NAG CL Interface
c05ayc (contfn_​brent)

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1 Purpose

c05ayc locates a simple zero of a continuous function in a given interval using Brent's method, which is a combination of nonlinear interpolation, linear extrapolation and bisection.

2 Specification

#include <nag.h>
void  c05ayc (double a, double b, double eps, double eta,
double (*f)(double x, Nag_Comm *comm),
double *x, Nag_Comm *comm, NagError *fail)
The function may be called by the names: c05ayc, nag_roots_contfn_brent or nag_zero_cont_func_brent.

3 Description

c05ayc attempts to obtain an approximation to a simple zero of the function f(x) given an initial interval [a,b] such that f(a) × f(b) 0 .
The approximation x to the zero α is determined so that at least one of the following criteria is satisfied:
  1. (i) |x-α| eps ,
  2. (ii) |f(x)|eta .

4 References

Brent R P (1973) Algorithms for Minimization Without Derivatives Prentice–Hall

5 Arguments

1: a double Input
On entry: a, the lower bound of the interval.
2: b double Input
On entry: b, the upper bound of the interval.
Constraint: ba .
3: eps double Input
On entry: the termination tolerance on x (see Section 3).
Constraint: eps>0.0 .
4: eta double Input
On entry: a value such that if |f(x)|eta , x is accepted as the zero. eta may be specified as 0.0 (see Section 7).
5: f function, supplied by the user External Function
f must evaluate the function f whose zero is to be determined.
The specification of f is:
double  f (double x, Nag_Comm *comm)
1: x double Input
On entry: the point at which the function must be evaluated.
2: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to f.
userdouble *
iuserInteger *
The type Pointer will be void *. Before calling c05ayc you may allocate memory and initialize these pointers with various quantities for use by f when called from c05ayc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: f should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by c05ayc. If your code inadvertently does return any NaNs or infinities, c05ayc is likely to produce unexpected results.
6: x double * Output
On exit: if fail.code= NE_NOERROR or NE_TOO_SMALL, x is the final approximation to the zero. If fail.code= NE_PROBABLE_POLE, x is likely to be a pole of f(x). Otherwise, x contains no useful information.
7: comm Nag_Comm *
The NAG communication argument (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
8: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument value had an illegal value.
On entry, f(a) and f(b) have the same sign with neither equalling 0.0: f(a)=value and f(b)=value.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
The function values in the interval [a,b] might contain a pole rather than a zero. Reducing eps may help in distinguishing between a pole and a zero.
On entry, eps=value.
Constraint: eps>0.0.
On entry, a=value and b=value.
Constraint: ab.
No further improvement in the solution is possible. eps is too small: eps=value. The final value of x returned is an accurate approximation to the zero.

7 Accuracy

The levels of accuracy depend on the values of eps and eta. If full machine accuracy is required, they may be set very small, resulting in an exit with fail.code= NE_TOO_SMALL, although this may involve many more iterations than a lesser accuracy. You are recommended to set eta=0.0 and to use eps to control the accuracy, unless you have considerable knowledge of the size of f(x) for values of x near the zero.

8 Parallelism and Performance

c05ayc is not threaded in any implementation.

9 Further Comments

The time taken by c05ayc depends primarily on the time spent evaluating f (see Section 5).

10 Example

This example calculates an approximation to the zero of e-x - x within the interval [0,1] using a tolerance of eps=1.0e−5.

10.1 Program Text

Program Text (c05ayce.c)

10.2 Program Data


10.3 Program Results

Program Results (c05ayce.r)