0000383: IMPLEMENTED: improvements in the Levenberg-Marquardt optimizer

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Severity

Reproducibility

Date Submitted

Last Update

0000383

[ALGLIB] Optimization

feature

have not tried

2010-10-28 16:52

2010-10-28 16:53

Reporter

SergeyB

View Status

public

Assigned To

SergeyB

Priority

normal

Resolution

implemented

Platform

Status

resolved

Projection

none

OS Version

ETA

none

Fixed in Version

3.1.0

Product Version

Target Version

Product Build

Summary

0000383: IMPLEMENTED: improvements in the Levenberg-Marquardt optimizer

Description

New optimization mode: "V", Jacobian-free optimization. Functions vector only is used; combination of numerical differentiation and secant updates is used to calculate accurate and quick estimates of Jacobian.

We've also introduced two modes - "VJ" and "VGJ", which are intended to replace "FJ" and "FGJ" modes (they are considered obsolete, but still supported). The only difference is that former ones accept function vector while latter use merit function (squared norm of function vector).

We've decided to add new modes because function vector is more informative than merit function, and we can apply more optimizations and acceleration techniques with this kind of information about function.

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Unspecified

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Issue History
Date Modified	Username	Field	Change
2010-10-28 16:52	SergeyB	New Issue
2010-10-28 16:52	SergeyB	Status	new => assigned
2010-10-28 16:52	SergeyB	Assigned To	=> SergeyB
2010-10-28 16:52	SergeyB	Programming language	=> Unspecified
2010-10-28 16:53	SergeyB	Status	assigned => resolved
2010-10-28 16:53	SergeyB	Fixed in Version	=> NEXT RELEASE
2010-10-28 16:53	SergeyB	Resolution	open => implemented

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