Handling bound constraints by the Levenberg-Marquardt algorithm
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Hello,
Could anyone please tell me why the Levenberg-Marquardt algorithm embedded in "lsqnonlin" does not handle bound constraints, while the other one ("trust-region-reflective") does?
There are implementations of the Levenberg-Marquardt algorithm that do accept bound constraints, so what is the principle limitation explaining why this has not been implemented in "lsqnonlin"?
Thank you!
Igor.
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채택된 답변
Matt J
2019년 1월 29일
편집: Matt J
2019년 1월 29일
The theory of Levenberg-Marquardt does not define a way to handle bound constraints. If, as you claim, there are modifications of classical LM that support bounds, I surmise that they involve manipulations similar in spirit to what is done in the trust-region algorithm.
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Matt J
2019년 1월 29일
Trust region methods are a very large family, but I don't know of a widely accepted term for Matlab's specific implementation. Maybe you should just cite Coleman and Li.
추가 답변 (1개)
Xingwang Yong
2021년 4월 27일
편집: Xingwang Yong
2021년 4월 27일
In matlab2020b, the doc of lsqcurvefit() has removed "The Levenberg-Marquardt algorithm does not handle bound constraints". So it support bound constraints in LM, can be seen in release notes and doc.
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