NAG CL Interface
c05ayc (contfn_brent)

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) \times f (b) \leq 0

The approximation

x

to the zero

α

is determined so that at least one of the following criteria is satisfied:

(i) $| x - α | \leq eps$ ,
(ii) $| f (x) | \leq eta$ .

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:

b \neq a

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) | \leq 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.

user – double *
iuser – Integer *
p – Pointer: 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

NE_ALLOC_FAIL: Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_BAD_PARAM: On entry, argument $⟨ value ⟩$ had an illegal value.
NE_FUNC_END_VAL: On entry, $f (a)$ and $f (b)$ have the same sign with neither equalling $0.0$ : $f (a) = ⟨ value ⟩$ and $f (b) = ⟨ value ⟩$ .
NE_INTERNAL_ERROR: 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.
NE_NO_LICENCE: 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.
NE_PROBABLE_POLE: 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.
NE_REAL: On entry, $eps = ⟨ value ⟩$ .
Constraint: $eps > 0.0$ .
NE_REAL_2: On entry, $a = ⟨ value ⟩$ and $b = ⟨ value ⟩$ .
Constraint: $a \neq b$ .
NE_TOO_SMALL: 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