File numerics/src/tools/line_search.h

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Basic structures for line-search (and arcsearch) methods.

Typedefs

typedef double (*sn_ls_fn)(int n, double *theta, double preRHS, search_data *ls_data)

Enums

enum [anonymous]

Values:

enumerator NM_LS_DISABLE

enumerator NM_LS_MAX

enumerator NM_LS_MEAN

enumerator NM_LS_ZHANG_HAGER

enum SEARCH_TYPE

Values:

enumerator LINESEARCH

enumerator ARCSEARCH

enumerator BACKWARD_PATHSEARCH

enum LSA_ALGO

Values:

enumerator SICONOS_LSA_ARMIJO

enumerator SICONOS_LSA_GOLDSTEIN

Functions

static inline void set_nonmonotone_type(void *nm_ref_data, int type)

Set the update type for the non-monotone line search.

Parameters:

• nm_ref_data – the struct containing the data relative to the reference value used in the line search

• type – for the update

static inline int get_nonmonotone_type(void *nm_ref_data)

Get the update type for the non-monotone line search.

Parameters:

nm_ref_data – the struct containing the data relative to the reference value used in the line search

Returns:

the type for the update

double line_search_generic(int n, double theta, double preRHS, search_data *ls_data, unsigned searchtype, sn_ls_fn ls_fn)

Generic call for a linesearch (or arcsearch).

Handles the update of the update of the non-monotone data

Parameters:

• n – size of the variable

• theta – current value of the merit function

• preRHS – value used for the comparison

• ls_data – line search data

• searchtype – type of search: linesearch or arcsearch

• ls_fn – function to call

Returns:

the value of tau, NAN if the search failed

void update_non_monotone_ref(void *nm_ref_data, double cur_merit)

update the reference value for the non-monotone line search

Parameters:

• nm_ref_data – the struct containing the data for the update

• cur_merit – new value of the merit function for the update

void get_non_monotone_ref(void *nm_ref_data, double *theta_ref)

compute the reference value

Parameters:

• nm_ref_data – the struct containing the data relative to the reference value used in the line search

• theta_ref – [inout] on input the current value of the merit function; on output, the new reference value

void fill_nm_data(nm_ref_struct *nm_ref_data, int *iparam)

fill the data struct for non-monotone search

Parameters:

• nm_ref_data – the structure to fill

• iparam – the set of parameter from the SolverOption struct

void zero_nm_data(nm_ref_struct *nm_ref_data)

Reset the storage for the non-monotone search.

Parameters:

nm_ref_data – the structure

void free_nm_data(nm_ref_struct *nm_ref_data)

free the allocated memory for the non-monotone search

Parameters:

nm_ref_data – the structure holding the allocated memory

void free_ls_data(search_data *ls_data)

free the allocated memory for the linesearch method

Parameters:

ls_data – the struct

struct search_data

#include <line_search.h>

Struct to hold together the data needed by the search.

Public Members

compute_F_ptr compute_F

function to compute F(z)

compute_F_merit_ptr compute_F_merit

function to compute F_merit(z)

double *z

z vector

double *zc

candidate z vector

double *F

value of F(z)

double *F_merit

value of F_merit(z)

double *desc_dir

descent direction

double alpha0

starting value for alpha

double alpha_min

minimum value of alpha

void *data

opaque pointer for extra data (needed for function call)

void *nm_ref_data

data for the update rule

unsigned searchtype

type of search: LINESEARCH or ARCSEARCH

void *set

set on which the solution has to belong; only used for arcsearch

double sigma

sigma value, used only for ARCSEARCH

void *extra_params

extra parameters for some line search algorithm

struct nm_ref_struct

#include <line_search.h>

Struct used for the non-monotone search.

Public Members

int type

0 if false, otherwise use a nonmonotone search.

The integer value gives the update rule for the merit value `threshold’

int M

maximum number of previous values of the merit function stored

int m

number of previous values of the merit function stored

double *previous_thetas

set of previous values of the merit function