E04ABF/E04ABA (PDF version)
E04 Chapter Contents
E04 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

E04ABF/E04ABA

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

 Contents

    1  Purpose
    7  Accuracy

1  Purpose

E04ABF/E04ABA searches for a minimum, in a given finite interval, of a continuous function of a single variable, using function values only. The method (based on quadratic interpolation) is intended for functions which have a continuous first derivative (although it will usually work if the derivative has occasional discontinuities).
E04ABA is a version of E04ABF that has additional arguments in order to make it safe for use in multithreaded applications (see Section 5).

2  Specification

2.1  Specification for E04ABF

SUBROUTINE E04ABF ( FUNCT, E1, E2, A, B, MAXCAL, X, F, IFAIL)
INTEGER  MAXCAL, IFAIL
REAL (KIND=nag_wp)  E1, E2, A, B, X, F
EXTERNAL  FUNCT

2.2  Specification for E04ABA

SUBROUTINE E04ABA ( FUNCT, E1, E2, A, B, MAXCAL, X, F, IUSER, RUSER, IFAIL)
INTEGER  MAXCAL, IUSER(*), IFAIL
REAL (KIND=nag_wp)  E1, E2, A, B, X, F, RUSER(*)
EXTERNAL  FUNCT

3  Description

E04ABF/E04ABA is applicable to problems of the form:
MinimizeFx  subject to  axb.  
It normally computes a sequence of x values which tend in the limit to a minimum of Fx subject to the given bounds. It also progressively reduces the interval a,b in which the minimum is known to lie. It uses the safeguarded quadratic-interpolation method described in Gill and Murray (1973).
You must supply a FUNCT to evaluate Fx. The arguments E1 and E2 together specify the accuracy
Tolx=E1×x+E2  
to which the position of the minimum is required. Note that FUNCT is never called at any point which is closer than Tolx to a previous point.
If the original interval a,b contains more than one minimum, E04ABF/E04ABA will normally find one of the minima.

4  References

Gill P E and Murray W (1973) Safeguarded steplength algorithms for optimization using descent methods NPL Report NAC 37 National Physical Laboratory

5  Arguments

1:     FUNCT – SUBROUTINE, supplied by the user.External Procedure
You must supply this routine to calculate the value of the function Fx at any point x in a,b. It should be tested separately before being used in conjunction with E04ABF/E04ABA.
The specification of FUNCT for E04ABF is:
SUBROUTINE FUNCT ( XC, FC)
REAL (KIND=nag_wp)  XC, FC
The specification of FUNCT for E04ABA is:
SUBROUTINE FUNCT ( XC, FC, IUSER, RUSER)
INTEGER  IUSER(*)
REAL (KIND=nag_wp)  XC, FC, RUSER(*)
1:     XC – REAL (KIND=nag_wp)Input
On entry: the point x at which the value of F is required.
2:     FC – REAL (KIND=nag_wp)Output
On exit: must be set to the value of the function F at the current point x.
Note: the following are additional arguments for specific use with E04ABA. Users of E04ABF therefore need not read the remainder of this description.
3:     IUSER* – INTEGER arrayUser Workspace
4:     RUSER* – REAL (KIND=nag_wp) arrayUser Workspace
FUNCT is called with the arguments IUSER and RUSER as supplied to E04ABF/E04ABA. You should use the arrays IUSER and RUSER to supply information to FUNCT.
FUNCT must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which E04ABF/E04ABA is called. Arguments denoted as Input must not be changed by this procedure.
2:     E1 – REAL (KIND=nag_wp)Input/Output
On entry: the relative accuracy to which the position of a minimum is required. (Note that, since E1 is a relative tolerance, the scaling of x is automatically taken into account.)
E1 should be no smaller than 2ε, and preferably not much less than ε, where ε is the machine precision.
On exit: if you set E1 to 0.0 (or to any value less than ε), E1 will be reset to the default value ε before starting the minimization process.
3:     E2 – REAL (KIND=nag_wp)Input/Output
On entry: the absolute accuracy to which the position of a minimum is required. E2 should be no smaller than 2ε.
On exit: if you set E2 to 0.0 (or to any value less than ε), E2 will be reset to the default value ε.
4:     A – REAL (KIND=nag_wp)Input/Output
On entry: the lower bound a of the interval containing a minimum.
On exit: an improved lower bound on the position of the minimum.
5:     B – REAL (KIND=nag_wp)Input/Output
On entry: the upper bound b of the interval containing a minimum.
On exit: an improved upper bound on the position of the minimum.
6:     MAXCAL – INTEGERInput/Output
On entry: the maximum number of calls of Fx to be allowed.
Constraint: MAXCAL3. (Few problems will require more than 30.)
There will be an error exit (see Section 6) after MAXCAL calls of FUNCT
On exit: the total number of times that FUNCT was actually called.
7:     X – REAL (KIND=nag_wp)Output
On exit: the estimated position of the minimum.
8:     F – REAL (KIND=nag_wp)Output
On exit: the function value at the final point given in X.
9:     IFAIL – INTEGERInput/Output
Note: for E04ABA, IFAIL does not occur in this position in the argument list. See the additional arguments described below.
On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.
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 arguments may be useful even if IFAIL0 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.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).
Note: the following are additional arguments for specific use with E04ABA. Users of E04ABF therefore need not read the remainder of this description.
9:     IUSER* – INTEGER arrayUser Workspace
10:   RUSER* – REAL (KIND=nag_wp) arrayUser Workspace
IUSER and RUSER are not used by E04ABF/E04ABA, but are passed directly to FUNCT and should be used to pass information to this routine.
11:   IFAIL – INTEGERInput/Output
Note: see the argument description for IFAIL above.

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).
Note: E04ABF/E04ABA may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the routine:
IFAIL=1
On entry,A+E2B,
orMAXCAL<3,
IFAIL=2
The number of calls of FUNCT has exceeded MAXCAL. This may have happened simply because MAXCAL was set too small for a particular problem, or may be due to a mistake in FUNCT. If no mistake can be found in FUNCT, restart E04ABF/E04ABA (preferably with the values of A and B given on exit from the previous call of E04ABF/E04ABA).
IFAIL=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.9 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-399
Your licence key may have expired or may not have been installed correctly.
See Section 3.8 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-999
Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7  Accuracy

If Fx is δ-unimodal for some δ<Tolx, where Tolx=E1×x+E2, then, on exit, x approximates the minimum of Fx in the original interval a,b with an error less than 3×Tolx.

8  Parallelism and Performance

E04ABF/E04ABA is not threaded in any implementation.

9  Further Comments

Timing depends on the behaviour of Fx, the accuracy demanded and the length of the interval a,b. Unless Fx can be evaluated very quickly, the run time will usually be dominated by the time spent in FUNCT.
If Fx has more than one minimum in the original interval a,b, E04ABF/E04ABA will determine an approximation x (and improved bounds a and b) for one of the minima.
If E04ABF/E04ABA finds an x such that Fx-δ1>Fx<Fx+δ2 for some δ1,δ2Tolx, the interval x-δ1,x+δ2 will be regarded as containing a minimum, even if Fx is less than Fx-δ1 and Fx+δ2 only due to rounding errors in the subroutine. Therefore FUNCT should be programmed to calculate Fx as accurately as possible, so that E04ABF/E04ABA will not be liable to find a spurious minimum.

10  Example

A sketch of the function
Fx=sinxx  
shows that it has a minimum somewhere in the range 3.5,5.0. The following program shows how E04ABF/E04ABA can be used to obtain a good approximation to the position of a minimum.

10.1  Program Text

Note: the following programs illustrate the use of E04ABF and E04ABA.

Program Text (e04abfe.f90)

Program Text (e04abae.f90)

10.2  Program Data

None.

10.3  Program Results

Program Results (e04abfe.r)

Program Results (e04abae.r)


E04ABF/E04ABA (PDF version)
E04 Chapter Contents
E04 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016