NAG Library Routine Document
c05azf (contfn_brent_rcomm)
1
Purpose
c05azf locates a simple zero of a continuous function in a given interval by using Brent's method, which is a combination of nonlinear interpolation, linear extrapolation and bisection. It uses reverse communication for evaluating the function.
2
Specification
Fortran Interface
Integer, Intent (In)  ::  ir  Integer, Intent (Inout)  ::  ind, ifail  Real (Kind=nag_wp), Intent (In)  ::  fx, tolx  Real (Kind=nag_wp), Intent (Inout)  ::  x, y, c(17) 

C Header Interface
#include nagmk26.h
void 
c05azf_ (double *x, double *y, const double *fx, const double *tolx, const Integer *ir, double c[], Integer *ind, Integer *ifail) 

3
Description
You must supply
x and
y to define an initial interval
$\left[a,b\right]$ containing a simple zero of the function
$f\left(x\right)$ (the choice of
x and
y
must be such that
$f\left({\mathbf{x}}\right)\times f\left({\mathbf{y}}\right)\le 0.0$). The routine combines the methods of bisection, nonlinear interpolation and linear extrapolation (see
Dahlquist and Björck (1974)), to find a sequence of subintervals of the initial interval such that the final interval
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ contains the zero and
$\left{\mathbf{x}}{\mathbf{y}}\right$ is less than some tolerance specified by
tolx and
ir (see
Section 5). In fact,
since the intermediate intervals
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ are determined only so that
$f\left({\mathbf{x}}\right)\times f\left({\mathbf{y}}\right)\le 0.0$, it is possible that the final interval may contain a discontinuity or a pole of
$f$ (violating the requirement that
$f$ be continuous).
c05azf checks if the sign change is likely to correspond to a pole of
$f$ and gives an error return in this case.
A feature of the algorithm used by this routine is that unlike some other methods it guarantees convergence within about
${\left({\mathrm{log}}_{2}\left[\left(ba\right)/\delta \right]\right)}^{2}$ function evaluations, where
$\delta $ is related to the argument
tolx. See
Brent (1973) for more details.
c05azf returns to the calling program for each evaluation of $f\left(x\right)$. On each return you should set ${\mathbf{fx}}=f\left({\mathbf{x}}\right)$ and call c05azf
again.
The routine is a modified version of procedure ‘zeroin’ given by
Brent (1973).
4
References
Brent R P (1973) Algorithms for Minimization Without Derivatives Prentice–Hall
Bus J C P and Dekker T J (1975) Two efficient algorithms with guaranteed convergence for finding a zero of a function ACM Trans. Math. Software 1 330–345
Dahlquist G and Björck Å (1974) Numerical Methods Prentice–Hall
5
Arguments
Note: this routine uses
reverse communication. Its use involves an initial entry, intermediate exits and reentries, and a final exit, as indicated by the argument
ind. Between intermediate exits and reentries,
all arguments other than fx must remain unchanged.
 1: $\mathbf{x}$ – Real (Kind=nag_wp)Input/Output
 2: $\mathbf{y}$ – Real (Kind=nag_wp)Input/Output

On initial entry:
x and
y must define an initial interval
$\left[a,b\right]$ containing the zero, such that
$f\left({\mathbf{x}}\right)\times f\left({\mathbf{y}}\right)\le 0.0$. It is not necessary that
${\mathbf{x}}<{\mathbf{y}}$.
On intermediate exit:
x contains the point at which
$f$ must be evaluated before reentry to the routine.
On final exit:
x and
y define a smaller interval containing the zero, such that
$f\left({\mathbf{x}}\right)\times f\left({\mathbf{y}}\right)\le 0.0$, and
$\left{\mathbf{x}}{\mathbf{y}}\right$ satisfies the accuracy specified by
tolx and
ir, unless an error has occurred. If
${\mathbf{ifail}}={\mathbf{4}}$,
x and
y generally contain very good approximations to a pole; if
${\mathbf{ifail}}={\mathbf{5}}$,
x and
y generally contain very good approximations to the zero (see
Section 6). If a point
x is found such that
$f\left({\mathbf{x}}\right)=0.0$, on final exit
${\mathbf{x}}={\mathbf{y}}$ (in this case there is no guarantee that
x is a simple zero). In all cases, the value returned in
x is the better approximation to the zero.
 3: $\mathbf{fx}$ – Real (Kind=nag_wp)Input

On initial entry: if
${\mathbf{ind}}=1$,
fx need not be set.
If
${\mathbf{ind}}=1$,
fx must contain
$f\left({\mathbf{x}}\right)$ for the initial value of
x.
On intermediate reentry: must contain
$f\left({\mathbf{x}}\right)$ for the current value of
x.
 4: $\mathbf{tolx}$ – Real (Kind=nag_wp)Input

On initial entry: the accuracy to which the zero is required. The type of error test is specified by
ir.
Constraint:
${\mathbf{tolx}}>0.0$.
 5: $\mathbf{ir}$ – IntegerInput

On initial entry: indicates the type of error test.
 ${\mathbf{ir}}=0$
 The test is: $\left{\mathbf{x}}{\mathbf{y}}\right\le 2.0\times {\mathbf{tolx}}\times \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1.0,\left{\mathbf{x}}\right\right)$.
 ${\mathbf{ir}}=1$
 The test is: $\left{\mathbf{x}}{\mathbf{y}}\right\le 2.0\times {\mathbf{tolx}}$.
 ${\mathbf{ir}}=2$
 The test is: $\left{\mathbf{x}}{\mathbf{y}}\right\le 2.0\times {\mathbf{tolx}}\times \left{\mathbf{x}}\right$.
Suggested value:
${\mathbf{ir}}=0$.
Constraint:
${\mathbf{ir}}=0$, $1$ or $2$.
 6: $\mathbf{c}\left(17\right)$ – Real (Kind=nag_wp) arrayInput/Output

On initial entry: if
${\mathbf{ind}}=1$, no elements of
c need be set.
If
${\mathbf{ind}}=1$,
${\mathbf{c}}\left(1\right)$ must contain
$f\left({\mathbf{y}}\right)$, other elements of
c need not be set.
On final exit: is undefined.
 7: $\mathbf{ind}$ – IntegerInput/Output

On initial entry: must be set to
$1$ or
$1$.
 ${\mathbf{ind}}=1$
 fx and ${\mathbf{c}}\left(1\right)$ need not be set.
 ${\mathbf{ind}}=1$
 fx and ${\mathbf{c}}\left(1\right)$ must contain $f\left({\mathbf{x}}\right)$ and $f\left({\mathbf{y}}\right)$ respectively.
On intermediate exit:
contains
$2$,
$3$ or
$4$. The calling program must evaluate
$f$ at
x, storing the result in
fx, and reenter
c05azf with all other arguments unchanged.
On final exit: contains $0$.
Constraint:
on entry ${\mathbf{ind}}=1$, $1$, $2$, $3$ or $4$.
Note: any values you return to c05azf as part of the reverse communication procedure should not include floatingpoint NaN (Not a Number) or infinity values, since these are not handled by c05azf. If your code inadvertently does return any NaNs or infinities, c05azf is likely to produce unexpected results.
 8: $\mathbf{ifail}$ – IntegerInput/Output

On initial entry:
ifail must be set to
$0$,
$1\text{ or}1$. 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
$1\text{ or}1$ 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
${\mathbf{ifail}}\ne {\mathbf{0}}$ on exit, the recommended value is
$1$.
When the value $\mathbf{1}\text{ or}1$ is used it is essential to test the value of ifail on exit.
On final exit:
${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6
Error Indicators and Warnings
If on entry
${\mathbf{ifail}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
x04aaf).
Errors or warnings detected by the routine:
 ${\mathbf{ifail}}=1$

On entry, $f\left({\mathbf{x}}\right)$ and $f\left({\mathbf{y}}\right)$ have the same sign with neither equalling $0.0$.
 ${\mathbf{ifail}}=2$

On entry, ${\mathbf{ind}}\ne 1$, $1$, $2$, $3$ or $4$.
 ${\mathbf{ifail}}=3$

On entry,  ${\mathbf{tolx}}\le 0.0$, 
or  ${\mathbf{ir}}\ne 0$, $1$ or $2$. 
 ${\mathbf{ifail}}=4$

An interval
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ has been determined satisfying the error tolerance specified by
tolx and
ir and such that
$f\left({\mathbf{x}}\right)\times f\left({\mathbf{y}}\right)\le 0$. However, from observation of the values of
$f$ during the calculation of
$\left[{\mathbf{x}},{\mathbf{y}}\right]$, it seems that the interval
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ contains a pole rather than a zero. Note that this error exit is not completely reliable: the error exit may be taken in extreme cases when
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ contains a zero, or the error exit may not be taken when
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ contains a pole. Both these cases occur most frequently when
tolx is large.
 ${\mathbf{ifail}}=5$

The tolerance
tolx is too small for the problem being solved. This indicator is only set when the interval containing the zero has been reduced to one of relative length at most
$2\epsilon $, where
$\epsilon $ is the
machine precision, but the exit condition specified by
ir is not satisfied. It is unsafe to continue reducing the interval beyond this point, but the final values of
x and
y returned are accurate approximations to the zero.
 ${\mathbf{ifail}}=99$
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.
 ${\mathbf{ifail}}=399$
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.
 ${\mathbf{ifail}}=999$
Dynamic memory allocation failed.
See
Section 3.7 in How to Use the NAG Library and its Documentation for further information.
7
Accuracy
The accuracy of the final value
x as an approximation of the zero is determined by
tolx and
ir (see
Section 5). A relative accuracy criterion (
${\mathbf{ir}}=2$) should not be used when the initial values
x and
y are of different orders of magnitude. In this case a change of origin of the independent variable may be appropriate. For example, if the initial interval
$\left[{\mathbf{x}},{\mathbf{y}}\right]$ is transformed linearly to the interval
$\left[1,2\right]$, then the zero can be determined to a precise number of figures using an absolute
(
${\mathbf{ir}}=1$) or relative (
${\mathbf{ir}}=2$) error test and the effect of the transformation back to the original interval can also be determined. Except for the accuracy check, such a transformation has no effect on the calculation of the zero.
8
Parallelism and Performance
c05azf is not threaded in any implementation.
For most problems, the time taken on each call to c05azf will be negligible compared with the time spent evaluating $f\left(x\right)$ between calls to c05azf.
If the calculation terminates because
$f\left({\mathbf{x}}\right)=0.0$,
then on return
y is set to
x. (In fact,
${\mathbf{y}}={\mathbf{x}}$ on return only in this case and, possibly, when
${\mathbf{ifail}}={\mathbf{5}}$.) There is no guarantee that the value returned in
x corresponds to a
simple
root and you should check whether it does. One way to check this is to compute the derivative of
$f$ at the point
x, preferably analytically, or, if this is not possible, numerically, perhaps by using a central difference estimate. If
${f}^{\prime}\left({\mathbf{x}}\right)=0.0$, then
x must correspond to a multiple zero of
$f$ rather than a simple zero.
10
Example
This example calculates a zero of ${e}^{x}x$ with an initial interval $\left[0,1\right]$, ${\mathbf{tolx}}=\text{1.0E\u22125}$ and a mixed error test.
10.1
Program Text
Program Text (c05azfe.f90)
10.2
Program Data
None.
10.3
Program Results
Program Results (c05azfe.r)