## Levenberg-Marquardt Optimizer

The Levenberg-Marquardt [96] optimizer (LMMIN) uses a so-called trust region method where the search direction is a combination of steepest descent and the Newton direction. The search direction is defined by:

where denotes the unity matrix, the Marquardt parameter, and the Jacobian matrix:

The value of is adjusted based on the last evaluation. For a value of the direction results in the Newton direction, whereas for the direction is common to the steepest descent method.

The implementation used in the presented examples is based on the MINPACK project [97,98].

2003-03-27