forum.alglib.net

ALGLIB forum
It is currently Sun Oct 13, 2024 8:18 am

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 1 post ] 
Author Message
 Post subject: Re: lsfit and/or minlm guidance
PostPosted: Thu May 16, 2024 11:40 pm 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 922
Hi! Ideally, these algorithms should just work without any knowledge of the underlying math. The idea is that being a physicist is already good enough:)

However, exponential fitting is extremely difficult. No, it is EXTREMELY difficult. In particular, its success sometimes depends on algorithm implementation in a non-obvious manner. Some design decision that greatly improve robustness in many important cases turn out to degrade performance in this case. The be specific, I am a bit concerned by the fact that ALGLIB way of regularizing steps may slow down convergence on convolved problems exactly like yours. I explain it in order for you to understand that there is a possibility that you did everything right, and that is ALGLIB that needs to get better.

Now, several questions first:
* did you fail to get past the first iteration when using analytic derivatives - or numerical gradient?
* how many variables do you have?
* sometimes exponential problems get easier when you solve them with tight box constraints first (to prevent accidental escape from the initial point), and then relax constraints and re-solve. Did you try something like that?

And recommendations:
* for your case (accurate computations over inaccurate experimental data) a small differentiation step is recommended. Something proportional to sqrt(machine_epsilon), like 1E-7 or 1E-6. But not less, you do not want rounding errors to amplify.
* epsx can be chosen higher than the numerical differentiation step, like 1e-3 or 1e-4 for the beginning.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 1 post ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 3 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group