add ConvergenceWarning in do_line_search

celer/PN_logreg.pyx

@@ -400,11 +400,12 @@ cpdef void do_line_search(
         floating[::1, :] X, floating[:] X_data,
         int[:] X_indices, int[:] X_indptr, int MAX_BACKTRACK_ITR,
         floating[:] y, floating[:] exp_Xw, floating[:] low_exp_Xw,
-        floating[:] aux, int[:] is_positive_label) nogil:
+        floating[:] aux, int[:] is_positive_label):
 
     cdef int i, ind, backtrack_itr
     cdef floating deriv
     cdef floating step_size = 1.
+    cdef floating atol = 1e-7
 
     cdef int n_samples = y.shape[0]
     fcopy(&n_samples, &exp_Xw[0], &inc, &low_exp_Xw[0], &inc)
@@ -417,15 +418,18 @@ cpdef void do_line_search(
         deriv = compute_derivative(
             w, WS, delta_w, X_delta_w, alpha, aux, step_size, y)
 
-        if deriv < 1e-7:
+        if deriv < atol:
             break
         else:
             step_size = step_size / 2.
         for i in range(n_samples):
             exp_Xw[i] = sqrt(exp_Xw[i] * low_exp_Xw[i])
     else:
-        pass
-        # TODO what do we do in this case?
+        warnings.warn(
+             'Line search failed to converge '
+            f'deriv {deriv:.2e}, atol {atol:.2e}',
+            ConvergenceWarning
+        )
 
     # a suitable step size is found, perform step:
     for ind in range(WS.shape[0]):