Relation within Gauss-Newton method for minimization

In summary, the Gauss-Newton method for model fitting involves minimizing the sum of squares in a nonlinear regression model through iterations. The update on the parameter $\theta$ from step $t$ to $t+1$ is given by $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$, where $A^{(t)}$ is a matrix with the $i$-th row being $f'(z_i,\theta^{(t)})^T$, and $x^{(t)}$ is a column vector with the $i$-th entry being $Y_i-f
  • #1
i_a_n
83
0
If we study model fit on a nonlinear regression model $Y_i=f(z_i,\theta)+\epsilon_i$, $i=1,...,n$, and in the Gauss-Newton method, the update on the parameter $\theta$ from step $t$ to $t+1$ is to minimize the sum of squares $\sum_{i=1}^{n}[Y_i-f(z_i,\theta^{(t)})-(\theta-\theta^{(t)})^Tf'(z_i,\theta^{(t)})]^2$. Can we prove that (why) (part 1) the update is given in the following form: $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$,(part 2) where $A^{(t)}$ is a matrix whose $i$-th row is $f'(z_i,\theta^{(t)})^T$, and $x^{(t)}$ is a column vector whose $i$-th entry is $Y_i-f(z_i,\theta^{(t)})$.
Any solution or hints? How to derive those relationships?

Thanks in advance!
 
Physics news on Phys.org
  • #2
ianchenmu said:
If we study model fit on a nonlinear regression model $Y_i=f(z_i,\theta)+\epsilon_i$, $i=1,...,n$, and in the Gauss-Newton method, the update on the parameter $\theta$ from step $t$ to $t+1$ is to minimize the sum of squares $\sum_{i=1}^{n}[Y_i-f(z_i,\theta^{(t)})-(\theta-\theta^{(t)})^Tf'(z_i,\theta^{(t)})]^2$. Can we prove that (why) (part 1) the update is given in the following form: $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$,(part 2) where $A^{(t)}$ is a matrix whose $i$-th row is $f'(z_i,\theta^{(t)})^T$, and $x^{(t)}$ is a column vector whose $i$-th entry is $Y_i-f(z_i,\theta^{(t)})$.
Any solution or hints? How to derive those relationships?

Thanks in advance!

How are those iterations (or updates) defined in the Gauss-Newton method?
 

Related to Relation within Gauss-Newton method for minimization

1. What is the Gauss-Newton method for minimization?

The Gauss-Newton method is an optimization algorithm used to find the minimum of a non-linear function. It is commonly used in science and engineering applications to solve problems that involve minimizing a sum of squares, such as in curve fitting or data regression.

2. How does the Gauss-Newton method work?

The Gauss-Newton method works by iteratively minimizing the sum of squares of the residuals between the actual data and the predicted values from a given model. It does this by using the first-order Taylor expansion of the model function, and then updating the parameters based on the gradient and Hessian of the sum of squares function.

3. What is the relationship between Gauss-Newton method and least squares?

The Gauss-Newton method is a specific type of least squares method, known as a nonlinear least squares method. This means it is used to find the best fit parameters for a non-linear model to minimize the sum of squares between the model predictions and the actual data points.

4. What are the advantages of using the Gauss-Newton method for minimization?

One advantage of using the Gauss-Newton method is that it is a fast and efficient algorithm for finding the minimum of a non-linear function. It also has good convergence properties and can handle noisy or incomplete data. Additionally, it can be easily applied to a variety of optimization problems in different fields.

5. What are the limitations of the Gauss-Newton method?

The main limitation of the Gauss-Newton method is that it may not always converge to the global minimum of a function, especially if the initial guess for the parameters is far from the true values. It also requires the calculation of the gradient and Hessian matrix, which can be computationally expensive for large datasets. Additionally, it may not work well for highly non-linear or ill-conditioned problems.

Similar threads

  • Set Theory, Logic, Probability, Statistics
Replies
1
Views
2K
  • Calculus and Beyond Homework Help
Replies
1
Views
1K
  • Set Theory, Logic, Probability, Statistics
Replies
4
Views
2K
  • Set Theory, Logic, Probability, Statistics
Replies
3
Views
1K
  • Calculus and Beyond Homework Help
Replies
2
Views
1K
Replies
6
Views
1K
  • Set Theory, Logic, Probability, Statistics
Replies
13
Views
2K
  • Programming and Computer Science
Replies
6
Views
1K
Replies
1
Views
1K
  • Linear and Abstract Algebra
Replies
1
Views
1K
Back
Top