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Least-Squares Minimization with Constraints for Python

Project description

LMfit-py provides a Least-Squares Minimization routine and class with a simple, flexible approach to parameterizing a model for fitting to data. Named Parameters can be held fixed or freely adjusted in the fit, or held between lower and upper bounds. In addition, parameters can be constrained as a simple mathematical expression of other Parameters.

To do this, the programmer defines a Parameters object, an enhanced dictionary, containing named parameters:

fit_params = Parameters() fit_params[‘amp’] = Parameter(value=1.2, min=0.1, max=1000) fit_params[‘cen’] = Parameter(value=40.0, vary=False), fit_params[‘wid’] = Parameter(value=4, min=0)}

or using the equivalent

fit_params = Parameters() fit_params.add(‘amp’, value=1.2, min=0.1, max=1000) fit_params.add(‘cen’, value=40.0, vary=False), fit_params.add(‘wid’, value=4, min=0)

The programmer will also write a function to be minimized (in the least-squares sense) with its first argument being this Parameters object, and additional positional and keyword arguments as desired:

def myfunc(params, x, data, someflag=True):

amp = params[‘amp’].value cen = params[‘cen’].value wid = params[‘wid’].value … return residual_array

For each call of this function, the values for the params may have changed, subject to the bounds and constraint settings for each Parameter. The function should return the residual (ie, data-model) array to be minimized.

The advantage here is that the function to be minimized does not have to be changed if different bounds or constraints are placed on the fitting Parameters. The fitting model (as described in myfunc) is instead written in terms of physical parameters of the system, and remains remains independent of what is actually varied in the fit. In addition, which parameters are adjuested and which are fixed happens at run-time, so that changing what is varied and what constraints are placed on the parameters can easily be modified by the consumer in real-time data analysis.

To perform the fit, the user calls

result = minimize(myfunc, fit_params, args=(x, data), kws={‘someflag’:True}, ….)

After the fit, each real variable in the fit_params dictionary is updated to have best-fit values, estimated standard deviations, and correlations with other variables in the fit, while the results dictionary holds fit statistics and information.

By default, the underlying fit algorithm is the Levenberg-Marquart algorithm with numerically-calculated derivatives from MINPACK’s lmdif function, as used by scipy.optimize.leastsq. Other solvers (currently Simulated Annealing and L-BFGS-B) are also available, though slightly less well-tested and supported.

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