Optimization: principles and algorithms, by Michel Bierlaire
Functions
newtonLineSearch.m File Reference

Algorithm 11:8 Newton's method with line search . More...

Go to the source code of this file.

Functions

function newtonLineSearch (in obj, in x0, in eps, in printlevel)
 Applies Newton's algorithm with line search to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$. More...
 

Detailed Description

Algorithm 11:8 Newton's method with line search .

Implementation of algorithm 11.8 of [1]

Author
Michel Bierlaire
Date
Sat Mar 21 12:34:40 2015

Definition in file newtonLineSearch.m.

Function Documentation

function newtonLineSearch ( in  obj,
in  x0,
in  eps,
in  printlevel 
)

Applies Newton's algorithm with line search to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$.

Note
Tested with run0508newton.m
Tested with runRosenbrockNewtonLineSearch.m
Calls modifiedCholesky
Calls lineSearch
Parameters
objthe name of the Octave function defining f(x) and its derivatives
x0the starting point
epsalgorithm stops if $\|F(x)\| \leq \varepsilon $.
printlevelIf 1, information about iterations is printed. If 0, it is silent.
maxitermaximum number of iterations (Default: 100)
Returns
solution local minimum of the function,
iteres sequence of iterates generated by the algorithm. It contains n+2 columns. Columns 1:n contains the value of the current iterate. Column n+1 contains the value of the objective function. Column n+2 contains the value of the norm of the gradient. It contains maxiter rows, but only the first niter rows are meaningful.
niter total number of iterations
Copyright 2015-2016 Michel Bierlaire