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[Help-gsl] iteratively re-weighted least squares fitting

From: David Komanek
Subject: [Help-gsl] iteratively re-weighted least squares fitting
Date: Fri, 05 Nov 2010 23:09:54 +0100
User-agent: Mozilla/5.0 (Windows; U; Windows NT 6.0; cs; rv: Gecko/20101027 Lightning/1.0b2 Thunderbird/3.1.6

Dear all,

I ran into problems using weighted least squares fitting in GSL. For
some reason I need to use IRLS modification of this method, so the
weights are recomputed in every iteration. In the case the weights are
computed at the beginning and being constant throug all the iterations,
the procedure works fine. But when I adjust the weights in every
iteration, this usually leads to an error:

27 iteration is not making progress towards solution

I think it is because there are some internally tested conditions and
some of them are not satisfied in this case. For example, in SAS, there
is a special parameter to relax those conditions:

Is something like this possible with GSL ?

Thank you in advance.


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