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Hybrid method for nonlinear least-square problems without calculating derivatives

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Abstract

This paper presents a no-derivative modification of the hybrid Gauss-Newton-BFGS method for nonlinear least-square problems suggested initially by Al-Baali and Fletcher and modified later by Fletcher and Xu. The modification is made in such a way that, in a Gauss-Newton step, the Broyden's rank-one updating formula is used to obtain an approximate Jacobian and, in a BFGS step, the Jacobian is estimated using difference formulas. A set of numerical comparisons among the new hybrid method, the Gauss-Newton-Broyden method, and the finite-difference BFGS method is made and shows that the new hybrid method combines the better features of the Gauss-Newton-Broyden method and the finite-difference BFGS method. This paper also extends to the least-square problem the finite-termination property of the Broyden method, proved for a nonsingular system of equations by Gay and for the full-rank rectangular system of equations by Gerber and Luk.

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Additional information

The author would like to acknowledge the support of Xian Jiaotong University, Xian, China, and the award of a United Kingdom ORS studentship. The author wishes to express his gratitute to Professor R. Fletcher for his encouragement and to thank Dr. G. A. Watson and Dr. M. C. Bartholomew-Biggs for their useful comments during the preparation of this paper. The author also wishes to acknowledge Professor R. A. Tapia for his valuable suggestions.

Communicated by R. A. Tapia

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Xu, C.X. Hybrid method for nonlinear least-square problems without calculating derivatives. J Optim Theory Appl 65, 555–574 (1990). https://doi.org/10.1007/BF00939566

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Key Words

  • Nonlinear least squares
  • hybrid method
  • Gauss-Newton method
  • BFGS method
  • finite-termination property