JAXFit: Trust Region Method for Nonlinear Least-Squares Curve Fitting on the GPU

Abstract: We implement a trust region method on the GPU for nonlinear least squares curve fitting problems using a new deep learning Python library called JAX. Our open source package, JAXFit, works for both unconstrained and constrained curve fitting problems and allows the fit functions to be defined in Python alone -- without any specialized knowledge of either the GPU or CUDA programming. Since JAXFit runs on the GPU, it is much faster than CPU based libraries and even other GPU based libraries, despite being very easy to use. Additionally, due to JAX's deep learning foundations, the Jacobian in JAXFit's trust region algorithm is calculated with automatic differentiation, rather than than using derivative approximations or requiring the user to define the fit function's partial derivatives.