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A strong Wolfe step can leave PR+ ascending; the safeguard restarts

Statement refuted

After every strong Wolfe step with a nonzero new gradient, the raw PR+ candidate direction is a descent direction.

Facts & Assumptions

Given: The raw PR+ coefficient and safeguard in Fletcher–Reeves and safeguarded Polak–Ribière nonlinear conjugate gradients and the strong Wolfe conditions of Wolfe and strong Wolfe line-search conditions.

[F1]

Fletcher–Reeves and safeguarded Polak–Ribière nonlinear conjugate gradients: βPR+=max⁡{0,g1T(g1−g0)/∥g0∥22} and d1cand=−g1+βPR+d0.

[F3]

Fletcher–Reeves and safeguarded Polak–Ribière nonlinear conjugate gradients: if the descent or norm safeguard test fails, the procedure resets to d1=−g1.

[F2]

Wolfe and strong Wolfe line-search conditions: a strong Wolfe step satisfies ϕ(t)≤ϕ(0)+c1tϕ′(0) and ∣ϕ′(t)∣≤c2∣ϕ′(0)∣.

Counterexample

Let H=(7/5−1/10−1/101),f(x)=12xTHx+x1. Start at x0=(0,0) with c1=1/100 and c2=49/100.

1.1givenalgebra

For every u≠0, uTHu=75(u1−114u2)2+139140u22>0. Thus H is positive definite. Also g0=(1,0) and d0=−g0=(−1,0).

2.1givenF2step 1.1algebra

Take t0=1. Then x1=(−1,0), f(x0)=0, f(x1)=−3/10, and g1=Hx1+(1,0)=(−2/5,1/10). The initial directional derivative is ϕ′(0)=−1 and the new one is g1Td0=2/5. Hence f(x1)=−3/10≤−1/100=f(x0)+c1t0ϕ′(0),∣g1Td0∣=2/5≤49/100. This is a strong Wolfe step.

3.1F1step 2.1algebra

Since g1−g0=(−7/5,1/10), βPR+=g1T(g1−g0)∥g0∥22=1425+1100=57100. Thus d1cand=−g1+βPR+d0=(−17/100,−1/10) and g1Td1cand=29500>0. The raw PR+ candidate is an ascent direction, refuting the statement.

4.1F3step 3.1algebra∎

For the safeguarded variant choose σ=1/2 and C=2. Since ∥g1∥22=17/100, we have 29500>−12∥g1∥22=−17200, so the descent test triggers a restart. The norm test alone would not: ∥d1cand∥22=389/10000<4∥g1∥22. The new direction d1=−g1 has g1Td1=−17/100<0 and cos⁡θ1=1.

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