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matematic phisic|Views: 107|Likes: 2

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02/23/2013

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Now let us brieﬂy come back to a topic that we had considered earlier,

namely ﬁnding the square roots of the number a employing a sequence

of numbers of the form

xn+1 = 1

2(xn + a

xn

)

(2.41)

How did we come to this sequence in the ﬁrst place. Well, it is a special

case of a more general idea which goes back to Newton apparently and is

an application of diﬀerentiability and works particularly well on convex

functions. Newton asked himself the following question: ”If I have a

function f(x) how can I ﬁnd its zeros, ie those x that satisfy f(x) = 0?”

One possible way to arrive at a general procedure that will do this

is the following argument. Given the function f(x) we can expand it

in a Taylor series which we break oﬀ after the ﬁrst term.

f(xn+1)* ∼*= f(xn) + (xn+1*−*xn)f* *(xn)

(2.42)

Now set the left hand side to 0, ie assume that xn+1 is a solution to

f(x) = 0. Then solving for xn+1 we get

xn+1 = xn*−* f(xn)

f* *(xn)

(2.43)

88

*CHAPTER 2. FUNCTIONS OF REAL VARIABLES
*

Why could that work at all? If the function f(x) is linear, ie f(x) = ax,

then the above truncated Taylor expansion is actually exact. As a

consequence, the iteration converges in a single step because xn+1 = 0.

So we see that we have got a decent method for linear functions, which

is of course not terribly interesting. However, now you can have some

trust in the idea that if we are not too far from the solution of f(x) = 0

then the truncated Taylor series is a very good approximation and

so the sequence of numbers that we generate from it can be useful.

Furthermore, if you look at the Taylor expansion of a function around

its zero you immediately see that in a close neighborhood of the zero

the function is to a very good approximation linear because

f(x+ ) = f(x)+ f* *(x)+1

2 2

f* *(x)+... = f* *(x)+1

2 2

f* *(x)+... (2.44)

Of course this is not any form of proof but it least it suggest that one

should look into this in a bit more detail. I will not show you the

proof with all the bells and whistles but will bring you a ’hand-waving’

argument because the full prove for the convergence of the method is

rather lengthy. What I am going to show you now is what I dreamed

up on a sheet of paper rather quickly and illustrates how one proceeds

as a theoretical physicist. Let me assume that I am already quite close

to the true zero x which satisﬁes f(x) = 0. Furthermore, let me assume

that

f* *(x)

f* *(x) = C <* ∞
*

(2.45)

Then chose < 1

C. Now look at Newtons method starting with xn =

x + and employing the Taylor expansion

xn+1 = x + *−* f(x + )

f* *(x + )

(2.46)

*∼*= x + *−* f* *(x) + 1

2 2

f* *(x)

f* *(x) + f* *(x)

(2.47)

*∼*= x + *−*

1 + 1

2 f (x)

f (x)

1 + f (x)

f (x)

(2.48)

*∼*= x + *−* (1 + 1

2 f* *(x)

f* *(x))(1*−* f* *(x)

f* *(x)) (2.49)

*2.5. DIFFERENTIATION
*

89

*∼*= x*−* 1

2 2f* *(x)

f* *(x)

(2.50)

Now we can see that the deviation from the true solution has decreased

from to some quantity that is of the order of 2

. If is very small

then this means that we have come a lot closer to the true solution of

f(x) = 0. Now wild hand-waving we have worked our way to reasonable

amounts of hand-waving and we can be quite conﬁdent that there is

will be a theorem that one can prove strictly and which ensures the

convergence of the Newton method under certain assumptions. This is

indeed the case and one example is

Theorem 44 Let f : [a,b]* → R* a twice diﬀerentiable convex function

with f(a) < 0 and f(b) > 0. Let x0* ∈* [a,b] such that f(x0) > 0 then

the Newton sequence

xn+1 = xn*−* f(xn)

f* *(xn)

(2.51)

is monotonically falling and converges against the solution of f(x) = 0.

Proof: The full and strict proof of this theorem is about two pages

long, so I will leave it out. Again it can be found in most books on

Real Analysis.

Examples and Exercises:

*•* Verify that the function f(x) =* −*sinx on the interval [0,π] sat-

isﬁes the criteria of the above theorem. Write down Newtons

iteration formula. Estimate the convergence rate, ie if you are an

away from a solution show what power of the next value is

away from the true zero.

*•* Let k be a natural number. Show that x = tanx has exactly one

solution in the interval ](k*−*1

2)π,(k+ 1

2)π[ which we call ξ. Prove

that the sequence

x0 = (k + 1

2)π

(2.52)

xn+1 = kπ + arctanxn

(2.53)

converges against ξ. Determine the ξ to a precision of 10*−*6

for

k = 1,2,3.

90

*CHAPTER 2. FUNCTIONS OF REAL VARIABLES
*

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