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A Levenberg-Marquardt method for large nonlinear least squares problems with noisy functions and gradients

Stefania Bellavia(stefania.bellavia***at***unifi.it)
Serge Gratton(serge.gratton***at***enseeiht.fr)
Elisa Riccietti(elisa.riccietti***at***unifi.it)

Abstract: In this paper we consider large scale nonlinear least squares prob- lems with noisy function and gradient and propose a Levenberg-Marquardt method for solving such problems. More precisely, we consider that the ex- act function to optimize is not available or its evaluation is computationally demanding, but that approximations of it are available at any prescribed ac- curacy level. The proposed method relies on a control of the accuracy level, and requires an improvement of function approximations when the accuracy is detected to be too low to proceed with the optimization process. We prove global and local convergence and complexity of our procedure and show en- couraging numerical results on test problems arising in data assimilation and machine learning.

Keywords: Levenberg-Marquardt method, Noisy functions, Large-scale, Nonlinear least squares

Category 1: Nonlinear Optimization

Category 2: Nonlinear Optimization (Nonlinear Systems and Least-Squares )

Citation: Dipartimento di Ingegneria Industriale, UniversitÓ di Firenze, viale G.B. Morgagni 40, 50134 Firenze. ENSEEIHT, INPT, rue Charles Camichel, B.P. 7122 31071, Toulouse Cedex 7, France. 06/2017

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Entry Submitted: 06/12/2017
Entry Accepted: 06/12/2017
Entry Last Modified: 06/12/2017

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