Description Usage Arguments Details Value See Also Examples

Line Search Factory Function

1 | ```
rasmussen(c1 = c2/2, c2 = 0.1, int = 0.1, ext = 3, max_fn = 20)
``` |

`c1` |
Constant used in sufficient decrease condition. Should take a value between 0 and 1. |

`c2` |
Constant used in curvature condition. Should take a value between c1 and 1. |

`int` |
Interpolation constant. Prevents step size being too small. |

`ext` |
Extrapolation constant. Prevents step size extrapolation being too large. |

`max_fn` |
Maximum number of function evaluations allowed. |

Line search algorithm originally written by Carl Edward Rasmussen in his conjugate gradient routine. It consists of two main parts:

Using cubic extrapolation from an initial starting guess for the step size until either the sufficient decrease condition is not met or the strong curvature condition is met.

Interpolation (quadratic or cubic) between that point and the start point of the search until either a step size is found which meets the Strong Wolfe conditions or the maximum number of allowed function evaluations is reached.

The extrapolation and interpolation steps are bounded at each stage to ensure they don't represent too large or small a change to the step size.

Line search function for use in the `conj_grad`

routine.

Line search based on Matlab code by Carl Edward Rasmussen and also part of the Matlab GPML package.

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jlmelville/rcgmin documentation built on May 17, 2017, 11:24 p.m.

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