Optimization: principles and algorithms, by Michel Bierlaire
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]

Date
Fri Mar 20 17:03:30 2015

Definition in file steepestDescent.m.

## Function Documentation

 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