Class WolfeNWLineSearch

JSAT/src/jsat/math/optimization/WolfeNWLineSearch.java:16–289

An implementation of the Wolfe Line Search algorithm described by Nocedal and Wright in Numerical Optimization (2nd edition) on pages 59-63. @author Edward Raff

 * @author Edward Raff
 */
public class WolfeNWLineSearch implements LineSearch
{
    //default values that make setting in the constructor simple (shouldn't actually use)
    private double c1 = Math.nextUp(0), c2 = Math.nextAfter(1, Double.NEGATIVE_INFINITY);
    
    /**
     * Creates a new Wolfe line search with {@link #setC1(double) } set to 
     * {@code 1e-4} and {@link #setC2(double) } to {@code 0.9}
     */
    public WolfeNWLineSearch()
    {
        this(1e-4, 0.9);
    }

    /**
     * Creates a new Wolfe line search
     * @param c1 the <i>sufficient decrease condition</i> constant
     * @param c2 the <i>curvature condition</i> constant
     */
    public WolfeNWLineSearch(double c1, double c2)
    {
        setC1(c1);
        setC2(c2);
    }
    
    private AlphaInit initMethod = AlphaInit.METHOD1;
    
    double alpha_prev = -1, f_x_prev = Double.NaN, gradP_prev = Double.NaN;

    public enum AlphaInit
    {
        /**
         * Initializes the new &alpha; value via &alpha;<sub>prev</sub> 
         * &nabla;f(x<sub>prev</sub>)<sup>T</sup>p<sub>prev</sub>/
         * &nabla;f(x<sub>cur</sub>)<sup>T</sup>p<sub>cur</sub>
         */
        METHOD1, 
        /**
         * Initializes the new &alpha; value via 
         * 2( f(x<sub>cur</sub>)-f(x<sub>prev</sub>))/&phi;'(0)
         */
        METHOD2
    }

    /**
     * Sets the constant used for the <i>sufficient decrease condition</i> 
     * f(x+&alpha; p) &le; f(x) + c<sub>1</sub> &alpha; p<sup>T</sup>&nabla;f(x)
     * <br>
     * <br>
     * This value must always be less than {@link #setC2(double) }
     * @param c1 the <i>sufficient decrease condition</i> 
     */
    public void setC1(double c1)
    {
        if(c1 <= 0)
            throw new IllegalArgumentException("c1 must be greater than 0, not " + c1);
        else if(c1 >= c2)
            throw new IllegalArgumentException("c1 must be less than c2");