Secant Method

Given an objective function

f ( x)
Make linear approximation for
f ′( x)
Find the minimum/maximum of
f ( x)
By finding the root of this approximation of
f ′( x)
 Theory/Algorithm
If g ( x ) = f ′ ( x )
Find two points L and R (for minima) such that g ( L ) × g ( R ) < 0
That is the signs are opposite
g '( x)
y − g ( L) x−L
Fit a straight line (secant) between L and R: =
x0 for g ' ( x ) = 0 g ( R) − g ( L) R − L
Find the intersection of this line with the x axis
g ( L)
M=
L− ( R − L)
g ( R) − g ( L)
Find g ( M )
If g ( M ) × g ( R ) > 0, discard the interval (M, R). Set R new =M
If g ( L ) × g ( M ) > 0, discard the interval (L, M). Set L new =
M
Form the new interval and repeat
Geometrical Interpretation