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Add Levenberg-Marquardt least squares method #33

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saxena-ashish-g opened this issue May 29, 2020 · 2 comments
Open

Add Levenberg-Marquardt least squares method #33

saxena-ashish-g opened this issue May 29, 2020 · 2 comments
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@gavincyi

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@saxena-ashish-g
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Levenberg-Marquardt is a frequently needed algorithm in curve fitting problems in finance. It would be great to have a batched TF implementation in the library. It should be placed in the optimizers folder.

The reference implementation to follow is the MINPACK routines. In addition to the original Fortran version there is also a C++ version available.
@saxena-ashish-g saxena-ashish-g added the help wanted Extra attention is needed label May 29, 2020
@gavincyi
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gavincyi commented May 29, 2020 •
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I am happy to take over it.

@saxena-ashish-g
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saxena-ashish-g commented May 29, 2020 via email

@gavincyi gavincyi mentioned this issue Jun 12, 2020
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@saxena-ashish-g saxena-ashish-g removed the help wanted Extra attention is needed label Jul 9, 2020
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