Non-linear Least Squares Optimization Library for C

c optimization least-squares levenberg-marquardt
alkar picture alkar · Jun 19, 2011 · Viewed 16.4k times · Source

I'm looking for a library in C that will do optimization of an objective function (preferrably Levenberg-Marquardt algorithm) and will support box constraints, linear inequality constraints and non-linear inequality constraints.

I've tried several libraries already, but none of them do employ the necessary constraint types for my application:

  • GNU GSL (does not support constraints at all)
  • cMPFIT (only supports box constraints)
  • levmar (does not support non-linear constraints at all)

I am currently exploring NLopt, but I'm not sure if I can achieve a least-squares approach with any of the supplied algorithms.

I find it hard to believe that there's not a single library supporting the full range of constraints in this problem, so I guess I did a mistake somewhere while googling.

I recently discovered I can call Matlab functions from C. While that would solve the problem quite easily, I don't want to have to call Matlab functions from C. It's not fast in my experience.

Any help will be greatly appreciated.

Answer

marcin picture marcin · Jun 20, 2011

Some time ago I was researching the state of C/C++ least squares fitting libraries. I noted down a few links, including the ones you gave and also:

  • ALGLIB/optimization -- Lev-Mar with boundary constraints.

  • WNLIB/wnnlp -- a constrained non-linear optimization package in C (general optimization, not least squares). Constraints are handled by adding a penalty function.

I haven't used any of the libraries yet, but NLopt seems the most promising for me. It would be great if it had specialized interface and algorithms for (weighted) least-squares fitting.

BTW, does your note about Matlab mean that it has Lev-Mar with non-linear constraints?

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