Nonlinear least squares — the Levenberg algorithm revisited

Abstract

Abstract One of the most succesful algorithims for nonlinear least squares calculations is that associated with the names of Levenberg, Marquardt, and Morrison. This algorithim gives a method which depends nonlinearly on a parameter γ for computing the correction to the current point. In this paper an attempt is made to give a rule for choosing γ which (a) permits a satisfactory convergence theorem to be proved, and (b) is capable of satisfactory computer implementation. It is beleieved that the stated aims have been met with reasonable success. The convergence theorem is both simple and global in character, and a computer code is given which appears to be at least competitive with existing alternatives.