[Help-gsl] Re: iteratively re-weighted least squares fitting

[Brian Hawkins]

David,

What's your convergence criterion?  Is your system full-rank?  Have you had
success with this problem using a different solver?  I'm having a hard time
understanding why the GSL solver in particular would be giving you trouble.

Regards,
Brian

On Sat, Nov 6, 2010 at 9:01 AM, <address@hidden> wrote:
>
> Message: 1
> Date: Fri, 05 Nov 2010 23:09:54 +0100
> From: David Komanek <address@hidden>
> Subject: [Help-gsl] iteratively re-weighted least squares fitting
> To: address@hidden
> Message-ID: <address@hidden>
> Content-Type: text/plain; charset=ISO-8859-2
>
> Dear all,
>
> I ran into problems using weighted least squares fitting in GSL. For
> some reason I need to use IRLS modification of this method, so the
> weights are recomputed in every iteration. In the case the weights are
> computed at the beginning and being constant throug all the iterations,
> the procedure works fine. But when I adjust the weights in every
> iteration, this usually leads to an error:
>
> 27 iteration is not making progress towards solution
>
> I think it is because there are some internally tested conditions and
> some of them are not satisfied in this case. For example, in SAS, there
> is a special parameter to relax those conditions:
>
>
> http://support.sas.com/documentation/cdl/en/statug/63033/HTML/default/viewer.htm#statug_nlin_sect034.htm
>
> Is something like this possible with GSL ?
>
> Thank you in advance.
>
> David
>