line_search.h

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// Copyright (c) 2021, Aalto University, developed by Erik Schultheis
// All rights reserved.
//
// SPDX-License-Identifier: MIT
 
#ifndef DISMEC_LINE_SEARCH_H
#define DISMEC_LINE_SEARCH_H
 
#include <functional>
#include "utils/hyperparams.h"
 
namespace dismec::solvers
{
    struct sLineSearchResult {
        double Value;               
        double StepSize;            
        int NumIters;
    };
 
    class BacktrackingLineSearch : public HyperParameterBase {
    public:
        BacktrackingLineSearch();
 
        // get and set the parameters
        [[nodiscard]] double get_initial_step() const { return m_StepSize; }
        void set_initial_step(double s);
 
        [[nodiscard]] double get_alpha() const { return m_Alpha; }
        void set_alpha(double a);
 
        [[nodiscard]] double get_eta() const { return m_Eta; }
        void set_eta(double e);
 
        [[nodiscard]] long get_max_steps() const { return m_MaxSteps; }
        void set_max_steps(long n);
 
        sLineSearchResult search(const std::function<double(double)>& projected_objective, double gTs, double f_init) const;
 
    private:
        double m_StepSize = 1.0;
 
        // scale factor for the step size
        double m_Alpha = 0.5;
        // required reduction
        double m_Eta = 0.01;
        // maximum number of steps to perform
        long m_MaxSteps = 20;
    };
}
#endif //DISMEC_LINE_SEARCH_H