Nonlinear Estimation Using a Microcomputer

The estimation of nonlinear models, possibly involving constraints, can be carried out quite easily using contemporary computers. The estimation process is illustrated using both real-world and artificial problems, the largest problem involving no less than 1250 nonlinear parameters. The formulation of nonlinear estimation problems is presented and various algorithms are suggested for their solution. The particular numerical methods suitable for microcomputer environments are sketched. A discussion of the role of scaling is given. Performance figures are presented for various problems using a North Star Horizon computer and the Radio Shack/Sharp Pocket Computer. It is noted that the microcomputer was able to solve a 41 parameter econometric problem in relatively little time after a service bureau budget had been exhausted in seeking parameter estimates without success.