Scribd
Upload
291 views30 pages

Lec 13 Newton Raphson Method

This document provides an overview of the Newton-Raphson method for finding the roots of functions and optima of other functions. It describes how the Newton-Raphson method uses the slope of the tangent line to iteratively estimate the root. Examples are given to demonstrate finding the minimum of functions representing real-world optimization problems using the Newton-Raphson method implemented in MATLAB.

Uploaded by

Muhammad Bilal Junaid
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
291 views30 pages

Lec 13 Newton Raphson Method

This document provides an overview of the Newton-Raphson method for finding the roots of functions and optima of other functions. It describes how the Newton-Raphson method uses the slope of the tangent line to iteratively estimate the root. Examples are given to demonstrate finding the minimum of functions representing real-world optimization problems using the Newton-Raphson method implemented in MATLAB.

Uploaded by

Muhammad Bilal Junaid
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 30

Optimization Techniques

Topic: Newton-Raphson Method

Dr. Nasir M Mirza


Email: nasirmm@yahoo.com

Mathematical Background
Objective: Maximize or Minimize f(x)
subject to

d i (x) ai
ei (x) = bi

i = 1,2, , m *
Constraints
i = 1,2, , p *

x = {x1, x2, , xn}


f(x): objective function
di(x): inequality constraints
ei(x): equality constraints
ai and bi are constants

Maximize f ( x )

Minimize f ( x )

Global and Local Optima


A function is said to be multimodal on a given interval if
there are more than one minimum/maximum point in
the interval.

Characteristics of Optima

To find the optima, we can find the zeroes of f'(x).

Newtons Method
Let f(x) = g'(x). Thus the zeroes of f(x) is the optima of g(x).
Substituting f(x) into the updating formula of NewtonRahpson method, we have

f ( xi )
g ' ( xi )
xi +1 = xi
= xi
f ' ( xi )
g " ( xi )
So, Minimize g(x) = Maximize - g(x);
If g'(x) exists, then to find the optima of g(x), we
can find the zero of g'(x);
Beware of inflection points of g(x).

Newton-Raphson Method
This method is one of the most widely used methods to solve
equations also known as the Newton-Raphson.
The idea for the method comes from a Taylor series expansion,
where you know the function and its first derivative.
f(xk+1) = f(xk) + (xk+1 - xk)*f (xk) + ...
The goal of the calculations is to find a f(x)=0, so set f(xk+1) =
0 and rearrange the equation. [ f (xk) is the first derivative of
f(x). ]
0 = f(xk) + (xk+1 - xk)*f (xk)
xk+1 = xk - [ f(xk) / f (xk) ]

Newton-Raphson Method
The method uses the slope
of the line to project to the
x axis and find the root.

f(x)

f(xi)

[x f (x )]

The method converges on


the solution quickly.

i,

f(xi-1)

f(x i )
xi +1 = x i i)
f (x

x
xi+2

xi+1

xi

Derivation
f ( xi )
g' ( xi )
xi+1 = xi
= xi
f ' ( xi )
g"( xi )

f(x)

f(xi)

tan( ) =

xi+1

AB
AC

f ( xi )
f ' ( xi ) =
xi xi +1

A
x
xi

f ( xi )
xi +1 = xi
f ' ( xi )

Newton-Raphson Method:
STEP 1: Evaluate df/dx = f(x) symbolically:
that is find an analytical expression for the first derivative of the
function with respect to x.
STEP 2: Calculate the next estimate of the root

f ( xi )
g' ( xi )
xi+1 = xi
= xi
f ' ( xi )
g"( xi )
Find the absolute relative approximate error

xi +1- xi
a =
x 100
xi +1

Newton-Raphson Method:

STEP 3: Find if the absolute relative approximate


error is greater than the pre-specified relative error
tolerance.

If so, go back to step 2, else stop the algorithm.

Also check if the number of iterations has exceeded


the maximum number of iterations.

Newton-Raphson Method: Example


You are working for DOWN THE TOILET COMPANY that makes
floats for ABC commodes. The ball has a specific gravity of 0.6
and has a radius of 5.5 cm. You are asked to find the optimum
distance to which the ball will get submerged when floating in
water.

Newton-Raphson Method: Example 1


Solution: The equation that gives the depth x to which the ball is
submerged under water is given by

1 4
g ( x ) = x - 0 .055 x 3+ 3 .993 x 10 - 4 x
4
f ( x ) = g ( x ) = x 3 - 0 .165 x 2+ 3 .993 x 10 - 4
f ( x ) = 3 x 2 - 0 .33 x
Use the Newtons method of finding roots
of equations to find the optimum depth x
to which the ball is submerged under
water.
Conduct three iterations to estimate the
optimum for the above model equation.

Graph of function f(x)


0.0005

f ( x ) = x 3 - 0 .165 x 2

0.0004
0.0003

+3.993 x10 - 4
f(x)

0.0002
0.0001
0.0000
-0.0001
-0.0002
-0.0003
-0.0004
-0.02

0.00

0.02

0.04

0.06

0.08

0.10

0.12

Iteration #1
x 0 = 0 . 02

f (x 0 )
x1 = x 0
f ' (x 0 )
3 .413x 10 4
x1 = 0 . 02
5 . 4 x 10 3
= 0.08320
a = 75 . 96 %

Iteration #2
x1 = 0.08320

f ( x1 )
x2 = x1
f ' ( x1 )
1.670 x10 4
x2 = 0.08320
6.689 x10 3
= 0.05824
a = 42 .86%

Iteration #3
x 2 = 0 .05824

f (x2 )
x3 = x2
f ' (x2 )
3 .717 x10 5
= 0 .05284
9 .043 x10 3
= 0.06235
a = 6 .592 %

Newtons Method: computer algo


Do while |x2 - x1| >= tolerance value 1
or |f(x2)|>= tolerance value 2
or f(x1) ~= 0
Set x2 = x1 - f(x1)/f(x1)
Set x1 = x2;
END loop

Advantages
Converges fast, if it converges
Requires only one guess

Drawbacks
10

f(x)

f (x) = (x 1) = 0
3

0
-2

-1

1
-5

-10

-15

-20

Inflection Point

Drawbacks (continued)
1.00E-05

f(x)
7.50E-06
5.00E-06
2.50E-06

0.00E+00
-0.03

-0.02

-0.01

0
-2.50E-06

0.01

0.02

0.03

0.04

0.02

-5.00E-06
-7.50E-06
-1.00E-05

Division by zero

f ( x ) = x3 0.03x 2 + 2.4x106 = 0

Drawbacks (continued)
f(x)

1.5

0.5

-2

-0.063069
0 0.54990

4.462

7.53982
8

10

-0.5

-1

f ( x ) = Sin x = 0

-1.5

Root Jumping

Drawbacks (continued)
6

f(x)

f (x ) = x 2 + 2 = 0

3
2

11
4

0
-2

-1.75

-1

-0.3040

0.5

-1

Oscillations near Local Maxima or Minima

3.142

Example 2:

Let us solve the following


problem:
g(x) = x4/4 - 4x3/3 + 0.5x2 10x = 0

100
50
0

Then
f(x) =g(x) = x3 - 4x2 + x 10

df/dx = 3x2 -8 x + 1
Let us first draw a graph and see
where are the roots;
The roots are between (3,6).
Then let us write a computer
program in MATLAB that will
compute the root using NewtonRaphson method.

-50

f(x)

-100
-150
-200
-250
-300
-350
-400
-6

-4

-2

Example 2: Computer Program


%
%
%
%
%

A program that Uses Newton-Raphson method


to find the roots of x = x^3 +x^2 -3x -3
Input: x0 = initial guess;
n = number of iterations; default: n = 10;
Output: x = estimate of the root;
n = 10; x0 = 3.0
x = x0;
% Initial Guess

fprintf('

f(x)

dfdx

x(k+1)\n');

for k=1:n
f
= x^3 - 4*x^2 + x 10.0;
dfdx = 3*x^2 - 8*x + 1.0;
x
= x - f/dfdx;
fprintf('%3d %12.3e
%12.3e %18.15f\n',k-1,f,dfdx,x);
end

Example 2: results
Result of the computer program: x0 = -2.0 and iterations n = 10.
k
0
1
2
3
4
5
6
7
8
9

f(x)
-1.600e+001
1.440e+002
3.781e+001
7.716e+000
7.280e-001
9.181e-003
1.526e-006
4.796e-014
3.553e-015
3.553e-015

dfdx
4.000e+000
9.200e+001
4.613e+001
2.798e+001
2.277e+001
2.220e+001
2.219e+001
2.219e+001
2.219e+001
2.219e+001

x(k+1)
7.000000
5.434783
4.615102
4.339292
4.307327
4.306913
4.306913
4.306913
4.306913
4.306913

>>

The root value is x = 4.306913 and it was obtained after 5 iterations.

Example 2:
In this example we were finding optimum for :
g(x) = x4/4 - 4x3/3 + 0.5x2 10x = 0
Then
f(x) =g(x) = x3 - 4x2 + x 10
The root for f(x) is at x = x = 4.306913
It means g(x) = 0 at this point.
Now
df/dx = d2g/dx2 = 3x2 - 8 x + 1
and At x = 4.306913 it is positive real value.
That is d2g/dx2 > 0
which means x = 4.306913 is a local minimum

Example 3:

Let us first draw a graph and see


where are the roots;
The roots are between (0, 4).
Then let us write a computer
program in MATLAB that will
compute the root using NewtonRaphson method.

40

30

f(x)

Let us solve the following problem


of finding optimum for:
g(x) = exp(x) + 0.5 x2 10x = 0
Then
f(x) = dg/dx = exp(x) + x 10.
df/dx = exp(x) + 1.

50

20

10

-10

-20
-4

-2

Example 3: Computer Program


%
%
%
%
%

A program that Uses Newton-Raphson method


to find the roots of x = x^3 +x^2 -3x -3
Input: x0 = initial guess;
n = number of iterations; default: n = 10;
Output: x = estimate of the root;
n = 10; x0 = 0.0
x = x0;
% Initial Guess

fprintf(' k
x(k+1)\n');

f(x)

for k=1:n
f
= exp(x) + x 10.0;
dfdx = exp(x) + 1.0;
x
= x - f/dfdx;
fprintf('%3d %12.3e
%12.3e
end

dfdx

%18.15f\n',k-1,f,dfdx,x);

Example 3: results
Result of the computer program: x0 = -2.0 and iterations n = 10.
k
0
1
2
3
4
5
6
7
8
9
>>

f(x)
-9.000e+000
8.452e+001
2.914e+001
8.806e+000
1.817e+000
1.337e-001
8.746e-004
3.803e-008
0.000e+000
0.000e+000

dfdx
2.000e+000
9.102e+001
3.657e+001
1.703e+001
1.056e+001
9.048e+000
8.930e+000
8.929e+000
8.929e+000
8.929e+000

The root value is x = 2.070580

x(k+1)
4.500000
3.571415
2.774566
2.257515
2.085456
2.070678
2.070580
2.070580
2.070580
2.070580

Example 3:
In this example we were finding optimum for :
g(x) = exp(x) + 0.5 x2 10x = 0
Then
f(x) = dg/dx = exp(x) + x 10.
The root for f(x) is at x = 2.07058
It means g(x) = 0 at this point.
Now
df/dx = d2g/dx2 = exp(x) + 1. and
At x = 2.07058 it is positive real value.
That is d2g/dx2 > 0
which means x = 2.07058 is a local minimum

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy