NAG CL Interface
c05qcc (sys_​func_​expert)

1 Purpose

c05qcc is a comprehensive function that finds a solution of a system of nonlinear equations by a modification of the Powell hybrid method.

2 Specification

#include <nag.h>
void  c05qcc (
void (*fcn)(Integer n, const double x[], double fvec[], Nag_Comm *comm, Integer *iflag),
Integer n, double x[], double fvec[], double xtol, Integer maxfev, Integer ml, Integer mu, double epsfcn, Nag_ScaleType scale_mode, double diag[], double factor, Integer nprint, Integer *nfev, double fjac[], double r[], double qtf[], Nag_Comm *comm, NagError *fail)
The function may be called by the names: c05qcc, nag_roots_sys_func_expert or nag_zero_nonlin_eqns_expert.

3 Description

The system of equations is defined as:
fi x1,x2,,xn = 0 ,   ​ i= 1, 2, , n .  
c05qcc is based on the MINPACK routine HYBRD (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 rank-1 method of Broyden. At the starting point, the Jacobian is approximated by forward differences, but these are not used again until the rank-1 method fails to produce satisfactory progress. For more details see Powell (1970).

4 References

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

5 Arguments

1: fcn function, supplied by the user External Function
fcn must return the values of the functions fi at a point x, unless iflag=0 on entry to fcn.
The specification of fcn is:
void  fcn (Integer n, const double x[], double fvec[], Nag_Comm *comm, Integer *iflag)
1: n Integer Input
On entry: n, the number of equations.
2: x[n] const double Input
On entry: the components of the point x at which the functions must be evaluated.
3: fvec[n] double Input/Output
On entry: if iflag=0 , fvec contains the function values fix and must not be changed.
On exit: if iflag>0 on entry, fvec must contain the function values fix (unless iflag is set to a negative value by fcn).
4: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to fcn.
userdouble *
iuserInteger *
The type Pointer will be void *. Before calling c05qcc you may allocate memory and initialize these pointers with various quantities for use by fcn when called from c05qcc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
5: iflag Integer * Input/Output
On entry: iflag0 .
x and fvec are available for printing (see nprint).
fvec must be updated.
On exit: 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), iflag should be set to a negative integer.
Note: fcn should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by c05qcc. If your code inadvertently does return any NaNs or infinities, c05qcc is likely to produce unexpected results.
2: n Integer Input
On entry: n, the number of equations.
Constraint: n>0 .
3: x[n] double Input/Output
On entry: an initial guess at the solution vector.
On exit: the final estimate of the solution vector.
4: fvec[n] double Output
On exit: the function values at the final point returned in x.
5: xtol double Input
On entry: the accuracy in x to which the solution is required.
Suggested value: ε, where ε is the machine precision returned by X02AJC.
Constraint: xtol0.0 .
6: maxfev Integer Input
On entry: the maximum number of calls to fcn with iflag0 . c05qcc will exit with fail.code= NE_TOO_MANY_FEVALS, if, at the end of an iteration, the number of calls to fcn exceeds maxfev.
Suggested value: maxfev=200×n+1 .
Constraint: maxfev>0 .
7: ml Integer Input
On entry: the number of subdiagonals within the band of the Jacobian matrix. (If the Jacobian is not banded, or you are unsure, set ml=n-1 .)
Constraint: ml0 .
8: mu Integer Input
On entry: the number of superdiagonals within the band of the Jacobian matrix. (If the Jacobian is not banded, or you are unsure, set mu=n-1 .)
Constraint: mu0 .
9: epsfcn double Input
On entry: a rough estimate of the largest relative error in the functions. It is used in determining a suitable step for a forward difference approximation to the Jacobian. If epsfcn is less than machine precision (returned by X02AJC) then machine precision is used. Consequently a value of 0.0 will often be suitable.
Suggested value: epsfcn=0.0 .
10: scale_mode Nag_ScaleType Input
On entry: indicates whether or not you have provided scaling factors in diag.
If scale_mode=Nag_ScaleProvided, the scaling must have been specified in diag.
Otherwise, if scale_mode=Nag_NoScaleProvided, the variables will be scaled internally.
Constraint: scale_mode=Nag_NoScaleProvided or Nag_ScaleProvided.
11: diag[n] double Input/Output
On entry: if scale_mode=Nag_ScaleProvided, diag must contain multiplicative scale factors for the variables.
If scale_mode=Nag_NoScaleProvided, diag need not be set.
Constraint: if scale_mode=Nag_ScaleProvided, diag[i-1]>0.0 , for i=1,2,,n.
On exit: the scale factors actually used (computed internally if scale_mode=Nag_NoScaleProvided).
12: factor double Input
On entry: a quantity to be used in determining the initial step bound. In most cases, factor should lie between 0.1 and 100.0. (The step bound is factor×diag×x2 if this is nonzero; otherwise the bound is factor.)
Suggested value: factor=100.0 .
Constraint: factor>0.0 .
13: nprint Integer Input
On entry: indicates whether (and how often) special calls to fcn, with iflag set to 0, are to be made for printing purposes.
No calls are made.
fcn is called at the beginning of the first iteration, every nprint iterations thereafter and immediately before the return from c05qcc.
14: nfev Integer * Output
On exit: the number of calls made to fcn with iflag>0.
15: fjac[n×n] double Output
Note: the i,jth element of the matrix is stored in fjac[j-1×n+i-1].
On exit: the orthogonal matrix Q produced by the QR factorization of the final approximate Jacobian.
16: r[n×n+1/2] double Output
On exit: the upper triangular matrix R produced by the QR factorization of the final approximate Jacobian, stored row-wise.
17: qtf[n] double Output
On exit: the vector QTf .
18: comm Nag_Comm *
The NAG communication argument (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
19: 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, scale_mode=Nag_ScaleProvided and diag contained a non-positive element.
On entry, maxfev=value.
Constraint: maxfev>0.
On entry, ml=value.
Constraint: ml0.
On entry, mu=value.
Constraint: mu0.
On entry, n=value.
Constraint: n>0 .
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.
The iteration is not making good progress, as measured by the improvement from the last value iterations.
The iteration is not making good progress, as measured by the improvement from the last value Jacobian evaluations.
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.
On entry, factor=value.
Constraint: factor>0.0.
On entry, xtol=value.
Constraint: xtol0.0.
There have been at least maxfev calls to fcn: maxfev=value. Consider restarting the calculation from the final point held in x.
No further improvement in the solution is possible. xtol is too small: xtol=value.
iflag was set negative in fcn. iflag=value.

7 Accuracy

If x^ is the true solution and D denotes the diagonal matrix whose entries are defined by the array diag, then c05qcc tries to ensure that
D x-x^ 2 xtol × D x^ 2 .  
If this condition is satisfied with xtol = 10-k , then the larger components of Dx have k significant decimal digits. There is a danger that the smaller components of Dx may have large relative errors, but the fast rate of convergence of c05qcc 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 fail.code= NE_TOO_SMALL.
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 c05qcc may incorrectly indicate convergence. The validity of the answer can be checked, for example, by rerunning c05qcc with a lower value for xtol.

8 Parallelism and Performance

c05qcc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
c05qcc makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

Local workspace arrays of fixed lengths are allocated internally by c05qcc. The total size of these arrays amounts to 4×n double elements.
The time required by c05qcc 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 c05qcc to process each evaluation of the functions is approximately 11.5×n2 . The timing of c05qcc is strongly influenced by the time spent evaluating the functions.
Ideally the problem should be scaled so that, at the solution, the function values are of comparable magnitude.
The number of function evaluations required to evaluate the Jacobian may be reduced if you can specify ml and mu accurately.

10 Example

This example determines the values x1 , , x9 which satisfy the tridiagonal equations:
3-2x1x1-2x2 = -1, -xi-1+3-2xixi-2xi+1 = -1,  i=2,3,,8 -x8+3-2x9x9 = -1.  

10.1 Program Text

Program Text (c05qcce.c)

10.2 Program Data


10.3 Program Results

Program Results (c05qcce.r)