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Re: [Help-gsl] ways to change sensitivity of the Lev enberg–Marquardt so

From: Soren Christensen
Subject: Re: [Help-gsl] ways to change sensitivity of the Lev enberg–Marquardt solver to the initial guess
Date: Tue, 21 Dec 2010 21:30:21 +1100

Hi Francesco,
 Thanks a lot for your suggestion which seems like a good idea. Fortunately
I found I mistake in one of the derivatives and that got the performance
beyond that of the simplexfitter.


On Tue, Dec 21, 2010 at 2:17 AM, Francesco Abbate

> > For no-noise data and perfect start guesses, both implementations fit
> > perfectly (you should hope so). When changing the guess just slightly
> > the lmsder fitter fails, whereas the simplex routine is robust for
> > much larger differences between the initial guess and the solution.
> > What can I do to improve the performance of the lmsder - is there any
> > tuning I can do to my function or the solver?  (Improving the guess to
> > what appears to be required from lmsder will not be possible).
> Hi Soren,
> as far as I know the lmsder algorithm inherently needs "good" initial
> guess of the parameters. If you needs a more robust method you can
> perform a preliminary search with the simplex minimizer and, when you
> have a reasonable starting point, you can feed it to the lmsder
> algorithm. The advantage of the lmsder is that it will converge much
> more rapidly toward the optimal solutions.
> I hope that helps.
> Best regards,
> Francesco

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