WSJT-X/boost/libs/math/doc/roots/roots.qbk

[section:roots_deriv Root Finding With Derivatives: Newton-Raphson, Halley & Schr'''ö'''der]

[h4 Synopsis]

``
#include <boost/math/tools/roots.hpp>
``

   namespace boost { namespace math {
   namespace tools { // Note namespace boost::math::tools.
   // Newton-Raphson
   template <class F, class T>
   T newton_raphson_iterate(F f, T guess, T min, T max, int digits);

   template <class F, class T>
   T newton_raphson_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter);

   // Halley
   template <class F, class T>
   T halley_iterate(F f, T guess, T min, T max, int digits);

   template <class F, class T>
   T halley_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter);

   // Schr'''&#xf6;'''der
   template <class F, class T>
   T schroder_iterate(F f, T guess, T min, T max, int digits);

   template <class F, class T>
   T schroder_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter);

   }}} // namespaces boost::math::tools.

[h4 Description]

These functions all perform iterative root-finding [*using derivatives]:

* `newton_raphson_iterate` performs second-order __newton.

* `halley_iterate` and `schroder_iterate` perform third-order
__halley and __schroder iteration.

The functions all take the same parameters:

[variablelist Parameters of the root finding functions
[[F f] [Type F must be a callable function object that accepts one parameter and
        returns a __tuple_type:

For second-order iterative method ([@http://en.wikipedia.org/wiki/Newton_Raphson Newton Raphson])
        the `tuple` should have [*two] elements containing the evaluation
        of the function and its first derivative.

For the third-order methods
([@http://en.wikipedia.org/wiki/Halley%27s_method Halley] and
Schr'''&#xf6;'''der)
        the `tuple` should have [*three] elements containing the evaluation of
        the function and its first and second derivatives.]]
[[T guess] [The initial starting value. A good guess is crucial to quick convergence!]]
[[T min] [The minimum possible value for the result, this is used as an initial lower bracket.]]
[[T max] [The maximum possible value for the result, this is used as an initial upper bracket.]]
[[int digits] [The desired number of binary digits precision.]]
[[uintmax_t& max_iter] [An optional maximum number of iterations to perform.  On exit, this is updated to the actual number of iterations performed.]]
]

When using these functions you should note that:

* Default `max_iter = (std::numeric_limits<boost::uintmax_t>::max)()` is effectively 'iterate for ever'.
* They may be very sensitive to the initial guess, typically they converge very rapidly
if the initial guess has two or three decimal digits correct.  However convergence
can be no better than __bisect, or in some rare cases, even worse than __bisect if the
initial guess is a long way from the correct value and the derivatives are close to zero.
* These functions include special cases to handle zero first (and second where appropriate)
derivatives, and fall back to __bisect in this case.  However, it is helpful
if functor F is defined to return an arbitrarily small value ['of the correct sign] rather
than zero.
* If the derivative at the current best guess for the result is infinite (or
very close to being infinite) then these functions may terminate prematurely.
A large first derivative leads to a very small next step, triggering the termination
condition.  Derivative based iteration may not be appropriate in such cases.
* If the function is 'Really Well Behaved' (is monotonic and has only one root)
the bracket bounds ['min] and ['max] may as well be set to the widest limits
like zero and `numeric_limits<T>::max()`.
*But if the function more complex and may have more than one root or a pole,
the choice of bounds is protection against jumping out to seek the 'wrong' root.
* These functions fall back to __bisect if the next computed step would take the
next value out of bounds.  The bounds are updated after each step to ensure this leads
to convergence.  However, a good initial guess backed up by asymptotically-tight
bounds will improve performance no end - rather than relying on __bisection.
* The value of ['digits] is crucial to good performance of these functions,
if it is set too high then at best you will get one extra (unnecessary)
iteration, and at worst the last few steps will proceed by __bisection.
Remember that the returned value can never be more accurate than ['f(x)] can be
evaluated, and that if ['f(x)] suffers from cancellation errors as it
tends to zero then the computed steps will be effectively random.  The
value of ['digits] should be set so that iteration terminates before this point:
remember that for second and third order methods the number of correct
digits in the result is increasing quite
substantially with each iteration, ['digits] should be set by experiment so that the final
iteration just takes the next value into the zone where ['f(x)] becomes inaccurate.
A good starting point for ['digits] would be 0.6*D for Newton and 0.4*D for Halley or Shr'''&#xf6;'''der
iteration, where D is `std::numeric_limits<T>::digits`.
* If you need some diagnostic output to see what is going on, you can
`#define BOOST_MATH_INSTRUMENT` before the `#include <boost/math/tools/roots.hpp>`,
and also ensure that display of all the significant digits with
` cout.precision(std::numeric_limits<double>::digits10)`:
or even possibly significant digits with
` cout.precision(std::numeric_limits<double>::max_digits10)`:
but be warned, this may produce copious output!
* Finally: you may well be able to do better than these functions by hand-coding
the heuristics used so that they are tailored to a specific function.  You may also
be able to compute the ratio of derivatives used by these methods more efficiently
than computing the derivatives themselves.  As ever, algebraic simplification can
be a big win.

[h4:newton Newton Raphson Method]

Given an initial guess ['x0] the subsequent values are computed using:

[equation roots1]

Out of bounds steps revert to __bisection of the current bounds.

Under ideal conditions, the number of correct digits doubles with each iteration.

[h4:halley Halley's Method]

Given an initial guess ['x0] the subsequent values are computed using:

[equation roots2]

Over-compensation by the second derivative (one which would proceed
in the wrong direction) causes the method to
revert to a Newton-Raphson step.

Out of bounds steps revert to bisection of the current bounds.

Under ideal conditions, the number of correct digits trebles with each iteration.

[h4:schroder Schr'''&#xf6;'''der's Method]

Given an initial guess x0 the subsequent values are computed using:

[equation roots3]

Over-compensation by the second derivative (one which would proceed
in the wrong direction) causes the method to
revert to a Newton-Raphson step.  Likewise a Newton step is used
whenever that Newton step would change the next value by more than 10%.

Out of bounds steps revert to __bisection_wikipedia of the current bounds.

Under ideal conditions, the number of correct digits trebles with each iteration.

This is Schr'''&#xf6;'''der's general result (equation 18 from [@http://drum.lib.umd.edu/handle/1903/577 Stewart, G. W.
"On Infinitely Many Algorithms for Solving Equations." English translation of Schr'''&#xf6;'''der's original paper.
College Park, MD: University of Maryland, Institute for Advanced Computer Studies, Department of Computer Science, 1993].)

This method guarantees at least quadratic convergence (the same as Newton's method), and is known to work well in the presence of multiple roots:
something that neither Newton nor Halley can do.

[h4 Examples]

See __root_finding_examples.

[endsect] [/section:roots_deriv Root Finding With Derivatives]

[/
  Copyright 2006, 2010, 2012 John Maddock and Paul A. Bristow.
  Distributed under the Boost Software License, Version 1.0.
  (See accompanying file LICENSE_1_0.txt or copy at
  http://www.boost.org/LICENSE_1_0.txt).
]