Steepest descent example

import numpy as np
import numpy.linalg as la

import scipy.optimize as sopt

import matplotlib.pyplot as pt
from mpl_toolkits.mplot3d import axes3d

def f(x):
    return 0.5*x[0]**2 + 2.5*x[1]**2

def df(x):
    return np.array([x[0], 5*x[1]])

fig = pt.figure()
ax = fig.gca(projection="3d")

xmesh, ymesh = np.mgrid[-2:2:50j,-2:2:50j]
fmesh = f(np.array([xmesh, ymesh]))
ax.plot_surface(xmesh, ymesh, fmesh)

And then as countor plot

pt.axis("equal")
pt.contour(xmesh, ymesh, fmesh)
guesses = [np.array([2, 2./5])]

Find guesses

x = guesses[-1]
s = -df(x)

Run it!

def f1d(alpha):
    return f(x + alpha*s)

alpha_opt = sopt.golden(f1d)
next_guess = x + alpha_opt * s
guesses.append(next_guess)
print(next_guess)

What happened?

pt.axis("equal")
pt.contour(xmesh, ymesh, fmesh, 50)
it_array = np.array(guesses)
pt.plot(it_array.T[0], it_array.T[1], "x-")