levenberg-marquardt

A lightweight Java implementation of Levenberg-Marquardt algorithm

Augmented normal equation

  (H + uI) * h = -g

where:

• H is the Hessian matrix of the chi-squared error function
• g is the gradient (Jacobian) vector of the chi-squared error function
• u is the damping value

Adjusting damping value

Damping value is adjusted at each iteration. The adjustment follows the algorithm presented in Methods for non-linear least squares problems by Kaj Madsen, Hans Bruun Nielsen, Ole Tingleff. The lecture note can be downloaded here