Hi, I am thinking about writing a package that implements a generalized least squares fitting method or perhaps seek to contribute somewhere where it might fit. Before I write more than my prototype, I wanted to double check that I am not overlooking some already existing project. The algorithm th…

Thanks for pointing me to this method—I have never heard of it so far (my background is in physical chemistry and metrology). I would not be surprised if the solution is something from a different field that uses a different terminology that I am unfamiliar with and thus overlooked it. Wikipedia de…

You are right, using some of the available packages that perform optimization to minimize the chi-square function given in the paper may be a good solution. Accounting for the constraint functions is a must, however. JuMP does allow to minimize a cost function subject to some constraints, so I gues…

Sorry, my last post should have been a reply to @alusiani

[image] nluetts: The important feature is that it can handle covariance in all input parameters. This allows, for example, to fit a curve to measurement data with uncertainties in x- and y-values AND have correlations in uncertainties accounted for. Have you checked TotalLeastSquares.jl ? One…

[image] nluetts: … With Julia I found it rather easy to write the code that does the fitting (more or less just copy the equations …): … Nice code! In the code I wrote, 90% of the code deals with trivial issues like reading data, storing data, indexing them, printing them, and 10% or less…

Since minuit was mentioned here: I have the beginnings of a wrapper of the C++ version of minuit working in this package https://github.com/jstrube/Minuit2.jl The tests show you how to use it, but not all features are implemented yet, and I don’t have the time to take it further. I believe the hard…

I checked TotalLeastSquares.jl, but I didn’t see how to make it work for a non-linear measurement model. I missed the reference though, thanks for pointing that out.

[image] alusiani: I can give you the whole code, it was on github at some point, and I can put it back there. The minimization procedure code is quite simple, it is in the R language, is not general and deals with just one specific fit, and is not well documented. I’d love to have more time and …

[image] nluetts: [image] alusiani: I can give you the whole code, it was on github at some point, and I can put it back there. The minimization procedure code is quite simple, it is in the R language, is not general and deals with just one specific fit, and is not well documented. I’d love t…

Least squares fitting that accounts for covariance matrix of all input parameters

Specific Domains Optimization (Mathematical)

HerAdri July 21, 2021, 6:55am 13

Here I attach a jpg from document, where we show the development of the article by Lars Nielsen “Evaluation of Measurements by the Method of Least Squares” It is developed in Maple. I would be very happy to see it developed in Julia

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Least squares fitting that accounts for covariance matrix of all input parameters

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