A genetic algorithms based technique for computing the nonlinear least squares estimates of the parameters of sum of exponentials model

Authors:
Sharmishtha Mitra;Amit Mitra
Affiliations:
Department of Mathematics & Statistics, Indian Institute of Technology Kanpur, Kanpur 208016, India;Department of Mathematics & Statistics, Indian Institute of Technology Kanpur, Kanpur 208016, India
Venue:
Expert Systems with Applications: An International Journal
Year:
2012

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Abstract

Estimation of the parameters of a nonlinear sum of exponentials model is an important and well studied problem in time series analysis. The sum of exponentials model finds application in modeling various physical phenomena in a wide variety of real life applications. The problem of finding the nonlinear least squares estimates in well known to be numerically difficult. In this paper, we propose an elitist generational genetic algorithm based iterative procedure for computing the nonlinear least squares estimates. Simulation studies and real life data fitting examples indicate satisfactory performance of the proposed technique.