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265 lines
9.5 KiB
Plaintext
265 lines
9.5 KiB
Plaintext
[section:brent_minima Locating Function Minima using Brent's algorithm]
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[import ../../example/brent_minimise_example.cpp]
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[h4 Synopsis]
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``
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#include <boost/math/tools/minima.hpp>
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``
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template <class F, class T>
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std::pair<T, T> brent_find_minima(F f, T min, T max, int bits);
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template <class F, class T>
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std::pair<T, T> brent_find_minima(F f, T min, T max, int bits, boost::uintmax_t& max_iter);
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[h4 Description]
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These two functions locate the minima of the continuous function ['f] using
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[@http://en.wikipedia.org/wiki/Brent%27s_method Brent's method]: specifically it
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uses quadratic interpolation to locate the minima, or if that fails, falls back to
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a [@http://en.wikipedia.org/wiki/Golden_section_search golden-section search].
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[*Parameters]
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[variablelist
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[[f] [The function to minimise: a function object (functor) that should be smooth over the
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range ['\[min, max\]], with no maxima occurring in that interval.]]
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[[min] [The lower endpoint of the range in which to search for the minima.]]
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[[max] [The upper endpoint of the range in which to search for the minima.]]
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[[bits] [The number of bits precision to which the minima should be found.[br]
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Note that in principle, the minima can not be located to greater
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accuracy than the square root of machine epsilon (for 64-bit double, sqrt(1e-16)[cong]1e-8),
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therefore the value of ['bits] will be ignored if it's greater than half the number of bits
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in the mantissa of T.]]
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[[max_iter] [The maximum number of iterations to use
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in the algorithm, if not provided the algorithm will just
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keep on going until the minima is found.]]
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] [/variablelist]
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[*Returns:]
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A `pair` of type T containing the value of the abscissa at the minima and the value
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of ['f(x)] at the minima.
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[tip Defining BOOST_MATH_INSTRUMENT will show some parameters, for example:
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``
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Type T is double
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bits = 24, maximum 26
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tolerance = 1.19209289550781e-007
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seeking minimum in range min-4 to 1.33333333333333
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maximum iterations 18446744073709551615
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10 iterations.
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``
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]
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[h4:example Brent Minimisation Example]
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As a demonstration, we replicate this [@http://en.wikipedia.org/wiki/Brent%27s_method#Example Wikipedia example]
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minimising the function ['y= (x+3)(x-1)[super 2]].
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It is obvious from the equation and the plot that there is a
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minimum at exactly one and the value of the function at one is exactly zero.
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[tip This observation shows that an analytical or
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[@http://en.wikipedia.org/wiki/Closed-form_expression Closed-form expression]
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solution always beats brute-force hands-down for both speed and precision.]
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[graph brent_test_function_1]
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First an include is needed:
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[brent_minimise_include_1]
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This function is encoded in C++ as function object (functor) using `double` precision thus:
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[brent_minimise_double_functor]
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The Brent function is conveniently accessed through a `using` statement (noting sub-namespace `::tools`).
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The search minimum and maximum are chosen as -4 to 4/3 (as in the Wikipedia example).
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[tip S A Stage (reference 6) reports that the Brent algorithm is ['slow to start, but fast to converge],
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so choosing a tight min-max range is good.]
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For simplicity, we set the precision parameter `bits` to `std::numeric_limits<double>::digits`,
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which is effectively the maximum possible i.e. `std::numeric_limits<double>::digits`/2.
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Nor do we provide a maximum iterations parameter `max_iter`,
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(perhaps unwidely), so the function will iterate until it finds a minimum.
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[brent_minimise_double_1]
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The resulting [@http://en.cppreference.com/w/cpp/utility/pair std::pair]
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contains the minimum close to one and the minimum value close to zero.
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x at minimum = 1.00000000112345, f(1.00000000112345) = 5.04852568272458e-018
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The differences from the expected ['one] and ['zero] are less than the
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uncertainty (for `double`) 1.5e-008 calculated from
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`sqrt(std::numeric_limits<double>::digits) == 53`.
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We can use it like this to check that the two values are close-enough to those expected,
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using boost::math::fpc::is_close_to;
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using boost::math::fpc::is_small;
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double uncertainty = sqrt(std::numeric_limits<double>::digits);
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is_close_to(1., r.first, uncertainty);
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is_small(r.second, uncertainty);
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x == 1 (compared to uncertainty 0.00034527) is true
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f(x) == 0 (compared to uncertainty 0.00034527) is true
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It is possible to make this comparison more generally with a templated function,
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returning `true` when this criterion is met, for example:
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[brent_minimise_close]
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In practical applications, we might want to know how many iterations,
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and maybe to limit iterations and
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perhaps to trade some loss of precision for speed, for example:
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[brent_minimise_double_2]
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limits to a maximum of 20 iterations
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(a reasonable estimate for this application, even for higher precision shown later).
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The parameter `it` is updated to return the actual number of iterations
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(so it may be useful to also keep a record of the limit in `maxit`).
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It is neat to avoid showing insignificant digits by computing the number of decimal digits to display.
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[brent_minimise_double_3]
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Showing 53 bits precision with 9 decimal digits from tolerance 1.49011611938477e-008
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x at minimum = 1, f(1) = 5.04852568e-018
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We can also half the number of precision bits from 52 to 26.
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[brent_minimise_double_4]
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showing no change in the result and no change in the number of iterations, as expected.
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It is only if we reduce the precision to a quarter, specifying only 13 precision bits
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[brent_minimise_double_5]
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that we reduce the number of iterations from 10 to 7 and the result significantly differing from ['one] and ['zero].
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Showing 13 bits precision with 9 decimal digits from tolerance 0.015625
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x at minimum = 0.9999776, f(0.9999776) = 2.0069572e-009 after 7 iterations.
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[h5:template Templating on floating-point type]
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If we want to switch the floating-point type, then the functor must be revised.
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Since the functor is stateless, the easiest option is to simply make
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`operator()` a template member function:
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[brent_minimise_T_functor]
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The `brent_find_minima` function can now be used in template form.
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[brent_minimise_template_1]
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The form shown uses the floating-point type `long double` by deduction,
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but it is also possible to be more explicit, for example:
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std::pair<long double, long double> r = brent_find_minima<func, long double>
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(func(), bracket_min, bracket_max, bits, it);
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In order to show the use of multiprecision below, it may be convenient to write a templated function to use this.
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[brent_minimise_T_show]
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We can use this with all built-in floating-point types, for example
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[brent_minimise_template_fd]
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and, on platforms that provide it, a
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[@http://en.wikipedia.org/wiki/Quadruple-precision_floating-point_format 128-bit quad] type.
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(See [@boost:libs/multiprecision/doc/html/boost_multiprecision/tut/floats/float128.html float128]).
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For this optional include, the build should define the macro BOOST_HAVE_QUADMATH:
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[brent_minimise_mp_include_1]
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or
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[brent_minimise_template_quad]
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[h5:multiprecision Multiprecision]
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If a higher precision than `double` (or `long double` if that is more precise) is required,
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then this is easily achieved using __multiprecision with some includes from
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[brent_minimise_mp_include_0]
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and some `typdef`s.
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[brent_minimise_mp_typedefs]
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Using thus
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[brent_minimise_mp_1]
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and with our show function
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[brent_minimise_mp_2]
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[brent_minimise_mp_output_1]
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[brent_minimise_mp_output_2]
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[tip One can usually rely on template argument deduction
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to avoid specifying the verbose multiprecision types,
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but great care in needed with the ['type of the values] provided
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to avoid confusing the compiler.
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]
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[tip Using `std::cout.precision(std::numeric_limits<T>::digits10);`
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or `std::cout.precision(std::numeric_limits<T>::max_digits10);`
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during debugging may be wise because it gives some warning if construction of multiprecision values
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involves unintended conversion from `double` by showing trailing zero or random digits after
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[@http://en.cppreference.com/w/cpp/types/numeric_limits/max_digits10 max_digits10],
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that is 17 for `double`, digit 18... may be just noise.]
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The complete example code is at [@../../example/brent_minimise_example.cpp brent_minimise_example.cpp].
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[h4 Implementation]
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This is a reasonably faithful implementation of Brent's algorithm.
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[h4 References]
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# Brent, R.P. 1973, Algorithms for Minimization without Derivatives,
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(Englewood Cliffs, NJ: Prentice-Hall), Chapter 5.
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# Numerical Recipes in C, The Art of Scientific Computing,
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Second Edition, William H. Press, Saul A. Teukolsky,
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William T. Vetterling, and Brian P. Flannery.
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Cambridge University Press. 1988, 1992.
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# An algorithm with guaranteed convergence for finding a zero
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of a function, R. P. Brent, The Computer Journal, Vol 44, 1971.
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# [@http://en.wikipedia.org/wiki/Brent%27s_method Brent's method in Wikipedia.]
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# Z. Zhang, An Improvement to the Brent's Method, IJEA, vol. 2, pp. 2 to 26, May 31, 2011.
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[@http://www.cscjournals.org/manuscript/Journals/IJEA/volume2/Issue1/IJEA-7.pdf ]
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# Steven A. Stage, Comments on An Improvement to the Brent's Method
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(and comparison of various algorithms)
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[@http://www.cscjournals.org/manuscript/Journals/IJEA/volume4/Issue1/IJEA-33.pdf]
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Stage concludes that Brent's algorithm is slow to start, but fast to finish convergence, and has good accuracy.
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[endsect] [/section:rebt_minima Locating Function Minima]
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[/
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Copyright 2006, 2015 John Maddock and Paul A. Bristow.
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Distributed under the Boost Software License, Version 1.0.
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(See accompanying file LICENSE_1_0.txt or copy at
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http://www.boost.org/LICENSE_1_0.txt).
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]
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