calc/cal/brentsolve.cal

/*
 * brentsolve - Root finding with the Brent-Dekker trick
 *
 * Copyright (C) 2013 Christoph Zurnieden
 *
 * Calc is open software; you can redistribute it and/or modify it under
 * the terms of the version 2.1 of the GNU Lesser General Public License
 * as published by the Free Software Foundation.
 *
 * Calc is distributed in the hope that it will be useful, but WITHOUT
 * ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
 * or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU Lesser General
 * Public License for more details.
 *
 * A copy of version 2.1 of the GNU Lesser General Public License is
 * distributed with calc under the filename COPYING-LGPL.  You should have
 * received a copy with calc; if not, write to Free Software Foundation, Inc.
 * 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301, USA.
 *
 * Under source code control:	2013/08/11 01:31:28
 * File existed as early as:	2013
 */


static resource_debug_level;
resource_debug_level = config("resource_debug", 0);


/*
  A short explanation is at http://en.wikipedia.org/wiki/Brent%27s_method
  I tried to follow the description at wikipedia as much as possible to make
  the slight changes I did more visible.
  You may give http://people.sc.fsu.edu/~jburkardt/cpp_src/brent/brent.html a
  short glimpse (Brent's originl Fortran77 versions and some translations of
  it).
*/

static true = 1;
static false = 0;
define brentsolve(low, high,eps){
  local a b c d fa fb fc fa2 fb2 fc2 s fs  tmp tmp2  mflag i places;
  a = low;
  b = high;
  c = 0;

  if(isnull(eps))
    eps = epsilon(epsilon()*1e-3);
  places = highbit(1 + int( 1/epsilon() ) ) + 1;

  d = 1/eps;

  fa = f(a);
  fb = f(b);

  fc = 0;
  s = 0;
  fs = 0;

  if(fa * fb >= 0){
    if(fa < fb){
      epsilon(eps);
      return a;
    }
    else{
      epsilon(eps);
      return b;
    }
  }

  if(abs(fa) < abs(fb)){
    tmp = a; a = b; b = tmp;
    tmp = fa; fa = fb; fb = tmp;
  }

  c = a;
  fc = fa;
  mflag = 1;
  i = 0;

  while(!(fb==0) && (abs(a-b) > eps)){
    if((fa != fc) && (fb != fc)){
      /* Inverse quadratic interpolation*/
      fc2 = fc^2;
      fa2 = fa^2;
      s = bround(((fb^2*((fc*a)-(c*fa)))+(fb*((c*fa2)-(fc2*a)))+(b*((fc2*fa)
                    -(fc*fa2))))/((fc - fb)*(fa - fb)*(fc - fa)),places++);
    }
    else{
      /* Secant Rule*/
      s =bround( b - fb * (b - a) / (fb - fa),places++);
    }
    tmp2 = (3 * a + b) / 4;
    if( (!( ((s > tmp2) && (s < b))||((s < tmp2) && (s > b))))
        || (mflag && (abs(s - b) >= (abs(b - c) / 2)))
        || (!mflag && (abs(s - b) >= (abs(c - d) / 2)))) {
      s = (a + b) / 2;
      mflag = true;
    }
    else{
      if( (mflag && (abs(b - c) < eps))
          || (!mflag && (abs(c - d) < eps))) {
        s = (a + b) / 2;
        mflag = true;
      }
      else
        mflag = false;
    }
    fs = f(s);
    c = b;
    fc = fb;
    if (fa * fs < 0){
      b = s;
      fb = fs;
    }
    else {
      a = s;
      fa = fs;
    }

    if (abs(fa) < abs(fb)){
      tmp = a; a = b; b = tmp;
      tmp = fa; fa = fb; fb = tmp;
    }
    i++;
    if (i > 1000){
      epsilon(eps);
      return newerror("brentsolve: does not converge");
    }
  }
  epsilon(eps);
  return b;
}

/*
  A variation of the solver to accept functions named differently from "f". The
  code should explain it.
*/
define brentsolve2(low, high,which,eps){
  local a b c d fa fb fc fa2 fb2 fc2 s fs  tmp tmp2  mflag i places;
  a = low;
  b = high;
  c = 0;

  switch(param(0)){
    case 0:
    case 1: return newerror("brentsolve2: not enough arguments");
    case 2: eps = epsilon(epsilon()*1e-2);
            which = 0;break;
    case 3: eps = epsilon(epsilon()*1e-2);break;
    default: break;
  };
  places = highbit(1 + int(1/epsilon())) + 1;

  d = 1/eps;

  switch(which){
    case 1:  fa = __CZ__invbeta(a);
             fb = __CZ__invbeta(b); break;
    case 2:  fa = __CZ__invincgamma(a);
             fb = __CZ__invincgamma(b); break;

    default: fa = f(a);fb = f(b);   break;
  };

  fc = 0;
  s = 0;
  fs = 0;

  if(fa * fb >= 0){
    if(fa < fb)
      return a;
    else
      return b;
  }

  if(abs(fa) < abs(fb)){
    tmp = a; a = b; b = tmp;
    tmp = fa; fa = fb; fb = tmp;
  }

  c = a;
  fc = fa;
  mflag = 1;
  i = 0;

  while(!(fb==0) && (abs(a-b) > eps)){

    if((fa != fc) && (fb != fc)){
      /* Inverse quadratic interpolation*/
      fc2 = fc^2;
      fa2 = fa^2;
      s = bround(((fb^2*((fc*a)-(c*fa)))+(fb*((c*fa2)-(fc2*a)))+(b*((fc2*fa)
                    -(fc*fa2))))/((fc - fb)*(fa - fb)*(fc - fa)),places);
      places++;
    }
    else{
      /* Secant Rule*/
      s =bround( b - fb * (b - a) / (fb - fa),places);
      places++;
    }
    tmp2 = (3 * a + b) / 4;
    if( (!( ((s > tmp2) && (s < b))||((s < tmp2) && (s > b))))
        || (mflag && (abs(s - b) >= (abs(b - c) / 2)))
        || (!mflag && (abs(s - b) >= (abs(c - d) / 2)))) {
      s = (a + b) / 2;
      mflag = true;
    }
    else{
      if( (mflag && (abs(b - c) < eps))
          || (!mflag && (abs(c - d) < eps))) {
        s = (a + b) / 2;
        mflag = true;
      }
      else
        mflag = false;
    }
    switch(which){
      case 1:  fs = __CZ__invbeta(s); break;
      case 2:  fs = __CZ__invincgamma(s); break;

      default: fs = f(s);             break;
    };
    c = b;
    fc = fb;
    if (fa * fs < 0){
      b = s;
      fb = fs;
    }
    else {
      a = s;
      fa = fs;
    }

    if (abs(fa) < abs(fb)){
      tmp = a; a = b; b = tmp;
      tmp = fa; fa = fb; fb = tmp;
    }
    i++;
    if (i > 1000){
      return newerror("brentsolve2: does not converge");
    }
  }
  return b;
}


/*
 * restore internal function from resource debugging
 */
config("resource_debug", resource_debug_level),;
if (config("resource_debug") & 3) {
    print "brentsolve(low, high,eps)";
    print "brentsolve2(low, high,which,eps)";
}