change in 'lbfgs': reduce factor to 1/16 in backtracking if objective…

… has large change
fabsig · Apr 3, 2024 · 103985d · 103985d
1 parent 058040a
commit 103985d
Showing 1 changed file with 9 additions and 4 deletions.
diff --git a/external_libs/LBFGSpp/include/LBFGSpp/LineSearchBacktracking.h b/external_libs/LBFGSpp/include/LBFGSpp/LineSearchBacktracking.h
@@ -68,18 +68,19 @@ class LineSearchBacktracking
         int iter;
         for (iter = 0; iter < param.max_linesearch; iter++)
         {
-
             // x_{k+1} = x_k + step * d_k
             x.noalias() = xp + step * drt;
             // Evaluate this candidate
-            fx = f(x, grad, true, false);// ChangedForGPBoost
+            fx = f(x, grad, true, false);  // ChangedForGPBoost
+
+            //Log::REInfo("LineSearch: iter = %d, fx = %g, step = %g, fx_init = %g", iter, fx, step, fx_init);  // for debugging
 
             if (fx > fx_init + step * test_decr || (fx != fx))
             {
                 // ChangedForGPBoost
-                if ((fx - fx_init) > 2. * abs(fx_init))
+                if ((fx - fx_init) > 2. * std::max(abs(fx_init), Scalar(1)))
                 {
-                    width = dec / 100.;//make step size much smaller for very large increases to avoid too many backtracking steps
+                    width = dec / 16.;  // make step size much smaller for very large increases to avoid too many backtracking steps
                 }
                 else
                 {
@@ -133,6 +134,10 @@ class LineSearchBacktracking
             step = 0.;
             Log::REDebug("GPModel lbfgs: the line search routine reached the maximum number of iterations");
         }
+        else if (iter > 0)
+        {
+            Log::REDebug("LineSearch for 'lbfgs' finished after %d iterations, step length = %g", iter, step);
+        }
         f(x, grad, false, true);//calculate gradient
 
     }