Armijo line search. More...
#include <Armijo.hpp>
Inheritance diagram for QuantLib::ArmijoLineSearch:
Public Member Functions | |
| ArmijoLineSearch (RealType eps=1e-8, RealType alpha=0.05, RealType beta=0.65) | |
| Default constructor. | |
| RealType | operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const RealType t_ini) |
| Perform line search. | |
| Public Member Functions inherited from QuantLib::LineSearch | |
| LineSearch (RealType=0.0) | |
| Default constructor. | |
| virtual | ~LineSearch () |
| Destructor. | |
| const DynamicVector< RealType > & | lastX () |
| return last x value | |
| RealType | lastFunctionValue () |
| return last objective function value | |
| const DynamicVector< RealType > & | lastGradient () |
| return last gradient | |
| RealType | lastGradientNorm2 () |
| return square norm of last gradient | |
| bool | succeed () |
| RealType | update (DynamicVector< RealType > ¶ms, const DynamicVector< RealType > &direction, RealType beta, const Constraint &constraint) |
| const DynamicVector< RealType > & | searchDirection () const |
| current value of the search direction | |
| DynamicVector< RealType > & | searchDirection () |
Additional Inherited Members | |
| Protected Attributes inherited from QuantLib::LineSearch | |
| DynamicVector< RealType > | searchDirection_ |
| current values of the search direction | |
| DynamicVector< RealType > | xtd_ |
| new x and its gradient | |
| DynamicVector< RealType > | gradient_ |
| RealType | qt_ |
| objective function value and gradient norm corresponding to xtd_ | |
| RealType | qpt_ |
| bool | succeed_ |
| flag to know if linesearch succeed | |
Detailed Description
Armijo line search.
Let \( \alpha \) and \( \beta \) be 2 scalars in \( [0,1] \). Let \( x \) be the current value of the unknown, \( d \) the search direction and \( t \) the step. Let \( f \) be the function to minimize. The line search stops when \( t \) verifies
\[ f(x + t \cdot d) - f(x) \leq -\alpha t f'(x+t \cdot d) \]
and
\[ f(x+\frac{t}{\beta} \cdot d) - f(x) > -\frac{\alpha}{\beta} t f'(x+t \cdot d) \]
(see Polak, Algorithms and consistent approximations, Optimization, volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, 1997)
Definition at line 48 of file Armijo.hpp.
Constructor & Destructor Documentation
◆ ArmijoLineSearch()
|
inline |
Default constructor.
Definition at line 51 of file Armijo.hpp.
Member Function Documentation
◆ operator()()
|
virtual |
Perform line search.
Implements QuantLib::LineSearch.
Definition at line 27 of file Armijo.cpp.
References QuantLib::EndCriteria::checkMaxIterations(), QuantLib::Problem::constraint(), QuantLib::Problem::currentValue(), QuantLib::Problem::functionValue(), QuantLib::Problem::gradient(), QuantLib::Problem::gradientNormValue(), QuantLib::LineSearch::qt_, QuantLib::LineSearch::searchDirection_, QuantLib::LineSearch::succeed_, QuantLib::Problem::value(), and QuantLib::LineSearch::xtd_.
The documentation for this class was generated from the following files:
- optimization/Armijo.hpp
- optimization/Armijo.cpp
