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su_ull
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Post subject: How to use Levenberg-Marquardt solver without Jacobian?  Posted: Thu Oct 07, 2010 6:52 pm |
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Joined: Thu Oct 07, 2010 6:37 pm
Posts: 2
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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)?
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Sergey.Bochkanov
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Post subject: Re: How to use Levenberg-Marquardt solver without Jacobian? Posted: Thu Oct 07, 2010 7:50 pm |
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| Site Admin |
Joined: Fri May 07, 2010 7:06 am
Posts: 927
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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.
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su_ull
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Post subject: Re: How to use Levenberg-Marquardt solver without Jacobian? Posted: Thu Oct 07, 2010 9:06 pm |
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Joined: Thu Oct 07, 2010 6:37 pm
Posts: 2
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Good to know that. Thanks a lot!
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