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Chapter Contents

Chapter Introduction

NAG Toolbox: nag_roots_sparsys_func_expert (c05qs)

▸▿ Contents

1 Purpose

2 Syntax

3 Description

4 References

▸▿ 5 Parameters

5.1 Compulsory Input Parameters

5.2 Optional Input Parameters

5.3 Output Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

Purpose

nag_roots_sparsys_func_expert (c05qs) is an easy-to-use function that finds a solution of a sparse system of nonlinear equations by a modification of the Powell hybrid method.

Syntax

[x, fvec, rcomm, icomm, user, ifail] = c05qs(fcn, x, init, rcomm, icomm, 'n', n, 'xtol', xtol, 'lrcomm', lrcomm, 'licomm', licomm, 'user', user)

[x, fvec, rcomm, icomm, user, ifail] = nag_roots_sparsys_func_expert(fcn, x, init, rcomm, icomm, 'n', n, 'xtol', xtol, 'lrcomm', lrcomm, 'licomm', licomm, 'user', user)

Description

The system of equations is defined as:

f_{i} (x_{1}, x_{2}, \dots, x_{n}) = 0,   ​ i = 1, 2, \dots, n .

nag_roots_sparsys_func_expert (c05qs) is based on the MINPACK routine HYBRD1 (see Moré et al. (1980)). It chooses the correction at each step as a convex combination of the Newton and scaled gradient directions. The Jacobian is updated by the sparse rank-1 method of Schubert (see Schubert (1970)). At the starting point, the sparsity pattern is determined and the Jacobian is approximated by forward differences, but these are not used again until the rank-1 method fails to produce satisfactory progress. Then, the sparsity structure is used to recompute an approximation to the Jacobian by forward differences with the least number of function evaluations. The function you supply must be able to compute only the requested subset of the function values. The sparse Jacobian linear system is solved at each iteration with nag_sparse_direct_real_gen_lu (f11me) computing the Newton step. For more details see Powell (1970) and Broyden (1965).

References

Broyden C G (1965) A class of methods for solving nonlinear simultaneous equations Mathematics of Computation 19(92) 577–593

Moré J J, Garbow B S and Hillstrom K E (1980) User guide for MINPACK-1 Technical Report ANL-80-74 Argonne National Laboratory

Powell M J D (1970) A hybrid method for nonlinear algebraic equations Numerical Methods for Nonlinear Algebraic Equations (ed P Rabinowitz) Gordon and Breach

Schubert L K (1970) Modification of a quasi-Newton method for nonlinear equations with a sparse Jacobian Mathematics of Computation 24(109) 27–30

Parameters

Compulsory Input Parameters

1: $fcn$ – function handle or string containing name of m-file

fcn must return the values of the functions

f_{i}

at a point

x

.

[fvec, user, iflag] = fcn(n, lindf, indf, x, user, iflag)

Input Parameters

1: $n$ – int64int32nag_int scalar: $n$ , the number of equations.
2: $lindf$ – int64int32nag_int scalar: lindf specifies the number of indices $i$ for which values of $f_{i} (x)$ must be computed.
3: $indf (lindf)$ – int64int32nag_int array: indf specifies the indices $i$ for which values of $f_{i} (x)$ must be computed. The indices are specified in strictly ascending order.
4: $x (n)$ – double array: The components of the point $x$ at which the functions must be evaluated. $x (i)$ contains the coordinate $x_{i}$ .
5: $user$ – Any MATLAB object: fcn is called from nag_roots_sparsys_func_expert (c05qs) with the object supplied to nag_roots_sparsys_func_expert (c05qs).
6: $iflag$ – int64int32nag_int scalar: $iflag > 0$ .

Output Parameters

1: $fvec (n)$ – double array: $fvec (i)$ must contain the function values $f_{i} (x)$ , for all indices $i$ in indf.
2: $user$ – Any MATLAB object
3: $iflag$ – int64int32nag_int scalar: In general, iflag should not be reset by fcn. If, however, you wish to terminate execution (perhaps because some illegal point x has been reached), then iflag should be set to a negative integer.

2: $x (n)$ – double array

An initial guess at the solution vector.

x (i)

must contain the coordinate

x_{i}

.

3: $init$ – logical scalar

init must be set to true to indicate that this is the first time nag_roots_sparsys_func_expert (c05qs) is called for this specific problem. nag_roots_sparsys_func_expert (c05qs) then computes the dense Jacobian and detects and stores its sparsity pattern (in rcomm and icomm) before proceeding with the iterations. This is noticeably time consuming when n is large. If not enough storage has been provided for rcomm or icomm, nag_roots_sparsys_func_expert (c05qs) will fail. On exit with

ifail = 0

,

2

,

3

or

4

,

icomm (1)

contains

nnz

, the number of nonzero entries found in the Jacobian. On subsequent calls, init can be set to false if the problem has a Jacobian of the same sparsity pattern. In that case, the computation time required for the detection of the sparsity pattern will be smaller.

4: $rcomm (lrcomm)$ – double array

rcomm must not be altered between successive calls to nag_roots_sparsys_func_expert (c05qs).

5: $icomm (licomm)$ – int64int32nag_int array

If

ifail = 0

,

2

,

3

or

4

on exit,

icomm (1)

contains

nnz

where

nnz

is the number of nonzero entries in the Jacobian.

icomm must not be altered between successive calls to nag_roots_sparsys_func_expert (c05qs).

Optional Input Parameters

1: $n$ – int64int32nag_int scalar: Default: the dimension of the array x.
$n$ , the number of equations.

Constraint: $n > 0$ .
2: $xtol$ – double scalar: Suggested value: $\sqrt{ε}$ , where $ε$ is the machine precision returned by nag_machine_precision (x02aj).
Default: $\sqrt{machine precision}$
The accuracy in x to which the solution is required.

Constraint: $xtol \geq 0.0$ .
3: $lrcomm$ – int64int32nag_int scalar: Default: the dimension of the array rcomm.
The dimension of the array rcomm.

Constraint: $lrcomm \geq 12 + nnz$ where $nnz$ is the number of nonzero entries in the Jacobian, as computed by nag_roots_sparsys_func_expert (c05qs).
4: $licomm$ – int64int32nag_int scalar: Default: the dimension of the array icomm.
The dimension of the array icomm.

Constraint: $licomm \geq 8 \times n + 19 + nnz$ where $nnz$ is the number of nonzero entries in the Jacobian, as computed by nag_roots_sparsys_func_expert (c05qs).
5: $user$ – Any MATLAB object: user is not used by nag_roots_sparsys_func_expert (c05qs), but is passed to fcn. Note that for large objects it may be more efficient to use a global variable which is accessible from the m-files than to use user.

Output Parameters

1: $x (n)$ – double array: The final estimate of the solution vector.
2: $fvec (n)$ – double array: The function values at the final point returned in x. $fvec (i)$ contains the function values $f_{i}$ .
3: $rcomm (lrcomm)$ – double array
4: $icomm (licomm)$ – int64int32nag_int array: icomm must not be altered between successive calls to nag_roots_sparsys_func_expert (c05qs).
5: $user$ – Any MATLAB object
6: $ifail$ – int64int32nag_int scalar: $ifail = 0$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

Errors or warnings detected by the function:

Cases prefixed with W are classified as warnings and do not generate an error of type NAG:error_n. See nag_issue_warnings.

W $ifail = 2$: There have been at least $200 \times (n + 1)$ calls to fcn. Consider setting $init = false$ and restarting the calculation from the point held in x.

W $ifail = 3$: No further improvement in the solution is possible.

W $ifail = 4$: The iteration is not making good progress.

W $ifail = 5$: iflag was set negative in fcn.

$ifail = 6$: lrcomm is too small.

$ifail = 7$: licomm is too small.

$ifail = 9$: An internal error has occurred. Code

$ifail = 11$: Constraint: $n > 0$ .

$ifail = 12$: Constraint: $xtol \geq 0.0$ .

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.

$ifail = - 999$: Dynamic memory allocation failed.

Accuracy

If

\hat{x}

is the true solution, nag_roots_sparsys_func_expert (c05qs) tries to ensure that

{‖x - \hat{x}‖}_{2} \leq xtol \times {‖\hat{x}‖}_{2} .

If this condition is satisfied with

xtol = 10^{- k}

, then the larger components of

x

have

k

significant decimal digits. There is a danger that the smaller components of

x

may have large relative errors, but the fast rate of convergence of nag_roots_sparsys_func_expert (c05qs) usually obviates this possibility.

If xtol is less than machine precision and the above test is satisfied with the machine precision in place of xtol, then the function exits with

ifail = 3

.

Note: this convergence test is based purely on relative error, and may not indicate convergence if the solution is very close to the origin.

The convergence test assumes that the functions are reasonably well behaved. If this condition is not satisfied, then nag_roots_sparsys_func_expert (c05qs) may incorrectly indicate convergence. The validity of the answer can be checked, for example, by rerunning nag_roots_sparsys_func_expert (c05qs) with a lower value for xtol.

Further Comments

Local workspace arrays of fixed lengths are allocated internally by nag_roots_sparsys_func_expert (c05qs). The total size of these arrays amounts to

8 \times n + 2 \times q

double elements and

10 \times n + 2 \times q + 5

integer elements where the integer

q

is bounded by

8 \times nnz

and

n^{2}

and depends on the sparsity pattern of the Jacobian.

The time required by nag_roots_sparsys_func_expert (c05qs) to solve a given problem depends on

n

, the behaviour of the functions, the accuracy requested and the starting point. The number of arithmetic operations executed by nag_roots_sparsys_func_expert (c05qs) to process each evaluation of the functions depends on the number of nonzero entries in the Jacobian. The timing of nag_roots_sparsys_func_expert (c05qs) is strongly influenced by the time spent evaluating the functions.

When init is true, the dense Jacobian is first evaluated and that will take time proportional to

n^{2}

.

Ideally the problem should be scaled so that, at the solution, the function values are of comparable magnitude.

Example

This example determines the values

x_{1}, \dots, x_{9}

which satisfy the tridiagonal equations:

\begin{array}{rcl} (3 - 2 x_{1}) x_{1} - 2 x_{2} & = & - 1, \\ - x_{i - 1} + (3 - 2 x_{i}) x_{i} - 2 x_{i + 1} & = & - 1, i = 2, 3, \dots, 8 \\ - x_{8} + (3 - 2 x_{9}) x_{9} & = & - 1 . \end{array}

It then perturbs the equations by a small amount and solves the new system.

Open in the MATLAB editor: c05qs_example

function c05qs_example


fprintf('c05qs example results\n\n');

% The following starting values provide a rough solution.
x = -ones(9, 1);
rcomm = zeros(39, 1);
icomm = zeros(118, 1, 'int64');
for i=0:1

  user = i; % Perturb the system?
  init = (i==0);

  [x, fvec, rcomm, icomm, user, ifail] = ...
     c05qs(@fcn, x, init, rcomm, icomm,'user', user);

  switch ifail
    case {0}
      fprintf('\nFinal 2-norm of the residuals = %12.4e\n', norm(fvec));
      fprintf('\nFinal approximate solution\n');
      disp(x);
    case {2, 3, 4}
      fprintf('\nApproximate solution\n');
      disp(x);
  end

end



function [fvec, user, iflag] = fcn(n, lindf, indf, x, user, iflag)
  fvec = zeros(n, 1);
  ind = 1;
  iflag = int64(0);
  alpha = (1/2)^7;
  theta = user*alpha;
  for i = 1:double(n)
    if indf(ind) ~= i
      continue;
    end
    fvec(i) = (3-(2+theta)*x(i))*x(i) + 1;
    if (i > 1)
      fvec(i) = fvec(i) - x(i-1);
    end
    if (i < n)
      fvec(i) = fvec(i) - 2*x(i+1);
    end
    ind = ind + 1;
    if (ind > lindf)
     break;
    end
  end

c05qs example results


Final 2-norm of the residuals =   1.7592e-09

Final approximate solution
   -0.5707
   -0.6816
   -0.7017
   -0.7042
   -0.7014
   -0.6919
   -0.6658
   -0.5960
   -0.4164


Final 2-norm of the residuals =   2.6329e-13

Final approximate solution
   -0.5697
   -0.6804
   -0.7004
   -0.7029
   -0.7000
   -0.6906
   -0.6646
   -0.5951
   -0.4159

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Chapter Contents

Chapter Introduction

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