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.
These conditions, developed in 1969 by Philip Wolfe, are an inexact line search stipulation that requires to decreased the objective function by significant amount. This amount is defined by
where 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, is a very small value, ~.
The Armijo condition must be paired with the curvature condition
to keep the value from being too short. In this condition, is greater than but less than 1. These two conditions together are the Wolfe Conditions.
Another, more stringent form of these conditions is known as the strong Wolfe conditions. The Armijo condition remains the same, but the curvature condition is restrained by taking the absolute value of the left side of the inequality.
This left hand side of the curvature condition is simply the derivative of the function, and so this constraint prevents this derivative from becoming too positive, removing points that are too far from stationary points of from consideration as viable values.
These conditions are valuable for use in Newton methods.
Another approach to finding an appropriate step length is to use the following inequalities known as the Goldstein conditions. This condition, instead of having two constants, only employs one:
The second equality is very similar to the Wolfe conditions in that it is simply the sufficient decrease condition. The first inequality is another way to control the step length from below. This is best seen in the Figure 2.
In comparison to the Wolfe conditions, the Goldstein conditions are better suited for quasi-Newton methods than for Newton methods.
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.
4. Wolfe P (1969) Convergence Conditions for Ascent Methods. SIAM Review 11(2):226-235.