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Gradient Ascent Solver

Source: R/solver_gradient.R
gradient_ascent.Rd

Creates a solver that uses gradient ascent (steepest ascent) to find the MLE. Optionally uses backtracking line search for adaptive step sizes.

Usage

gradient_ascent(
  learning_rate = 1,
  line_search = TRUE,
  max_iter = 100L,
  tol = 1e-08,
  backtrack_ratio = 0.5,
  min_step = 1e-12
)

Arguments

learning_rate

Base learning rate / maximum step size

Use backtracking line search for adaptive step sizes

max_iter

Maximum number of iterations

tol

Convergence tolerance (on parameter change)

backtrack_ratio

Step size reduction factor for line search (0 < r < 1)

min_step

Minimum step size before giving up

Value

A solver function with signature (problem, theta0, trace) -> mle_result

Details

Gradient ascent iteratively moves in the direction of the score (gradient of log-likelihood). With line search enabled, the step size is adaptively chosen to ensure the log-likelihood increases.

The solver respects constraints defined in the problem via projection.