Re: [eigen] port of (c)minpack to eigen : status

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Hi Thomas,

I would be very much interested in having such a generic least-squares

On Sun, Aug 30, 2009 at 22:30, Thomas Capricelli<orzel@xxxxxxxxxxxxxxx> wrote:
> Few words about the API
> All algorithms can use either the jacobian (provided by the user) or compute
> an approximation by themselves (using forward-difference). The part of API
> referring to the latter use 'NumericalDiff' in the method name (exemple
> :LevenbergMarquardt.minimizeNumericalDiff() )

Would it also be possible to provide only the pseudo-Hessian and the
product of the Jacobian and the residual vector?

This would be very helpful to deal with problems such as image
registration where the Jacobian matrix is very skinny, typically 10^8
by 12.

The least squares problem basically boils down to solving

  ( J^T . J ) . h = - J^T . f

where J is the jacobian, h is the update and f is the resudual vector.
In the image registration use case the Jacobian is really big but the

  H = ( J^T . J )

and the product of the Jacobian with the residual vector

  J^T . f

are tiny

  H : 12 by 12
  J^T . f : 12 by 1

Storing only these variables makes the memory consumption much lower
and speeds up the algorithm. This is however at the cost of loosing
some numerical accuracy. Indeed, one does not rely on the QR
decomposition of J anymore but typically relies on a Cholesky
decomposition of H.

> Final remarks:
> * there is a method called 'dogleg', and while i'm not very aware of what this
> is, i think i've understood that it has a broader scope than just the Hybrid
> algorithm, so maybe we should make it available in a more general way in
> eigen. Do anybody know better than me about this ?

The dog-leg approach is nice because it only requires to solve one
linear system per iteration as opposed to Levenberg-Marquardt.

Below is a very nice tutorial on non-linear least squares. Many
algorithms including Powell's dog-leg are given in pseudo code:
Madsen, K., Nielsen, H. B., Tingleff, O., Methods for Non-Linear Least
Squares Problems (2nd ed.), pp. 60, 2004

As a companion to this paper, there is a matlab toolbox:

Hope this helps,
Tom Vercauteren

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