Your IP : 216.73.216.17
import {dot, weightedSum} from "./blas1";
/// searches along line 'pk' for a point that satifies the wolfe conditions
/// See 'Numerical Optimization' by Nocedal and Wright p59-60
/// f : objective function
/// pk : search direction
/// current: object containing current gradient/loss
/// next: output: contains next gradient/loss
/// returns a: step size taken
export function wolfeLineSearch(f, pk, current, next, a, c1, c2) {
var phi0 = current.fx, phiPrime0 = dot(current.fxprime, pk),
phi = phi0, phi_old = phi0,
phiPrime = phiPrime0,
a0 = 0;
a = a || 1;
c1 = c1 || 1e-6;
c2 = c2 || 0.1;
function zoom(a_lo, a_high, phi_lo) {
for (var iteration = 0; iteration < 16; ++iteration) {
a = (a_lo + a_high)/2;
weightedSum(next.x, 1.0, current.x, a, pk);
phi = next.fx = f(next.x, next.fxprime);
phiPrime = dot(next.fxprime, pk);
if ((phi > (phi0 + c1 * a * phiPrime0)) ||
(phi >= phi_lo)) {
a_high = a;
} else {
if (Math.abs(phiPrime) <= -c2 * phiPrime0) {
return a;
}
if (phiPrime * (a_high - a_lo) >=0) {
a_high = a_lo;
}
a_lo = a;
phi_lo = phi;
}
}
return 0;
}
for (var iteration = 0; iteration < 10; ++iteration) {
weightedSum(next.x, 1.0, current.x, a, pk);
phi = next.fx = f(next.x, next.fxprime);
phiPrime = dot(next.fxprime, pk);
if ((phi > (phi0 + c1 * a * phiPrime0)) ||
(iteration && (phi >= phi_old))) {
return zoom(a0, a, phi_old);
}
if (Math.abs(phiPrime) <= -c2 * phiPrime0) {
return a;
}
if (phiPrime >= 0 ) {
return zoom(a, a0, phi);
}
phi_old = phi;
a0 = a;
a *= 2;
}
return a;
}