[SciPy-user] Numerical Recipes robust fit implementation
dmitrey
openopt at ukr.net
Mon Jul 16 07:41:06 EDT 2007
my 2 cents:
openopt ralg solver works good to (currently unconstrained only)
problems like F(x) = sum(abs(f[i](x))) (or other non-smooth funcs;
convexity is highly preferable)
and it can use F(x) 1st derive if provided by user
however, ralg is intended for medium-scale problems only (nVars up to
1000), and it is missing patterns yet, I guess it could be nice for your
problem
HTH, D.
Matthieu Brucher wrote:
> Hi,
>
>
> Ultimately I hope to determine the probability of a
> a given data set being exponentially distributed,
>
>
>
>
> In this case, you could use a non quadratic fit function, with a
> pseudo norm1 cost ( for instance sqrt(eps + (y-f(x))²) with a small
> eps so that the cost is derivable and a gradient descent should do the
> trick).
>
> Matthieu
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