/// <summary>
/// Brent-Dekker method for finding roots. Robust and relatively quick.
/// Uses a combination of inverse quadratic interpolation, secant interpolation, and bisection.
/// Note: Brent-Dekker requires that the root be bracketed. This routine will attempt to
/// bracket the root before using Brent-Dekker.
/// </summary>
/// <param name="f">function to solve</param>
/// <param name="guess">the initial guess for the root.</param>
/// <param name="step">the starting step size</param>
/// <param name="fType">Unknown, increasing, or decreasing</param>
/// <param name="min">Optional. The minimum location for the root, or NaN</param>
/// <param name="max">Optional. The maximum location for the root, or NaN</param>
/// <param name="areNear">Optional. The maximum tolerance, or null to use the default tolerance</param>
/// <param name="maxIterations">The maximum number of iterations to keep refining the root estimate</param>
/// <returns>
/// Null, if any of the parameters were incorrect.
/// The RootResults which contains the root if one was found, or the final state before failing.
/// </returns>
public static RootResults BrentBracket(Func <double, double> f, double guess, double step, FunctionShape fType, double min, double max, ToleranceFunc areNear, int maxIterations)
{
const RootResults nullResult = null;
if (f == null)
{
Policies.ReportDomainError("Function cannot be null");
return(nullResult);
}
// NaN is valid here for min or max, so only fail if both have a value and min > max
if (min > max)
{
Policies.ReportDomainError("Requires min <= max : min = {0}; max = {1}", min, max);
return(nullResult);
}
// use the default if max iterations is negative
if (maxIterations < 3)
{
Policies.ReportDomainError("Requires maxIterations >= 3: maxIterations = {0}", maxIterations);
return(nullResult);
}
// use the default if tolerance is null
if (areNear == null)
{
areNear = GetToleranceFunc();
}
int iterations;
RootBracketResult b = FindBracket(f, guess, step, fType, min, max, maxIterations, out iterations);
if (b == null)
{
Policies.ReportDomainError("Invalid parameter in bracket");
return(nullResult);
}
if (!b.IsValid)
{
RootResults result = new RootResults();
result.Bracket = b;
result.Iterations = iterations;
return(result);
}
return(BrentInt(f, b.XMin, b.FxMin, b.XMax, b.FxMax, areNear, maxIterations - iterations));
}
/// <summary>
/// Brent-Dekker uses a combination of inverse quadratic interpolation, secant interpolation, and bisection to locate the root of f(x).
/// Note: min and max must bracket the root.
/// </summary>
/// <param name="f">function to solve</param>
/// <param name="min">root must lie within [min, max]</param>
/// <param name="max">root must lie within [min, max]</param>
/// <param name="areNear">A function that returns true when the required tolerance is reached, or null to use the default tolerance</param>
/// <param name="maxIterations">The maximum number of iterations to keep refining the root estimate</param>
/// <returns>
/// Null, if any of the parameters were incorrect.
/// The RootResults which contains the root if one was found, or the final state before failing.
/// </returns>
public static RootResults Brent(Func <double, double> f, double min, double max, ToleranceFunc areNear, int maxIterations)
{
const RootResults nullResult = null;
if (f == null)
{
Policies.ReportDomainError("Function cannot be null");
return(nullResult);
}
if (!(min <= max))
{
Policies.ReportDomainError("Requires min <= max : min = {0}; max = {1}", min, max);
return(nullResult);
}
// use the default if tolerance is null
if (areNear == null)
{
areNear = GetToleranceFunc();
}
if (maxIterations < 3)
{
Policies.ReportDomainError("Requires maxIterations >= 3: maxIterations = {0}", maxIterations);
return(nullResult);
}
double fmin = f(min);
double fmax = f(max);
if (!IsBracket(fmin, fmax))
{
RootResults results = new RootResults()
{
Iterations = 2,
Bracket = new RootBracketResult(min, fmin, max, fmax)
};
Policies.ReportDomainError("The root is not bracketed: f({0}) = {1}; f({2}) = {3}", min, fmin, max, fmax);
return(results);
}
var r = BrentInt(f, min, fmin, max, fmax, areNear, maxIterations - 2);
r.Iterations += 2;
return(r);
}
// For more information, see: http://en.wikipedia.org/wiki/Brent's_method
private static RootResults BrentInt(Func <double, double> f, double min, double fmin, double max, double fmax, ToleranceFunc areNear, int maxIterations)
{
// private routine so these conditions should already be true
Debug.Assert(f != null, "Function cannot be null");
Debug.Assert(min < max, "Parameter min < max");
Debug.Assert(IsBracket(fmin, fmax), "Root is not bracketed");
// code based on pseudocode in http://en.wikipedia.org/wiki/Brent's_method
double xSolution = double.NaN;
int iterations = 0;
double x = double.NaN;
if (fmin == 0)
{
xSolution = min;
goto exit;
}
if (fmax == 0)
{
xSolution = max;
goto exit;
}
if (areNear(min, max))
{
xSolution = min + (max - min) / 2.0; // don't have an exact solution so take a midpoint
goto exit;
}
// b is chosen to be the closer point to the root (i.e. Abs(fb) < Abs(fa) )
// a is always of the opposite sign as b so that [a,b] or [b,a] contains the root
// c = the previous value of b except initially when c = a
// d = the previous value of c
double a, b, c, fa, fb, fc, d = 0, df = 0;
if (Math.Abs(fmin) < Math.Abs(fmax))
{
a = max; fa = fmax;
b = min; fb = fmin;
}
else
{
b = max; fb = fmax;
a = min; fa = fmin;
}
c = a; fc = fa; // first step will be a secant step
bool usedBisection = true; // last step was bisection -- is d set
while (iterations < maxIterations)
{
if (fa != fc && fb != fc)
{
// use inverse quadratic interpolation step
// xn = b; xnm1=a; xnm2 = c;
x = (a * fb * fc) / ((fa - fb) * (fa - fc)) +
(b * fa * fc) / ((fb - fa) * (fb - fc)) +
(c * fa * fb) / ((fc - fa) * (fc - fb));
}
else // fa != fb here because Brent requires fa,fb to have opposite signs
// secant step
// xn = b; xnm1=a;
{
x = b - fb * (b - a) / (fb - fa);
}
if (((3 * a + b) / 4 <= x && x <= b) ||
(usedBisection && (Math.Abs(x - b) >= Math.Abs(b - c) / 2 || areNear(b, c))) || //Math.Abs(b-c) < tol.AbsTolerance
(!usedBisection && (Math.Abs(x - b) >= Math.Abs(c - d) / 2) || areNear(c, d))) //Math.Abs(c-d) < tol.AbsTolerance
// bisection step
{
x = (a + b) / 2;
usedBisection = true;
}
else
{
usedBisection = false;
}
double fx = f(x);
iterations++;
if (fx == 0)
{
xSolution = x;
break;
}
if (double.IsNaN(fx))
{
Policies.ReportDomainError("Requires that function returns a value: f({0}) = {1}", x, fx);
break;
}
d = c; df = fc;
c = b; fc = fb;
if (IsBracket(fa, fx))
{
b = x; fb = fx;
}
else
{
a = x; fa = fx;
}
// a is always further away from the root
if (Math.Abs(fa) < Math.Abs(fb))
{
double t, ft;
t = b; ft = fb;
b = a; fb = fa;
a = t; fa = ft;
}
if (areNear(a, b))
{
xSolution = x = a + 0.5 * (b - a); // don't have an exact solution, so return the midpoint
break;
}
}
min = a; fmin = fa;
max = b; fmax = fb;
exit:
RootResults result = new RootResults();
if (double.IsNaN(xSolution))
{
result.LastX = x;
}
else
{
result.SolutionX = xSolution;
}
result.Bracket = new RootBracketResult(min, fmin, max, fmax);
result.Iterations = iterations;
return(result);
}
// See: http://en.wikipedia.org/wiki/Bisection_method
private static RootResults BisectionInt(Func <double, double> f, double min, double fmin, double max, double fmax, ToleranceFunc areNear, int maxIterations)
{
// private routine so these conditions should already be true
Debug.Assert(f != null);
Debug.Assert(areNear != null);
Debug.Assert(min < max);
Debug.Assert(IsBracket(fmin, fmax));
Debug.Assert(maxIterations > 0);
// check the initial conditions
double xSolution = double.NaN;
int iterations = 0;
double mid = double.NaN;
if (fmin == 0)
{
xSolution = min;
goto exit;
}
if (fmax == 0)
{
xSolution = max;
goto exit;
}
if (areNear(min, max))
{
xSolution = min + (max - min) / 2.0; // don't have an exact solution so take a midpoint
goto exit;
}
while (iterations < maxIterations)
{
// evaluate the function at the midpoint
mid = min + (max - min) / 2;
double fmid = f(mid);
iterations++;
if (fmid == 0)
{
xSolution = mid;
break;
}
if (IsBracket(fmin, fmid))
{
max = mid;
fmax = fmid;
}
else
{
min = mid;
fmin = fmid;
}
if (areNear(max, min))
{
xSolution = min + (max - min) / 2.0; // don't have an exact solution so take a midpoint
break;
}
}
exit:
RootResults result = new RootResults();
if (double.IsNaN(xSolution))
{
result.LastX = mid;
}
else
{
result.SolutionX = xSolution;
}
result.Bracket = new RootBracketResult(min, fmin, max, fmax);
result.Iterations = iterations;
return(result);
}
private static RootResults Toms748Int(Func <double, double> f, double min, double fmin, double max, double fmax, ToleranceFunc areNear, int max_iter)
{
// private routine so these conditions should already be true
Debug.Assert(f != null, "Function cannot be null");
Debug.Assert(min <= max, $"Requires min <= max, min: {min}, max: {max}");
Debug.Assert(IsBracket(fmin, fmax), "Root is not bracketed");
//
// Main entry point and logic for Toms Algorithm 748
// root finder.
//
double xSolution = double.NaN;
int iterations = 0;
double a = min;
double fa = fmin;
double b = max;
double fb = fmax;
if (fa == 0)
{
xSolution = a;
goto exit;
}
if (fb == 0)
{
xSolution = b;
goto exit;
}
if (areNear(a, b))
{
xSolution = a + (b - a) / 2.0; // don't have an exact solution so take a midpoint
goto exit;
}
double d, fd; // d is the third best guess to the root
double e, fe; // e is the fourth best guess to the root
// initialize
fe = e = d = fd = double.NaN;
double c;
int stepNumber = 0;
while (iterations < max_iter)
{
// the root is in [a, b]; save it
double a0 = a;
double b0 = b;
switch (stepNumber)
{
case 0:
// *Only* on the first iteration we take a secant step:
c = SecantStep(a, b, fa, fb);
break;
case 1:
// *Only* on the second iteration, we take a quadratic step:
c = QuadraticStep(a, b, d, fa, fb, fd, 2);
break;
case 2:
case 3:
//
// Starting with the third step taken
// we can use either quadratic or cubic interpolation.
// Cubic interpolation requires that all four function values
// fa, fb, fd, and fe are distinct, should that not be the case
// then variable prof will get set to true, and we'll end up
// taking a quadratic step instead.
//
const double min_diff = DoubleLimits.MinNormalValue;
bool prof = (Math.Abs(fa - fb) < min_diff) ||
(Math.Abs(fa - fd) < min_diff) ||
(Math.Abs(fa - fe) < min_diff) ||
(Math.Abs(fb - fd) < min_diff) ||
(Math.Abs(fb - fe) < min_diff) ||
(Math.Abs(fd - fe) < min_diff);
// the first time use 2 newton steps; the second time use three
int newtonSteps = (stepNumber == 2) ? 2 : 3;
if (prof)
{
c = QuadraticStep(a, b, d, fa, fb, fd, newtonSteps);
}
else
{
c = CubicStep(a, b, d, e, fa, fb, fd, fe);
if (!(c > a && c < b))
{
c = QuadraticStep(a, b, d, fa, fb, fd, newtonSteps);
}
}
break;
case 4:
// Now we take a double-length secant step:
c = DoubleSecantStep(a, b, fa, fb);
break;
case 5:
//
// And finally... check to see if an additional bisection step is
// to be taken, we do this if we're not converging fast enough:
//
const double mu = 0.5;
if ((b - a) < mu * (b0 - a0))
{
stepNumber = 2;
continue;
}
c = a + (b - a) / 2;
break;
default:
Policies.ReportEvaluationError("Switch out of bounds");
return(null);
}
// save our next best bracket
e = d;
fe = fd;
// We require c in the interval [ a + |a|*minTol, b - |b|*minTol ]
// If the interval is not valid: (b-a) < (|a|+|b|)*minTol, then take a midpoint
const double minTol = DoubleLimits.MachineEpsilon * 10;
double minA = (a < 0) ? a * (1 - minTol) : a * (1 + minTol);
double minB = (b < 0) ? b * (1 + minTol) : b * (1 - minTol);
if ((b - a) < minTol * (Math.Abs(a) + Math.Abs(b)))
{
c = a + (b - a) / 2;
}
else if (c < minA)
{
c = minA;
}
else if (c > minB)
{
c = minB;
}
// OK, lets invoke f(c):
double fc = f(c);
++iterations;
// if we have a zero then we have an exact solution to the root:
if (fc == 0)
{
xSolution = c;
break;
}
if (double.IsNaN(fc))
{
Policies.ReportDomainError("Requires a continuous function: f({0}) = {1}", c, fc);
break;
}
//
// Non-zero fc, update the interval:
//
if (IsBracket(fa, fc))
{
d = b; fd = fb;
b = c; fb = fc;
}
else
{
d = a; d = fa;
a = c; fa = fc;
}
if (areNear(a, b))
{
// we're close enough, but we don't have an exact solution
// so take a midpoint
xSolution = a + (b - a) / 2.0;
break;
}
// reset our step if necessary;
if (++stepNumber > 5)
{
stepNumber = 2;
}
}
exit:
RootResults result = new RootResults();
result.SolutionX = xSolution;
result.Bracket = new RootBracketResult(a, fa, b, fb);
result.Iterations = iterations;
return(result);
}
/// <summary>
/// Halley's method for finding roots.
/// Note: min and max must bracket the root.
/// </summary>
/// <param name="f">function to solve along with first and second derivative at point x</param>
/// <param name="guess">the initial guess for the root</param>
/// <param name="min">root must lie within [min, max]</param>
/// <param name="max">root must lie within [min, max]</param>
/// <param name="areNear">A function that returns true when the required tolerance is reached, or null to use the default tolerance</param>
/// <param name="maxIterations">The maximum number of iterations to keep refining the root estimate</param>
/// <returns>
/// Null, if any of the parameters were incorrect.
/// The RootResults which contains the root if one was found, or the final state before failing.
/// </returns>
public static RootResults Halley(Func <double, ValueTuple <double, double, double> > f, double guess, double min, double max, ToleranceFunc areNear, int maxIterations)
{
const RootResults nullResult = null;
if (f == null)
{
Policies.ReportDomainError("Function cannot be null");
return(nullResult);
}
// use the default if tolerance is null
if (areNear == null)
{
areNear = GetToleranceFunc();
}
if (maxIterations < 3)
{
Policies.ReportDomainError("Requires maxIterations >= 3: maxIterations = {0}", maxIterations);
return(nullResult);
}
if (!(min <= max))
{
Policies.ReportDomainError("Requires min <= max : min = {0}; max = {1}", min, max);
return(nullResult);
}
if (!(guess >= min && guess <= max))
{
Policies.ReportDomainError("Requires a valid initial guess between min and max: guess = {0}; min = {1}; max = {2}", guess, min, max);
return(nullResult);
}
double xSolution = double.NaN;
int iterations = 0;
double f0, f1, f2;
f0 = double.NaN;
double x = guess;
double delta = max - min;
double delta1 = double.MaxValue;
double delta2 = double.MaxValue;
bool out_of_bounds_sentry = false;
while (iterations < maxIterations)
{
double last_f0 = f0;
delta2 = delta1;
delta1 = delta;
// get the value and first derivative
iterations++;
(f0, f1, f2) = f(x);
if (f0 == 0)
{
xSolution = x;
break;
}
if (double.IsNaN(f0))
{
Policies.ReportDomainError("Requires that function returns a value: f({0}) = {1}", x, f0);
break;
}
if (f1 == 0)
{
// Oops zero derivative!!!
// this is initially null
if (double.IsNaN(last_f0))
{
// this must be the first iteration, pretend that we had a
// previous one at either min or max:
x = (guess == min) ? max : min;
iterations++;
(f0, f1, f2) = f(x);
last_f0 = f0;
delta = x - guess;
}
if (IsBracket(last_f0, f0))
{
// we've crossed over so move in opposite direction to last step:
if (delta < 0)
{
delta = (x - min) / 2;
}
else
{
delta = (x - max) / 2;
}
}
else
{
// move in same direction as last step:
if (delta < 0)
{
delta = (x - max) / 2;
}
else
{
delta = (x - min) / 2;
}
}
}
else
{
// Use Halley's method:
// Let f = f(x{n}); f' = f'(x{n}); f'' = f''(x{n});
//
// x{n+1} = x{n} - (2 * f * f')/(2 * f'^2 - f * f'' )
// OR
// x{n+1} = x{n} - (2 * f)/(2 * f' - f * f''/ f' )
// OR
// x{n+1} = x{n} - (f/f')/(1 - (1/2)*(f/f')(f''/f'))
if (f2 != 0 && !double.IsInfinity(f2))
{
double num = 2 * f0;
double denom = 2 * f1 - f0 * (f2 / f1);
delta = num / denom;
if (double.IsInfinity(delta) || double.IsNaN(delta))
{
// possible overflow, use Newton step:
delta = f0 / f1;
}
if (delta * f1 / f0 < 0)
{
// probably cancellation error, try a Newton step instead:
delta = f0 / f1;
}
}
else
{
delta = f0 / f1;
}
}
double convergence = Math.Abs(delta / delta2);
if ((convergence > 0.8) && (convergence < 2))
{
// last two steps haven't converged, try bisection:
delta = (delta > 0) ? (x - min) / 2 : (x - max) / 2;
if (Math.Abs(delta) > x)
{
delta = Math.Sign(delta) * x; // protect against huge jumps!
}
// reset delta2 so that this branch will *not* be taken on the
// next iteration:
delta2 = delta * 3;
}
guess = x;
x -= delta;
// check for out of bounds step:
if (x < min)
{
double diff = ((Math.Abs(min) < 1) && (Math.Abs(x) > 1) && (double.MaxValue / Math.Abs(x) < Math.Abs(min))) ? 1000.0 : x / min;
if (Math.Abs(diff) < 1)
{
diff = 1 / diff;
}
if (!out_of_bounds_sentry && (diff > 0) && (diff < 3))
{
// Only a small out of bounds step, lets assume that the result
// is probably approximately at min:
delta = 0.99 * (guess - min);
x = guess - delta;
out_of_bounds_sentry = true; // only take this branch once!
}
else
{
delta = (guess - min) / 2;
x = guess - delta;
}
}
else if (x > max)
{
double diff = ((Math.Abs(max) < 1) && (Math.Abs(x) > 1) && (double.MaxValue / Math.Abs(x) < Math.Abs(max))) ? 1000.0 : x / max;
if (Math.Abs(diff) < 1)
{
diff = 1 / diff;
}
if (!out_of_bounds_sentry && (diff > 0) && (diff < 3))
{
// Only a small out of bounds step, lets assume that the result
// is probably approximately at min:
delta = 0.99 * (guess - max);
x = guess - delta;
out_of_bounds_sentry = true; // only take this branch once!
}
else
{
delta = (guess - max) / 2;
x = guess - delta;
}
}
// update brackets:
if (delta > 0)
{
max = guess;
}
else
{
min = guess;
}
if (areNear(x, guess))
{
xSolution = x;
break;
}
}
RootResults result = new RootResults()
{
SolutionX = xSolution,
// Note: this halley implementation does not keep track of fmin, fmax
// for the brackets
Bracket = new RootBracketResult(min, double.NaN, max, double.NaN),
Iterations = iterations
};
return(result);
}
