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<?xml version='1.0'?>
<html xmlns='http://www.w3.org/1999/xhtml'
      xmlns:math='http://www.w3.org/1998/Math/MathML'
>
<head>
<title>A Multi-Threaded Newton's Method</title>
<meta http-equiv='Content-Type' content='text/html' charset='utf-8'/>
<meta name="description" id="description" content="A Multi-Threaded Newton's Method"/>
<meta name="keywords" id="keywords" content=" multi_newton threading thread newton multi-threading a multi-threaded newton's method syntax purpose ok xout fun num_sub xlow xup epsilon max_itr num_threads source "/>
<style type='text/css'>
body { color : black }
body { background-color : white }
A:link { color : blue }
A:visited { color : purple }
A:active { color : purple }
</style>
<script type='text/javascript' language='JavaScript' src='_multi_newton.cpp_xml.js'>
</script>
</head>
<body>
<table><tr>
<td>
<a href="http://www.coin-or.org/CppAD/" target="_top"><img border="0" src="_image.gif"/></a>
</td>
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<option>ok</option>
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<option>fun</option>
<option>num_sub</option>
<option>xlow</option>
<option>xup</option>
<option>epsilon</option>
<option>max_itr</option>
<option>num_threads</option>
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<center><b><big><big>A Multi-Threaded Newton's Method</big></big></b></center>
<br/>
<b><big><a name="Syntax" id="Syntax">Syntax</a></big></b>

<br/>

<code><i><font color="black"><span style='white-space: nowrap'>ok</span></font></i><font color="blue"><span style='white-space: nowrap'>&#xA0;=&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>multi_newton(</span></font></i><font color="blue"><span style='white-space: nowrap'>xout</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;<br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>fun</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>num_sub</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>xlow</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>xup</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>epsilon</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>max_itr</span></font><i><font color="black"><span style='white-space: nowrap'>,&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>num_threads</span></font><i><font color="black"><span style='white-space: nowrap'><br/>
)</span></font></i></code>


<br/>
<br/>
<b><big><a name="Purpose" id="Purpose">Purpose</a></big></b>
<br/>
Multi-threaded determination of the argument values 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>x</mi>
</mrow></math>

, 
in the interval 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mo stretchy="false">[</mo>
<mi mathvariant='italic'>a</mi>
<mo stretchy="false">,</mo>
<mi mathvariant='italic'>b</mi>
<mo stretchy="false">]</mo>
</mrow></math>

 (where 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>a</mi>
<mo stretchy="false">&lt;</mo>
<mi mathvariant='italic'>b</mi>
</mrow></math>

), 
such that 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>f</mi>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>x</mi>
<mo stretchy="false">)</mo>
<mo stretchy="false">=</mo>
<mn>0</mn>
</mrow></math>

.

<br/>
<br/>
<b><big><a name="Method" id="Method">Method</a></big></b>
<br/>
For 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>i</mi>
<mo stretchy="false">=</mo>
<mn>0</mn>
<mo stretchy="false">,</mo>
<mo stretchy="false">&#x02026;</mo>
<mo stretchy="false">,</mo>
<mi mathvariant='italic'>n</mi>
</mrow></math>

,  
we define the <code><i>i</i></code>-th grid point 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<msub><mi mathvariant='italic'>g</mi>
<mi mathvariant='italic'>i</mi>
</msub>
</mrow></math>

 by

<math xmlns="http://www.w3.org/1998/Math/MathML" display="block"><mrow>
<msub><mi mathvariant='italic'>g</mi>
<mi mathvariant='italic'>i</mi>
</msub>
<mo stretchy="false">=</mo>
<mi mathvariant='italic'>a</mi>
<mfrac><mrow><mi mathvariant='italic'>n</mi>
<mo stretchy="false">-</mo>
<mi mathvariant='italic'>i</mi>
</mrow>
<mrow><mi mathvariant='italic'>n</mi>
</mrow>
</mfrac>
<mo stretchy="false">+</mo>
<mi mathvariant='italic'>b</mi>
<mfrac><mrow><mi mathvariant='italic'>i</mi>
</mrow>
<mrow><mi mathvariant='italic'>n</mi>
</mrow>
</mfrac>
</mrow></math>

For 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>i</mi>
<mo stretchy="false">=</mo>
<mn>0</mn>
<mo stretchy="false">,</mo>
<mo stretchy="false">&#x02026;</mo>
<mo stretchy="false">,</mo>
<mi mathvariant='italic'>n</mi>
<mn>-1</mn>
</mrow></math>

,  
we define the <code><i>i</i></code>-th sub-interval of 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mo stretchy="false">[</mo>
<mi mathvariant='italic'>a</mi>
<mo stretchy="false">,</mo>
<mi mathvariant='italic'>b</mi>
<mo stretchy="false">]</mo>
</mrow></math>

 by

<math xmlns="http://www.w3.org/1998/Math/MathML" display="block"><mrow>
<msub><mi mathvariant='italic'>I</mi>
<mi mathvariant='italic'>i</mi>
</msub>
<mo stretchy="false">=</mo>
<mo stretchy="false">[</mo>
<msub><mi mathvariant='italic'>g</mi>
<mi mathvariant='italic'>i</mi>
</msub>
<mo stretchy="false">,</mo>
<msub><mi mathvariant='italic'>g</mi>
<mrow><mi mathvariant='italic'>i</mi>
<mo stretchy="false">+</mo>
<mn>1</mn>
</mrow>
</msub>
<mo stretchy="false">]</mo>
</mrow></math>

Newton's method is applied starting
at the center of each of the sub-intervals 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<msub><mi mathvariant='italic'>I</mi>
<mi mathvariant='italic'>i</mi>
</msub>
</mrow></math>

 for

<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>i</mi>
<mo stretchy="false">=</mo>
<mn>0</mn>
<mo stretchy="false">,</mo>
<mo stretchy="false">&#x02026;</mo>
<mo stretchy="false">,</mo>
<mi mathvariant='italic'>n</mi>
<mn>-1</mn>
</mrow></math>


and at most one zero is found for each sub-interval.

<br/>
<br/>
<b><big><a name="ok" id="ok">ok</a></big></b>
<br/>
The return value 
<code><i><font color="black"><span style='white-space: nowrap'>ok</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;bool&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>ok</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
If an error occurs, it is false, otherwise it is true.

<br/>
<br/>
<b><big><a name="xout" id="xout">xout</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>xout</span></font></i></code>
 has the prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;CppAD::vector&lt;double&gt;&amp;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>xout</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
The input size and value of the elements of 
<code><i><font color="black"><span style='white-space: nowrap'>xout</span></font></i></code>
 do not matter.
Upon return from <code><font color="blue">multi_newton</font></code>,
the size of 
<code><i><font color="black"><span style='white-space: nowrap'>xout</span></font></i></code>
 is less than or equal 
the number of sub-intervals 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>n</mi>
</mrow></math>

 and

<math xmlns="http://www.w3.org/1998/Math/MathML" display="block"><mrow>
<mo stretchy="false">|</mo>
<mi mathvariant='italic'>f</mi>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>xout</mi>
<mo stretchy="false">[</mo>
<mi mathvariant='italic'>i</mi>
<mo stretchy="false">]</mo>
<mo stretchy="false">)</mo>
<mo stretchy="false">|</mo>
<mo stretchy="false">&#x02264;</mo>
<mi mathvariant='italic'>epsilon</mi>
</mrow></math>

for each valid index 
<code><font color="blue"><span style='white-space: nowrap'>0</span></font><i><font color="black"><span style='white-space: nowrap'>&#xA0;&lt;=&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>i</span></font><i><font color="black"><span style='white-space: nowrap'>&#xA0;&lt;&#xA0;</span></font></i><font color="blue"><span style='white-space: nowrap'>xout</span></font><i><font color="black"><span style='white-space: nowrap'>.size()</span></font></i></code>
.
Two 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>x</mi>
</mrow></math>

 solutions are considered equal (and joined as one) if
the absolute difference between the solutions is less than

<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>b</mi>
<mo stretchy="false">-</mo>
<mi mathvariant='italic'>a</mi>
<mo stretchy="false">)</mo>
<mo stretchy="false">/</mo>
<mi mathvariant='italic'>n</mi>
</mrow></math>

.

<br/>
<br/>
<b><big><a name="fun" id="fun">fun</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>fun</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;void&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>fun</span></font></i><font color="blue"><span style='white-space: nowrap'>&#xA0;(double&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>x</span></font></i><font color="blue"><span style='white-space: nowrap'>,&#xA0;double&amp;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>f</span></font></i><font color="blue"><span style='white-space: nowrap'>,&#xA0;double&amp;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>df</span></font></i><font color="blue"><span style='white-space: nowrap'>)<br/>
</span></font></code>
This function must evaluate 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>f</mi>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>x</mi>
<mo stretchy="false">)</mo>
</mrow></math>

,
and its derivative 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<msup><mi mathvariant='italic'>f</mi>
<mrow><mo stretchy="false">(</mo>
<mn>1</mn>
<mo stretchy="false">)</mo>
</mrow>
</msup>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>x</mi>
<mo stretchy="false">)</mo>
</mrow></math>

, 
using the syntax

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>fun</span></font></i><font color="blue"><span style='white-space: nowrap'>(</span></font><i><font color="black"><span style='white-space: nowrap'>x</span></font></i><font color="blue"><span style='white-space: nowrap'>,&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>f</span></font></i><font color="blue"><span style='white-space: nowrap'>,&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>df</span></font></i><font color="blue"><span style='white-space: nowrap'>)<br/>
</span></font></code>
where the arguments to 
<code><i><font color="black"><span style='white-space: nowrap'>fun</span></font></i></code>
 have the prototypes

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&#xA0;&#xA0;&#xA0;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>x</span></font></i><font color="blue"><span style='white-space: nowrap'>&#xA0;<br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&amp;&#xA0;&#xA0;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>f</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&amp;&#xA0;&#xA0;&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>df</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
.
The input values of 
<code><i><font color="black"><span style='white-space: nowrap'>f</span></font></i></code>
 and 
<code><i><font color="black"><span style='white-space: nowrap'>df</span></font></i></code>
 do not matter.
Upon return they are 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>f</mi>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>x</mi>
<mo stretchy="false">)</mo>
</mrow></math>

 and 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<msup><mi mathvariant='italic'>f</mi>
<mrow><mo stretchy="false">(</mo>
<mn>1</mn>
<mo stretchy="false">)</mo>
</mrow>
</msup>
<mo stretchy="false">(</mo>
<mi mathvariant='italic'>x</mi>
<mo stretchy="false">)</mo>
</mrow></math>

 respectively.

<br/>
<br/>
<b><big><a name="num_sub" id="num_sub">num_sub</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>num_sub</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;size_t&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>num_sub</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the number of sub-intervals; i.e., 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>n</mi>
</mrow></math>

.

<br/>
<br/>
<b><big><a name="xlow" id="xlow">xlow</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>xlow</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>xlow</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the lower limit for the entire search interval; i.e., 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>a</mi>
</mrow></math>

.

<br/>
<br/>
<b><big><a name="xup" id="xup">xup</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>xup</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>xup</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the upper limit for the entire search interval; i.e., 
<math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><mrow>
<mi mathvariant='italic'>b</mi>
</mrow></math>

.

<br/>
<br/>
<b><big><a name="epsilon" id="epsilon">epsilon</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>epsilon</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;double&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>epsilon</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the convergence criteria for Newton's method in terms
of how small the function value must be.

<br/>
<br/>
<b><big><a name="max_itr" id="max_itr">max_itr</a></big></b>
<br/>
The argument 
<code><i><font color="black"><span style='white-space: nowrap'>max_itr</span></font></i></code>
 has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;size_t&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>max_itr</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the maximum number of iterations of Newton's method to try
before giving up on convergence (on each sub-interval).

<br/>
<br/>
<b><big><a name="num_threads" id="num_threads">num_threads</a></big></b>
<br/>
This argument has prototype

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;size_t&#xA0;</span></font><i><font color="black"><span style='white-space: nowrap'>num_threads</span></font></i><font color="blue"><span style='white-space: nowrap'><br/>
</span></font></code>
It specifies the number of threads that are available for this test.
If it is zero, the test is run without the multi-threading environment.

<br/>
<br/>
<b><big><a name="Contents" id="Contents">Contents</a></big></b>
<br/>
<table>
<tr><td><a href="multi_newton_time.cpp.xml" target="_top">multi_newton_time.cpp</a></td><td>Timing&#xA0;Test&#xA0;of&#xA0;Multi-Threaded&#xA0;Newton&#xA0;Method</td></tr><tr><td><a href="multi_newton_work.cpp.xml" target="_top">multi_newton_work.cpp</a></td><td>Multi-threading&#xA0;Newton&#xA0;Method&#xA0;Utility&#xA0;Routines</td></tr></table><br/>
<b><big><a name="Source" id="Source">Source</a></big></b>

<code><font color="blue">
<br/>
<pre style='display:inline'> 
// general purpose multi-threading interface 
# include &quot;team_thread.hpp&quot;
// special utilities for the multi_newton problem
# include &quot;multi_newton_work.hpp&quot;

bool multi_newton(
	CppAD::vector&lt;double&gt; &amp;xout                , 
	void fun(double x, double&amp; f, double&amp; df)  , 
	size_t num_sub                             , 
	double xlow                                , 
	double xup                                 , 
	double epsilon                             , 
	size_t max_itr                             ,
	size_t num_threads                         )
{	
	bool ok = true;
	using CppAD::AD;
	using CppAD::vector;

	// setup the work for num_threads threads
	ok &amp;= multi_newton_setup(
		fun, num_sub, xlow, xup, epsilon, max_itr, num_threads
	);

	// now do the work for each thread
	if( num_threads &gt; 0 )
		team_work( multi_newton_worker );
	else	multi_newton_worker();

	// now combine the result for all the threads
	ok &amp;= multi_newton_combine(xout);

	return ok;
}
</pre>

</font></code>


<hr/>Input File: multi_thread/multi_newton.cpp

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