Package minimise :: Package line_search :: Module backtrack
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Module backtrack

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Functions [hide private]
 
backtrack(func, args, x, f, g, p, a_init=1.0, rho=0.5, c=0.0001)
Backtracking line search.
source code

Imports: dot


Function Details [hide private]

backtrack(func, args, x, f, g, p, a_init=1.0, rho=0.5, c=0.0001)

source code 
Backtracking line search.

Procedure 3.1, page 41, from 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999
Requires the gradient vector at point xk.


Function options
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func            - The function to minimise.
args            - The tuple of arguments to supply to the functions func.
x               - The parameter vector.
f               - The function value at the point x.
g               - The gradient vector at the point x.
p               - The descent direction.
a_init          - Initial step length.
rho             - The step length scaling factor (should be between 0 and 1).
c               - Constant between 0 and 1 determining the slope for the sufficient decrease condition.


Returned objects
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The parameter vector, minimised along the direction xk + ak.pk, to be used at k+1.


Internal variables
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ai              - The step length at line search iteration i.
xai             - The parameter vector at step length ai.
fai             - The function value at step length ai.