newton: Simple R level Newton Algorithm, Mostly for Didactical...

In DPQ: Density, Probability, Quantile ('DPQ') Computations

Simple R level Newton Algorithm, Mostly for Didactical Reasons

Description

Given the function G() and its derivative g(), newton() uses the Newton method, starting at x0, to find a point xp at which G is zero. G() and g() may each depend on the same parameter (vector) z.

Convergence typically happens when the stepsize becomes smaller than eps.

keepAll = TRUE to also get the vectors of consecutive values of x and G(x, z);

Usage

newton(x0, G, g, z,
       xMin = -Inf, xMax = Inf, warnRng = TRUE,
       dxMax = 1000, eps = 0.0001, maxiter = 1000L,
       warnIter = missing(maxiter) || maxiter >= 10L,
       keepAll = NA)

Arguments

x0	numeric start value.
G, g	must be functions, mathematically of their first argument, but they can accept parameters; g() must be the derivative of G.
z	parameter vector for G() and g(), to be kept fixed.
xMin, xMax	numbers defining the allowed range for x during the iterations; e.g., useful to set to 0 and 1 during quantile search.
warnRng	logical specifying if a warning should be signalled when start value x0 is outside [xMin, xMax] and hence will be changed to one of the boundary values.
dxMax	maximal step size in x-space. (The default 1000 is quite arbitrary, do set a good maximal step size yourself!)
eps	positive number, the absolute convergence tolerance.
maxiter	positive integer, specifying the maximal number of Newton iterations.
warnIter	logical specifying if a warning should be signalled when the algorithm has not converged in maxiter iterations.
keepAll	logical specifying if the full sequence of x- and G(x,*) values should be kept and returned: NA, the default: newton returns a small list of final “data”, with 4 components x = x*, G= G(x*, z), it, and converged. TRUE: returns an extended list, in addition containing the vectors x.vec and G.vec. FALSE: returns only the x* value.

Details

Because of the quadrativc convergence at the end of the Newton algorithm, often x^* satisfies approximately | G(x*, z)| < eps^2 .

newton() can be used to compute the quantile function of a distribution, if you have a good starting value, and provide the cumulative probability and density functions as R functions G and g respectively.

Value

The result always contains the final x-value x*, and typically some information about convergence, depending on the value of keepAll, see above:

x	the optimal x^* value (a number).
G	the function value G(x*, z), typically very close to zero.
it	the integer number of iterations used.
convergence	logical indicating if the Newton algorithm converged within maxiter iterations.
x.vec	the full vector of x values, \{x0,\ldots,x^*\}.
G.vec	the vector of function values (typically tending to zero), i.e., G(x.vec, .) (even when G(x, .) would not vectorize).

Author(s)

Martin Maechler, ca. 2004

References

Newton's Method on Wikipedia, https://en.wikipedia.org/wiki/Newton%27s_method.

See Also

uniroot() is much more sophisticated, works without derivatives and is generally faster than newton().

newton(.) is currently crucially used (only) in our function qchisqN().

Examples

## The most simple non-trivial case :  Computing SQRT(a)
  G <- function(x, a) x^2 - a
  g <- function(x, a) 2*x

  newton(1, G, g, z = 4  ) # z = a -- converges immediately
  newton(1, G, g, z = 400) # bad start, needs longer to converge

## More interesting, and related to non-central (chisq, e.t.) computations:
## When is  x * log(x) < B,  i.e., the inverse function of G = x*log(x) :
xlx <- function(x, B) x*log(x) - B
dxlx <- function(x, B) log(x) + 1

Nxlx <- function(B) newton(B, G=xlx, g=dxlx, z=B, maxiter=Inf)$x
N1   <- function(B) newton(B, G=xlx, g=dxlx, z=B, maxiter = 1)$x
N2   <- function(B) newton(B, G=xlx, g=dxlx, z=B, maxiter = 2)$x

Bs <- c(outer(c(1,2,5), 10^(0:4)))
plot (Bs, vapply(Bs, Nxlx, pi), type = "l", log ="xy")
lines(Bs, vapply(Bs, N1  , pi), col = 2, lwd = 2, lty = 2)
lines(Bs, vapply(Bs, N2  , pi), col = 3, lwd = 3, lty = 3)

BL <- c(outer(c(1,2,5), 10^(0:6)))
plot (BL, vapply(BL, Nxlx, pi), type = "l", log ="xy")
lines(BL, BL, col="green2", lty=3)
lines(BL, vapply(BL, N1  , pi), col = 2, lwd = 2, lty = 2)
lines(BL, vapply(BL, N2  , pi), col = 3, lwd = 3, lty = 3)
## Better starting value from an approximate 1 step Newton:
iL1 <- function(B) 2*B / (log(B) + 1)
lines(BL, iL1(BL), lty=4, col="gray20") ## really better ==> use it as start

Nxlx <- function(B) newton(iL1(B), G=xlx, g=dxlx, z=B, maxiter=Inf)$x
N1   <- function(B) newton(iL1(B), G=xlx, g=dxlx, z=B, maxiter = 1)$x
N2   <- function(B) newton(iL1(B), G=xlx, g=dxlx, z=B, maxiter = 2)$x

plot (BL, vapply(BL, Nxlx, pi), type = "o", log ="xy")
lines(BL, iL1(BL),  lty=4, col="gray20")
lines(BL, vapply(BL, N1  , pi), type = "o", col = 2, lwd = 2, lty = 2)
lines(BL, vapply(BL, N2  , pi), type = "o", col = 3, lwd = 2, lty = 3)
## Manual 2-step Newton
iL2 <- function(B) { lB <- log(B) ; B*(lB+1) / (lB * (lB - log(lB) + 1)) }
lines(BL, iL2(BL), col = adjustcolor("sky blue", 0.6), lwd=6)
##==>  iL2() is very close to true curve
## relative error:
iLtrue <- vapply(BL, Nxlx, pi)
cbind(BL, iLtrue, iL2=iL2(BL), relErL2 = 1-iL2(BL)/iLtrue)
## absolute error (in log-log scale; always positive!):
plot(BL, iL2(BL) - iLtrue, type = "o", log="xy", axes=FALSE)
if(requireNamespace("sfsmisc")) {
  sfsmisc::eaxis(1)
  sfsmisc::eaxis(2, sub10=2)
} else {
  cat("no 'sfsmisc' package; maybe  install.packages(\"sfsmisc\")  ?\n")
  axis(1); axis(2)
}
## 1 step from iL2()  seems quite good:
B. <- BL[-1] # starts at 2
NL2 <- lapply(B., function(B) newton(iL2(B), G=xlx, g=dxlx, z=B, maxiter=1))
str(NL2)
iL3 <- sapply(NL2, `[[`, "x")
cbind(B., iLtrue[-1], iL2=iL2(B.), iL3, relE.3 = 1- iL3/iLtrue[-1])
x. <- iL2(B.)
all.equal(iL3, x. - xlx(x., B.) / dxlx(x.)) ## 7.471802e-8
## Algebraic simplification of one newton step :
all.equal((x.+B.)/(log(x.)+1), x. - xlx(x., B.) / dxlx(x.), tol = 4e-16)
iN1 <- function(x, B) (x+B) / (log(x) + 1)
B <- 12345
iN1(iN1(iN1(B, B),B),B)
Nxlx(B)

DPQ documentation built on Nov. 3, 2024, 3 a.m.