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Newton's Method For Functions of Several Variables: by Nick Bulinski and Justin Gilmore

1) Multivariate Newton's method is an algorithm for solving systems of nonlinear equations with multiple variables. It is an extension of Newton's original method for single-variable equations. 2) The Jacobian matrix is analogous to the derivative in the single-variable case, and contains all the first partial derivatives of the vector function. 3) The method works by using a Taylor expansion to linearize the function around the current point, then solving for the root of the linearized system to get the next iteration point.

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112 views7 pages

Newton's Method For Functions of Several Variables: by Nick Bulinski and Justin Gilmore

1) Multivariate Newton's method is an algorithm for solving systems of nonlinear equations with multiple variables. It is an extension of Newton's original method for single-variable equations. 2) The Jacobian matrix is analogous to the derivative in the single-variable case, and contains all the first partial derivatives of the vector function. 3) The method works by using a Taylor expansion to linearize the function around the current point, then solving for the root of the linearized system to get the next iteration point.

Uploaded by

Santhosh Inigoe
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Newton's Method for Functions

of Several Variables
By Nick Bulinski and Justin Gilmore
Systems of Equations
Solving for a system of equations is not all that complicated for a
system of linear equations, but not all equations are linear. The
combination of nonlinear and more then one equation raises the
difficulty significantly.

Multivariate Newtons Method


One way to solve systems of equations with multiple variables is
using multivariate Newtons method. This method comes from
f ( xn )
xn 1 xn
Newtons original method which is f ' ( xn ) .
Newton's Method for Functions of Several Variables finds the
roots for a system of nonlinear equations.
Multivariate Newtons Method (cont)

Newton's one-variable method provides an outline for how the


multi-variable case will work. Both are derived from the linear
approximation given by the Taylor expansion. Before we get to
that however we need define a few terms.

We will also need to take the derivative of . For that we


will need to compute what is known as the Jacobian matrix.
Jacobian Matrix
The Jacobian matrix is an analog to the derivative of f in the one
variable case. It is defined as the matrix of all first partial
derivatives of a vector function F(v) s.t.

ex:
Putting it all Together
Now we have all the pieces we need to make the Taylor expansion:

or

We then derive the algorithm by solving the second equation for r

for k = 0,1,2,
Example


Advantages & Disadvantages
Advantages
Different solutions can be found with a different
starting guess
Fast Convergence
Disadvantages
Will only work if the Jacobian can be computed
If the Jacobian is singular the algorithm breaks
Number of iterations can not be determined before
the algorithm begins

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