broyden.m

linear equation routines in matlab

function [x, ithist, iflag] = broyden( f, B, x, tolf, tolx, maxit )
%
%  function [x, ithist, iflag] = broyden( f, B, x, tolf, tolx, maxit )
%
%  fdbroyden attempts to compute a root of F using Broyden's method
%
%  Input parameters:
%    f       name of a matlab function that evaluates F.
%    Binv    initial Broyden matrix B_0
%    x       initial iterate
%    tolf    stopping tolerance (optional. Default tolf = 1.e-7)
%            Newton's method stops if  ||F(x)||_2 < tolf
%    tolx    stopping tolerance (optional. Default tolx = 1.e-7)
%            Newton's method stops if  ||s||_2 < tolx, 
%            where s = -Binv F(x)  is the Newton step.
%    maxit   maximum number of iterations (optional. Default maxit = 100)
%
%
%  Output parameters:
%    x       approximation of the solution. 
%    ithist  array with the iteration history
%            The i-th row of ithist contains  [it, x, F, s]
%    ifag    return flag
%            iflag =  0  ||F(x)||_2 <= tolf 
%            iflag =  1  iteration terminated because maximum number of 
%                        iterations was reached. ||F(x)||_2 > tolf 
%
%  Matthias Heinkenschloss
%  Department of Computational and Applied Mathematics
%  Rice University
%  March 9, 2004
%

% set tolerances if necessary
if( nargin <= 3 ) tolf = 1.e-7; tolx = 1.e-7; maxit = 100; end
if( nargin <= 4 ) tolx = 1.e-7; maxit = 100; end
if( nargin <= 5 ) maxit = 100; end


   
it       = 0;
iflag    = 0;
F        = feval(f, x);

    
norms    = 2*tolx;
while( it < maxit & norms > tolx & norm(F) > tolf )
   
   s     = - (B\F);
   norms = norm(s);
   
   ithist(it+1,:) = [it, norm(x), norm(F), norms];
   
   x  = x+s;
   it = it+1;
   F  = feval(f, x);
   B  = B + F*s'/(s'*s);
end


% check why the Newton's method truncated and set iflag
if( norm(F) > tolf )
    % Newton's method truncated because the maximum number of iterations
    % was reached
    iflag = 1;
    return
else
    % Newton's method truncated because norm(F) <= tolf
    % print info for last iteration
    ithist(it+1,:) = [it, norm(x), norm(F),0];
end