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From Dimitri Pourbaix <>
Subject Re: [math] optimization refactoring
Date Sun, 22 Feb 2009 19:24:15 GMT

> The existing code is :
>  - package o.a.c.math.estimation:
>      Levenberg-Marquardt method for weighted least square minimization
> of a vector of residuals

Either one considers the full weighting matrix (including potential
correlation between observations) or one does not account for any weight
at all.  By premultiplying both the function matrix and the observation
vector  by the square root of the weight matrix, one can forget about it
completely in the rest of the computation.   So, please, do not restrain
weights to a vector.


Dimitri Pourbaix                         *
Institut d'Astronomie et d'Astrophysique *      Don't worry, be happy
CP 226, office 2.N4.211, building NO     *         and CARPE DIEM.
Universite Libre de Bruxelles            *
Boulevard du Triomphe                    *      Tel : +32-2-650.35.71
  B-1050 Bruxelles                        *      Fax : +32-2-650.42.26     *

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