001/*
002 * Licensed to the Apache Software Foundation (ASF) under one or more
003 * contributor license agreements.  See the NOTICE file distributed with
004 * this work for additional information regarding copyright ownership.
005 * The ASF licenses this file to You under the Apache License, Version 2.0
006 * (the "License"); you may not use this file except in compliance with
007 * the License.  You may obtain a copy of the License at
008 *
009 *      http://www.apache.org/licenses/LICENSE-2.0
010 *
011 * Unless required by applicable law or agreed to in writing, software
012 * distributed under the License is distributed on an "AS IS" BASIS,
013 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
014 * See the License for the specific language governing permissions and
015 * limitations under the License.
016 */
017package org.apache.commons.math4.legacy.analysis.solvers;
018
019import org.apache.commons.math4.legacy.analysis.UnivariateFunction;
020import org.apache.commons.math4.legacy.exception.NoBracketingException;
021import org.apache.commons.math4.legacy.exception.NotStrictlyPositiveException;
022import org.apache.commons.math4.legacy.exception.NullArgumentException;
023import org.apache.commons.math4.legacy.exception.NumberIsTooLargeException;
024import org.apache.commons.math4.legacy.exception.util.LocalizedFormats;
025import org.apache.commons.math4.core.jdkmath.JdkMath;
026
027/**
028 * Utility routines for {@link UnivariateSolver} objects.
029 *
030 */
031public final class UnivariateSolverUtils {
032    /**
033     * Class contains only static methods.
034     */
035    private UnivariateSolverUtils() {}
036
037    /**
038     * Convenience method to find a zero of a univariate real function.  A default
039     * solver is used.
040     *
041     * @param function Function.
042     * @param x0 Lower bound for the interval.
043     * @param x1 Upper bound for the interval.
044     * @return a value where the function is zero.
045     * @throws NoBracketingException if the function has the same sign at the
046     * endpoints.
047     * @throws NullArgumentException if {@code function} is {@code null}.
048     */
049    public static double solve(UnivariateFunction function, double x0, double x1)
050        throws NullArgumentException,
051               NoBracketingException {
052        if (function == null) {
053            throw new NullArgumentException(LocalizedFormats.FUNCTION);
054        }
055        final UnivariateSolver solver = new BrentSolver();
056        return solver.solve(Integer.MAX_VALUE, function, x0, x1);
057    }
058
059    /**
060     * Convenience method to find a zero of a univariate real function.  A default
061     * solver is used.
062     *
063     * @param function Function.
064     * @param x0 Lower bound for the interval.
065     * @param x1 Upper bound for the interval.
066     * @param absoluteAccuracy Accuracy to be used by the solver.
067     * @return a value where the function is zero.
068     * @throws NoBracketingException if the function has the same sign at the
069     * endpoints.
070     * @throws NullArgumentException if {@code function} is {@code null}.
071     */
072    public static double solve(UnivariateFunction function,
073                               double x0, double x1,
074                               double absoluteAccuracy)
075        throws NullArgumentException,
076               NoBracketingException {
077        if (function == null) {
078            throw new NullArgumentException(LocalizedFormats.FUNCTION);
079        }
080        final UnivariateSolver solver = new BrentSolver(absoluteAccuracy);
081        return solver.solve(Integer.MAX_VALUE, function, x0, x1);
082    }
083
084    /**
085     * Force a root found by a non-bracketing solver to lie on a specified side,
086     * as if the solver were a bracketing one.
087     *
088     * @param maxEval maximal number of new evaluations of the function
089     * (evaluations already done for finding the root should have already been subtracted
090     * from this number)
091     * @param f function to solve
092     * @param bracketing bracketing solver to use for shifting the root
093     * @param baseRoot original root found by a previous non-bracketing solver
094     * @param min minimal bound of the search interval
095     * @param max maximal bound of the search interval
096     * @param allowedSolution the kind of solutions that the root-finding algorithm may
097     * accept as solutions.
098     * @return a root approximation, on the specified side of the exact root
099     * @throws NoBracketingException if the function has the same sign at the
100     * endpoints.
101     */
102    public static double forceSide(final int maxEval, final UnivariateFunction f,
103                                   final BracketedUnivariateSolver<UnivariateFunction> bracketing,
104                                   final double baseRoot, final double min, final double max,
105                                   final AllowedSolution allowedSolution)
106        throws NoBracketingException {
107
108        if (allowedSolution == AllowedSolution.ANY_SIDE) {
109            // no further bracketing required
110            return baseRoot;
111        }
112
113        // find a very small interval bracketing the root
114        final double step = JdkMath.max(bracketing.getAbsoluteAccuracy(),
115                                         JdkMath.abs(baseRoot * bracketing.getRelativeAccuracy()));
116        double xLo        = JdkMath.max(min, baseRoot - step);
117        double fLo        = f.value(xLo);
118        double xHi        = JdkMath.min(max, baseRoot + step);
119        double fHi        = f.value(xHi);
120        int remainingEval = maxEval - 2;
121        while (remainingEval > 0) {
122
123            if ((fLo >= 0 && fHi <= 0) || (fLo <= 0 && fHi >= 0)) {
124                // compute the root on the selected side
125                return bracketing.solve(remainingEval, f, xLo, xHi, baseRoot, allowedSolution);
126            }
127
128            // try increasing the interval
129            boolean changeLo = false;
130            boolean changeHi = false;
131            if (fLo < fHi) {
132                // increasing function
133                if (fLo >= 0) {
134                    changeLo = true;
135                } else {
136                    changeHi = true;
137                }
138            } else if (fLo > fHi) {
139                // decreasing function
140                if (fLo <= 0) {
141                    changeLo = true;
142                } else {
143                    changeHi = true;
144                }
145            } else {
146                // unknown variation
147                changeLo = true;
148                changeHi = true;
149            }
150
151            // update the lower bound
152            if (changeLo) {
153                xLo = JdkMath.max(min, xLo - step);
154                fLo  = f.value(xLo);
155                remainingEval--;
156            }
157
158            // update the higher bound
159            if (changeHi) {
160                xHi = JdkMath.min(max, xHi + step);
161                fHi  = f.value(xHi);
162                remainingEval--;
163            }
164        }
165
166        throw new NoBracketingException(LocalizedFormats.FAILED_BRACKETING,
167                                        xLo, xHi, fLo, fHi,
168                                        maxEval - remainingEval, maxEval, baseRoot,
169                                        min, max);
170    }
171
172    /**
173     * This method simply calls {@link #bracket(UnivariateFunction, double, double, double,
174     * double, double, int) bracket(function, initial, lowerBound, upperBound, q, r, maximumIterations)}
175     * with {@code q} and {@code r} set to 1.0 and {@code maximumIterations} set to {@code Integer.MAX_VALUE}.
176     * <p>
177     * <strong>Note: </strong> this method can take {@code Integer.MAX_VALUE}
178     * iterations to throw a {@code ConvergenceException.}  Unless you are
179     * confident that there is a root between {@code lowerBound} and
180     * {@code upperBound} near {@code initial}, it is better to use
181     * {@link #bracket(UnivariateFunction, double, double, double, double,double, int)
182     * bracket(function, initial, lowerBound, upperBound, q, r, maximumIterations)},
183     * explicitly specifying the maximum number of iterations.</p>
184     *
185     * @param function Function.
186     * @param initial Initial midpoint of interval being expanded to
187     * bracket a root.
188     * @param lowerBound Lower bound (a is never lower than this value)
189     * @param upperBound Upper bound (b never is greater than this
190     * value).
191     * @return a two-element array holding a and b.
192     * @throws NoBracketingException if a root cannot be bracketted.
193     * @throws NotStrictlyPositiveException if {@code maximumIterations <= 0}.
194     * @throws NullArgumentException if {@code function} is {@code null}.
195     */
196    public static double[] bracket(UnivariateFunction function,
197                                   double initial,
198                                   double lowerBound, double upperBound)
199        throws NullArgumentException,
200               NotStrictlyPositiveException,
201               NoBracketingException {
202        return bracket(function, initial, lowerBound, upperBound, 1.0, 1.0, Integer.MAX_VALUE);
203    }
204
205     /**
206     * This method simply calls {@link #bracket(UnivariateFunction, double, double, double,
207     * double, double, int) bracket(function, initial, lowerBound, upperBound, q, r, maximumIterations)}
208     * with {@code q} and {@code r} set to 1.0.
209     * @param function Function.
210     * @param initial Initial midpoint of interval being expanded to
211     * bracket a root.
212     * @param lowerBound Lower bound (a is never lower than this value).
213     * @param upperBound Upper bound (b never is greater than this
214     * value).
215     * @param maximumIterations Maximum number of iterations to perform
216     * @return a two element array holding a and b.
217     * @throws NoBracketingException if the algorithm fails to find a and b
218     * satisfying the desired conditions.
219     * @throws NotStrictlyPositiveException if {@code maximumIterations <= 0}.
220     * @throws NullArgumentException if {@code function} is {@code null}.
221     */
222    public static double[] bracket(UnivariateFunction function,
223                                   double initial,
224                                   double lowerBound, double upperBound,
225                                   int maximumIterations)
226        throws NullArgumentException,
227               NotStrictlyPositiveException,
228               NoBracketingException {
229        return bracket(function, initial, lowerBound, upperBound, 1.0, 1.0, maximumIterations);
230    }
231
232    /**
233     * This method attempts to find two values a and b satisfying <ul>
234     * <li> {@code lowerBound <= a < initial < b <= upperBound} </li>
235     * <li> {@code f(a) * f(b) <= 0} </li>
236     * </ul>
237     * If {@code f} is continuous on {@code [a,b]}, this means that {@code a}
238     * and {@code b} bracket a root of {@code f}.
239     * <p>
240     * The algorithm checks the sign of \( f(l_k) \) and \( f(u_k) \) for increasing
241     * values of k, where \( l_k = max(lower, initial - \delta_k) \),
242     * \( u_k = min(upper, initial + \delta_k) \), using recurrence
243     * \( \delta_{k+1} = r \delta_k + q, \delta_0 = 0\) and starting search with \( k=1 \).
244     * The algorithm stops when one of the following happens: <ul>
245     * <li> at least one positive and one negative value have been found --  success!</li>
246     * <li> both endpoints have reached their respective limits -- NoBracketingException </li>
247     * <li> {@code maximumIterations} iterations elapse -- NoBracketingException </li></ul>
248     * <p>
249     * If different signs are found at first iteration ({@code k=1}), then the returned
250     * interval will be \( [a, b] = [l_1, u_1] \). If different signs are found at a later
251     * iteration {@code k>1}, then the returned interval will be either
252     * \( [a, b] = [l_{k+1}, l_{k}] \) or \( [a, b] = [u_{k}, u_{k+1}] \). A root solver called
253     * with these parameters will therefore start with the smallest bracketing interval known
254     * at this step.
255     * </p>
256     * <p>
257     * Interval expansion rate is tuned by changing the recurrence parameters {@code r} and
258     * {@code q}. When the multiplicative factor {@code r} is set to 1, the sequence is a
259     * simple arithmetic sequence with linear increase. When the multiplicative factor {@code r}
260     * is larger than 1, the sequence has an asymptotically exponential rate. Note than the
261     * additive parameter {@code q} should never be set to zero, otherwise the interval would
262     * degenerate to the single initial point for all values of {@code k}.
263     * </p>
264     * <p>
265     * As a rule of thumb, when the location of the root is expected to be approximately known
266     * within some error margin, {@code r} should be set to 1 and {@code q} should be set to the
267     * order of magnitude of the error margin. When the location of the root is really a wild guess,
268     * then {@code r} should be set to a value larger than 1 (typically 2 to double the interval
269     * length at each iteration) and {@code q} should be set according to half the initial
270     * search interval length.
271     * </p>
272     * <p>
273     * As an example, if we consider the trivial function {@code f(x) = 1 - x} and use
274     * {@code initial = 4}, {@code r = 1}, {@code q = 2}, the algorithm will compute
275     * {@code f(4-2) = f(2) = -1} and {@code f(4+2) = f(6) = -5} for {@code k = 1}, then
276     * {@code f(4-4) = f(0) = +1} and {@code f(4+4) = f(8) = -7} for {@code k = 2}. Then it will
277     * return the interval {@code [0, 2]} as the smallest one known to be bracketing the root.
278     * As shown by this example, the initial value (here {@code 4}) may lie outside of the returned
279     * bracketing interval.
280     * </p>
281     * @param function function to check
282     * @param initial Initial midpoint of interval being expanded to
283     * bracket a root.
284     * @param lowerBound Lower bound (a is never lower than this value).
285     * @param upperBound Upper bound (b never is greater than this
286     * value).
287     * @param q additive offset used to compute bounds sequence (must be strictly positive)
288     * @param r multiplicative factor used to compute bounds sequence
289     * @param maximumIterations Maximum number of iterations to perform
290     * @return a two element array holding the bracketing values.
291     * @exception NoBracketingException if function cannot be bracketed in the search interval
292     */
293    public static double[] bracket(final UnivariateFunction function, final double initial,
294                                   final double lowerBound, final double upperBound,
295                                   final double q, final double r, final int maximumIterations)
296        throws NoBracketingException {
297
298        if (function == null) {
299            throw new NullArgumentException(LocalizedFormats.FUNCTION);
300        }
301        if (q <= 0)  {
302            throw new NotStrictlyPositiveException(q);
303        }
304        if (maximumIterations <= 0)  {
305            throw new NotStrictlyPositiveException(LocalizedFormats.INVALID_MAX_ITERATIONS, maximumIterations);
306        }
307        verifySequence(lowerBound, initial, upperBound);
308
309        // initialize the recurrence
310        double a     = initial;
311        double b     = initial;
312        double fa    = Double.NaN;
313        double fb    = Double.NaN;
314        double delta = 0;
315
316        for (int numIterations = 0;
317             numIterations < maximumIterations && (a > lowerBound || b < upperBound);
318             ++numIterations) {
319
320            final double previousA  = a;
321            final double previousFa = fa;
322            final double previousB  = b;
323            final double previousFb = fb;
324
325            delta = r * delta + q;
326            a     = JdkMath.max(initial - delta, lowerBound);
327            b     = JdkMath.min(initial + delta, upperBound);
328            fa    = function.value(a);
329            fb    = function.value(b);
330
331            if (numIterations == 0) {
332                // at first iteration, we don't have a previous interval
333                // we simply compare both sides of the initial interval
334                if (fa * fb <= 0) {
335                    // the first interval already brackets a root
336                    return new double[] { a, b };
337                }
338            } else {
339                // we have a previous interval with constant sign and expand it,
340                // we expect sign changes to occur at boundaries
341                if (fa * previousFa <= 0) {
342                    // sign change detected at near lower bound
343                    return new double[] { a, previousA };
344                } else if (fb * previousFb <= 0) {
345                    // sign change detected at near upper bound
346                    return new double[] { previousB, b };
347                }
348            }
349        }
350
351        // no bracketing found
352        throw new NoBracketingException(a, b, fa, fb);
353    }
354
355    /**
356     * Compute the midpoint of two values.
357     *
358     * @param a first value.
359     * @param b second value.
360     * @return the midpoint.
361     */
362    public static double midpoint(double a, double b) {
363        return (a + b) * 0.5;
364    }
365
366    /**
367     * Check whether the interval bounds bracket a root. That is, if the
368     * values at the endpoints are not equal to zero, then the function takes
369     * opposite signs at the endpoints.
370     *
371     * @param function Function.
372     * @param lower Lower endpoint.
373     * @param upper Upper endpoint.
374     * @return {@code true} if the function values have opposite signs at the
375     * given points.
376     * @throws NullArgumentException if {@code function} is {@code null}.
377     */
378    public static boolean isBracketing(UnivariateFunction function,
379                                       final double lower,
380                                       final double upper)
381        throws NullArgumentException {
382        if (function == null) {
383            throw new NullArgumentException(LocalizedFormats.FUNCTION);
384        }
385        final double fLo = function.value(lower);
386        final double fHi = function.value(upper);
387        return (fLo >= 0 && fHi <= 0) || (fLo <= 0 && fHi >= 0);
388    }
389
390    /**
391     * Check whether the arguments form a (strictly) increasing sequence.
392     *
393     * @param start First number.
394     * @param mid Second number.
395     * @param end Third number.
396     * @return {@code true} if the arguments form an increasing sequence.
397     */
398    public static boolean isSequence(final double start,
399                                     final double mid,
400                                     final double end) {
401        return start < mid && mid < end;
402    }
403
404    /**
405     * Check that the endpoints specify an interval.
406     *
407     * @param lower Lower endpoint.
408     * @param upper Upper endpoint.
409     * @throws NumberIsTooLargeException if {@code lower >= upper}.
410     */
411    public static void verifyInterval(final double lower,
412                                      final double upper)
413        throws NumberIsTooLargeException {
414        if (lower >= upper) {
415            throw new NumberIsTooLargeException(LocalizedFormats.ENDPOINTS_NOT_AN_INTERVAL,
416                                                lower, upper, false);
417        }
418    }
419
420    /**
421     * Check that {@code lower < initial < upper}.
422     *
423     * @param lower Lower endpoint.
424     * @param initial Initial value.
425     * @param upper Upper endpoint.
426     * @throws NumberIsTooLargeException if {@code lower >= initial} or
427     * {@code initial >= upper}.
428     */
429    public static void verifySequence(final double lower,
430                                      final double initial,
431                                      final double upper)
432        throws NumberIsTooLargeException {
433        verifyInterval(lower, initial);
434        verifyInterval(initial, upper);
435    }
436
437    /**
438     * Check that the endpoints specify an interval and the end points
439     * bracket a root.
440     *
441     * @param function Function.
442     * @param lower Lower endpoint.
443     * @param upper Upper endpoint.
444     * @throws NoBracketingException if the function has the same sign at the
445     * endpoints.
446     * @throws NullArgumentException if {@code function} is {@code null}.
447     */
448    public static void verifyBracketing(UnivariateFunction function,
449                                        final double lower,
450                                        final double upper)
451        throws NullArgumentException,
452               NoBracketingException {
453        if (function == null) {
454            throw new NullArgumentException(LocalizedFormats.FUNCTION);
455        }
456        verifyInterval(lower, upper);
457        if (!isBracketing(function, lower, upper)) {
458            throw new NoBracketingException(lower, upper,
459                                            function.value(lower),
460                                            function.value(upper));
461        }
462    }
463}