Mixed linear-nonlinear least squares regression

arXiv1703.04181MaRDI QIDQ6284246FDOQ6284246

Authors: Alberto Herrera-Gomez, R. Michael Porter 

Publication date: 12 March 2017

Abstract: The problem of fitting experimental data to a given model function $f(t;p_1,p_2,dots,p_N)$ is conventionally solved numerically by methods such as that of Levenberg-Marquardt, which are based on approximating the Chi-squared measure of discrepancy by a quadratic function. Such nonlinear iterative methods are usually necessary unless the function $f$ to be fitted is itself a linear function of the parameters $p_n$, in which case an elementary linear Least Squares regression is immediately available. When linearity is present in some, but not all, of the parameters, we show how to streamline the optimization method by reducing the "nonlinear activity" to the nonlinear parameters only. Numerical examples are given to demonstrate the effectiveness of this approach. The main idea is to replace entries corresponding to the linear terms in the numerical difference quotients with an optimal value easily obtained by linear regression. More generally, the idea applies to minimization problems which are quadratic in some of the parameters. We show that the covariance matrix of $ch{i}^2$ remains the same even though the derivatives are calculated in a different way. For this reason, the standard non-linear optimization methods can be fully applied.

Mathematics Subject Classification ID

Numerical methods in optimal control (49Mxx) Mathematical programming (90Cxx) Stochastic systems and control (93Exx) Nonlinear algebraic or transcendental equations (65Hxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

This page was built for publication: Mixed linear-nonlinear least squares regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6284246)