Package org.apache.commons.math4.legacy.fitting.leastsquares

Class LevenbergMarquardtOptimizer

  • All Implemented Interfaces:
    LeastSquaresOptimizer
    public class LevenbergMarquardtOptimizer
extends Object
implements LeastSquaresOptimizer
    This class solves a least-squares problem using the Levenberg-Marquardt algorithm.

    This implementation should work even for over-determined systems (i.e. systems having more point than equations). Over-determined systems are solved by ignoring the point which have the smallest impact according to their jacobian column norm. Only the rank of the matrix and some loop bounds are changed to implement this.

    The resolution engine is a simple translation of the MINPACK lmder routine with minor changes. The changes include the over-determined resolution, the use of inherited convergence checker and the Q.R. decomposition which has been rewritten following the algorithm described in the P. Lascaux and R. Theodor book Analyse numérique matricielle appliquée à l'art de l'ingénieur, Masson 1986.

    The authors of the original fortran version are:

    • Argonne National Laboratory. MINPACK project. March 1980
    • Burton S. Garbow
    • Kenneth E. Hillstrom
    • Jorge J. More
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    Since:
    3.3

    • Constructor Detail

      • LevenbergMarquardtOptimizer

        public LevenbergMarquardtOptimizer()
        Default constructor.

        The default values for the algorithm settings are:

        • Initial step bound factor: 100
        • Cost relative tolerance: 1e-10
        • Parameters relative tolerance: 1e-10
        • Orthogonality tolerance: 1e-10
        • QR ranking threshold: Precision.SAFE_MIN

      • LevenbergMarquardtOptimizer

        public LevenbergMarquardtOptimizer​(double initialStepBoundFactor,
                                   double costRelativeTolerance,
                                   double parRelativeTolerance,
                                   double orthoTolerance,
                                   double qrRankingThreshold)
        Construct an instance with all parameters specified.
        Parameters:
        initialStepBoundFactor - initial step bound factor
        costRelativeTolerance - cost relative tolerance
        parRelativeTolerance - parameters relative tolerance
        orthoTolerance - orthogonality tolerance
        qrRankingThreshold - threshold in the QR decomposition. Columns with a 2 norm less than this threshold are considered to be all 0s.