NAG Library Routine Document
C05NDF
1 Purpose
C05NDF is a comprehensive reverse communication routine to find a solution of a system of nonlinear equations by a modification of the Powell hybrid method.
2 Specification
| SUBROUTINE C05NDF ( | IREVCM, N, X, FVEC, XTOL, ML, MU, EPSFCN, DIAG, MODE, FACTOR, FJAC, LDFJAC, R, LR, QTF, W, IFAIL) |
| INTEGER | IREVCM, N, ML, MU, MODE, LDFJAC, LR, IFAIL |
| double precision | X(N), FVEC(N), XTOL, EPSFCN, DIAG(N), FACTOR, FJAC(LDFJAC,N), R(LR), QTF(N), W(N,4) |
3 Description
The system of equations is defined as:
C05NDF 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. Under reasonable conditions this guarantees global convergence for starting points far from the solution and a fast rate of convergence. 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 Parameters
Note: this routine uses
reverse communication. Its use involves an initial entry, intermediate exits and re-entries, and a final exit, as indicated by the
parameter IREVCM. Between intermediate exits and re-entries,
all parameters other than FVEC must remain unchanged.
- 1: IREVCM – INTEGERInput/Output
-
On initial entry: must have the value 0.
On intermediate exit:
specifies what action you must take before re-entering C05NDF with
IREVCM unchanged. The value of
IREVCM should be interpreted as follows:
-
IREVCM=1
- Indicates the start of a new iteration. No action is required by you, but X and FVEC are available for printing.
-
IREVCM=2
- Indicates that before re-entry to C05NDF, FVEC must contain the function values
fix
.
On final exit:
IREVCM=0
, and the algorithm has terminated.
Constraint:
IREVCM=0, 1 or 2.
- 2: N – INTEGERInput
-
On initial entry:
n, the number of equations.
Constraint:
N>0
.
- 3: X(N) – double precision arrayInput/Output
-
On initial entry: an initial guess at the solution vector.
On intermediate exit:
contains the current point.
On final exit: the final estimate of the solution vector.
- 4: FVEC(N) – double precision arrayInput/Output
-
On initial entry: need not be set.
On intermediate re-entry: if
IREVCM≠2
,
FVEC must not be changed.
If
IREVCM=2
,
FVEC must be set to the values of the functions computed at the current point
X.
On final exit: the function values at the final point,
X.
- 5: XTOL – double precisionInput
-
On initial entry: the accuracy in
X to which the solution is required.
Suggested value:
the square root of the machine precision.
Constraint:
XTOL≥0.0
.
- 6: ML – INTEGERInput
-
On initial 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:
ML≥0
.
- 7: MU – INTEGERInput
-
On initial 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:
MU≥0
.
- 8: EPSFCN – double precisionInput
-
On initial entry: the order 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 then
machine precision is used. Consequently a value of
0.0 will often be suitable.
Suggested value:
EPSFCN=0.0
.
- 9: DIAG(N) – double precision arrayInput/Output
-
On initial entry: if
MODE=2
,
DIAG must contain multiplicative scale factors for the variables.
Constraint:
DIAGi>0.0
, for i=1,2,…,n.
On intermediate exit:
the scale factors actually used (computed internally if
MODE≠2
).
- 10: MODE – INTEGERInput
-
On initial entry: indicates whether or not you have provided scaling factors in
DIAG. If
MODE=2
the scale factors must be supplied in
DIAG. Otherwise, the variables will be scaled internally.
- 11: FACTOR – double precisionInput
-
On initial 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
.
- 12: FJAC(LDFJAC,N) – double precision arrayInput/Output
-
On initial entry: need not be set.
On intermediate exit:
must not be changed.
On final exit: the orthogonal matrix Q produced by the
QR
factorization of the final approximate Jacobian.
- 13: LDFJAC – INTEGERInput
-
On initial entry: the first dimension of the array
FJAC as declared in the (sub)program from which C05NDF is called.
Constraint:
LDFJAC≥N
.
- 14: R(LR) – double precision arrayInput/Output
-
On initial entry: need not be set.
On intermediate exit:
must not be changed.
On final exit: the upper triangular matrix R produced by the
QR
factorization of the final approximate Jacobian, stored row-wise.
- 15: LR – INTEGERInput
-
On initial entry: the dimension of the array
R as declared in the (sub)program from which C05NDF is called.
Constraint:
LR≥N×N+1/2
.
- 16: QTF(N) – double precision arrayInput/Output
-
On initial entry: need not be set.
On intermediate exit:
must not be changed.
On final exit: the vector
QTf
.
- 17: W(N,4) – double precision arrayCommunication Array
- 18: IFAIL – INTEGERInput/Output
On initial entry:
IFAIL must be set to
0,
-1 or 1. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
On final exit:
IFAIL=0 unless the routine detects an error (see
Section 6).
For environments where it might be inappropriate to halt program execution when an error is detected, the value
-1 or 1 is recommended. If the output of error messages is undesirable, then the value
1 is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
IFAIL≠0 on exit, the recommended value is
-1.
When the value -1 or 1 is used it is essential to test the value of IFAIL on exit.
6 Error Indicators and Warnings
If on entry
IFAIL=0 or
-1, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
- IFAIL=1
-
| On entry, |
N≤0
, |
| or |
XTOL<0.0
, |
| or |
ML<0
, |
| or |
MU<0
, |
| or |
FACTOR≤0.0
, |
| or |
LDFJAC<N
, |
| or |
LR<N
×
N+1
/
2
, |
| or |
MODE=2
and
DIAGi≤0.0
for some i,
i=
1,
2,
…,
N
. |
- IFAIL=2
-
| On entry, |
IREVCM<0
or
IREVCM>2
. |
- IFAIL=3
-
No further improvement in the approximate solution
X is possible;
XTOL is too small.
- IFAIL=4
-
The iteration is not making good progress, as measured by the improvement from the last five Jacobian evaluations.
- IFAIL=5
-
The iteration is not making good progress, as measured by the improvement from the last 10 iterations.
The values
IFAIL=4 and
IFAIL=5 may indicate that the system does not have a zero, or that the solution is very close to the origin (see
Section 7). Otherwise, rerunning C05NDF from a different starting point may avoid the region of difficulty.
7 Accuracy
If
x^
is the true solution and
D denotes the diagonal matrix whose entries are defined by the array
DIAG, then C05NDF tries to ensure that
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 C05NDF usually avoids 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 routine exits with
IFAIL=3.
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 test assumes that the functions are reasonably well behaved. If this condition is not satisfied, then C05NDF may incorrectly indicate convergence. The validity of the answer can be checked, for example, by rerunning C05NDF with a tighter tolerance.
8 Further Comments
The time required by C05NDF 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 C05NDF to process the evaluation of functions in the main program in each exit is about
11.5×n2
. The timing of C05NDF will be strongly influenced by the time spent in the evaluation of 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.
9 Example
This example determines the values
x1
,
…
,
x9
which satisfy the tridiagonal equations:
9.1 Program Text
Program Text (c05ndfe.f)
9.2 Program Data
None.
9.3 Program Results
Program Results (c05ndfe.r)