ralna / RALFit

A non-linear least squares solver
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Add support to export fitting statistics #92

Closed talassio closed 3 years ago

talassio commented 4 years ago

Idea

Add the option to export objects that are used to estimate the quality of a fit, such as:

Note: For unconstrained problems this is quite straight-forward. The constrained case is somewhat more complex and instruction and interpretation on how to assemble these objects needs research: case when at least one of the optimal parameter (value) is active at a bound

Interpretation / Questions

References

NAG: https://www.nag.co.uk/numeric/nl/nagdoc_latest/flhtml/e04/e04ycf.html Ceres-solver: https://ceres-solver.googlesource.com/ceres-solver/+/refs/heads/master/include/ceres/covariance.h lm.m: https://people.duke.edu/~hpgavin/ce281/lm.pdf https://www8.cs.umu.se/kurser/5DA001/HT07/lectures/lsq-handouts.pdf

talassio commented 3 years ago

Update: Export and assembly of covariance, variance and J^T J are already in bxnl, so we could backport to RALFit (unfortunately this does not include the active constraint case)