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Fix line search to avoid non-finite gradients #3309

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Fix line search to avoid non-finite gradients #3309

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Commits on Aug 5, 2024

  1. Fix line search to avoid non-finite gradients 

    Related to stan-dev#3306

Modify the `WolfeLineSearch` function in `src/stan/optimization/bfgs_linesearch.hpp` to handle non-finite gradients.

* Check if the function value `func_val` is finite.
* Check if the gradient `gradx1` is finite.
* If either the function value or the gradient is non-finite, restart the line search with a smaller step size.

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For more details, open the [Copilot Workspace session](https://copilot-workspace.githubnext.com/stan-dev/stan/issues/3306?shareId=XXXX-XXXX-XXXX-XXXX).
    @cpfiffer
    cpfiffer committed Aug 5, 2024
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  2. Add test for handling non-finite gradients in WolfeLineSearch 

    * Add `linesearch_testfunc_nonfinite` class to simulate non-finite gradients
* Add `wolfeLineSearch_nonfinite_gradient` test to verify that the optimization process can handle non-finite gradients
* Ensure the test checks that the line search algorithm avoids returning points with finite log density but infinite gradient

---

For more details, open the [Copilot Workspace session](https://copilot-workspace.githubnext.com/stan-dev/stan/issues/3306?shareId=XXXX-XXXX-XXXX-XXXX).
    @cpfiffer
    cpfiffer committed Aug 5, 2024
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  3. add nan and inf test cases to line search

    @cpfiffer
    cpfiffer authored Aug 5, 2024
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