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softline

Soft (Inexact) Line Search


Description

Fletcher's inexact line search algorithm.

Usage

softline(x0, d0, f, g = NULL)

Arguments

x0

initial point for linesearch.

d0

search direction from x0.

f

real function of several variables that is to be minimized.

g

gradient of objective function f; computed numerically if not provided.

Details

Many optimization methods have been found to be quite tolerant to line search imprecision, therefore inexact line searches are often used in these methods.

Value

Returns the suggested inexact optimization paramater as a real number a0 such that x0+a0*d0 should be a reasonable approximation.

Note

Matlab version of an inexact linesearch algorithm by A. Antoniou and W.-S. Lu in their textbook “Practical Optimization”. Translated to R by Hans W Borchers.

References

Fletcher, R. (1980). Practical Methods of Optimization, Volume 1., Section 2.6. Wiley, New York.

Antoniou, A., and W.-S. Lu (2007). Practical Optimization: Algorithms and Engineering Applications. Springer Science+Business Media, New York.

See Also

Examples

##  Himmelblau function
  f_himm <- function(x) (x[1]^2 + x[2] - 11)^2 + (x[1] + x[2]^2 - 7)^2
  g_himm <- function(x) {
    w1 <- (x[1]^2 + x[2] - 11); w2 <- (x[1] + x[2]^2 - 7)
    g1 <- 4*w1*x[1] + 2*w2;     g2 <- 2*w1 + 4*w2*x[2]
    c(g1, g2)
  }
  # Find inexact minimum from [6, 6] in the direction [-1, -1] !
  softline(c(6, 6), c(-1, -1), f_himm, g_himm)
  # [1] 3.458463

  # Find the same minimum by using the numerical gradient
  softline(c(6, 6), c(-1, -1), f_himm)
  # [1] 3.458463

pracma

Practical Numerical Math Functions

v2.3.3
GPL (>= 3)
Authors
Hans W. Borchers [aut, cre]
Initial release
2021-01-22

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