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import warnings
import _zeros
from numpy import finfo
_iter = 100
_xtol = 1e-12
# not actually used at the moment
_rtol = finfo(float).eps * 2
__all__ = ['newton', 'bisect', 'ridder', 'brentq', 'brenth']
CONVERGED = 'converged'
SIGNERR = 'sign error'
CONVERR = 'convergence error'
flag_map = {0 : CONVERGED, -1 : SIGNERR, -2 : CONVERR}
class RootResults(object):
def __init__(self, root, iterations, function_calls, flag):
self.root = root
self.iterations = iterations
self.function_calls = function_calls
self.converged = flag == 0
try:
self.flag = flag_map[flag]
except KeyError:
self.flag = 'unknown error %d' % (flag,)
def results_c(full_output, r):
if full_output:
x, funcalls, iterations, flag = r
results = RootResults(root=x,
iterations=iterations,
function_calls=funcalls,
flag=flag)
return x, results
else:
return r
# Newton-Raphson method
def newton(func, x0, fprime=None, args=(), tol=1.48e-8, maxiter=50):
"""
Find a zero using the Newton-Raphson or secant method.
Find a zero of the function `func` given a nearby starting point `x0`.
The Newton-Raphson method is used if the derivative `fprime` of `func`
is provided, otherwise the secant method is used.
Parameters
----------
func : function
The function whose zero is wanted. It must be a function of a
single variable of the form f(x,a,b,c...), where a,b,c... are extra
arguments that can be passed in the `args` parameter.
x0 : float
An initial estimate of the zero that should be somewhere near the
actual zero.
fprime : function, optional
The derivative of the function when available and convenient. If it
is None (default), then the secant method is used.
args : tuple, optional
Extra arguments to be used in the function call.
tol : float, optional
The allowable error of the zero value.
maxiter : int, optional
Maximum number of iterations.
Returns
-------
zero : float
Estimated location where function is zero.
See Also
--------
brentq, brenth, ridder, bisect : find zeroes in one dimension.
fsolve : find zeroes in n dimensions.
Notes
-----
The convergence rate of the Newton-Raphson method is quadratic while
that of the secant method is somewhat less. This means that if the
function is well behaved the actual error in the estimated zero is
approximately the square of the requested tolerance up to roundoff
error. However, the stopping criterion used here is the step size and
there is no guarantee that a zero has been found. Consequently the
result should be verified. Safer algorithms are brentq, brenth, ridder,
and bisect, but they all require that the root first be bracketed in an
interval where the function changes sign. The brentq algorithm is
recommended for general use in one dimensional problems when such an
interval has been found.
"""
if fprime is not None:
# Newton-Rapheson method
# Multiply by 1.0 to convert to floating point. We don't use float(x0)
# so it still works if x0 is complex.
p0 = 1.0 * x0
for iter in range(maxiter):
myargs = (p0,) + args
fder = fprime(*myargs)
if fder == 0:
msg = "derivative was zero."
warnings.warn(msg, RuntimeWarning)
return p0
p = p0 - func(*myargs) / fder
if abs(p - p0) < tol:
return p
p0 = p
else:
# Secant method
p0 = x0
if x0 >= 0:
p1 = x0*(1 + 1e-4) + 1e-4
else:
p1 = x0*(1 + 1e-4) - 1e-4
q0 = func(*((p0,) + args))
q1 = func(*((p1,) + args))
for iter in range(maxiter):
if q1 == q0:
if p1 != p0:
msg = "Tolerance of %s reached" % (p1 - p0)
warnings.warn(msg, RuntimeWarning)
return (p1 + p0)/2.0
else:
p = p1 - q1*(p1 - p0)/(q1 - q0)
if abs(p - p1) < tol:
return p
p0 = p1
q0 = q1
p1 = p
q1 = func(*((p1,) + args))
msg = "Failed to converge after %d iterations, value is %s" % (maxiter, p)
raise RuntimeError(msg)
def bisect(f, a, b, args=(),
xtol=_xtol, rtol=_rtol, maxiter=_iter,
full_output=False, disp=True):
"""Find root of f in [a,b].
Basic bisection routine to find a zero of the function f between the
arguments a and b. f(a) and f(b) can not have the same signs. Slow but
sure.
Parameters
----------
f : function
Python function returning a number. f must be continuous, and f(a) and
f(b) must have opposite signs.
a : number
One end of the bracketing interval [a,b].
b : number
The other end of the bracketing interval [a,b].
xtol : number, optional
The routine converges when a root is known to lie within xtol of the
value return. Should be >= 0. The routine modifies this to take into
account the relative precision of doubles.
maxiter : number, optional
if convergence is not achieved in maxiter iterations, and error is
raised. Must be >= 0.
args : tuple, optional
containing extra arguments for the function `f`.
`f` is called by ``apply(f, (x)+args)``.
full_output : bool, optional
If `full_output` is False, the root is returned. If `full_output` is
True, the return value is ``(x, r)``, where `x` is the root, and `r` is
a RootResults object.
disp : bool, optional
If True, raise RuntimeError if the algorithm didn't converge.
Returns
-------
x0 : float
Zero of `f` between `a` and `b`.
r : RootResults (present if ``full_output = True``)
Object containing information about the convergence. In particular,
``r.converged`` is True if the routine converged.
See Also
--------
brentq, brenth, bisect, newton : one-dimensional root-finding
fixed_point : scalar fixed-point finder
fsolve : n-dimensional root-finding
"""
if type(args) != type(()) :
args = (args,)
r = _zeros._bisect(f,a,b,xtol,maxiter,args,full_output,disp)
return results_c(full_output, r)
def ridder(f, a, b, args=(),
xtol=_xtol, rtol=_rtol, maxiter=_iter,
full_output=False, disp=True):
"""
Find a root of a function in an interval.
Parameters
----------
f : function
Python function returning a number. f must be continuous, and f(a) and
f(b) must have opposite signs.
a : number
One end of the bracketing interval [a,b].
b : number
The other end of the bracketing interval [a,b].
xtol : number, optional
The routine converges when a root is known to lie within xtol of the
value return. Should be >= 0. The routine modifies this to take into
account the relative precision of doubles.
maxiter : number, optional
if convergence is not achieved in maxiter iterations, and error is
raised. Must be >= 0.
args : tuple, optional
containing extra arguments for the function `f`.
`f` is called by ``apply(f, (x)+args)``.
full_output : bool, optional
If `full_output` is False, the root is returned. If `full_output` is
True, the return value is ``(x, r)``, where `x` is the root, and `r` is
a RootResults object.
disp : bool, optional
If True, raise RuntimeError if the algorithm didn't converge.
Returns
-------
x0 : float
Zero of `f` between `a` and `b`.
r : RootResults (present if ``full_output = True``)
Object containing information about the convergence.
In particular, ``r.converged`` is True if the routine converged.
See Also
--------
brentq, brenth, bisect, newton : one-dimensional root-finding
fixed_point : scalar fixed-point finder
Notes
-----
Uses [Ridders1979]_ method to find a zero of the function `f` between the
arguments `a` and `b`. Ridders' method is faster than bisection, but not
generally as fast as the Brent rountines. [Ridders1979]_ provides the
classic description and source of the algorithm. A description can also be
found in any recent edition of Numerical Recipes.
The routine used here diverges slightly from standard presentations in
order to be a bit more careful of tolerance.
References
----------
.. [Ridders1979]
Ridders, C. F. J. "A New Algorithm for Computing a
Single Root of a Real Continuous Function."
IEEE Trans. Circuits Systems 26, 979-980, 1979.
"""
if type(args) != type(()) :
args = (args,)
r = _zeros._ridder(f,a,b,xtol,maxiter,args,full_output,disp)
return results_c(full_output, r)
def brentq(f, a, b, args=(),
xtol=_xtol, rtol=_rtol, maxiter=_iter,
full_output=False, disp=True):
"""
Find a root of a function in given interval.
Return float, a zero of `f` between `a` and `b`. `f` must be a continuous
function, and [a,b] must be a sign changing interval.
Description:
Uses the classic Brent (1973) method to find a zero of the function `f` on
the sign changing interval [a , b]. Generally considered the best of the
rootfinding routines here. It is a safe version of the secant method that
uses inverse quadratic extrapolation. Brent's method combines root
bracketing, interval bisection, and inverse quadratic interpolation. It is
sometimes known as the van Wijngaarden-Deker-Brent method. Brent (1973)
claims convergence is guaranteed for functions computable within [a,b].
[Brent1973]_ provides the classic description of the algorithm. Another
description can be found in a recent edition of Numerical Recipes, including
[PressEtal1992]_. Another description is at
http://mathworld.wolfram.com/BrentsMethod.html. It should be easy to
understand the algorithm just by reading our code. Our code diverges a bit
from standard presentations: we choose a different formula for the
extrapolation step.
Parameters
----------
f : function
Python function returning a number. f must be continuous, and f(a) and
f(b) must have opposite signs.
a : number
One end of the bracketing interval [a,b].
b : number
The other end of the bracketing interval [a,b].
xtol : number, optional
The routine converges when a root is known to lie within xtol of the
value return. Should be >= 0. The routine modifies this to take into
account the relative precision of doubles.
maxiter : number, optional
if convergence is not achieved in maxiter iterations, and error is
raised. Must be >= 0.
args : tuple, optional
containing extra arguments for the function `f`.
`f` is called by ``apply(f, (x)+args)``.
full_output : bool, optional
If `full_output` is False, the root is returned. If `full_output` is
True, the return value is ``(x, r)``, where `x` is the root, and `r` is
a RootResults object.
disp : bool, optional
If True, raise RuntimeError if the algorithm didn't converge.
Returns
-------
x0 : float
Zero of `f` between `a` and `b`.
r : RootResults (present if ``full_output = True``)
Object containing information about the convergence. In particular,
``r.converged`` is True if the routine converged.
See Also
--------
multivariate local optimizers
`fmin`, `fmin_powell`, `fmin_cg`, `fmin_bfgs`, `fmin_ncg`
nonlinear least squares minimizer
`leastsq`
constrained multivariate optimizers
`fmin_l_bfgs_b`, `fmin_tnc`, `fmin_cobyla`
global optimizers
`anneal`, `brute`
local scalar minimizers
`fminbound`, `brent`, `golden`, `bracket`
n-dimensional root-finding
`fsolve`
one-dimensional root-finding
`brentq`, `brenth`, `ridder`, `bisect`, `newton`
scalar fixed-point finder
`fixed_point`
Notes
-----
`f` must be continuous. f(a) and f(b) must have opposite signs.
References
----------
.. [Brent1973]
Brent, R. P.,
*Algorithms for Minimization Without Derivatives*.
Englewood Cliffs, NJ: Prentice-Hall, 1973. Ch. 3-4.
.. [PressEtal1992]
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T.
*Numerical Recipes in FORTRAN: The Art of Scientific Computing*, 2nd ed.
Cambridge, England: Cambridge University Press, pp. 352-355, 1992.
Section 9.3: "Van Wijngaarden-Dekker-Brent Method."
"""
if type(args) != type(()) :
args = (args,)
r = _zeros._brentq(f,a,b,xtol,maxiter,args,full_output,disp)
return results_c(full_output, r)
def brenth(f, a, b, args=(),
xtol=_xtol, rtol=_rtol, maxiter=_iter,
full_output=False, disp=True):
"""Find root of f in [a,b].
A variation on the classic Brent routine to find a zero of the function f
between the arguments a and b that uses hyperbolic extrapolation instead of
inverse quadratic extrapolation. There was a paper back in the 1980's ...
f(a) and f(b) can not have the same signs. Generally on a par with the
brent routine, but not as heavily tested. It is a safe version of the
secant method that uses hyperbolic extrapolation. The version here is by
Chuck Harris.
Parameters
----------
f : function
Python function returning a number. f must be continuous, and f(a) and
f(b) must have opposite signs.
a : number
One end of the bracketing interval [a,b].
b : number
The other end of the bracketing interval [a,b].
xtol : number, optional
The routine converges when a root is known to lie within xtol of the
value return. Should be >= 0. The routine modifies this to take into
account the relative precision of doubles.
maxiter : number, optional
if convergence is not achieved in maxiter iterations, and error is
raised. Must be >= 0.
args : tuple, optional
containing extra arguments for the function `f`.
`f` is called by ``apply(f, (x)+args)``.
full_output : bool, optional
If `full_output` is False, the root is returned. If `full_output` is
True, the return value is ``(x, r)``, where `x` is the root, and `r` is
a RootResults object.
disp : bool, optional
If True, raise RuntimeError if the algorithm didn't converge.
Returns
-------
x0 : float
Zero of `f` between `a` and `b`.
r : RootResults (present if ``full_output = True``)
Object containing information about the convergence. In particular,
``r.converged`` is True if the routine converged.
See Also
--------
fmin, fmin_powell, fmin_cg,
fmin_bfgs, fmin_ncg : multivariate local optimizers
leastsq : nonlinear least squares minimizer
fmin_l_bfgs_b, fmin_tnc, fmin_cobyla : constrained multivariate optimizers
anneal, brute : global optimizers
fminbound, brent, golden, bracket : local scalar minimizers
fsolve : n-dimensional root-finding
brentq, brenth, ridder, bisect, newton : one-dimensional root-finding
fixed_point : scalar fixed-point finder
"""
if type(args) != type(()) :
args = (args,)
r = _zeros._brenth(f,a, b, xtol, maxiter, args, full_output, disp)
return results_c(full_output, r)
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