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Jacob White
Outline
Nonlinear Problems
Struts and Circuit Example
Newtons Method
Derivation of Newton
Quadratic Convergence
Examples
Global Convergence
Convergence Checks
Nonlinear
problems
( x0 , y0 )
( x2 , y2 )
Strut Example
( x1 , y1 )
Load force
W
Need to Solve f x
W
Struts Example
Nonlinear Problems
L0 L
EAc
L0
f
fx
f
(0,0)
L
x1 , y1
fy
fx
X
fy
L
H L0 L
x1
f
L
y1
f
L
2
1
2
1
x y
Nonlinear
problems
Strut Example
( x1 , y1 )
( x0 , y0 )
x2 x0 y2 y0
L1
x2 x1 y2 y1
L2
f1
( x2 , y2 )
x2 x0
H ( Lo L1 )
L1
x2 x1
H ( Lo L2 )
L2
f1x
f2
f2 x
Load force
W
1x
f2 x
1y
f2 y W
Nonlinear
problems
Strut Example
Why Nonlinear?
y2 y1
H ( Lo L2 )
L2
y2 y0
H ( Lo L1 ) W
L1
Nonlinear
problems
v1
10v
Circuit Example
v2
10
1
I r Vr
10
+
- Vd
Vd
I d I s (e
Need to Solve
Id Ir
I vsrc I r
0
0
Vt
1)
Nonlinear
problems
Solve Iteratively
f ( x)
Solve iteratively
0
guess at a solution x
x0
repeat for k = 0, 1, 2, .
k 1
W x
k 1
f
x
|0
until
Ask
Does the iteration converge to correct solution ?
How fast does the iteration converge?
Richardson
Iteration
Definition
k 1
x f (x )
k 1
f ( xk )
xk
x* ( Solution)
Richardson
Iteration
Example 1
f ( x)
Start with
0.7 x 10
0
x1
x 0 f ( x 0 ) 10
x2
x1 f ( x1 ) 13
x 6 14.27
x3
x 2 f ( x 2 ) 13.9
x7
x4
x3 f ( x3 ) 14.17
x8 14.28
14.25
14.28
Converged
Richardson
Iteration
Example 1
f ( x)
x x
0.7 x 10
Richardson
Iteration
Example 2
f ( x)
Start with
2 x 10
x0
x1
x0 f ( x0 ) 10
x2
x1 f ( x1 )
x3
x2 f ( x2 ) 130
x4
x3 f ( x3 )
40
400
No convergence !
Richardson
Iteration
Convergence
Setup
Iteration Equation
Exact Solution
k 1
x f (x )
*
x N
f (x )
0
Computing Differences
k 1
x
x x f (x ) f (x )
Need to Estimate
Richardson
Iteration
f (v ) f y
Convergence
wf v
v y
wx
v > v, y @
v
Richardson
Iteration
Convergence
Use MVT
Iteration Equation
Exact Solution
k 1
x f (x )
*
x N
f (x )
0
Computing Differences
k 1
x
x x f (x ) f (x )
wf x k
*
1
x x
wx
Richardson
Iteration
If
1
And
Then
Or
Convergence
Richardson Theorem
wf x
wx
x x G
k 1
x dJ x x
lim k of x
k 1
x
lim k of J x x
Linear Convergence
Richardson
Iteration
Example 1
f ( x)
x x
0.7 x 10
Richardson
Iteration
Problems
Newtons method
Another approach
df k *
f ( x ) f ( x ) ( x ) ( x xk )
dx
*
Define iteration
Do k = 0 to .
1
df k
k 1
k
x
x ( x ) f ( xk )
dx
df k
if ( x )
dx
until convergence
1
exists
Newtons Method
Graphically
Newtons Method
Example
Newtons Method
x x
Example
Newtons Method
0
f ( x* )
Convergence
2
df
d
f
k
k
k
*
f ( x ) ( x )( x x ) 2 ( x )( x* x k ) 2
dx
dx
k
*
some x [ x , x ]
But
df k k 1 k
f ( x ) ( x )( x x )
dx
k
by Newton
definition
Convergence
Newtons Method
Contd.
2
df k k 1 *
( x )( x x )
Subtracting
dx
Dividing through
d f
k
* 2
x
x
x
(
)(
)
2
d x
2
df
d
f
k 1
k 1
k
*
* 2
( x x ) [ ( x )]
(
)(
)
x
x
x
2
dx
d x
1
2
df
d
f
Suppose ( x)
( x) d L for all x
2
dx d x
then x
k 1
x dL x x
* 2
Convergence
Newtons Method
Example 1
f ( x) x 2 1 0,
df k
( x ) 2 xk
dx
k
2x (x
k 1
k 1
2x (x
or ( x
k 1
find x ( x* 1)
x
x )
1
k
x ) 2x (x x )
*
x )
1
k
* 2
(x x )
k
2x
x
x
2
Convergence is quadratic
Convergence
Newtons Method
Example 2
2
f ( x) x 0, x 0
df
df k
Note :
not bounded
k
dx
(x ) 2 x
dx
away from zero
2
k
k 1
k
2 x ( x 0) ( x 0)
1 k
*
k 1
k
for x z x 0
x 0
x 0
2
1
*
*
( xk x )
or ( xk 1 x )
2
1
Convergence is linear
Newtons Method
Convergence
Examples 1 , 2
Newtons Method
Convergence
1
2
df
d f
Suppose ( x)
( x) d L for all x
2
dx d x
if L x0 x* d J 1
then xk converges to x*
Proof
x1 x * d L ( x0 x * ) x0 x *
x1 x * d J x0 x *
x2 x * d LJ x0 x * x1 x *
or x2 x * d J 2 x1 x * d J 3 x0 x *
x3 x * d J 4 x 2 x * d J 7 x 0 x *
Newtons Method
Convergence
Theorem
df
d2 f
If L is bounded (
bounded away from zero ;
bounded)
2
dx
dx
then Newton's method is guaranteed to converge given a "close
enough" guess
Always converges ?
Newtons Method
Convergence
Example
Convergence Depends on a Good Initial Guess
f(x)
x1
x1
x
Convergence
Newtons Method
Convergence Checks
k 1
k 1
x ! H xa H xr x
f x
k 1
H fa
k 1
Convergence
Newtons Method
Convergence Checks
f x
x*
x
SMA-HPC 2003 MIT
x H xa H xr x
! H fa
X
x k 1 x k
k 1
k 1
k 1
Summary
Nonlinear Problems
Struts and Circuit Example
Derivation of Newton
Quadratic Convergence
Examples
Global Convergence
Convergence Checks