linesearch: Line searcher function

In frankongre/RcppGLM: Parallel Generalization Linear Mode

Description

linesearcher method for GLM class

define lineseaher method

Usage

wolfe_linesearcher(a = 0.01, b = 0.9, t0 = 1, tol = 0.001, ...)

backtrack_linesearcher(a = 0.4, b = 0.8, ...)

Arguments

a	m1 in f(xᵢ + t*d) <= f(xᵢ) + m₁*t<∇f(xᵢ) , d>
b	m2 in <∇f(xᵢ + t*d), d> >= m₂<∇f(xᵢ), d>
t0	init step size
tol	tolerance
a	f(x + t * Δx) ≦ f(x) + a.t<∇f(x), Δx
b

Details

Linesearch backtrack

frankongre/RcppGLM documentation built on May 16, 2019, 1:57 p.m.