diff scripts/optimization/fminunc.m @ 9207:25f50d2d76b3

improve TR updating strategy for fminunc and fsolve
author Jaroslav Hajek <highegg@gmail.com>
date Sun, 17 May 2009 17:54:51 +0200
parents 399884c9d4a1
children 6feb27c38da1
line wrap: on
line diff
--- a/scripts/optimization/fminunc.m
+++ b/scripts/optimization/fminunc.m
@@ -199,6 +199,8 @@
     endif
 
     suc = false;
+    decfac = 0.5;
+
     ## Inner loop.
     while (! suc && niter <= maxiter && nfev < maxfev && ! info)
 
@@ -231,8 +233,9 @@
       endif
 
       ## Update delta.
-      if (ratio < min(max(0.1, lastratio), 0.9))
-        delta *= 0.5;
+      if (ratio < min(max(0.1, 0.8*lastratio), 0.9))
+        delta *= decfac;
+        decfac ^= 1.4142;
         if (delta <= 1e1*macheps*xn)
           ## Trust region became uselessly small.
           info = -3;
@@ -240,10 +243,11 @@
         endif
       else
         lastratio = ratio;
+        decfac = 0.5;
         if (abs (1-ratio) <= 0.1)
-          delta = 2*sn;
+          delta = 1.4142*sn;
         elseif (ratio >= 0.5)
-          delta = max (delta, 2*sn);
+          delta = max (delta, 1.4142*sn);
         endif
       endif