(Weighted) least squares fits



A classic. Surprisingly deep.

A few non-comprehensive notes to approximating functions from data by the arbitrary-but-convenient expedient of minimising the sum of the squares of the deviances between two things; The linear algebra of least squares fits seems well-trodden and perenially classic. Used in many many problems. e.g. lasso regression, Gaussian belief propagation.

Introduction

Nonlinear least squares

TRust region and Levenberg-Marquardt methods in 2nd order optimisation.

Tools

OpenSLAM.org

References

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