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Solving nonlinear equations
See online and lecture notes for full details
1.5: Fixed Point Iteration
MA385/530 Numerical Analysis 1
September 2013
Fixed Point Iteration Introduction (2/13)
Newtons method can be considered to be a special case of a very
general approach called Fixed Point Iteration or Simple Iteration.
The basic idea is:
If we want to solve f (x) = 0 in [a, b], nd a function
g(x) such that, if is such that f () = 0, then
g() = . Choose x
0
and for k 0 set x
k+1
= g(x
k
).
Fixed Point Iteration Introduction (3/13)
Example
Suppose that f (x) = e
x
2x 1 and we are trying to nd a
solution to f (x) = 0 in [1, 2]. Then we can take g(x) = ln(2x +1).
If we take x
0
= 1, then we get the following sequence:
k x
k
| x
k
|
0 1.0000 2.564e-1
1 1.0986 1.578e-1
2 1.1623 9.415e-2
3 1.2013 5.509e-2
4 1.2246 3.187e-2
5 1.2381 1.831e-2
.
.
.
.
.
.
.
.
.
10 1.2558 6.310e-4
Fixed Point Iteration Introduction (4/13)
We have to be quite careful with this method: not every choice
is g is suitable.
For example, suppose we want the solution to f (x) = x
2
2 = 0
in [1, 2]. We could choose g(x) = x
2
+ x 2. Then, if take x
0
= 1
we get the sequence:
Fixed Point Iteration Introduction (5/13)
So we need to rene the method that ensure that it will. Before we
do that in a formal way, consider the following...
Example
Use the Mean Value Theorem to show that the xed point method
x
k+1
= g(x
k
) converges if |g

## (x)| < 1 for all x near the xed point.

This example:
Introduces the tricks of using that g() = and
g(x
k
) = x
k+1
.
Leads us towards the contraction mapping theorem.
Fixed points and contractions (6/13)
Theorem (Fixed Point Theorem)
Suppose that g(x) is dened and continuous on [a, b], and that
g(x) [a, b] for all x [a, b]. Then there exists [a, b] such
that g() = . That is, g(x) has a xed point in [a, b].
.. .. .. .. .. .. ... ... ... ... .... .... .... .... .... .... .... .... .... ... ... ...... ... ... ... ... ... ... ... ... ... ... ... ... ... ... .... .... .... .... .... .... .... .... .... ..... ..... ..... ..... ..... ..... ..... ..... ..... ..... ..... ..... .... .... .... .... .... .... .... .... .... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... .... .... .... .... .... .... .... .... .... .... .... ... ... ... ... .... .... ... ... ... ... ... ... ... ... ... .... .... .... .... .... ..... ..... ..... ..... ..... ...... ...... ...... ...... ...... ...... ...... ...... ...... ...... ...... ...... ...... ..... ..... .... .... .... ... ... .. .. .. .. .. ..
b
a
b
a
g(x)
Figure : Sketch of a function g(x) such that, if a x b then
a g(x) b
Fixed points and contractions (7/13)
Next suppose that g is a contraction. That is, g(x) is continuous
and dened on [a, b] and there is a number L (0, 1) such that
|g() g()| L| | for all , [a, b]. (1)
Proposition (Contraction Mapping Theorem)
Suppose that the function g is a real-valued, dened, continuous,
and
maps every point in [a, b] to some point in [a, b]
is a contraction on [a, b],
then
(i) g(x) has a xed point [a, b],
(ii) the xed point is unique,
(iii) the sequence {x
k
}

k=0
dened by x
0
[a, b] and
x
k
= g(x
k1
) for k = 1, 2, . . . converges to .
How many iterations? (8/13)
The algorithm generates as sequence {x
0
, x
1
, . . . , x
k
}. Eventually
we must stop. Suppose we want the solution to be accurate to say
10
6
, how many steps are needed? That is, how big do we need to
take k so that
|x
k
| 10
6
?
The answer is obtained by rst showing that
| x
k
|
L
k
1 L
|x
1
x
0
|. (2)
How many iterations? (9/13)
Example
If g(x) = ln(2x + 1) and x
0
= 1, and we want |x
k
| 10
6
,
then we can use (2) to determine the number of iterations required.
Wrapping up (10/13)
When studying a numerical method (or any piece of Mathematics)
you should ask why you are doing this. For example, it might be
because it will help you can understand other topics later; because
it is interesting/beautiful in its own right; or (most commonly)
because it is useful.
Here are some examples of each of these:
1. The analyses we have used in this section allowed us to
consider some important ideas in a simple setting.
Examples include
Convergence, include rates of convergence
Fixed-point theory, and contractions. Well be seeing
analogous ideas in the next section (Lipschitz conditions).
The approximation of functions by polynomials (Taylors
Theorem). This point will reoccur in the next section, and all
through-out next semester.
Wrapping up (11/13)
2. Applications come from lots of areas of science and
engineering. In nancial mathematics, the Black-Scholes equation
for pricing a put option can be written as
V
t

1
2

2
S
2

2
V
S
2
rS
V
S
+ rV = 0.
V(S, t) is the current value of the right (but not the
obligation) to buy or sell (put or call) an asset at a future
time T;
S is the current value of the underlying asset;
r is the current interest rate (because the value of the option
has to be compared with what we would have gained by
investing the money we paid for it)
is the volatility of the assets price.
Wrapping up (12/13)
V
t

1
2

2
S
2

2
V
S
2
rS
V
S
+ rV = 0.
Often one knows S, T and r , but not . The method of implied
volatility is when we take data from the market and then nd the
value of which, if used in the Black-Scholes equation, would
match this data. This is a nonlinear problem and so Newtons
method can be used. See Chapters 13 and 14 of Highams An
Introduction to Financial Option Valuation for more details.
(We will return to the Black-Scholes problem again at the end of
the next section).
Wrapping up (13/13)
3. Some of these ideas are interesting and beautiful.
Suppose that we want to nd the complex n
th
roots of unity: the
set of numbers {z
0
, z
1
, z
2
, . . . , z
n1
} whos n
th
roots are 1. We
could just express this in terms of polar coordinates:
z = e
i
where =
2k
n
for some k Z = {. . . , 2, 1, 0, 1, 2 . . . } and i =

1.
If we were to use Newtons method to nd a given root, we could
try to solve f (z) = 0 with f (z) = z
n
1. The iteration is:
z
k+1
= z
k

(z
k
)
n
1
n(z
k
)
n1
.
We take a number of points in a region of space, iterate on each of
them, and then colour the points to indicate the ones that converge
to the same root. This Julia set is an example of a fractal.