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- // (C) Copyright John Maddock 2006.
- // Use, modification and distribution are subject to the
- // Boost Software License, Version 1.0. (See accompanying file
- // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
- #ifndef BOOST_MATH_TOOLS_NEWTON_SOLVER_HPP
- #define BOOST_MATH_TOOLS_NEWTON_SOLVER_HPP
- #ifdef _MSC_VER
- #pragma once
- #endif
- #include <boost/math/tools/complex.hpp> // test for multiprecision types in complex Newton
- #include <utility>
- #include <cmath>
- #include <tuple>
- #include <boost/math/tools/config.hpp>
- #include <boost/cstdint.hpp>
- #include <boost/math/tools/cxx03_warn.hpp>
- #include <boost/math/special_functions/sign.hpp>
- #include <boost/math/special_functions/next.hpp>
- #include <boost/math/tools/toms748_solve.hpp>
- #include <boost/math/policies/error_handling.hpp>
- namespace boost {
- namespace math {
- namespace tools {
- namespace detail {
- namespace dummy {
- template<int n, class T>
- typename T::value_type get(const T&) BOOST_MATH_NOEXCEPT(T);
- }
- template <class Tuple, class T>
- void unpack_tuple(const Tuple& t, T& a, T& b) BOOST_MATH_NOEXCEPT(T)
- {
- using dummy::get;
- // Use ADL to find the right overload for get:
- a = get<0>(t);
- b = get<1>(t);
- }
- template <class Tuple, class T>
- void unpack_tuple(const Tuple& t, T& a, T& b, T& c) BOOST_MATH_NOEXCEPT(T)
- {
- using dummy::get;
- // Use ADL to find the right overload for get:
- a = get<0>(t);
- b = get<1>(t);
- c = get<2>(t);
- }
- template <class Tuple, class T>
- inline void unpack_0(const Tuple& t, T& val) BOOST_MATH_NOEXCEPT(T)
- {
- using dummy::get;
- // Rely on ADL to find the correct overload of get:
- val = get<0>(t);
- }
- template <class T, class U, class V>
- inline void unpack_tuple(const std::pair<T, U>& p, V& a, V& b) BOOST_MATH_NOEXCEPT(T)
- {
- a = p.first;
- b = p.second;
- }
- template <class T, class U, class V>
- inline void unpack_0(const std::pair<T, U>& p, V& a) BOOST_MATH_NOEXCEPT(T)
- {
- a = p.first;
- }
- template <class F, class T>
- void handle_zero_derivative(F f,
- T& last_f0,
- const T& f0,
- T& delta,
- T& result,
- T& guess,
- const T& min,
- const T& max) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- if (last_f0 == 0)
- {
- // this must be the first iteration, pretend that we had a
- // previous one at either min or max:
- if (result == min)
- {
- guess = max;
- }
- else
- {
- guess = min;
- }
- unpack_0(f(guess), last_f0);
- delta = guess - result;
- }
- if (sign(last_f0) * sign(f0) < 0)
- {
- // we've crossed over so move in opposite direction to last step:
- if (delta < 0)
- {
- delta = (result - min) / 2;
- }
- else
- {
- delta = (result - max) / 2;
- }
- }
- else
- {
- // move in same direction as last step:
- if (delta < 0)
- {
- delta = (result - max) / 2;
- }
- else
- {
- delta = (result - min) / 2;
- }
- }
- }
- } // namespace
- template <class F, class T, class Tol, class Policy>
- std::pair<T, T> bisect(F f, T min, T max, Tol tol, boost::uintmax_t& max_iter, const Policy& pol) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<Policy>::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- T fmin = f(min);
- T fmax = f(max);
- if (fmin == 0)
- {
- max_iter = 2;
- return std::make_pair(min, min);
- }
- if (fmax == 0)
- {
- max_iter = 2;
- return std::make_pair(max, max);
- }
- //
- // Error checking:
- //
- static const char* function = "boost::math::tools::bisect<%1%>";
- if (min >= max)
- {
- return boost::math::detail::pair_from_single(policies::raise_evaluation_error(function,
- "Arguments in wrong order in boost::math::tools::bisect (first arg=%1%)", min, pol));
- }
- if (fmin * fmax >= 0)
- {
- return boost::math::detail::pair_from_single(policies::raise_evaluation_error(function,
- "No change of sign in boost::math::tools::bisect, either there is no root to find, or there are multiple roots in the interval (f(min) = %1%).", fmin, pol));
- }
- //
- // Three function invocations so far:
- //
- boost::uintmax_t count = max_iter;
- if (count < 3)
- count = 0;
- else
- count -= 3;
- while (count && (0 == tol(min, max)))
- {
- T mid = (min + max) / 2;
- T fmid = f(mid);
- if ((mid == max) || (mid == min))
- break;
- if (fmid == 0)
- {
- min = max = mid;
- break;
- }
- else if (sign(fmid) * sign(fmin) < 0)
- {
- max = mid;
- }
- else
- {
- min = mid;
- fmin = fmid;
- }
- --count;
- }
- max_iter -= count;
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Bisection required " << max_iter << " iterations.\n";
- #endif
- return std::make_pair(min, max);
- }
- template <class F, class T, class Tol>
- inline std::pair<T, T> bisect(F f, T min, T max, Tol tol, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- return bisect(f, min, max, tol, max_iter, policies::policy<>());
- }
- template <class F, class T, class Tol>
- inline std::pair<T, T> bisect(F f, T min, T max, Tol tol) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- boost::uintmax_t m = (std::numeric_limits<boost::uintmax_t>::max)();
- return bisect(f, min, max, tol, m, policies::policy<>());
- }
- template <class F, class T>
- T newton_raphson_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- BOOST_MATH_STD_USING
- static const char* function = "boost::math::tools::newton_raphson_iterate<%1%>";
- if (min > max)
- {
- return policies::raise_evaluation_error(function, "Range arguments in wrong order in boost::math::tools::newton_raphson_iterate(first arg=%1%)", min, boost::math::policies::policy<>());
- }
- T f0(0), f1, last_f0(0);
- T result = guess;
- T factor = static_cast<T>(ldexp(1.0, 1 - digits));
- T delta = tools::max_value<T>();
- T delta1 = tools::max_value<T>();
- T delta2 = tools::max_value<T>();
- //
- // We use these to sanity check that we do actually bracket a root,
- // we update these to the function value when we update the endpoints
- // of the range. Then, provided at some point we update both endpoints
- // checking that max_range_f * min_range_f <= 0 verifies there is a root
- // to be found somewhere. Note that if there is no root, and we approach
- // a local minima, then the derivative will go to zero, and hence the next
- // step will jump out of bounds (or at least past the minima), so this
- // check *should* happen in pathological cases.
- //
- T max_range_f = 0;
- T min_range_f = 0;
- boost::uintmax_t count(max_iter);
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Newton_raphson_iterate, guess = " << guess << ", min = " << min << ", max = " << max
- << ", digits = " << digits << ", max_iter = " << max_iter << "\n";
- #endif
- do {
- last_f0 = f0;
- delta2 = delta1;
- delta1 = delta;
- detail::unpack_tuple(f(result), f0, f1);
- --count;
- if (0 == f0)
- break;
- if (f1 == 0)
- {
- // Oops zero derivative!!!
- detail::handle_zero_derivative(f, last_f0, f0, delta, result, guess, min, max);
- }
- else
- {
- delta = f0 / f1;
- }
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Newton iteration " << max_iter - count << ", delta = " << delta << ", residual = " << f0 << "\n";
- #endif
- if (fabs(delta * 2) > fabs(delta2))
- {
- // Last two steps haven't converged.
- T shift = (delta > 0) ? (result - min) / 2 : (result - max) / 2;
- if ((result != 0) && (fabs(shift) > fabs(result)))
- {
- delta = sign(delta) * fabs(result) * 1.1f; // Protect against huge jumps!
- //delta = sign(delta) * result; // Protect against huge jumps! Failed for negative result. https://github.com/boostorg/math/issues/216
- }
- else
- delta = shift;
- // reset delta1/2 so we don't take this branch next time round:
- delta1 = 3 * delta;
- delta2 = 3 * delta;
- }
- guess = result;
- result -= delta;
- if (result <= min)
- {
- delta = 0.5F * (guess - min);
- result = guess - delta;
- if ((result == min) || (result == max))
- break;
- }
- else if (result >= max)
- {
- delta = 0.5F * (guess - max);
- result = guess - delta;
- if ((result == min) || (result == max))
- break;
- }
- // Update brackets:
- if (delta > 0)
- {
- max = guess;
- max_range_f = f0;
- }
- else
- {
- min = guess;
- min_range_f = f0;
- }
- //
- // Sanity check that we bracket the root:
- //
- if (max_range_f * min_range_f > 0)
- {
- return policies::raise_evaluation_error(function, "There appears to be no root to be found in boost::math::tools::newton_raphson_iterate, perhaps we have a local minima near current best guess of %1%", guess, boost::math::policies::policy<>());
- }
- }while(count && (fabs(result * factor) < fabs(delta)));
- max_iter -= count;
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Newton Raphson required " << max_iter << " iterations\n";
- #endif
- return result;
- }
- template <class F, class T>
- inline T newton_raphson_iterate(F f, T guess, T min, T max, int digits) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- boost::uintmax_t m = (std::numeric_limits<boost::uintmax_t>::max)();
- return newton_raphson_iterate(f, guess, min, max, digits, m);
- }
- namespace detail {
- struct halley_step
- {
- template <class T>
- static T step(const T& /*x*/, const T& f0, const T& f1, const T& f2) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T))
- {
- using std::fabs;
- T denom = 2 * f0;
- T num = 2 * f1 - f0 * (f2 / f1);
- T delta;
- BOOST_MATH_INSTRUMENT_VARIABLE(denom);
- BOOST_MATH_INSTRUMENT_VARIABLE(num);
- if ((fabs(num) < 1) && (fabs(denom) >= fabs(num) * tools::max_value<T>()))
- {
- // possible overflow, use Newton step:
- delta = f0 / f1;
- }
- else
- delta = denom / num;
- return delta;
- }
- };
- template <class F, class T>
- T bracket_root_towards_min(F f, T guess, const T& f0, T& min, T& max, boost::uintmax_t& count) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())));
- template <class F, class T>
- T bracket_root_towards_max(F f, T guess, const T& f0, T& min, T& max, boost::uintmax_t& count) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- using std::fabs;
- //
- // Move guess towards max until we bracket the root, updating min and max as we go:
- //
- T guess0 = guess;
- T multiplier = 2;
- T f_current = f0;
- if (fabs(min) < fabs(max))
- {
- while (--count && ((f_current < 0) == (f0 < 0)))
- {
- min = guess;
- guess *= multiplier;
- if (guess > max)
- {
- guess = max;
- f_current = -f_current; // There must be a change of sign!
- break;
- }
- multiplier *= 2;
- unpack_0(f(guess), f_current);
- }
- }
- else
- {
- //
- // If min and max are negative we have to divide to head towards max:
- //
- while (--count && ((f_current < 0) == (f0 < 0)))
- {
- min = guess;
- guess /= multiplier;
- if (guess > max)
- {
- guess = max;
- f_current = -f_current; // There must be a change of sign!
- break;
- }
- multiplier *= 2;
- unpack_0(f(guess), f_current);
- }
- }
- if (count)
- {
- max = guess;
- if (multiplier > 16)
- return (guess0 - guess) + bracket_root_towards_min(f, guess, f_current, min, max, count);
- }
- return guess0 - (max + min) / 2;
- }
- template <class F, class T>
- T bracket_root_towards_min(F f, T guess, const T& f0, T& min, T& max, boost::uintmax_t& count) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- using std::fabs;
- //
- // Move guess towards min until we bracket the root, updating min and max as we go:
- //
- T guess0 = guess;
- T multiplier = 2;
- T f_current = f0;
- if (fabs(min) < fabs(max))
- {
- while (--count && ((f_current < 0) == (f0 < 0)))
- {
- max = guess;
- guess /= multiplier;
- if (guess < min)
- {
- guess = min;
- f_current = -f_current; // There must be a change of sign!
- break;
- }
- multiplier *= 2;
- unpack_0(f(guess), f_current);
- }
- }
- else
- {
- //
- // If min and max are negative we have to multiply to head towards min:
- //
- while (--count && ((f_current < 0) == (f0 < 0)))
- {
- max = guess;
- guess *= multiplier;
- if (guess < min)
- {
- guess = min;
- f_current = -f_current; // There must be a change of sign!
- break;
- }
- multiplier *= 2;
- unpack_0(f(guess), f_current);
- }
- }
- if (count)
- {
- min = guess;
- if (multiplier > 16)
- return (guess0 - guess) + bracket_root_towards_max(f, guess, f_current, min, max, count);
- }
- return guess0 - (max + min) / 2;
- }
- template <class Stepper, class F, class T>
- T second_order_root_finder(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- BOOST_MATH_STD_USING
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Second order root iteration, guess = " << guess << ", min = " << min << ", max = " << max
- << ", digits = " << digits << ", max_iter = " << max_iter << "\n";
- #endif
- static const char* function = "boost::math::tools::halley_iterate<%1%>";
- if (min >= max)
- {
- return policies::raise_evaluation_error(function, "Range arguments in wrong order in boost::math::tools::halley_iterate(first arg=%1%)", min, boost::math::policies::policy<>());
- }
- T f0(0), f1, f2;
- T result = guess;
- T factor = ldexp(static_cast<T>(1.0), 1 - digits);
- T delta = (std::max)(T(10000000 * guess), T(10000000)); // arbitrarily large delta
- T last_f0 = 0;
- T delta1 = delta;
- T delta2 = delta;
- bool out_of_bounds_sentry = false;
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Second order root iteration, limit = " << factor << "\n";
- #endif
- //
- // We use these to sanity check that we do actually bracket a root,
- // we update these to the function value when we update the endpoints
- // of the range. Then, provided at some point we update both endpoints
- // checking that max_range_f * min_range_f <= 0 verifies there is a root
- // to be found somewhere. Note that if there is no root, and we approach
- // a local minima, then the derivative will go to zero, and hence the next
- // step will jump out of bounds (or at least past the minima), so this
- // check *should* happen in pathological cases.
- //
- T max_range_f = 0;
- T min_range_f = 0;
- boost::uintmax_t count(max_iter);
- do {
- last_f0 = f0;
- delta2 = delta1;
- delta1 = delta;
- detail::unpack_tuple(f(result), f0, f1, f2);
- --count;
- BOOST_MATH_INSTRUMENT_VARIABLE(f0);
- BOOST_MATH_INSTRUMENT_VARIABLE(f1);
- BOOST_MATH_INSTRUMENT_VARIABLE(f2);
- if (0 == f0)
- break;
- if (f1 == 0)
- {
- // Oops zero derivative!!!
- detail::handle_zero_derivative(f, last_f0, f0, delta, result, guess, min, max);
- }
- else
- {
- if (f2 != 0)
- {
- delta = Stepper::step(result, f0, f1, f2);
- if (delta * f1 / f0 < 0)
- {
- // Oh dear, we have a problem as Newton and Halley steps
- // disagree about which way we should move. Probably
- // there is cancelation error in the calculation of the
- // Halley step, or else the derivatives are so small
- // that their values are basically trash. We will move
- // in the direction indicated by a Newton step, but
- // by no more than twice the current guess value, otherwise
- // we can jump way out of bounds if we're not careful.
- // See https://svn.boost.org/trac/boost/ticket/8314.
- delta = f0 / f1;
- if (fabs(delta) > 2 * fabs(guess))
- delta = (delta < 0 ? -1 : 1) * 2 * fabs(guess);
- }
- }
- else
- delta = f0 / f1;
- }
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Second order root iteration, delta = " << delta << ", residual = " << f0 << "\n";
- #endif
- T convergence = fabs(delta / delta2);
- if ((convergence > 0.8) && (convergence < 2))
- {
- // last two steps haven't converged.
- delta = (delta > 0) ? (result - min) / 2 : (result - max) / 2;
- if ((result != 0) && (fabs(delta) > result))
- delta = sign(delta) * fabs(result) * 0.9f; // protect against huge jumps!
- // reset delta2 so that this branch will *not* be taken on the
- // next iteration:
- delta2 = delta * 3;
- delta1 = delta * 3;
- BOOST_MATH_INSTRUMENT_VARIABLE(delta);
- }
- guess = result;
- result -= delta;
- BOOST_MATH_INSTRUMENT_VARIABLE(result);
- // check for out of bounds step:
- if (result < min)
- {
- T diff = ((fabs(min) < 1) && (fabs(result) > 1) && (tools::max_value<T>() / fabs(result) < fabs(min)))
- ? T(1000)
- : (fabs(min) < 1) && (fabs(tools::max_value<T>() * min) < fabs(result))
- ? ((min < 0) != (result < 0)) ? -tools::max_value<T>() : tools::max_value<T>() : T(result / min);
- if (fabs(diff) < 1)
- diff = 1 / diff;
- if (!out_of_bounds_sentry && (diff > 0) && (diff < 3))
- {
- // Only a small out of bounds step, lets assume that the result
- // is probably approximately at min:
- delta = 0.99f * (guess - min);
- result = guess - delta;
- out_of_bounds_sentry = true; // only take this branch once!
- }
- else
- {
- if (fabs(float_distance(min, max)) < 2)
- {
- result = guess = (min + max) / 2;
- break;
- }
- delta = bracket_root_towards_min(f, guess, f0, min, max, count);
- result = guess - delta;
- guess = min;
- continue;
- }
- }
- else if (result > max)
- {
- T diff = ((fabs(max) < 1) && (fabs(result) > 1) && (tools::max_value<T>() / fabs(result) < fabs(max))) ? T(1000) : T(result / max);
- if (fabs(diff) < 1)
- diff = 1 / diff;
- if (!out_of_bounds_sentry && (diff > 0) && (diff < 3))
- {
- // Only a small out of bounds step, lets assume that the result
- // is probably approximately at min:
- delta = 0.99f * (guess - max);
- result = guess - delta;
- out_of_bounds_sentry = true; // only take this branch once!
- }
- else
- {
- if (fabs(float_distance(min, max)) < 2)
- {
- result = guess = (min + max) / 2;
- break;
- }
- delta = bracket_root_towards_max(f, guess, f0, min, max, count);
- result = guess - delta;
- guess = min;
- continue;
- }
- }
- // update brackets:
- if (delta > 0)
- {
- max = guess;
- max_range_f = f0;
- }
- else
- {
- min = guess;
- min_range_f = f0;
- }
- //
- // Sanity check that we bracket the root:
- //
- if (max_range_f * min_range_f > 0)
- {
- return policies::raise_evaluation_error(function, "There appears to be no root to be found in boost::math::tools::newton_raphson_iterate, perhaps we have a local minima near current best guess of %1%", guess, boost::math::policies::policy<>());
- }
- } while(count && (fabs(result * factor) < fabs(delta)));
- max_iter -= count;
- #ifdef BOOST_MATH_INSTRUMENT
- std::cout << "Second order root finder required " << max_iter << " iterations.\n";
- #endif
- return result;
- }
- } // T second_order_root_finder
- template <class F, class T>
- T halley_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- return detail::second_order_root_finder<detail::halley_step>(f, guess, min, max, digits, max_iter);
- }
- template <class F, class T>
- inline T halley_iterate(F f, T guess, T min, T max, int digits) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- boost::uintmax_t m = (std::numeric_limits<boost::uintmax_t>::max)();
- return halley_iterate(f, guess, min, max, digits, m);
- }
- namespace detail {
- struct schroder_stepper
- {
- template <class T>
- static T step(const T& x, const T& f0, const T& f1, const T& f2) BOOST_NOEXCEPT_IF(BOOST_MATH_IS_FLOAT(T))
- {
- using std::fabs;
- T ratio = f0 / f1;
- T delta;
- if ((x != 0) && (fabs(ratio / x) < 0.1))
- {
- delta = ratio + (f2 / (2 * f1)) * ratio * ratio;
- // check second derivative doesn't over compensate:
- if (delta * ratio < 0)
- delta = ratio;
- }
- else
- delta = ratio; // fall back to Newton iteration.
- return delta;
- }
- };
- }
- template <class F, class T>
- T schroder_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- return detail::second_order_root_finder<detail::schroder_stepper>(f, guess, min, max, digits, max_iter);
- }
- template <class F, class T>
- inline T schroder_iterate(F f, T guess, T min, T max, int digits) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- boost::uintmax_t m = (std::numeric_limits<boost::uintmax_t>::max)();
- return schroder_iterate(f, guess, min, max, digits, m);
- }
- //
- // These two are the old spelling of this function, retained for backwards compatibility just in case:
- //
- template <class F, class T>
- T schroeder_iterate(F f, T guess, T min, T max, int digits, boost::uintmax_t& max_iter) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- return detail::second_order_root_finder<detail::schroder_stepper>(f, guess, min, max, digits, max_iter);
- }
- template <class F, class T>
- inline T schroeder_iterate(F f, T guess, T min, T max, int digits) BOOST_NOEXCEPT_IF(policies::is_noexcept_error_policy<policies::policy<> >::value&& BOOST_MATH_IS_FLOAT(T) && noexcept(std::declval<F>()(std::declval<T>())))
- {
- boost::uintmax_t m = (std::numeric_limits<boost::uintmax_t>::max)();
- return schroder_iterate(f, guess, min, max, digits, m);
- }
- #ifndef BOOST_NO_CXX11_AUTO_DECLARATIONS
- /*
- * Why do we set the default maximum number of iterations to the number of digits in the type?
- * Because for double roots, the number of digits increases linearly with the number of iterations,
- * so this default should recover full precision even in this somewhat pathological case.
- * For isolated roots, the problem is so rapidly convergent that this doesn't matter at all.
- */
- template<class Complex, class F>
- Complex complex_newton(F g, Complex guess, int max_iterations = std::numeric_limits<typename Complex::value_type>::digits)
- {
- typedef typename Complex::value_type Real;
- using std::norm;
- using std::abs;
- using std::max;
- // z0, z1, and z2 cannot be the same, in case we immediately need to resort to Muller's Method:
- Complex z0 = guess + Complex(1, 0);
- Complex z1 = guess + Complex(0, 1);
- Complex z2 = guess;
- do {
- auto pair = g(z2);
- if (norm(pair.second) == 0)
- {
- // Muller's method. Notation follows Numerical Recipes, 9.5.2:
- Complex q = (z2 - z1) / (z1 - z0);
- auto P0 = g(z0);
- auto P1 = g(z1);
- Complex qp1 = static_cast<Complex>(1) + q;
- Complex A = q * (pair.first - qp1 * P1.first + q * P0.first);
- Complex B = (static_cast<Complex>(2) * q + static_cast<Complex>(1)) * pair.first - qp1 * qp1 * P1.first + q * q * P0.first;
- Complex C = qp1 * pair.first;
- Complex rad = sqrt(B * B - static_cast<Complex>(4) * A * C);
- Complex denom1 = B + rad;
- Complex denom2 = B - rad;
- Complex correction = (z1 - z2) * static_cast<Complex>(2) * C;
- if (norm(denom1) > norm(denom2))
- {
- correction /= denom1;
- }
- else
- {
- correction /= denom2;
- }
- z0 = z1;
- z1 = z2;
- z2 = z2 + correction;
- }
- else
- {
- z0 = z1;
- z1 = z2;
- z2 = z2 - (pair.first / pair.second);
- }
- // See: https://math.stackexchange.com/questions/3017766/constructing-newton-iteration-converging-to-non-root
- // If f' is continuous, then convergence of x_n -> x* implies f(x*) = 0.
- // This condition approximates this convergence condition by requiring three consecutive iterates to be clustered.
- Real tol = (max)(abs(z2) * std::numeric_limits<Real>::epsilon(), std::numeric_limits<Real>::epsilon());
- bool real_close = abs(z0.real() - z1.real()) < tol && abs(z0.real() - z2.real()) < tol && abs(z1.real() - z2.real()) < tol;
- bool imag_close = abs(z0.imag() - z1.imag()) < tol && abs(z0.imag() - z2.imag()) < tol && abs(z1.imag() - z2.imag()) < tol;
- if (real_close && imag_close)
- {
- return z2;
- }
- } while (max_iterations--);
- // The idea is that if we can get abs(f) < eps, we should, but if we go through all these iterations
- // and abs(f) < sqrt(eps), then roundoff error simply does not allow that we can evaluate f to < eps
- // This is somewhat awkward as it isn't scale invariant, but using the Daubechies coefficient example code,
- // I found this condition generates correct roots, whereas the scale invariant condition discussed here:
- // https://scicomp.stackexchange.com/questions/30597/defining-a-condition-number-and-termination-criteria-for-newtons-method
- // allows nonroots to be passed off as roots.
- auto pair = g(z2);
- if (abs(pair.first) < sqrt(std::numeric_limits<Real>::epsilon()))
- {
- return z2;
- }
- return { std::numeric_limits<Real>::quiet_NaN(),
- std::numeric_limits<Real>::quiet_NaN() };
- }
- #endif
- #if !defined(BOOST_NO_CXX17_IF_CONSTEXPR)
- // https://stackoverflow.com/questions/48979861/numerically-stable-method-for-solving-quadratic-equations/50065711
- namespace detail
- {
- #if defined(BOOST_GNU_STDLIB) && !defined(_GLIBCXX_USE_C99_MATH_TR1)
- inline float fma_workaround(float x, float y, float z) { return ::fmaf(x, y, z); }
- inline double fma_workaround(double x, double y, double z) { return ::fma(x, y, z); }
- #ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
- inline long double fma_workaround(long double x, long double y, long double z) { return ::fmal(x, y, z); }
- #endif
- #endif
- template<class T>
- inline T discriminant(T const& a, T const& b, T const& c)
- {
- T w = 4 * a * c;
- #if defined(BOOST_GNU_STDLIB) && !defined(_GLIBCXX_USE_C99_MATH_TR1)
- T e = fma_workaround(-c, 4 * a, w);
- T f = fma_workaround(b, b, -w);
- #else
- T e = std::fma(-c, 4 * a, w);
- T f = std::fma(b, b, -w);
- #endif
- return f + e;
- }
- template<class T>
- std::pair<T, T> quadratic_roots_imp(T const& a, T const& b, T const& c)
- {
- #if defined(BOOST_GNU_STDLIB) && !defined(_GLIBCXX_USE_C99_MATH_TR1)
- using boost::math::copysign;
- #else
- using std::copysign;
- #endif
- using std::sqrt;
- if constexpr (std::is_floating_point<T>::value)
- {
- T nan = std::numeric_limits<T>::quiet_NaN();
- if (a == 0)
- {
- if (b == 0 && c != 0)
- {
- return std::pair<T, T>(nan, nan);
- }
- else if (b == 0 && c == 0)
- {
- return std::pair<T, T>(0, 0);
- }
- return std::pair<T, T>(-c / b, -c / b);
- }
- if (b == 0)
- {
- T x0_sq = -c / a;
- if (x0_sq < 0) {
- return std::pair<T, T>(nan, nan);
- }
- T x0 = sqrt(x0_sq);
- return std::pair<T, T>(-x0, x0);
- }
- T discriminant = detail::discriminant(a, b, c);
- // Is there a sane way to flush very small negative values to zero?
- // If there is I don't know of it.
- if (discriminant < 0)
- {
- return std::pair<T, T>(nan, nan);
- }
- T q = -(b + copysign(sqrt(discriminant), b)) / T(2);
- T x0 = q / a;
- T x1 = c / q;
- if (x0 < x1)
- {
- return std::pair<T, T>(x0, x1);
- }
- return std::pair<T, T>(x1, x0);
- }
- else if constexpr (boost::math::tools::is_complex_type<T>::value)
- {
- typename T::value_type nan = std::numeric_limits<typename T::value_type>::quiet_NaN();
- if (a.real() == 0 && a.imag() == 0)
- {
- using std::norm;
- if (b.real() == 0 && b.imag() && norm(c) != 0)
- {
- return std::pair<T, T>({ nan, nan }, { nan, nan });
- }
- else if (b.real() == 0 && b.imag() && c.real() == 0 && c.imag() == 0)
- {
- return std::pair<T, T>({ 0,0 }, { 0,0 });
- }
- return std::pair<T, T>(-c / b, -c / b);
- }
- if (b.real() == 0 && b.imag() == 0)
- {
- T x0_sq = -c / a;
- T x0 = sqrt(x0_sq);
- return std::pair<T, T>(-x0, x0);
- }
- // There's no fma for complex types:
- T discriminant = b * b - T(4) * a * c;
- T q = -(b + sqrt(discriminant)) / T(2);
- return std::pair<T, T>(q / a, c / q);
- }
- else // Most likely the type is a boost.multiprecision.
- { //There is no fma for multiprecision, and in addition it doesn't seem to be useful, so revert to the naive computation.
- T nan = std::numeric_limits<T>::quiet_NaN();
- if (a == 0)
- {
- if (b == 0 && c != 0)
- {
- return std::pair<T, T>(nan, nan);
- }
- else if (b == 0 && c == 0)
- {
- return std::pair<T, T>(0, 0);
- }
- return std::pair<T, T>(-c / b, -c / b);
- }
- if (b == 0)
- {
- T x0_sq = -c / a;
- if (x0_sq < 0) {
- return std::pair<T, T>(nan, nan);
- }
- T x0 = sqrt(x0_sq);
- return std::pair<T, T>(-x0, x0);
- }
- T discriminant = b * b - 4 * a * c;
- if (discriminant < 0)
- {
- return std::pair<T, T>(nan, nan);
- }
- T q = -(b + copysign(sqrt(discriminant), b)) / T(2);
- T x0 = q / a;
- T x1 = c / q;
- if (x0 < x1)
- {
- return std::pair<T, T>(x0, x1);
- }
- return std::pair<T, T>(x1, x0);
- }
- }
- } // namespace detail
- template<class T1, class T2 = T1, class T3 = T1>
- inline std::pair<typename tools::promote_args<T1, T2, T3>::type, typename tools::promote_args<T1, T2, T3>::type> quadratic_roots(T1 const& a, T2 const& b, T3 const& c)
- {
- typedef typename tools::promote_args<T1, T2, T3>::type value_type;
- return detail::quadratic_roots_imp(static_cast<value_type>(a), static_cast<value_type>(b), static_cast<value_type>(c));
- }
- #endif
- } // namespace tools
- } // namespace math
- } // namespace boost
- #endif // BOOST_MATH_TOOLS_NEWTON_SOLVER_HPP
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