NEWS.md

In jlmelville/mize: Unconstrained Numerical Optimization Algorithms

mize 0.2.4

Bug fix release.

Bug fixes.

• If using line_search = "backtracking" with a specified step_down parameter, an incorrectly large number of gradient calculations was being reported.
• The documentation now specifies that if you don't provide a step_down argument with line_search = "backtracking", interpolation using function and gradient evaluations is carried out. To get a typical Armijo-style backtracking line search, specify a value for step_down (e.g. step_down = 0.5 to halve the step size), and only function evaluations are used.

mize 0.2.3

A patch release to fix an incompatibility with R-devel.

Bug fixes

• Fixed a bug where class was being checked directly and a scalar value was assumed. The correct behavior is to use methods::is.

mize 0.2.2

A patch release for a bug fix.

Bug fixes

• Fixed a bug where if the maximum number of function evaluations for the Schmidt line search is exceeded (controlled by the ls_max_fn parameter), a 'bracket_step' not found error could result. Thank you to reporter Charles Driver.
• Fixed a couple of vignette links that were missing the "http://" at the front.

mize 0.2.1

A patch release to fix an incompatibility with R-devel.

Bug fixes

• Fixed an error with bold driver and back-tracking line search where the stage was being incorrectly checked.

mize 0.2.0

New features

• New method: Truncated Newton (method = "TN"). Can be controlled using the tn_init and tn_exit options.
• New method: SR1 (method = "SR1"), falling back to the BFGS direction if a descent direction is not found.
• New option preconditioner, which applies to the conjugate gradient and truncated newton methods. The only value currently available is preconditioner = "L-BFGS" which uses L-BFGS to estimate the inverse Hessian for preconditioning. The number of updates to store for this preconditioner is controlled by the memory parameter, just as if you were using method = "L-BFGS".
• BFGS, SR1, L-BFGS methods will now make use of a user-supplied inverse Hessian function if provided. In the input fg list, supply a function hi, that takes the par vector as input. The function can return a matrix (obviously not a great idea for memory use), or a vector, the latter of which is assumed to be the diagonal of the matrix.
• ls_max_alpha (for line_search = "More-Thuente" only): sets maximum value of alpha that can be attained during line search.
• ls_max_alpha_mult (for Wolfe-type line search only): sets maximum value that can be attained by the ratio of the initial guess for alpha for the current line search, to the final value of alpha of the previous line search. Used to stop line searches diverging due to very large initial guesses.
• ls_safe_cubic (for line_search = "More-Thuente" only): if TRUE, use the safe-guarded cubic modification suggested by Xie and Schlick.
• cg_update = "prfr", the "PR-FR" (Polak-Ribiere/Fletcher-Reeves) conjugate gradient update suggested by Gilbert and Nocedal.

Bug fixes

• Error occurred when checking if a step size was finite during line search.
• DBD method didn't use momentum when asked to.
• Fix incorrectly specified conjugate gradient descent methods: Hestenes-Stiefel (cg_udpate = "hs"), Conjugate Descent (cg_udpate = "cd"), Dai-Yuan (cg_udpate = "dy") and Liu-Storey (cg_udpate = "ls").

mize 0.1.1

Initial release.

jlmelville/mize documentation built on Jan. 17, 2022, 8:47 a.m.