# Difference between revisions of "Line search methods"

Author names: Elizabeth Conger
Steward: Dajun Yue and Fengqi You

# Introduction

An algorithm is a line search method if it seeks the minimum of a defined nonlinear function by selecting a reasonable direction vector that, when computed iteratively with a reasonable step size, will provide a function value closer to the absolute minimum of the function. Varying these will change the "tightness" of the optimization. For example, given the function $f(x)$, an initial $x_k$ is chosen. To find a lower value of $f(x)$, the value of $x_{k+1}$ is increased by the following iteration scheme

in which $\alpha_k$ is a positive scalar known as the step length and $p_k$ defines the step direction.

# Step Length

Choosing an appropriate step length has a large impact on the robustness of a line search method. To select the ideal step length, the following function could be minimized:

but this is not used in practical settings generally. This may give the most accurate minimum, but it would be very computationally expensive if the function $\phi$ has multiple local minima or stationary points, as shown in Figure 1. Figure 1: Complexity of finding ideal step length (Nocedal & Wright)

A common and practical method for finding a suitable step length that is not too near to the global minimum of the $\phi$ function is to require that the step length of $\alpha_k$ reduces the value of the target function, or that

This method does not ensure a convergence to the function's minimum, and so two conditions are employed to require a significant decrease condition during every iteration.

## Wolfe Conditions

These conditions, developed in 1969 by Philip Wolfe, are an inexact line search stipulation that requires $\alpha_k$ to decreased the objective function by significant amount. This amount is defined by

where $c_1$ is between 0 and 1. Another way of describing this condition is to say that the decrease in the objective function should be proportional to both the step length and the directional derivative of the function and step direction. This inequality is also known as the Armijo condition. In general, $c_1$ is a very small value, ~ $10^-4$.

The Armijo condition must be paired with the curvature condition

to keep the $\alpha_k$ value from being too short. In this condition, $c_2$ is greater than $c_1$ but less than 1