NEQNF
Solves a system of nonlinear equations using a modified Powell hybrid algorithm and a finite-difference approximation to the Jacobian.
Required Arguments
FCN — User-supplied SUBROUTINE to evaluate the system of equations to be solved. The usage is CALL FCN (X, F, N), where
X – The point at which the functions are evaluated. (Input)
X should not be changed by FCN.
F – The computed function values at the point X. (Output)
N – Length of X and F. (Input)
FCN must be declared EXTERNAL in the calling program.
X — A vector of length N. (Output)
X contains the best estimate of the root found by NEQNF.
Optional Arguments
ERRREL — Stopping criterion. (Input)
The root is accepted if the relative error between two successive approximations to this root is less than ERRREL.
Default: ERRREL = 1.e-4 for single precision and 1.d-8 for double precision.
N — The number of equations to be solved and the number of unknowns. (Input)
Default: N = size (X,1).
ITMAX — The maximum allowable number of iterations. (Input)
The maximum number of calls to FCN is ITMAX * (N + 1). Suggested value ITMAX = 200.
Default: ITMAX = 200.
XGUESS — A vector of length N. (Input)
XGUESS contains the initial estimate of the root.
Default: XGUESS = 0.0.
FNORM — A scalar that has the value F(1)2 + … + F(N)2 at the point X. (Output)
FORTRAN 90 Interface
Generic: CALL NEQNF (FCN, X [, …])
Specific: The specific interface names are S_NEQNF and D_NEQNF.
FORTRAN 77 Interface
Single: CALL NEQNF (FCN, ERRREL, N, ITMAX, XGUESS, X, FNORM)
Double: The double precision name is DNEQNF.
Description
Routine NEQNF is based on the MINPACK subroutine HYBRD1, which uses a modification of M.J.D. Powell’s hybrid algorithm. This algorithm is a variation of Newton’s method, which uses a finite-difference approximation to the Jacobian and takes precautions to avoid large step sizes or increasing residuals. For further description, see More et al. (1980).
Since a finite-difference method is used to estimate the Jacobian, for single precision calculation, the Jacobian may be so incorrect that the algorithm terminates far from a root. In such cases, high precision arithmetic is recommended. Also, whenever the exact Jacobian can be easily provided, IMSL routine NEQNJ should be used instead.
Comments
1. Workspace may be explicitly provided, if desired, by use of N2QNF/DN2QNF. The reference is:
CALL N2QNF (FCN, ERRREL, N, ITMAX, XGUESS, X, FNORM, FVEC, FJAC, R, QTF, WK)
The additional arguments are as follows:
FVEC — A vector of length N. FVEC contains the functions evaluated at the point X.
FJAC — An N by N matrix. FJAC contains the orthogonal matrix Q produced by the QR factorization of the final approximate Jacobian.
R — A vector of length N * (N + 1)/2. R contains the upper triangular matrix produced by the QR factorization of the final approximate Jacobian. R is stored row-wise.
QTF — A vector of length N. QTF contains the vector TRANS(Q) * FVEC.
WK — A work vector of length 5 * N.
2. Informational errors
|
Type |
Code |
Description |
|
4 |
1 |
The number of calls to FCN has exceeded ITMAX * (N + 1). A new initial guess may be tried. |
|
4 |
2 |
ERRREL is too small. No further improvement in the approximate solution is possible. |
|
4 |
3 |
The iteration has not made good progress. A new initial guess may be tried. |
Example
The following 3 × 3 system of nonlinear equations
is solved with the initial guess (4.0, 4.0, 4.0).
USE NEQNF_INT
USE UMACH_INT
IMPLICIT NONE
! Declare variables
INTEGER N
PARAMETER (N=3)
!
INTEGER K, NOUT
REAL FNORM, X(N), XGUESS(N)
EXTERNAL FCN
! Set values of initial guess
! XGUESS = ( 4.0 4.0 4.0 )
!
DATA XGUESS/4.0, 4.0, 4.0/
!
!
CALL UMACH (2, NOUT)
! Find the solution
CALL NEQNF (FCN, X, xguess=xguess, fnorm=fnorm)
! Output
WRITE (NOUT,99999) (X(K),K=1,N), FNORM
99999 FORMAT (' The solution to the system is', /, ' X = (', 3F5.1, &
')', /, ' with FNORM =', F5.4, //)
!
END
! User-defined subroutine
SUBROUTINE FCN (X, F, N)
INTEGER N
REAL X(N), F(N)
!
REAL EXP, SIN
INTRINSIC EXP, SIN
!
F(1) = X(1) + EXP(X(1)-1.0) + (X(2)+X(3))*(X(2)+X(3)) - 27.0
F(2) = EXP(X(2)-2.0)/X(1) + X(3)*X(3) - 10.0
F(3) = X(3) + SIN(X(2)-2.0) + X(2)*X(2) - 7.0
RETURN
END
The solution to the system is
X = ( 1.0 2.0 3.0)
with FNORM =.0000
