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From Luc Maisonobe <Luc.Maison...@free.fr>
Subject Re: [math] Brent Solver improvements.
Date Sun, 27 Aug 2006 08:40:57 GMT
Thanks for your suggestion, Tyler, it looks interesting to me.
Could you however put it as a request for enhancement in Jira, this 
would help not forgetting it before time to implement it is found. The 
same remark applies to your other suggestion about SVD.

Thanks again,
Luc

Tyler Ward wrote :
> Hi guys, I noticed that your brent solver isn't using the initial guess
> given by the user. This can often radically improve the performance of the
> solver. In my tests, it improved it by roughly 30% or more, with a decent
> guess. Basically, we should try the guess first. If that's close enough,
> rreturn it. Otherwise, try one of the end points. If that's close enough,
> return it. Then if that brackets, go into the main loop. If that doesn't
> bracket, then we instead try the other endpoint. If that's close enough,
> return it. If that doesn't bracket, throw an exception. If it does bracket,
> go into the main loop with all three trial points available, allowing the
> quadratic interpolation to be used immediately.
> 
> Worst case scenario, the initial guess doesn't bracket. In that case it is
> better than the default algorithm only if the user's initial guess is 
> better
> than linear interpolation, which I imagine it almost always would be. If 
> the
> user can't guess better than linear interpolation, presumably they wouldn't
> provide a guess at all, and then nothing would change.
> 
> It's a small addition, less than 100 lines of code. I can't send it in due
> to legal at work, but from the above ideas, you should be able to put it in
> easily. One caveat. You may need to slightly modify the baisic 
> solve(double,
> double) method to linearly interpolate a good beginning point and then 
> break
> out a six double (solve(x0, y0, x1, y1, x2, y2)) method that both 
> solve(min,
> max) and solve(min, max, initial) can use. If you don't do this, then
> solve(min, max) will bisect on its first iteration rather than 
> intepolating,
> which could cost performance. If you do break it out like so, then this 
> will
> always perform better than the current implementation.
> 


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