The NLMIXED Procedure

Line-Search Methods

In each iteration k, the (dual) quasi-Newton, conjugate gradient, and Newton-Raphson minimization techniques use iterative line-search algorithms that try to optimize a linear, quadratic, or cubic approximation of f along a feasible descent search direction $\mb {s}^{(k)}$ ,

$\btheta ^{(k+1)} = \btheta ^{(k)} + \alpha ^{(k)} \mb {s}^{(k)} , \quad \alpha ^{(k)} > 0$

by computing an approximately optimal scalar $\alpha ^{(k)}$ .

Therefore, a line-search algorithm is an iterative process that optimizes a nonlinear function $f(\alpha )$ of one parameter ( $\alpha$ ) within each iteration k of the optimization technique. Since the outside iteration process is based only on the approximation of the objective function, the inside iteration of the line-search algorithm does not have to be perfect. Usually, it is satisfactory that the choice of $\alpha$ significantly reduces (in a minimization) the objective function. Criteria often used for termination of line-search algorithms are the Goldstein conditions (see Fletcher 1987).

You can select various line-search algorithms by specifying the LINESEARCH= option. The line-search method LINESEARCH=2 seems to be superior when function evaluation consumes significantly less computation time than gradient evaluation. Therefore, LINESEARCH=2 is the default method for Newton-Raphson, (dual) quasi-Newton, and conjugate gradient optimizations.

You can modify the line-search methods LINESEARCH=2 and LINESEARCH=3 to be exact line searches by using the LSPRECISION= option and specifying the $\sigma$ parameter described in Fletcher (1987). The line-search methods LINESEARCH=1, LINESEARCH=2, and LINESEARCH=3 satisfy the left-side and right-side Goldstein conditions (see Fletcher 1987). When derivatives are available, the line-search methods LINESEARCH=6, LINESEARCH=7, and LINESEARCH=8 try to satisfy the right-side Goldstein condition; if derivatives are not available, these line-search algorithms use only function calls.