Marquardt & Levenberg Method Theoretical Origins
- To: mathgroup at smc.vnet.net
- Subject: [mg38404] Marquardt & Levenberg Method Theoretical Origins
- From: tasande at MIT.EDU
- Date: Fri, 13 Dec 2002 04:19:02 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Dear Mathematicons: In reference to the recent inquiries concerning the theoretical basis of the infamous Marquardt/Levenberg Method, I enjoin you to first read the seminal paper: Marquardt, D. "An Algorithm for Least-Squares Estimation of Nonlinear Parameters." SIAM J. Appl. Math. 11, 431-441, 1963. Marduart reformulates the original Levenberg method and introduces his eponymous "compromise". The paper is clear and cogent. It will help you immensely in your subsequent selection of a modern implementation of the algorithm. You may also wish to consult the pure Levenberg Method in the ancient paper: Levenberg, K. "A Method for the Solution of Certain Problems in Least Squares." Quart. Appl. Math. 2, 164-168, 1944. Sincerely, Theodore Sande MIT Department of Physics