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scipy.optimize.line_search

scipy.optimize.line_search(f, myfprime, xk, pk, gfk=None, old_fval=None, old_old_fval=None, args=(), c1=0.0001, c2=0.9, amax=50)

Find alpha that satisfies strong Wolfe conditions.

Parameters :

f : callable f(x,*args)

Objective function.

myfprime : callable f’(x,*args)

Objective function gradient (can be None).

xk : ndarray

Starting point.

pk : ndarray

Search direction.

gfk : ndarray, optional

Gradient value for x=xk (xk being the current parameter estimate). Will be recomputed if omitted.

old_fval : float, optional

Function value for x=xk. Will be recomputed if omitted.

old_old_fval : float, optional

Function value for the point preceding x=xk

args : tuple, optional

Additional arguments passed to objective function.

c1 : float, optional

Parameter for Armijo condition rule.

c2 : float, optional

Parameter for curvature condition rule.

Returns :

alpha0 : float

Alpha for which x_new = x0 + alpha * pk.

fc : int

Number of function evaluations made.

gc : int

Number of gradient evaluations made.

Notes

Uses the line search algorithm to enforce strong Wolfe conditions. See Wright and Nocedal, ‘Numerical Optimization’, 1999, pg. 59-60.

For the zoom phase it uses an algorithm by [...].