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[Help-gsl] Sparse Levenberg-Marquardt

From: Tom Banwell
Subject: [Help-gsl] Sparse Levenberg-Marquardt
Date: Mon, 14 Sep 2009 13:46:52 +0000

Hi Everyone,

I was wondering if you could help me.  I have a nonlinear least squares problem 
that has a large number of parameters, greater than 1,000.  I am currently 
solving it using the current version of GSL, Levenberg-Marquardt algorithm.  
This works well but it is slow and takes several seconds.  I would ideally like 
it to be a lot less time, and have read that I can exploit the spareness of the 
jacobians using QR factorization.  Most of my parameters are not dependent on 
other parameters and my jacobian is therefore quite sparse.

I was wondering if anyone knows the answers to my follwing questions:

1) How to exploit the sparseness of Jacobians in Levenberg-Marquardt using QR.
2) How to exploit the sparseness of Jacobians in Levenberg-Marquardt 
alternative ways.
3) If it is possible to do this in the current GSL.
4) If not currently possible, will the sparseness be exploited in GSL at a 
later date.
5) Other algorithms or libraries I could use.



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