Added strong wolfe line search from "Numeric Optimization" book #6
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
This is fantastic work, and I have added an |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Hi @yixuan,
Sorry it took me so long, but here's the implementation of the line search method as described in the "Numeric Optimization" book. The algorithm has no no name in the book, so I've dubbed it
LineSearchNocedalWrightafter the book's authors.The PR also contains a little comparison of the three line search methods in the Rosenbrock case (feel free to remove it).
LineSearchBacktrackingandLineSearchBracketingare roughly on par.LineSearchNocedalWrighton the other hand takes up to 10% less function calls, which is not bad.Feel free to make suggestions and changes, especially when it comes to the code formatting.