/usr/lib/ruby/2.0.0/bigdecimal/newton.rb is in libruby2.0 2.0.0.484-1ubuntu2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 | require "bigdecimal/ludcmp"
require "bigdecimal/jacobian"
#
# newton.rb
#
# Solves the nonlinear algebraic equation system f = 0 by Newton's method.
# This program is not dependent on BigDecimal.
#
# To call:
# n = nlsolve(f,x)
# where n is the number of iterations required,
# x is the initial value vector
# f is an Object which is used to compute the values of the equations to be solved.
# It must provide the following methods:
#
# f.values(x):: returns the values of all functions at x
#
# f.zero:: returns 0.0
# f.one:: returns 1.0
# f.two:: returns 2.0
# f.ten:: returns 10.0
#
# f.eps:: returns the convergence criterion (epsilon value) used to determine whether two values are considered equal. If |a-b| < epsilon, the two values are considered equal.
#
# On exit, x is the solution vector.
#
module Newton
include LUSolve
include Jacobian
module_function
def norm(fv,zero=0.0)
s = zero
n = fv.size
for i in 0...n do
s += fv[i]*fv[i]
end
s
end
def nlsolve(f,x)
nRetry = 0
n = x.size
f0 = f.values(x)
zero = f.zero
one = f.one
two = f.two
p5 = one/two
d = norm(f0,zero)
minfact = f.ten*f.ten*f.ten
minfact = one/minfact
e = f.eps
while d >= e do
nRetry += 1
# Not yet converged. => Compute Jacobian matrix
dfdx = jacobian(f,f0,x)
# Solve dfdx*dx = -f0 to estimate dx
dx = lusolve(dfdx,f0,ludecomp(dfdx,n,zero,one),zero)
fact = two
xs = x.dup
begin
fact *= p5
if fact < minfact then
raise "Failed to reduce function values."
end
for i in 0...n do
x[i] = xs[i] - dx[i]*fact
end
f0 = f.values(x)
dn = norm(f0,zero)
end while(dn>=d)
d = dn
end
nRetry
end
end
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