google / google/tf-quant-finance
Add Levenberg-Marquardt least squares method
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Description
[Levenberg-Marquardt](https://en.m.wikipedia.org/wiki/Levenberg%E2%80%93Marquardt_algorithm) is a frequently needed algorithm in curve fitting problems in finance. It would be great to have a batched TF implementation in the library. It should be placed in the optimizers folder.
The reference implementation to follow is the MINPACK routines. In addition to the original [Fortran version](https://people.sc.fsu.edu/~jburkardt/f_src/minpack/minpack.html) there is also a [C++ version](https://people.sc.fsu.edu/~jburkardt/cpp_src/minpack/minpack.html) available.
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