Solve nonlinear curve-fitting (data-fitting) problems in least-squares sense
Nonlinear least-squares solver
Find coefficients x that solve the problem
$$\underset{x}{\mathrm{min}}{\Vert F(x,xdata)-ydata\Vert}_{2}^{2}=\underset{x}{\mathrm{min}}{\displaystyle \sum _{i}{\left(F\left(x,xdat{a}_{i}\right)-ydat{a}_{i}\right)}^{2}},$$
given input data xdata, and the observed output ydata, where xdata and ydata are matrices or vectors, and F (x, xdata) is a matrix-valued or vector-valued function of the same size as ydata.
Optionally, the components of x can have lower and upper bounds lb, and ub. The arguments x, lb, and ub can be vectors or matrices; see Matrix Arguments.
The lsqcurvefit
function uses the same
algorithm as lsqnonlin
. lsqcurvefit
simply
provides a convenient interface for data-fitting problems.
Rather than compute the sum of squares, lsqcurvefit
requires
the user-defined function to compute the vector-valued
function
$$F(x,xdata)=\left[\begin{array}{c}F\left(x,xdata(1)\right)\\ F\left(x,xdata(2)\right)\\ \vdots \\ F\left(x,xdata(k)\right)\end{array}\right].$$
x = lsqcurvefit(fun,x0,xdata,ydata)
x = lsqcurvefit(fun,x0,xdata,ydata,lb,ub)
x = lsqcurvefit(fun,x0,xdata,ydata,lb,ub,options)
x = lsqcurvefit(problem)
[x,resnorm]
= lsqcurvefit(___)
[x,resnorm,residual,exitflag,output]
= lsqcurvefit(___)
[x,resnorm,residual,exitflag,output,lambda,jacobian]
= lsqcurvefit(___)
starts
at x
= lsqcurvefit(fun
,x0
,xdata
,ydata
)x0
and finds coefficients x
to
best fit the nonlinear function fun(x,xdata)
to
the data ydata
(in the least-squares sense). ydata
must
be the same size as the vector (or matrix) F
returned
by fun
.
Note:
Passing Extra Parameters explains
how to pass extra parameters to the vector function |
defines
a set of lower and upper bounds on the design variables in x
= lsqcurvefit(fun
,x0
,xdata
,ydata
,lb
,ub
)x
,
so that the solution is always in the range lb
≤ x
≤ ub
.
You can fix the solution component x(i)
by specifying lb(i) = ub(i)
.
Note:
If the specified input bounds for a problem are inconsistent,
the output Components of |
finds
the minimum for x
= lsqcurvefit(problem
)problem
, where problem
is
a structure described in Input Arguments.
Create the problem
structure by exporting a problem
from Optimization app, as described in Exporting Your Work.
The Levenberg-Marquardt algorithm does not handle bound constraints.
The trust-region-reflective algorithm does not solve
underdetermined systems; it requires that the number of equations,
i.e., the row dimension of F, be at least as great
as the number of variables. In the underdetermined case, lsqcurvefit
uses
the Levenberg-Marquardt algorithm.
Since the trust-region-reflective algorithm does not handle
underdetermined systems and the Levenberg-Marquardt does not handle
bound constraints, problems that have both of these characteristics
cannot be solved by lsqcurvefit
.
lsqcurvefit
can solve complex-valued
problems directly with the levenberg-marquardt
algorithm.
However, this algorithm does not accept bound constraints. For a complex
problem with bound constraints, split the variables into real and
imaginary parts, and use the trust-region-reflective
algorithm.
See Fit a Model to Complex-Valued Data.
The preconditioner computation used in the preconditioned conjugate gradient part of the trust-region-reflective method forms J^{T}J (where J is the Jacobian matrix) before computing the preconditioner. Therefore, a row of J with many nonzeros, which results in a nearly dense product J^{T}J, can lead to a costly solution process for large problems.
If components of x have no upper
(or lower) bounds, lsqcurvefit
prefers that the
corresponding components of ub
(or lb
)
be set to inf
(or -inf
for lower
bounds) as opposed to an arbitrary but very large positive (or negative
for lower bounds) number.
You can use the trust-region reflective algorithm in lsqnonlin
, lsqcurvefit
,
and fsolve
with small- to medium-scale
problems without computing the Jacobian in fun
or
providing the Jacobian sparsity pattern. (This also applies to using fmincon
or fminunc
without
computing the Hessian or supplying the Hessian sparsity pattern.)
How small is small- to medium-scale? No absolute answer is available,
as it depends on the amount of virtual memory in your computer system
configuration.
Suppose your problem has m
equations and n
unknowns.
If the command J = sparse(ones(m,n))
causes
an Out of memory
error on your machine,
then this is certainly too large a problem. If it does not result
in an error, the problem might still be too large. You can find out
only by running it and seeing if MATLAB runs within the amount
of virtual memory available on your system.
[1] Coleman, T.F. and Y. Li. "An Interior, Trust Region Approach for Nonlinear Minimization Subject to Bounds." SIAM Journal on Optimization, Vol. 6, 1996, pp. 418–445.
[2] Coleman, T.F. and Y. Li. "On the Convergence of Reflective Newton Methods for Large-Scale Nonlinear Minimization Subject to Bounds." Mathematical Programming, Vol. 67, Number 2, 1994, pp. 189–224.
[3] Dennis, J. E. Jr. "Nonlinear Least-Squares." State of the Art in Numerical Analysis, ed. D. Jacobs, Academic Press, pp. 269–312.
[4] Levenberg, K. "A Method for the Solution of Certain Problems in Least-Squares." Quarterly Applied Mathematics 2, 1944, pp. 164–168.
[5] Marquardt, D. "An Algorithm for Least-squares Estimation of Nonlinear Parameters." SIAM Journal Applied Mathematics, Vol. 11, 1963, pp. 431–441.
[6] Moré, J. J. "The Levenberg-Marquardt Algorithm: Implementation and Theory." Numerical Analysis, ed. G. A. Watson, Lecture Notes in Mathematics 630, Springer Verlag, 1977, pp. 105–116.
[7] Moré, J. J., B. S. Garbow, and K. E. Hillstrom. User Guide for MINPACK 1. Argonne National Laboratory, Rept. ANL–80–74, 1980.
[8] Powell, M. J. D. "A Fortran Subroutine for Solving Systems of Nonlinear Algebraic Equations." Numerical Methods for Nonlinear Algebraic Equations, P. Rabinowitz, ed., Ch.7, 1970.