Analysis & Comparison of Quasi-Newton & Secant Method

Aim: To analyze & compare Quasi-Newton & Secant methods. Optimization: In mathematics, optimization (or mathematical programming)
refers to study of problems in which one seeks to minimize or maximize a real function by systematically choosing the values of real or integer variables from within an allowed set. Quasi-Newton & Secant methods are numerical analysis techniques used for optimization problem.

Secant Method:
This method is root finding algorithm that uses a succession of roots of secant lines to better approximate a root of function f. Given xn-1 & xn we construct the line through the points [xn-1, f (xn-1)] & [XN, F (XN)] as demonstrated in the picture on the right at the top. Here the line is secant or chord of the graph of function F. In point slope from it can be defined as Y = f (xn) = [f (xn) f (xn 1) (x xn)]/xn xn - 1 We now choose xn + 1 to be root of this line so xn + 1 is chosen such that F (xn) + [f (xn) f (xn 1) (xn + 1 xn)]/xn xn 1 = 0 Solving this equation gives the recurrence relation for the secant method. This method is defined by recurrence as xn + 1 = xn [xn xn 1/f (xn) f (xn 1)] f (xn) As can be seen from the recurrence relation the secant method requires two initial values x0 & x1 which should ideally be chosen to lie close to the root.

Quasi-Newton Method:

It is also an algorithm for finding the roots of equation in one or more dimensions. Quasi-Newton methods are based on Newtons methods to find stationary point of a function where gradient is 0. Newton methods can be used to find local maxima of function by noticing that if real no x is a stationary point of a function f(x) then x is a root of the derivative f(x) & therefore one can solve for x by applying Newtons method to f(x). The Taylor expansion for f(x) is f(x + x) = f(x) x + f"(x) x2 attains its entrance when x solves the linear equation f'(x) + f"(x) x = 0 & f"(x) is positive Thus provided that f(x) is twice differentiable function & initial guess x0 is chose close enough to x. the sequence xn is defined by xn + 1 = xn f'(xn)/f"(xn) will converge towards x. ,n0

Comparison of Methods: If we compare Newtons method with the Secant

method, we see that Newtons method converges faster. However Newtons method requires the evaluation of f & its derivative at every step, while the Secant method only requires the evaluation of f. Therefore the Secant method may will be faster in practice.

CONCLUSION: It can be found that, more computations are involved in Secant

method but still it is faster due to less complexity of calculations. While Newtons method involves complex calculations involving higher order derivatives.