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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file newton.cpp
\brief Newton 1-D solver
\fullpath
ql/Solvers1D/%newton.cpp
*/
// $Id: newton.cpp,v 1.5 2002/01/16 14:41:17 nando Exp $
/* The implementation of the algorithm was inspired by
* "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery
* Chapter 9
*/
#include <ql/Solvers1D/newton.hpp>
#include <ql/Solvers1D/newtonsafe.hpp>
namespace QuantLib {
namespace Solvers1D {
double Newton::solve_(const ObjectiveFunction& f,
double xAccuracy) const {
double froot, dfroot, dx;
froot = f(root_);
dfroot = f.derivative(root_);
QL_REQUIRE(dfroot != Null<double>(),
"Newton requires function's derivative");
evaluationNumber_++;
while (evaluationNumber_<=maxEvaluations_) {
dx=froot/dfroot;
root_ -= dx;
// jumped out of brackets, switch to NewtonSafe
if ((xMin_-root_)*(root_-xMax_) < 0.0) {
NewtonSafe helper;
helper.setMaxEvaluations(maxEvaluations_-evaluationNumber_);
return helper.solve(f, xAccuracy, root_+dx, xMin_, xMax_);
}
if (QL_FABS(dx) < xAccuracy)
return root_;
froot = f(root_);
dfroot = f.derivative(root_);
evaluationNumber_++;
}
throw Error("Newton: maximum number of function evaluations (" +
IntegerFormatter::toString(maxEvaluations_) +
") exceeded");
QL_DUMMY_RETURN(0.0);
}
}
}
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