steepestDescent.m File Reference

Algorithm 11.6: Steepest descent algorithm. More...

Go to the source code of this file.

Functions
function	steepestDescent (in obj, in x0, in eps, in maxiter)
	Applies the steepest descent algorithm with linesearch to solve where . More...

Detailed Description

Algorithm 11.6: Steepest descent algorithm.

Implementation of algorithm 11.6 of [1]

Author

Michel Bierlaire

Date

Fri Mar 20 17:03:30 2015

Definition in file steepestDescent.m.

Function Documentation

steepestDescent()

function steepestDescent	(	in	obj,
		in	x0,
		in	eps,
		in	maxiter
	)

Applies the steepest descent algorithm with linesearch to solve where .

Note

Tested with runRosenbrockSteepestDescent.m

Calls lineSearch

Parameters

obj	the name of the Octave function defining f(x) and its derivatives
x0	the starting point
eps	algorithm stops if .
maxiter	maximum number of iterations (Default: 100)

Returns

[solution,iteres,niter]

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