Non-linear Least Squares Optimization Library for C

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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.

levenberg-marquardt least-squares optimization c
4 Answers

MPFIT: A MINPACK-1 Least Squares Fitting Library in C

MPFIT uses the Levenberg-Marquardt technique to solve the least-squares problem. In its typical use, MPFIT will be used to fit a user-supplied function (the "model") to user-supplied data points (the "data") by adjusting a set of parameters. MPFIT is based upon MINPACK-1 (LMDIF.F) by More' and collaborators.

http://cow.physics.wisc.edu/~craigm/idl/cmpfit.html

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