linesearch-base.hpp

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#pragma once
 
#include <fmt/format.h>
#include <ostream>
 
namespace proxsuite {
namespace nlp {
enum class LinesearchStrategy { ARMIJO, WOLFE };
enum class LSInterpolation { BISECTION, QUADRATIC, CUBIC };
 
template <typename T> class Linesearch {
public:
  struct Options {
    Options()
        : armijo_c1(1e-4), wolfe_c2(0.9), dphi_thresh(1e-13), alpha_min(1e-6),
          max_num_steps(20), interp_type(LSInterpolation::CUBIC),
          contraction_min(0.5), contraction_max(0.8) {}
    T armijo_c1;
    T wolfe_c2;
    T dphi_thresh;
    T alpha_min;
    std::size_t max_num_steps;
    LSInterpolation interp_type;
    T contraction_min;
    T contraction_max;
    friend std::ostream &operator<<(std::ostream &oss, const Options &self) {
      oss << "{";
      oss << fmt::format("armijo_c1 = {:.3e}", self.armijo_c1);
      oss << ", "
          << fmt::format("contraction_min = {:.3e}", self.contraction_min);
      oss << ", "
          << fmt::format("contraction_max = {:.3e}", self.contraction_max);
      oss << "}";
      return oss;
    }
  };
  explicit Linesearch(const Linesearch::Options &options);
  ~Linesearch();
 
  struct FunctionSample {
    T alpha;
    T phi;
    T dphi;
    bool valid;
    FunctionSample() : alpha(0.), phi(0.), dphi(0.), valid(false) {}
    FunctionSample(T a, T v) : alpha(a), phi(v), dphi(0.), valid(true) {}
    FunctionSample(T a, T v, T g) : alpha(a), phi(v), dphi(g), valid(true) {}
  };
 
  void setOptions(const Linesearch::Options &options) { options_ = options; }
 
  void reset() {}
 
  Linesearch::Options options_;
};
 
template <typename T>
Linesearch<T>::Linesearch(const Linesearch::Options &options)
    : options_(options) {}
 
template <typename T> Linesearch<T>::~Linesearch() = default;
 
} // namespace nlp
} // namespace proxsuite
 
#ifdef PROXSUITE_NLP_ENABLE_TEMPLATE_INSTANTIATION
#include "proxsuite-nlp/linesearch.txx"
#endif