Jacobian numerically and pass results to ALGLIB solver; I'd recommend using 4-point numerical differences. Last few days I was working on version of LM which will have built-in numerical differentiation combined with secant updates. But it will be ready at the end of next week only. |
|
| Author: | su_ull [ Thu Oct 07, 2010 9:06 pm ] |
| Post subject: | Re: How to use Levenberg-Marquardt solver without Jacobian? |
Good to know that. Thanks a lot! |
|
| Page 1 of 1 | All times are UTC |
| Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group http://www.phpbb.com/ |
|