add blts

include/autoopt/btls.hpp

@@ -0,0 +1,49 @@
+#pragma once
+
+#include <iostream>
+
+#include "autoopt/optimization_problem.hpp"
+
+namespace autoopt {
+
+template <typename T>
+struct btls_parameters {
+  T step_decrease = T{0.5};
+  T step_increase = T{1.5};
+  T sufficient_decrease = T{1e-2};
+  T tolerance = T{1e-9};
+  size_t max_iters = 1000;
+};
+
+template <typename T>
+void btls(optimization_problem<T>& problem,
+          const btls_parameters<T>& params = btls_parameters<T>()) {
+  Eigen::VectorX<T>& x = problem.x();
+  T step_size = T{1.0};
+
+  for (size_t iter = 0; iter < params.max_iters; ++iter) {
+    T obj_value = problem.objective(x);
+
+    std::cout << "Iter " << iter << ": obj = " << obj_value
+              << ", x = " << x.transpose() << ", step_size = " << step_size
+              << std::endl;
+
+    Eigen::VectorX<T> grad = -problem.gradient(x);
+
+    Eigen::VectorX<T> step_dir = grad.normalized();
+    while (problem.objective(x + step_size * step_dir) >
+           obj_value +
+               params.sufficient_decrease * step_size * grad.dot(step_dir)) {
+      step_size *= params.step_decrease;
+    }
+    x += step_size * step_dir;
+
+    if (step_size < params.tolerance) {
+      break;
+    }
+  }
+
+  problem.x() = x;
+}
+
+}  // namespace autoopt