GNU Scientific Library Reference Manual - Third Edition (v1.12) by M. Galassi, J. Davies, J. Theiler, B. Gough, G. Jungman, P. Alken, M. Booth, F. Rossi Paperback (6"x9"), 592 pages, 60 figures ISBN 0954612078 RRP £24.95 ($39.95) |
32.1 Overview
One-dimensional root finding algorithms can be divided into two classes, root bracketing and root polishing. Algorithms which proceed by bracketing a root are guaranteed to converge. Bracketing algorithms begin with a bounded region known to contain a root. The size of this bounded region is reduced, iteratively, until it encloses the root to a desired tolerance. This provides a rigorous error estimate for the location of the root.
The technique of root polishing attempts to improve an initial guess to the root. These algorithms converge only if started “close enough” to a root, and sacrifice a rigorous error bound for speed. By approximating the behavior of a function in the vicinity of a root they attempt to find a higher order improvement of an initial guess. When the behavior of the function is compatible with the algorithm and a good initial guess is available a polishing algorithm can provide rapid convergence.
In GSL both types of algorithm are available in similar frameworks. The user provides a high-level driver for the algorithms, and the library provides the individual functions necessary for each of the steps. There are three main phases of the iteration. The steps are,
- initialize solver state, s, for algorithm T
- update s using the iteration T
- test s for convergence, and repeat iteration if necessary
The state for bracketing solvers is held in a gsl_root_fsolver
struct. The updating procedure uses only function evaluations (not
derivatives). The state for root polishing solvers is held in a
gsl_root_fdfsolver
struct. The updates require both the function
and its derivative (hence the name fdf
) to be supplied by the
user.
ISBN 0954612078 | GNU Scientific Library Reference Manual - Third Edition (v1.12) | See the print edition |