[SciPy-dev] GSoC weekly report

[dmitrey]

Hi all,
this week 2 solvers were implemented in optimizers module:
- based on cubic interpolation
- Barzalai and Borwein (monotone and non-monotone versions)

Unfortunately, as I had informed Matthieu, cubic interpolation algorithm 
contained a mistake (after block "h>0?", "No" branch, there should be 
added "phi1', phi2' = phi2', phi1'"), and it took a significant time for 
me to find and fix the one.

but when I tried my examples it turned out that as for Barzalai and 
Borwein (nonmonotone), the book I'm following doesn't provide default 
values of all those initial settings (sigma, sigma1, sigma2, alpha_min, 
alpha_max, pho). Ok, I know that 0 < sigma1 < sigma2 < 1 and 0<pho<1, 
sigma>0, 0<eps<<1, but I don't know any suggestions about alpha_min and 
alpha_max. I took alpha_min =1e-6 and alpha_max=2, but alpha_max=1e6 
works much better (on the other hand, maybe my func was very badly 
scaled and that's the matter). Web search "Barzalai and Borwein" also 
doesn't yield me suggestions about alpha_min and alpha_max.

Now I'm working on second order Armijo step rule and second order 
Wolfe-Powell step rules. These ones, as well as some other steps 
assigned to me, require Cholesky factorization. I intend to use that one 
from scipy/numpy (don't write by myself, despite there is a little bit 
modified alg), because that one from the book will require sufficient of 
time to be implemented (and that one is not vectoriezed).

Regards, D.