Relation within Gauss-Newton method for minimization

Click For Summary
SUMMARY

The Gauss-Newton method is utilized for minimizing the sum of squares in nonlinear regression models, specifically represented as $Y_i=f(z_i,\theta)+\epsilon_i$. The update formula for the parameter $\theta$ from iteration $t$ to $t+1$ is defined as $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$, where $A^{(t)}$ is the Jacobian matrix with rows $f'(z_i,\theta^{(t)})^T$ and $x^{(t)}$ is the residual vector $Y_i-f(z_i,\theta^{(t)})$. This formulation is derived from the need to minimize the residuals in the context of nonlinear least squares optimization.

PREREQUISITES
  • Understanding of nonlinear regression models
  • Familiarity with the Gauss-Newton optimization algorithm
  • Knowledge of matrix calculus and Jacobian matrices
  • Proficiency in deriving and manipulating equations related to least squares
NEXT STEPS
  • Study the derivation of the Gauss-Newton update formula in detail
  • Learn about Jacobian matrices and their role in optimization
  • Explore nonlinear regression techniques and their applications
  • Investigate alternative optimization methods such as Levenberg-Marquardt
USEFUL FOR

Statisticians, data scientists, and researchers involved in nonlinear regression analysis and optimization techniques will benefit from this discussion.

i_a_n
Messages
78
Reaction score
0
If we study model fit on a nonlinear regression model $Y_i=f(z_i,\theta)+\epsilon_i$, $i=1,...,n$, and in the Gauss-Newton method, the update on the parameter $\theta$ from step $t$ to $t+1$ is to minimize the sum of squares $\sum_{i=1}^{n}[Y_i-f(z_i,\theta^{(t)})-(\theta-\theta^{(t)})^Tf'(z_i,\theta^{(t)})]^2$. Can we prove that (why) (part 1) the update is given in the following form: $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$,(part 2) where $A^{(t)}$ is a matrix whose $i$-th row is $f'(z_i,\theta^{(t)})^T$, and $x^{(t)}$ is a column vector whose $i$-th entry is $Y_i-f(z_i,\theta^{(t)})$.
Any solution or hints? How to derive those relationships?

Thanks in advance!
 
Physics news on Phys.org
ianchenmu said:
If we study model fit on a nonlinear regression model $Y_i=f(z_i,\theta)+\epsilon_i$, $i=1,...,n$, and in the Gauss-Newton method, the update on the parameter $\theta$ from step $t$ to $t+1$ is to minimize the sum of squares $\sum_{i=1}^{n}[Y_i-f(z_i,\theta^{(t)})-(\theta-\theta^{(t)})^Tf'(z_i,\theta^{(t)})]^2$. Can we prove that (why) (part 1) the update is given in the following form: $\theta^{(t+1)}=\theta^{(t)}+[(A^{(t)})^TA^{(t)}]^{-1}(A^{(t)})^Tx^{(t)}$,(part 2) where $A^{(t)}$ is a matrix whose $i$-th row is $f'(z_i,\theta^{(t)})^T$, and $x^{(t)}$ is a column vector whose $i$-th entry is $Y_i-f(z_i,\theta^{(t)})$.
Any solution or hints? How to derive those relationships?

Thanks in advance!

How are those iterations (or updates) defined in the Gauss-Newton method?
 

Similar threads

Replies
1
Views
2K
Replies
3
Views
2K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 6 ·
Replies
6
Views
2K
Replies
2
Views
2K
  • · Replies 13 ·
Replies
13
Views
2K
  • · Replies 1 ·
Replies
1
Views
2K
  • · Replies 6 ·
Replies
6
Views
3K
  • · Replies 6 ·
Replies
6
Views
2K
  • · Replies 1 ·
Replies
1
Views
2K