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The following commit(s) were added to refs/heads/master by this push:
new 4b0f52c Use "BrentSolver" implementation from "Commons Numbers".
4b0f52c is described below
commit 4b0f52c0dd9df564d58140e1d717a2da218f0139
Author: Gilles Sadowski <[email protected]>
AuthorDate: Sun Jun 9 09:56:52 2019 +0200
Use "BrentSolver" implementation from "Commons Numbers".
---
pom.xml | 6 +
.../math4/analysis/solvers/BrentSolver.java | 157 +++------------------
.../math4/analysis/solvers/BrentSolverTest.java | 2 +-
3 files changed, 23 insertions(+), 142 deletions(-)
diff --git a/pom.xml b/pom.xml
index fcee946..e89f2ca 100644
--- a/pom.xml
+++ b/pom.xml
@@ -415,6 +415,12 @@
<dependency>
<groupId>org.apache.commons</groupId>
+ <artifactId>commons-numbers-rootfinder</artifactId>
+ <version>1.0-SNAPSHOT</version>
+ </dependency>
+
+ <dependency>
+ <groupId>org.apache.commons</groupId>
<artifactId>commons-rng-client-api</artifactId>
<version>1.1</version>
</dependency>
diff --git
a/src/main/java/org/apache/commons/math4/analysis/solvers/BrentSolver.java
b/src/main/java/org/apache/commons/math4/analysis/solvers/BrentSolver.java
index 9e1e551..1e0b3b8 100644
--- a/src/main/java/org/apache/commons/math4/analysis/solvers/BrentSolver.java
+++ b/src/main/java/org/apache/commons/math4/analysis/solvers/BrentSolver.java
@@ -94,150 +94,25 @@ public class BrentSolver extends AbstractUnivariateSolver {
throws NoBracketingException,
TooManyEvaluationsException,
NumberIsTooLargeException {
- double min = getMin();
- double max = getMax();
+ final double min = getMin();
+ final double max = getMax();
final double initial = getStartValue();
- final double functionValueAccuracy = getFunctionValueAccuracy();
- verifySequence(min, initial, max);
-
- // Return the initial guess if it is good enough.
- double yInitial = computeObjectiveValue(initial);
- if (FastMath.abs(yInitial) <= functionValueAccuracy) {
- return initial;
- }
-
- // Return the first endpoint if it is good enough.
- double yMin = computeObjectiveValue(min);
- if (FastMath.abs(yMin) <= functionValueAccuracy) {
- return min;
- }
-
- // Reduce interval if min and initial bracket the root.
- if (yInitial * yMin < 0) {
- return brent(min, initial, yMin, yInitial);
+ final org.apache.commons.numbers.rootfinder.BrentSolver rf =
+ new
org.apache.commons.numbers.rootfinder.BrentSolver(getRelativeAccuracy(),
+
getAbsoluteAccuracy(),
+
getFunctionValueAccuracy());
+
+ double root = Double.NaN;
+ try {
+ root = rf.findRoot(arg -> computeObjectiveValue(arg),
+ min, initial, max);
+ } catch (IllegalArgumentException e) {
+ // Redundant calls in order to throw the expected exceptions.
+ verifySequence(min, initial, max);
+ verifyBracketing(min, max);
}
- // Return the second endpoint if it is good enough.
- double yMax = computeObjectiveValue(max);
- if (FastMath.abs(yMax) <= functionValueAccuracy) {
- return max;
- }
-
- // Reduce interval if initial and max bracket the root.
- if (yInitial * yMax < 0) {
- return brent(initial, max, yInitial, yMax);
- }
-
- throw new NoBracketingException(min, max, yMin, yMax);
- }
-
- /**
- * Search for a zero inside the provided interval.
- * This implementation is based on the algorithm described at page 58 of
- * the book
- * <blockquote>
- * <b>Algorithms for Minimization Without Derivatives</b>,
- * <it>Richard P. Brent</it>,
- * Dover 0-486-41998-3
- * </blockquote>
- *
- * @param lo Lower bound of the search interval.
- * @param hi Higher bound of the search interval.
- * @param fLo Function value at the lower bound of the search interval.
- * @param fHi Function value at the higher bound of the search interval.
- * @return the value where the function is zero.
- */
- private double brent(double lo, double hi,
- double fLo, double fHi) {
- double a = lo;
- double fa = fLo;
- double b = hi;
- double fb = fHi;
- double c = a;
- double fc = fa;
- double d = b - a;
- double e = d;
-
- final double t = getAbsoluteAccuracy();
- final double eps = getRelativeAccuracy();
-
- while (true) {
- if (FastMath.abs(fc) < FastMath.abs(fb)) {
- a = b;
- b = c;
- c = a;
- fa = fb;
- fb = fc;
- fc = fa;
- }
-
- final double tol = 2 * eps * FastMath.abs(b) + t;
- final double m = 0.5 * (c - b);
-
- if (FastMath.abs(m) <= tol ||
- Precision.equals(fb, 0)) {
- return b;
- }
- if (FastMath.abs(e) < tol ||
- FastMath.abs(fa) <= FastMath.abs(fb)) {
- // Force bisection.
- d = m;
- e = d;
- } else {
- double s = fb / fa;
- double p;
- double q;
- // The equality test (a == c) is intentional,
- // it is part of the original Brent's method and
- // it should NOT be replaced by proximity test.
- if (a == c) {
- // Linear interpolation.
- p = 2 * m * s;
- q = 1 - s;
- } else {
- // Inverse quadratic interpolation.
- q = fa / fc;
- final double r = fb / fc;
- p = s * (2 * m * q * (q - r) - (b - a) * (r - 1));
- q = (q - 1) * (r - 1) * (s - 1);
- }
- if (p > 0) {
- q = -q;
- } else {
- p = -p;
- }
- s = e;
- e = d;
- if (p >= 1.5 * m * q - FastMath.abs(tol * q) ||
- p >= FastMath.abs(0.5 * s * q)) {
- // Inverse quadratic interpolation gives a value
- // in the wrong direction, or progress is slow.
- // Fall back to bisection.
- d = m;
- e = d;
- } else {
- d = p / q;
- }
- }
- a = b;
- fa = fb;
-
- if (FastMath.abs(d) > tol) {
- b += d;
- } else if (m > 0) {
- b += tol;
- } else {
- b -= tol;
- }
- fb = computeObjectiveValue(b);
- if ((fb > 0 && fc > 0) ||
- (fb <= 0 && fc <= 0)) {
- c = a;
- fc = fa;
- d = b - a;
- e = d;
- }
- }
+ return root;
}
}
diff --git
a/src/test/java/org/apache/commons/math4/analysis/solvers/BrentSolverTest.java
b/src/test/java/org/apache/commons/math4/analysis/solvers/BrentSolverTest.java
index 3da021c..cc17d0c 100644
---
a/src/test/java/org/apache/commons/math4/analysis/solvers/BrentSolverTest.java
+++
b/src/test/java/org/apache/commons/math4/analysis/solvers/BrentSolverTest.java
@@ -265,6 +265,6 @@ public final class BrentSolverTest {
BrentSolver solver = new BrentSolver();
final double result = solver.solve(99, f, 1, 1e30, 1 + 1e-10);
- Assert.assertEquals(804.93558250, result, 1e-8);
+ Assert.assertEquals(804.93558250, result,
solver.getAbsoluteAccuracy());
}
}
