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An Adaptive Nonlinear Least Square Algorithm / John E. Dennis, David M. Gay, Roy E. Welsch.
- Format:
- Book
- Author/Creator:
- Dennis, John E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0196.
- NBER working paper series no. w0196
- Language:
- English
- Subjects (All):
- Least squares.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1977.
- Cambridge, Mass. : National Bureau of Economic Research, 1977.
- Summary:
- NL2SOL is a modular program for solving the nonlinear least-squares problem that incorporates a number of novel features. It maintains a secant approximation S to the second-order part of the least-squares Hessian and adaptively decides when to use this approximation. We have found it very helpful to "size" S before updating it, something which looks much akin to Oren-Luenberger scaling. Rather than resorting to line searches or Levenberg-Marquardt modifications, we use the double-dogleg scheme of Dennis and Mei together with a special module for assessing the quality of the step thus computed. We discuss these and other ideas behind NLZSOL and briefly describe its evolution and current implementation.
- Notes:
- Print version record
- August 1977.
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