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# A Gauss-Newton-like optimization algorithm for "weighted" nonlinear least-squares problems

@article{Guillaume1996AGO, title={A Gauss-Newton-like optimization algorithm for "weighted" nonlinear least-squares problems}, author={Patrick Guillaume and Rik Pintelon}, journal={IEEE Trans. Signal Processing}, year={1996}, volume={44}, pages={2222-2228} }

- Published 1996 in IEEE Trans. Signal Processing
DOI:10.1109/78.536679

The Gauss-Newton algorithm is often used to minimize a nonlinear least-squares loss function instead of the original Newton-Raphson algorithm. The main reason is the fact that only first-order derivatives are needed to construct the Jacobian matrix. Some applications as, for instance multivariable system identification, give rise to “weighted” nonlinear least-squares problems for which it can become quite hard to obtain an analytical expression of the Jacobian matrix. To overcome that struggle… CONTINUE READING

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