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accosmin / nano

C++ library [machine learning & numerical optimization] - superseeded by libnano
MIT License
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Extended backtracking line-search for Armijo condition #205

Closed accosmin closed 5 years ago

accosmin commented 5 years ago

Use interpolation (see Nocedal's book) to decrease the line-search step.

accosmin commented 5 years ago

See also this book for different backtracking versions:
John E. Dennis and Robert B. Schnabel. Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Englewood Cliffs, 1983.

accosmin commented 5 years ago

Actually the backtracking algorithm described there is the simplest one with constant length decrement. The more advanced version is very similar to the Lemarechal's algorithm (Armijo + regular Wolfe conditions).