Check if alpha is not None when restricting it to be at most 1 (#199)

* Check if alpha is not None when restricting it to be at most 1

* Write check more clearly

* Add no regression test for line search armijo returning None for alpha

Co-authored-by: Rémi Flamary <[email protected]>

Author: panispani

Diff for: ot/optim.py

@@ -69,7 +69,10 @@ def phi(alpha1):
     alpha, phi1 = scalar_search_armijo(
         phi, phi0, derphi0, c1=c1, alpha0=alpha0)
 
-    return min(1, alpha), fc[0], phi1
+    # scalar_search_armijo can return alpha > 1
+    if alpha is not None:
+        alpha = min(1, alpha)
+    return alpha, fc[0], phi1
 
 
 def solve_linesearch(cost, G, deltaG, Mi, f_val,

Diff for: test/test_optim.py

@@ -104,3 +104,13 @@ def test_solve_1d_linesearch_quad_funct():
     np.testing.assert_allclose(ot.optim.solve_1d_linesearch_quad(1, -1, 0), 0.5)
     np.testing.assert_allclose(ot.optim.solve_1d_linesearch_quad(-1, 5, 0), 0)
     np.testing.assert_allclose(ot.optim.solve_1d_linesearch_quad(-1, 0.5, 0), 1)
+
+
+def test_line_search_armijo():
+    xk = np.array([[0.25, 0.25], [0.25, 0.25]])
+    pk = np.array([[-0.25, 0.25], [0.25, -0.25]])
+    gfk = np.array([[23.04273441, 23.0449082], [23.04273441, 23.0449082]])
+    old_fval = -123
+    # Should not throw an exception and return None for alpha
+    alpha, _, _ = ot.optim.line_search_armijo(lambda x: 1, xk, pk, gfk, old_fval)
+    assert alpha is None