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Publication Citation: Variable Projection for Nonlinear Least Squares Problems

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Author(s): Dianne M. O'Leary; Bert W. Rust;
Title: Variable Projection for Nonlinear Least Squares Problems
Published: August 02, 2012
Abstract: The variable projection algorithm of Golub and Pereyra (1973) has proven to be quite valuable in the solution of nonlinear least squares problems in which a substantial number of the parameters are linear. Its advantages are efficiency and, more importantly, a better likelihood of finding a global minimizer rather than a local one. The purpose of our work is to provide a "modern" implementation of this algorithm so that it can be easily used. We consider how 35 years of changes in hardware and software influence our software design, and we provide a more robust algorithm that can also handle constraints on the parameters.
Citation: ACM Transactions on Mathematical Software
Keywords: nonlinear least squares, variable projection algorithm, varpro
Research Areas: Math
DOI: http://dx.doi.org/10.1007/s10589-012-9492-9  (Note: May link to a non-U.S. Government webpage)