linesearch-nonmonotone.hpp

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#pragma once
 
#include "linesearch-base.hpp"
#include <functional>
 
namespace aligator {

template <typename Scalar> struct NonmonotoneLinesearch : Linesearch<Scalar> {
  using Base = Linesearch<Scalar>;
  using Base::options_;
  using typename Base::FunctionSample;
  using typename Base::Options;
 
  explicit NonmonotoneLinesearch(const Options &options) noexcept
      : Base(options)
      , mov_avg(0.)
      , avg_weight(0.) {}
 
  Scalar run(const std::function<Scalar(Scalar)> &f, Scalar phi0, Scalar dphi0,
             Scalar &a_opt) {
    mov_avg = avg_eta * avg_weight * mov_avg + phi0;
    avg_weight = avg_eta * avg_weight + 1;
    mov_avg /= avg_weight;
 
    while (a_opt > options_.alpha_min) {
      try {
        const Scalar phia = f(a_opt);
        bool suff_decrease =
            phia <= mov_avg + options_.armijo_c1 * a_opt * dphi0;
        if (suff_decrease)
          return phia;
      } catch (const std::runtime_error &) {
      }
      a_opt *= beta_dec;
    }
 
    // then, a_opt <= options_.alpha_min
    a_opt = std::max(a_opt, options_.alpha_min);
    return f(a_opt);
  }
 
  void reset() noexcept {
    mov_avg = Scalar(0.);
    avg_weight = Scalar(0.);
  }

  Scalar avg_eta = 0.85;
  Scalar beta_dec = 0.5;
 
private:
  Scalar mov_avg;
  Scalar avg_weight;
};
 
template <typename Scalar>
NonmonotoneLinesearch(const LinesearchOptions<Scalar> &)
    -> NonmonotoneLinesearch<Scalar>;
 
} // namespace aligator