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This module implements a Levenberg-Marquardt optimizer.
Minimizes \(\min_{\mathbf{x} } \sum_i \|\mathbf{r}_i(\mathbf{x})\|^2_2\) where \(\mathbf{r}_i(\mathbf{x})\) are the residuals. This function implements Levenberg-Marquardt, an iterative process that linearizes the residuals and iteratively finds a displacement \(\Delta \mathbf{x}\) such that at iteration \(t\) an update \(\mathbf{x}_{t+1} = \mathbf{x}_{t} + \Delta \mathbf{x}\) improving the loss can be computed. The displacement is computed by solving an optimization problem \(\min_{\Delta \mathbf{x} } \sum_i \|\mathbf{J}_i(\mathbf{x}_{t})\Delta\mathbf{x} + \mathbf{r}_i(\mathbf{x}_t)\|^2_2 + \lambda\|\Delta \mathbf{x} \|_2^2\) where \(\mathbf{J}_i(\mathbf{x}_{t})\) is the Jacobian of \(\mathbf{r}_i\) computed at \(\mathbf{x}_t\), and \(\lambda\) is a scalar weight.
More details on Levenberg-Marquardt can be found on this page.
Functions
minimize(...): Minimizes a set of residuals in the least-squares sense.