Theory
Consider a set of data points, and a curve (model function) that in addition to the variable also depends on parameters, with It is desired to find the vector of parameters such that the curve fits best the given data in the least squares sense, that is, the sum of squares
is minimized, where the residuals (errors) ri are given by
for
The minimum value of S occurs when the gradient is zero. Since the model contains n parameters there are n gradient equations:
In a non-linear system, the derivatives are functions of both the independent variable and the parameters, so these gradient equations do not have a closed solution. Instead, initial values must be chosen for the parameters. Then, the parameters are refined iteratively, that is, the values are obtained by successive approximation,
Here, k is an iteration number and the vector of increments, is known as the shift vector. At each iteration the model is linearized by approximation to a first-order Taylor series expansion about
The Jacobian, J, is a function of constants, the independent variable and the parameters, so it changes from one iteration to the next. Thus, in terms of the linearized model, and the residuals are given by
Substituting these expressions into the gradient equations, they become
which, on rearrangement, become n simultaneous linear equations, the normal equations
The normal equations are written in matrix notation as
When the observations are not equally reliable, a weighted sum of squares may be minimized,
Each element of the diagonal weight matrix W should, ideally, be equal to the reciprocal of the error variance of the measurement. The normal equations are then
These equations form the basis for the Gauss–Newton algorithm for a non-linear least squares problem.
Read more about this topic: Non-linear Least Squares
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