Line search methods
Author names: Elizabeth Conger
Steward: Dajun Yue and Fengqi You
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 , an initial is chosen. To find a lower value of , the value of is increased by the following iteration scheme
in which is a positive scalar known as the step length and defines the step direction.
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 has multiple local minima or stationary points, as shown in Figure 1.
A common and practical method for finding a suitable step length that is not too near to the global minimum of the function is to require that the step length of 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.
Steepest Descent Method
1. Sun, W. & Yuan, Y-X. (2006) Optimization Theory and Methods: Nonlinear Programming (Springer US) p 688.
2. Anonymous (2014) Line Search. (Wikipedia). http://en.wikipedia.org/wiki/Line_search.
3. Nocedal, J. & Wright, S. (2006) Numerical Optimization (Springer-Verlag New York, New York) 2 Ed p 664.