armijo matlab,using MATLAB to do steepest descent algorithm(use Armijo) ,aiming at finding the extre...

Steepest-descent-algorithm-Matlab-

用MATLAB实现最速下降法(使用梯度作为下降方向的无限制最优化方法)。使用Armijo准则找步长。

using MATLAB to do steepest descent algorithm(unconstrained optimization method that uses gratitude vector as descent direction), and find steps by Armijo principle.

English version is placed behind the Chinese one.

一. 背景简述

1.最速下降法的常用的迭代格式为

min f(x)

xk+1 = xk + αkdk, k =0,1,...

x0为初始向量，dk为f(x)在xk处的下降方向，αk > 0为步长。

在最速下降法中，dk取负梯度方向-gk。步长采用Armijo准则进行非精确一维搜索。

2.Armijo准则:

设f(x)连续可微，dk是f(x)在xk处的下降方向，给定𝜌 ∈ (0, 1), β ∈ (0,1), 我们寻找使得下式成立的最小正整数𝑚𝑘 :

f(xk + β^mdk) ≤ f(xk) + ρβ^mgkTdk

我们需要的步长𝛼𝑘 = 𝛽^𝑚𝑘

二. 算法简述

步骤1:给出初值𝑥𝑜 以及精度eps

步骤2:计算gk = -∇f(xk);如果|gk| < eps,停止，输出𝑥𝑘;否则转步骤3。

步骤3.由Armijo准则搜索线性步长因子𝛼𝑘

步骤4.计算xk+1 = xk + αkdk ，𝑘 = 𝑘 + 1,转步骤2.

三. Matlab实现

程序包含4部分,分别是:

最速下降法主函数 steepest1.m;

求梯度函数 fun_grad1.m;

测试函数 fun1.m;

求Armijo步长因子函数 armijo1.m

I.Background explanation

1.The literation form of steepest descent algorithm:

min f(x)

xk+1 = xk + αkdk, k =0,1,...

x0 is the initialization vector，dk is the descent direction of f(x) at xk.

In steepest descent algorithm, dk = -gk, where gk is gratitude vector.

Here I use Armijo principle to set the steps of inexact line search .

II.Armijo Principle

Set f(x) to be continuously differential，and dk is the descent direction of f(x) at xk,

Given 𝜌 ∈ (0, 1), β ∈ (0,1), we are trying to find the least possible integer that satisfy the following inequality:

f(xk + β^mdk) ≤ f(xk) + ρβ^mgkTdk

And the step we actually need is such: 𝛼𝑘 = 𝛽^𝑚𝑘

II.Steps of the algorithm

Step1.Set the initial vlue x0 and precision eps

Step2.Calculate 'gk':gk = -∇f(xk); If |gk| < eps, stop and output xk; Otherwise, turn to Step 3.

Step3.Set the step 𝛼𝑘 by Armijo principle.

Step4.Caculate 'xk+1':xk+1 = xk + αkdk ，𝑘 = 𝑘 + 1; Turn to Step2.

Matlab code structure:

The codes are formed by four parts:

Main function of steepest descent method: steepest1.m

the function used to get the gratitude:fun_grad1.m

the testing function :fun1.m

the function used to get the step :armijo1.m

.

.

.