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Newton’s Method

R L Burden & J D Faires

prepared by

John Carroll

Dublin City University

c 2011 Brooks/Cole, Cengage Learning

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Newton’s Method

Context

Newton’s (or the Newton-Raphson) method is one of the most powerful

and well-known numerical methods for solving a root-finding problem.

Derivation Example Convergence Final Remarks

Newton’s Method

Context

Newton’s (or the Newton-Raphson) method is one of the most powerful

and well-known numerical methods for solving a root-finding problem.

Graphically, as is often done in calculus.

Derivation Example Convergence Final Remarks

Newton’s Method

Context

Newton’s (or the Newton-Raphson) method is one of the most powerful

and well-known numerical methods for solving a root-finding problem.

Graphically, as is often done in calculus.

As a technique to obtain faster convergence than offered by other

types of functional iteration.

Derivation Example Convergence Final Remarks

Newton’s Method

Newton’s (or the Newton-Raphson) method is one of the most powerful

and well-known numerical methods for solving a root-finding problem.

Graphically, as is often done in calculus.

As a technique to obtain faster convergence than offered by other

types of functional iteration.

Using Taylor polynomials. We will see there that this particular

derivation produces not only the method, but also a bound for the

error of the approximation.

Derivation Example Convergence Final Remarks

Newton’s Method

Derivation

Derivation Example Convergence Final Remarks

Newton’s Method

Derivation

Suppose that f ∈ C 2 [a, b]. Let p0 ∈ [a, b] be an approximation to p

such that f 0 (p0 ) 6= 0 and |p − p0 | is “small.”

Derivation Example Convergence Final Remarks

Newton’s Method

Derivation

Suppose that f ∈ C 2 [a, b]. Let p0 ∈ [a, b] be an approximation to p

such that f 0 (p0 ) 6= 0 and |p − p0 | is “small.”

Consider the first Taylor polynomial for f (x) expanded about p0

and evaluated at x = p.

(p − p0 )2 00

f (p) = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)),

2

where ξ(p) lies between p and p0 .

Derivation Example Convergence Final Remarks

Newton’s Method

Derivation

Suppose that f ∈ C 2 [a, b]. Let p0 ∈ [a, b] be an approximation to p

such that f 0 (p0 ) 6= 0 and |p − p0 | is “small.”

Consider the first Taylor polynomial for f (x) expanded about p0

and evaluated at x = p.

(p − p0 )2 00

f (p) = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)),

2

where ξ(p) lies between p and p0 .

Since f (p) = 0, this equation gives

(p − p0 )2 00

0 = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)).

2

Derivation Example Convergence Final Remarks

Newton’s Method

(p − p0 )2 00

0 = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)).

2

Derivation (Cont’d)

Derivation Example Convergence Final Remarks

Newton’s Method

(p − p0 )2 00

0 = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)).

2

Derivation (Cont’d)

Newton’s method is derived by assuming that since |p − p0 | is

small, the term involving (p − p0 )2 is much smaller, so

0 ≈ f (p0 ) + (p − p0 )f 0 (p0 ).

Derivation Example Convergence Final Remarks

Newton’s Method

(p − p0 )2 00

0 = f (p0 ) + (p − p0 )f 0 (p0 ) + f (ξ(p)).

2

Derivation (Cont’d)

Newton’s method is derived by assuming that since |p − p0 | is

small, the term involving (p − p0 )2 is much smaller, so

0 ≈ f (p0 ) + (p − p0 )f 0 (p0 ).

f (p0 )

p ≈ p0 − ≡ p1 .

f 0 (p0 )

Derivation Example Convergence Final Remarks

Newton’s Method

f (p0 )

p ≈ p0 − ≡ p1 .

f 0 (p0 )

Newton’s Method

Derivation Example Convergence Final Remarks

Newton’s Method

f (p0 )

p ≈ p0 − ≡ p1 .

f 0 (p0 )

Newton’s Method

This sets the stage for Newton’s method, which starts with an initial

approximation p0 and generates the sequence {pn }∞ n=0 , by

f (pn−1 )

pn = pn−1 − for n ≥ 1

f 0 (pn−1 )

Derivation Example Convergence Final Remarks

y

(p1, f ( p1))

p0 Slope f 9( p0)

p

p2 p1 x

(p0, f ( p0))

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

3.4 Set i = i + 1;

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

3.4 Set i = i + 1;

3.5 Set p0 = p;

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

3.4 Set i = i + 1;

3.5 Set p0 = p;

4. Output a ‘failure to converge within the specified number of

iterations’ message & Stop;

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

3.4 Set i = i + 1;

3.5 Set p0 = p;

4. Output a ‘failure to converge within the specified number of

iterations’ message & Stop;

5. Output an appropriate failure message (zero derivative) & Stop;

Derivation Example Convergence Final Remarks

Newton’s Algorithm

To find a solution to f (x) = 0 given an initial approximation p0 :

1. Set i = 0;

2. While i ≤ N, do Step 3:

3.1 If f 0 (p0 ) = 0 then Step 5.

3.2 Set p = p0 − f (p0 )/f 0 (p0 );

3.3 If |p − p0 | < TOL then Step 6;

3.4 Set i = i + 1;

3.5 Set p0 = p;

4. Output a ‘failure to converge within the specified number of

iterations’ message & Stop;

5. Output an appropriate failure message (zero derivative) & Stop;

6. Output p

Derivation Example Convergence Final Remarks

Newton’s Method

Various stopping procedures can be applied in Step 3.3.

Derivation Example Convergence Final Remarks

Newton’s Method

Various stopping procedures can be applied in Step 3.3.

We can select a tolerance > 0 and generate p1 , . . . , pN until one

of the following conditions is met:

Derivation Example Convergence Final Remarks

Newton’s Method

Various stopping procedures can be applied in Step 3.3.

We can select a tolerance > 0 and generate p1 , . . . , pN until one

of the following conditions is met:

|pN − pN−1 |

< , pN 6= 0, or (2)

|pN |

|f (pN )| < (3)

Derivation Example Convergence Final Remarks

Newton’s Method

Various stopping procedures can be applied in Step 3.3.

We can select a tolerance > 0 and generate p1 , . . . , pN until one

of the following conditions is met:

|pN − pN−1 |

< , pN 6= 0, or (2)

|pN |

|f (pN )| < (3)

the actual error |pN − p|.

Derivation Example Convergence Final Remarks

Functional Iteration

Derivation Example Convergence Final Remarks

Functional Iteration

Newton’s Method

f (pn−1 )

pn = pn−1 − for n ≥ 1

f 0 (pn−1 )

Derivation Example Convergence Final Remarks

Functional Iteration

Newton’s Method

f (pn−1 )

pn = pn−1 − for n ≥ 1

f 0 (pn−1 )

pn = g (pn−1 )

Derivation Example Convergence Final Remarks

Functional Iteration

Newton’s Method

f (pn−1 )

pn = pn−1 − for n ≥ 1

f 0 (pn−1 )

pn = g (pn−1 )

with

f (pn−1 )

g (pn−1 ) = pn−1 − for n ≥ 1

f 0 (pn−1 )

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Newton’s Method

Consider the function

f (x) = cos x − x = 0

Newton’s Method

Derivation Example Convergence Final Remarks

y

y5x

y 5 cos x

1 q x

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

A solution to this root-finding problem is also a solution to the

fixed-point problem

x = cos x

and the graph implies that a single fixed-point p lies in [0, π/2].

Derivation Example Convergence Final Remarks

A solution to this root-finding problem is also a solution to the

fixed-point problem

x = cos x

and the graph implies that a single fixed-point p lies in [0, π/2].

The following table shows the results of fixed-point iteration with

p0 = π/4.

Derivation Example Convergence Final Remarks

A solution to this root-finding problem is also a solution to the

fixed-point problem

x = cos x

and the graph implies that a single fixed-point p lies in [0, π/2].

The following table shows the results of fixed-point iteration with

p0 = π/4.

The best conclusion from these results is that p ≈ 0.74.

Derivation Example Convergence Final Remarks

π

Fixed-Point Iteration: x = cos(x), x0 = 4

1 0.7853982 0.7071068 0.0782914 —

2 0.707107 0.760245 0.053138 0.678719

3 0.760245 0.724667 0.035577 0.669525

4 0.724667 0.748720 0.024052 0.676064

5 0.748720 0.732561 0.016159 0.671826

6 0.732561 0.743464 0.010903 0.674753

7 0.743464 0.736128 0.007336 0.672816

Derivation Example Convergence Final Remarks

Newton’s Method

Derivation Example Convergence Final Remarks

Newton’s Method

To apply Newton’s method to this problem we need

f 0 (x) = − sin x − 1

Derivation Example Convergence Final Remarks

Newton’s Method

To apply Newton’s method to this problem we need

f 0 (x) = − sin x − 1

for n ≥ 1, by

pn = pn−1 − 0 = pn−1 − .

f (pn−1 ) − sin pn−1 − 1

Derivation Example Convergence Final Remarks

Newton’s Method

To apply Newton’s method to this problem we need

f 0 (x) = − sin x − 1

for n ≥ 1, by

pn = pn−1 − 0 = pn−1 − .

f (pn−1 ) − sin pn−1 − 1

Derivation Example Convergence Final Remarks

Newton’s Method

π

Newton’s Method for f (x) = cos(x) − x, x0 = 4

n pn−1 f (pn−1 ) f 0 (pn−1 ) pn |pn − pn−1 |

1 0.78539816 -0.078291 -1.707107 0.73953613 0.04586203

2 0.73953613 -0.000755 -1.673945 0.73908518 0.00045096

3 0.73908518 -0.000000 -1.673612 0.73908513 0.00000004

4 0.73908513 -0.000000 -1.673612 0.73908513 0.00000000

Derivation Example Convergence Final Remarks

Newton’s Method

π

Newton’s Method for f (x) = cos(x) − x, x0 = 4

n pn−1 f (pn−1 ) f 0 (pn−1 ) pn |pn − pn−1 |

1 0.78539816 -0.078291 -1.707107 0.73953613 0.04586203

2 0.73953613 -0.000755 -1.673945 0.73908518 0.00045096

3 0.73908518 -0.000000 -1.673612 0.73908513 0.00000004

4 0.73908513 -0.000000 -1.673612 0.73908513 0.00000000

Derivation Example Convergence Final Remarks

Newton’s Method

π

Newton’s Method for f (x) = cos(x) − x, x0 = 4

n pn−1 f (pn−1 ) f 0 (pn−1 ) pn |pn − pn−1 |

1 0.78539816 -0.078291 -1.707107 0.73953613 0.04586203

2 0.73953613 -0.000755 -1.673945 0.73908518 0.00045096

3 0.73908518 -0.000000 -1.673612 0.73908513 0.00000004

4 0.73908513 -0.000000 -1.673612 0.73908513 0.00000000

Because of the agreement of p3 and p4 we could reasonably

expect this result to be accurate to the places listed.

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

The Taylor series derivation of Newton’s method points out the

importance of an accurate initial approximation.

Derivation Example Convergence Final Remarks

The Taylor series derivation of Newton’s method points out the

importance of an accurate initial approximation.

The crucial assumption is that the term involving (p − p0 )2 is, by

comparison with |p − p0 |, so small that it can be deleted.

Derivation Example Convergence Final Remarks

The Taylor series derivation of Newton’s method points out the

importance of an accurate initial approximation.

The crucial assumption is that the term involving (p − p0 )2 is, by

comparison with |p − p0 |, so small that it can be deleted.

This will clearly be false unless p0 is a good approximation to p.

Derivation Example Convergence Final Remarks

The Taylor series derivation of Newton’s method points out the

importance of an accurate initial approximation.

The crucial assumption is that the term involving (p − p0 )2 is, by

comparison with |p − p0 |, so small that it can be deleted.

This will clearly be false unless p0 is a good approximation to p.

If p0 is not sufficiently close to the actual root, there is little reason

to suspect that Newton’s method will converge to the root.

Derivation Example Convergence Final Remarks

The Taylor series derivation of Newton’s method points out the

importance of an accurate initial approximation.

The crucial assumption is that the term involving (p − p0 )2 is, by

comparison with |p − p0 |, so small that it can be deleted.

This will clearly be false unless p0 is a good approximation to p.

If p0 is not sufficiently close to the actual root, there is little reason

to suspect that Newton’s method will converge to the root.

However, in some instances, even poor initial approximations will

produce convergence.

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

Let f ∈ C 2 [a, b]. If p ∈ (a, b) is such that f (p) = 0 and f 0 (p) 6= 0.

Derivation Example Convergence Final Remarks

Let f ∈ C 2 [a, b]. If p ∈ (a, b) is such that f (p) = 0 and f 0 (p) 6= 0.

Then there exists a δ > 0 such that Newton’s method generates a

sequence {pn }∞n=1 , defined by

f (pn−1 )

pn = pn−1 − 0

f (pn−1 )

p0 ∈ [p − δ, p + δ]

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

The proof is based on analyzing Newton’s method as the

functional iteration scheme pn = g(pn−1 ), for n ≥ 1, with

f (x)

g(x) = x − .

f 0 (x)

Derivation Example Convergence Final Remarks

The proof is based on analyzing Newton’s method as the

functional iteration scheme pn = g(pn−1 ), for n ≥ 1, with

f (x)

g(x) = x − .

f 0 (x)

into itself and for which |g 0 (x)| ≤ k , for all x ∈ (p − δ, p + δ).

Derivation Example Convergence Final Remarks

The proof is based on analyzing Newton’s method as the

functional iteration scheme pn = g(pn−1 ), for n ≥ 1, with

f (x)

g(x) = x − .

f 0 (x)

into itself and for which |g 0 (x)| ≤ k , for all x ∈ (p − δ, p + δ).

Since f 0 is continuous and f 0 (p) 6= 0, part (a) of Exercise 29 in

Section 1.1 Ex 29 implies that there exists a δ1 > 0, such that

f 0 (x) 6= 0 for x ∈ [p − δ1 , p + δ1 ] ⊆ [a, b].

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

Thus g is defined and continuous on [p − δ1 , p + δ1 ]. Also

g 0 (x) = 1 − = ,

[f 0 (x)]2 [f 0 (x)]2

g ∈ C 1 [p − δ1 , p + δ1 ].

Derivation Example Convergence Final Remarks

Thus g is defined and continuous on [p − δ1 , p + δ1 ]. Also

g 0 (x) = 1 − = ,

[f 0 (x)]2 [f 0 (x)]2

g ∈ C 1 [p − δ1 , p + δ1 ].

By assumption, f (p) = 0, so

f (p)f 00 (p)

g 0 (p) = = 0.

[f 0 (p)]2

Derivation Example Convergence Final Remarks

f (p)f 00 (p)

g 0 (p) = = 0.

[f 0 (p)]2

Derivation Example Convergence Final Remarks

f (p)f 00 (p)

g 0 (p) = = 0.

[f 0 (p)]2

Since g 0 is continuous and 0 < k < 1, part (b) of Exercise 29 in

Section 1.1 Ex 29 implies that there exists a δ, with 0 < δ < δ1 ,

and

|g 0 (x)| ≤ k , for all x ∈ [p − δ, p + δ].

Derivation Example Convergence Final Remarks

f (p)f 00 (p)

g 0 (p) = = 0.

[f 0 (p)]2

Since g 0 is continuous and 0 < k < 1, part (b) of Exercise 29 in

Section 1.1 Ex 29 implies that there exists a δ, with 0 < δ < δ1 ,

and

|g 0 (x)| ≤ k , for all x ∈ [p − δ, p + δ].

It remains to show that g maps [p − δ, p + δ] into [p − δ, p + δ].

Derivation Example Convergence Final Remarks

f (p)f 00 (p)

g 0 (p) = = 0.

[f 0 (p)]2

Since g 0 is continuous and 0 < k < 1, part (b) of Exercise 29 in

Section 1.1 Ex 29 implies that there exists a δ, with 0 < δ < δ1 ,

and

|g 0 (x)| ≤ k , for all x ∈ [p − δ, p + δ].

It remains to show that g maps [p − δ, p + δ] into [p − δ, p + δ].

If x ∈ [p − δ, p + δ], the Mean Value Theorem MVT implies that for

some number ξ between x and p, |g(x) − g(p)| = |g 0 (ξ)||x − p|. So

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

Since x ∈ [p − δ, p + δ], it follows that |x − p| < δ and that

|g(x) − p| < δ. Hence, g maps [p − δ, p + δ] into [p − δ, p + δ].

Derivation Example Convergence Final Remarks

Since x ∈ [p − δ, p + δ], it follows that |x − p| < δ and that

|g(x) − p| < δ. Hence, g maps [p − δ, p + δ] into [p − δ, p + δ].

All the hypotheses of the Fixed-Point Theorem Theorem 2.4 are now

satisfied, so the sequence {pn }∞

n=1 , defined by

f (pn−1 )

pn = g(pn−1 ) = pn−1 − , for n ≥ 1,

f 0 (pn−1 )

Derivation Example Convergence Final Remarks

Outline

Derivation Example Convergence Final Remarks

Derivation Example Convergence Final Remarks

The convergence theorem states that, under reasonable

assumptions, Newton’s method converges provided a sufficiently

accurate initial approximation is chosen.

Derivation Example Convergence Final Remarks

The convergence theorem states that, under reasonable

assumptions, Newton’s method converges provided a sufficiently

accurate initial approximation is chosen.

It also implies that the constant k that bounds the derivative of g,

and, consequently, indicates the speed of convergence of the

method, decreases to 0 as the procedure continues.

Derivation Example Convergence Final Remarks

The convergence theorem states that, under reasonable

assumptions, Newton’s method converges provided a sufficiently

accurate initial approximation is chosen.

It also implies that the constant k that bounds the derivative of g,

and, consequently, indicates the speed of convergence of the

method, decreases to 0 as the procedure continues.

This result is important for the theory of Newton’s method, but it is

seldom applied in practice because it does not tell us how to

determine δ.

Derivation Example Convergence Final Remarks

In a practical application . . .

Derivation Example Convergence Final Remarks

In a practical application . . .

an initial approximation is selected

Derivation Example Convergence Final Remarks

In a practical application . . .

an initial approximation is selected

and successive approximations are generated by Newton’s

method.

Derivation Example Convergence Final Remarks

In a practical application . . .

an initial approximation is selected

and successive approximations are generated by Newton’s

method.

These will generally either converge quickly to the root,

Derivation Example Convergence Final Remarks

In a practical application . . .

an initial approximation is selected

and successive approximations are generated by Newton’s

method.

These will generally either converge quickly to the root,

or it will be clear that convergence is unlikely.

Questions?

Reference Material

Exercise 29, Section 1.1

Let f ∈ C[a, b], and let p be in the open interval (a, b).

Exercise 29 (a)

Suppose f (p) 6= 0. Show that a δ > 0 exists with f (x) 6= 0, for all x in

[p − δ, p + δ], with [p − δ, p + δ] a subset of [a, b].

Return to Newton’s Convergence Theorem (1 of 4)

Exercise 29 (b)

Suppose f (p) = 0 and k > 0 is given. Show that a δ > 0 exists with

|f (x)| ≤ k , for all x in [p − δ, p + δ], with [p − δ, p + δ] a subset of [a, b].

Return to Newton’s Convergence Theorem (3 of 4)

Mean Value Theorem

such that

f (b) − f (a)

f 0 (c) =

b−a

y

Parallel lines

Slope f 9(c)

y 5 f (x)

f (b) 2 f (a)

Slope

b2a

a c b x

Fixed-Point Theorem

Let g ∈ C[a, b] be such that g(x) ∈ [a, b], for all x in [a, b]. Suppose, in

addition, that g 0 exists on (a, b) and that a constant 0 < k < 1 exists

with

|g 0 (x)| ≤ k , for all x ∈ (a, b).

Then for any number p0 in [a, b], the sequence defined by

pn = g(pn−1 ), n ≥ 1,

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