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Notes 05

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Ahsan Ramzan
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13 views

Notes 05

Uploaded by

Ahsan Ramzan
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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16

Flow chart:
no
INPUT OUTPUT
x n=Φ (x0 ) if |x n−x |>ε
x0 , ε 0 xn

yes
replace
x 0by x n

Loop (without counter)

Maple code (for f (x) = cos(x) − x = 0, Φ(x) = cos(x)):

simple_iter:=proc(x,tol)
local xold,xnew,dif,phi;
# transcription of input
xold:=x;
# ensures that loop starts
dif:=tol+1;
# iterative map
phi:=z->cos(z);
# iteration loop
while dif>tol do
# iteration
xnew:=phi(xold);
# error estimate
dif:=abs(xnew-xold);
# transcription
xold:=xnew;
end do;
return xnew;
end proc:

Problem: loops without a counter may run forever.

b) Bisection algorithm
17
f
f(b)
Consider a (continuous) function f where
f (a) < 0 and f (b) > 0 (or vice versa). Then
f (x) = 0 for some x, a < x < b by the in- f(c)
a c b
0
termediate value theorem. How to compute
f(a)
such a value ?

Idea: Compute the midpoint c = (a + b)/2. If f (b) and f (c) have the same sign then x
is contained in (the smaller) interval [a, c]. If f (a) and f (c) have the same sign then x is
contained in [c, b]. Repeat the step with the smaller interval until its length is below the
required threshold. In each step the length of the intervals halves, i.e., after n steps the
length of the interval is |b − a|/2n . Thus the method always converges !

Structure of the code:

• Given: lower limit a, upper limit b, and threshold ε.

• Check whether f (a) and f (b) have opposite sign.

• Compute the midpoint c = (a + b)/2.

• If f (a) and f (c) have the same sign replace the lower limit a by c (to continue with
[c, b] !), else replace the upper limit b by c (to continue with [a, c] !)

• If the length of the interval |b − a| is larger than the threshold continue with step
3, else return the midpoint.

Flow chart:

INPUT
a,b,tol

yes a:=c

no f(a) and f(c) no


f(a) and f(b) OUTPUT
have the c=(a+b)/2 have the |b−a|>tol
(a+b)/2
same sign same sign

no b:=c yes
yes

OUTPUT
error
18

Maple code (for f (x) = cos(x) − x = 0):

simple_bisection:=proc(a,b,tol)
local low,up,mid,f;
f:=x->cos(x)-x;
# transcription of input
low:=a;
up:=b;
# check for sign change
if f(up)*f(low)>0 then
error "f(a) f(b)>0";
end if;
# recursive bisection
while up-low>tol do
# midpoint
mid:=(up+low)/2;
# bisection update
if f(low)*f(mid)>0 then
low:=mid;
else
up:=mid;
end if;
end do;
# output
return (up+low)/2;
end proc:

Example 3.3: Suppose you start a bisection algorithm with initial interval [−2, 2] and
the algorithm returns 1/2. How many bisections have been performed?

The first bisection step computes the midpoint value 0. As our result is contained in [0, 2]
the algorithm continues with the interval [0, 2] and the second bisection step computes for
the midpoint the value 1. As our result is contained in [0, 1] the algorithm returns the
19

midpoint value 1/2, i.e., two bisection steps have been performed.

c) Newton-Raphson method

Remark: on Taylor series expansions


∞
X f (k) (x0 ) f ′′ (x0 )
f (x) = (x − x0 )k = f (x0 ) + f ′ (x0 )(x − x0 ) + (x − x0 )2 + . . .
k=0
k! 2
f (x) = f (x0 ) + f ′ (x0 )(x − x0 ) + R(x, x0 )
| {z } | {z }
ϕ(x), linear in x remainder (“small”)

Graphically:
f
ϕ (x)=f(x0 )+f’(x )(x−x )
0 0
"first order approximation"
f(x )
0

x x
1 0

We want to compute x such that f (x) = 0. Suppose we know some initial guess x0 (close
to x). Replace f by the first order approximation ϕ and solve ϕ(x) = 0, i.e.,

f (x0 )
0 = f (x0 ) + f ′ (x0 )(x − x0 ) ⇒ x = x0 − = x1 .
f ′ (x0 )

Thus we obtain an improved value x1 . Repeat the procedure until the sequence converges,
i.e.,
f (xk )
xk+1 = Φ(xk ) = xk − .
f ′ (xk )
Iterative solution method with some “intelligent” iterative map Φ.

Φ(x) = x − f (x)/f ′ (x) is called Newton-Raphson map. Properties of Φ (see §3a)

• “Fixed point condition”: if (x0 , x1 , x2 , . . .) converges, xn → x∗ then

f (x∗ )
x∗ = Φ(x∗ ) = x∗ − ⇒ f (x∗ ) = 0
f ′ (x∗ )

i.e., the limit is the desired solution.

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