Line search parameters. More...

#include <LineSearch.hpp>

Collaboration diagram for ipo::detail::LineSearch::Parameters:

Public Member Functions
	Parameters (double const alpha=1e-3, double const beta=0.8, double const epsilon=std::sqrt(std::numeric_limits< double >::epsilon()), size_t const maxNoImproveSteps=10)
	Set up some default parameters. More...

void	setAlpha (double alpha)
	Set the value of alpha. More...

void	setBeta (double beta)
	Set the value of beta. More...

void	setEpsilon (double epsilon)
	Set the value of epsilon. More...

void	setMaxNoImproveSteps (size_t maxNoImproveSteps)
	Set the value of maxNoImproveSteps. More...

double	getAlpha () const
	Get the value of alpha. More...

double	getBeta () const
	Get the value of beta. More...

double	getEpsilon () const
	Get the value of epsilon. More...

size_t	getMaxNoImproveSteps () const
	Get the value of maxNoImproveSteps. More...

void	setVectorDigits (size_t const vectorDigits)
	Set the number of significant digits of entries of vector to show in each step. More...

size_t	getVectorDigits () const
	Get the value of vectorDigits. More...

void	setOutputStream (std::ostream *outputStream)
	Set outputStream. More...

std::ostream *	getOutputStream () const
	Get the current value of outputStream. More...

Private Attributes
double	alpha
	A value in (0,0.5): usually quite small 0.0001–0.3 (default 1e-3 though 1e-4 is suggested in Dennis and Schnabel Numerical Mehods for Unconstrained Optimization and Nonlinear Equations, SIAM, 1996, Chapter 6). More...

double	beta
	A value in (0,1): usually quite big (0.1–0.8). More...

double	epsilon
	A value for forward difference gradient estimates. More...

size_t	maxNoImproveSteps
	Maximum number of nonimproving steps (default is 10). More...

size_t	vectorDigits
	If this value is set to zero and outputStream is not null then vector arguments are not shown (more useful if the argument is large). More...

std::ostream *	outputStream
	A stream (default is nullptr) for sending output to. More...

Detailed Description

Line search parameters.

These control how line search works in detail and whether and where any output is produced.

Definition at line 42 of file LineSearch.hpp.

Constructor & Destructor Documentation

LineSearch::Parameters::Parameters	(	double const	alpha = `1e-3`,
		double const	beta = `0.8`,
		double const	epsilon = `std::sqrt( std::numeric_limits<double>::epsilon() )`,
		size_t const	maxNoImproveSteps = `10`
	)

Set up some default parameters.

Parameters

alpha	A value in (0,0.5)
beta	A value in (0,1)
epsilon	A value to be used if the gradient is not supplied in the function operator call
maxNoImproveSteps	The maximum number of backtracing steps to accept with no consecutive improvements

Definition at line 28 of file LineSearch.cc.

References setAlpha(), setBeta(), setEpsilon(), setMaxNoImproveSteps(), setOutputStream(), and setVectorDigits().

Member Function Documentation

double LineSearch::Parameters::getAlpha ( ) const

Get the value of alpha.

Returns: alpha

Definition at line 67 of file LineSearch.cc.

Referenced by ipo::detail::LineSearch::operator()().

double LineSearch::Parameters::getBeta ( ) const

Get the value of beta.

Returns: beta

Definition at line 72 of file LineSearch.cc.

Referenced by ipo::detail::LineSearch::operator()().

double LineSearch::Parameters::getEpsilon ( ) const

Get the value of epsilon.

Returns: epsilon

Definition at line 77 of file LineSearch.cc.

Referenced by ipo::detail::LineSearch::operator()().

size_t LineSearch::Parameters::getMaxNoImproveSteps ( ) const

Get the value of maxNoImproveSteps.

Returns: maxNoImproveSteps

Definition at line 218 of file LineSearch.cc.

Referenced by ipo::detail::LineSearch::operator()().

std::ostream* ipo::detail::LineSearch::Parameters::getOutputStream ( ) const

inline

Get the current value of outputStream.

Returns: The current value of outputStream

Definition at line 121 of file LineSearch.hpp.

References outputStream.

Referenced by ipo::detail::LineSearch::operator()().

size_t ipo::detail::LineSearch::Parameters::getVectorDigits ( ) const

inline

Get the value of vectorDigits.

See also: setVectorDigits

Returns: The value of vectorDigits

Definition at line 110 of file LineSearch.hpp.

References vectorDigits.

Referenced by ipo::detail::LineSearch::operator()().

void LineSearch::Parameters::setAlpha ( double alpha )

Set the value of alpha.

Parameters

alpha The new value

Definition at line 47 of file LineSearch.cc.

References alpha.

Referenced by Parameters().

void LineSearch::Parameters::setBeta ( double beta )

Set the value of beta.

Parameters

beta	The new value

Definition at line 54 of file LineSearch.cc.

Referenced by Parameters().

void LineSearch::Parameters::setEpsilon ( double epsilon )

Set the value of epsilon.

Parameters

epsilon The new value

Definition at line 61 of file LineSearch.cc.

Referenced by Parameters().

void LineSearch::Parameters::setMaxNoImproveSteps ( size_t maxNoImproveSteps )

Set the value of maxNoImproveSteps.

Parameters

maxNoImproveSteps The new value

Definition at line 213 of file LineSearch.cc.

Referenced by Parameters().

void ipo::detail::LineSearch::Parameters::setOutputStream ( std::ostream * outputStream )

inline

Set outputStream.

Set this to point to an output stream to record progress.

Parameters

outputStream The new value

Definition at line 115 of file LineSearch.hpp.

References outputStream.

Referenced by Parameters().

void ipo::detail::LineSearch::Parameters::setVectorDigits ( size_t const vectorDigits )

inline

Set the number of significant digits of entries of vector to show in each step.

If this is set to zero or outputStream is null then no vector output is shown.

Parameters

vectorDigits The new value for vector significant digits

Definition at line 103 of file LineSearch.hpp.

References vectorDigits.

Referenced by Parameters().

Member Data Documentation

double ipo::detail::LineSearch::Parameters::alpha

private

A value in (0,0.5): usually quite small 0.0001–0.3 (default 1e-3 though 1e-4 is suggested in Dennis and Schnabel Numerical Mehods for Unconstrained Optimization and Nonlinear Equations, SIAM, 1996, Chapter 6).

For further details, see Boyd and Vandenberghe, Convex Optimization, Cambridge University Press, 2004.

Definition at line 132 of file LineSearch.hpp.

Referenced by setAlpha().

double ipo::detail::LineSearch::Parameters::beta

private

A value in (0,1): usually quite big (0.1–0.8).

The default is 0.8, which corresponds to a crude search.

For further details, see Boyd and Vandenberghe, Convex Optimization, Cambridge University Press, 2004.

Definition at line 140 of file LineSearch.hpp.

double ipo::detail::LineSearch::Parameters::epsilon

private

A value for forward difference gradient estimates.

This is only used if the gradient() or hessian() function is not supplied. Then the linesearch needs to estimate a gradient and uses epsilon. The default value is machine epsilon. Typically this should not be changed and ideally gradient approximations should be avoided.

Definition at line 148 of file LineSearch.hpp.

size_t ipo::detail::LineSearch::Parameters::maxNoImproveSteps

private

Maximum number of nonimproving steps (default is 10).

Definition at line 152 of file LineSearch.hpp.

std::ostream* ipo::detail::LineSearch::Parameters::outputStream

private

A stream (default is nullptr) for sending output to.

If this is set then the value of the objective function at each step of the backtracking line search algorithm is shown, together with the vector at which the objective obtains this value if vectorDigits is set to a positive value.

Note that NaN (nan or not-a-number) values may appear on the output because the initial Newton step may be large enough to produce an infeasible vector. The line search continues to reduce the step size until it finds a feasible one.

Definition at line 169 of file LineSearch.hpp.

Referenced by getOutputStream(), and setOutputStream().

size_t ipo::detail::LineSearch::Parameters::vectorDigits

private

If this value is set to zero and outputStream is not null then vector arguments are not shown (more useful if the argument is large).

Otherwise this value determines the number of significant digits that are shown with each vector entry.

Definition at line 158 of file LineSearch.hpp.

Referenced by getVectorDigits(), and setVectorDigits().

The documentation for this class was generated from the following files:

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation