The Unconstrained Nonlinear Programming Solver |
The NLPU solver implements an inexact line-search algorithm. Given a search
direction (produced, e.g., by a quasi-Newton method), each iteration
of the line search selects an appropriate step length
, which would in
some sense approximate
, an optimal solution to the following
problem:
Let us define as
During subsequent line-search iterations, objective function values
and their gradients
are used to construct a cubic
polynomial interpolation, whose minimizer
over
gives the next iterate step length.
An early (economical) line-search termination criterion is given by strong Wolfe conditions:
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