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Non Linear Least squares solver and maximum Likelihood Estimation (MLE)

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Maximum Likelihood Estimation (MLE)

Non Linear Leastsquares solver:

  • Implemented as a templated class in a single header
  • May be used to determine any number of params (given enough data points)
  • Enable use of robust kernels for outlier rejection
  • Allows constraints to curve fitting params
  • Uses paralelism with OMP for faster convergence

Compiled in windows from Visual-Studio-code + cmake with MSVC and msys2. Uses Eigen header only library, included in project.

Sample

  • main.cpp file contains sample data table (y,x) of a noisy gaussian distribution
  • The solver is used to determine the best p's for fitting data to function: y = f(x) = p0 * exp(-pow((x - p1) * p2, 2))

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Non Linear Least squares solver and maximum Likelihood Estimation (MLE)

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