ArmijoLineSearch Class Reference

#include <ql/Optimization/armijo.hpp>

Inheritance diagram for ArmijoLineSearch:

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Detailed Description

Armijo line search.

Let alpha and beta be 2 scalars in [0,1]. Let x be the current value of the unknow, d the search direction and t the step. Let f be the function to minimize. The line search stop when t verifies f(x+t*d) - f(x) <= -alpha*t*f'(x+t*d) and f(x+t/beta*d) - f(x) > -alpha*t*f'(x+t*d)/beta

(see Polak. Algorithms and consitent approximations, Optimization, volume 124 of Applied Mathematical Sciences. Springer-Arrayerlag, N-Y, 1997)


Public Member Functions

 ArmijoLineSearch (Real eps=1e-8, Real alpha=0.5, Real beta=0.65)
 Default constructor.

virtual ~ArmijoLineSearch ()
 Destructor.

virtual Real operator() (const Problem &P, Real t_ini)
 Perform line search.


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