There are a few inaccuracies here: using automatic differentiation basically makes computing the gradient of the objective function as efficient as computing the function itself. But the main goal of algorithms being used in machine learning nowadays (stochastic gradient descent and variants thereof) is to avoid having to compute the objective function or its gradient altogether: instead, the gradient is computed at a single data point (example) which provides an approximation of the true gradient.
The important thing is that what is considered expensive is not to compute the objective function or its gradient, but to compute it over the entire dataset. Line-search would require evaluating the function (and its gradient) over the entire dataset several times, which completely defeats the purpose of stochastic gradient descent.
One could imagine doing a line search using the approximate function or its gradient (coming from the evaluation at a single data point) as the basis for a line-search, but intuitively it does not make much sense to fine-tune the step size to a single example, and this would in any case destroy the guarantees provided by the Strong Wolfe conditions.
Finally, there are convergence guarantees for stochastic gradient descent with fixed learning rate when the objective functions are convex.
The important thing is that what is considered expensive is not to compute the objective function or its gradient, but to compute it over the entire dataset. Line-search would require evaluating the function (and its gradient) over the entire dataset several times, which completely defeats the purpose of stochastic gradient descent.
One could imagine doing a line search using the approximate function or its gradient (coming from the evaluation at a single data point) as the basis for a line-search, but intuitively it does not make much sense to fine-tune the step size to a single example, and this would in any case destroy the guarantees provided by the Strong Wolfe conditions.
Finally, there are convergence guarantees for stochastic gradient descent with fixed learning rate when the objective functions are convex.