How to find uncertainties of estimated parameters in Levenberg- Marquardt algorithm

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Chris Martin
Chris Martin 2015-11-4
回答： chris 2025-7-9
Hello I have used Levenberg-Marquardt algorithm in 3 parameter problem but I unable to estimate uncertainties associated with it, Please help me in this regard

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Torsten
Torsten 2015-11-4
If you have the statistics toolbox, use nlinfit together with nlparci and nlpredci.
Best wishes
Torsten.
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chris
chris 2025-7-9
You can use Laplace's approximation.
After Levenberg Marquardt (LM) has converged, take the (negative of the) Hessian at that point. This is equal to the precision matrix (inverse of covariance matrix) for a multivariate Gaussian distribution over your parameters.
The location parameter of this distribution is of course just the solution provided by LM.
Note that you do not want to approximate the Hessian with the Jacobian!

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