johnmyleswhite/Optim.jl — pull request #5 by andreasnoackjensen (2012-12-20 20:11:41+00:00)
Title: RFC: Various changes to BFGSs

The backtracking line search now also checks the curvature condition and extends the search step if necessary. The first Wolfe's conditions now uses a much smaller value in the evaluation. This avoids many terminations due to no improvement in line search. No improvement in the line search now terminates the algorithm without nan freakout message. Some changes that should improve performance. E.g. use of \ instead of inv()* in Newton's method. Change of convergence criteria in the BFGS algorithms to use Inf norm. Some cosmetic changes to the code and naming in line with Nocedal. Finally, changed trace to be more like Matlab by printing step size and convergence criteria.