backtracking-line-search

A line search method for finding a step size that satisfies the Armijo (i.e., sufficient decrease) condition based on a simple backtracking procedure.

Header

#include <mathtoolbox/backtracking-line-search.hpp>

Math and Algorithm

We follow Nocedal and Wright (2006) (Chapter 3, specifically Algorithm 3.1).

Useful Resources

• Jorge Nocedal and Stephen J. Wright. 2006. Numerical optimization (2nd ed.). Springer. DOI: https://doi.org/10.1007/978-0-387-40065-5