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Numerical methods challenge: Day 5

During October (2017) I will write a program per day for some well-known numerical methods in both Python and Julia. It is intended to be an exercise then don't expect the code to be good enough for real use. Also, I should mention that I have almost no experience with Julia, so it probably won't be idiomatic Julia but more Python-like Julia.

Broyden's method

Today we have Broyden's method. The main idea in this method is to compute the Jacobian matrix just at the first iteration and change it for each iteration doing rank-1 updates.

\begin{equation*} \mathbf{x}_k = \mathbf{x}_{k-1} - J_n \mathbf{F}(\mathbf{x_k}) \end{equation*}

where we need estimate the Jacobian matrix at step \(n\) by

\begin{equation*} \mathbf J_n = \mathbf J_{n - 1} + \frac{\Delta \mathbf f_n - \mathbf J_{n - 1} \Delta \mathbf x_n}{\|\Delta \mathbf x_n\|^2} \Delta \mathbf x_n^{\mathrm T} \end{equation*}

that correspond to rank-1 updates of the Jacobian matrix.

We will test the method with the function \(\mathbf{F}(x, y) = (x + 2y - 2, x^2 + 4x - 4)\) with solution \(\mathbf{x} = (0, 1)\).

Following are the codes.

Python

from __future__ import division, print_function
from numpy import array, outer, dot
from numpy.linalg import solve, norm, det

def broyden(fun, jaco, x, niter=50, ftol=1e-12, verbose=False):
    msg = "Maximum number of iterations reached."
    J = jaco(x)
    for cont in range(niter):
        if det(J) < ftol:
            x = None
            msg = "Derivative near to zero."
            break
        if verbose:
            print("n: {}, x: {}".format(cont, x))
        f_old = fun(x)
        dx = -solve(J, f_old)
        x = x + dx
        f = fun(x)
        df = f - f_old
        J = J + outer(df - dot(J, dx), dx)/dot(dx, dx)
        if norm(f) < ftol:
            msg = "Root found with desired accuracy."
            break
    return x, msg


def fun(x):
    return array([x[0] + 2*x[1] - 2, x[0]**2 + 4*x[1]**2 - 4])


def jaco(x):
    return array([
            [1, 2],
            [2*x[0], 8*x[1]]])


print(broyden(fun, jaco, [1.0, 2.0]))

Julia

function broyden(fun, jaco, x, niter=50, ftol=1e-12, verbose=false)
    msg = "Maximum number of iterations reached."
    J = jaco(x)
    for cont = 1:niter
        if det(J) < ftol
            x = nothing
            msg = "Derivative near to zero."
            break
        end
        if verbose
            println("n: $(cont), x: $(x)")
        end
        f_old = fun(x)
        dx = -J\f_old
        x = x + dx
        f = fun(x)
        df = f - f_old
        J = J + (df - J*dx) * dx'/ (dx' * dx)
        if norm(f) < ftol
            msg = "Root found with desired accuracy."
            break
        end
    end
    return x, msg
end

function fun(x)
    return [x[1] + 2*x[2] - 2, x[1]^2 + 4*x[2]^2 - 4]
end


function jaco(x)
    return [1 2;
           2*x[1] 8*x[2]]
end


println(broyden(fun, jaco, [1.0, 2.0]))

Comparison Python/Julia

Regarding number of lines we have: 38 in Python and 39 in Julia. The comparison in execution time is done with %timeit magic command in IPython and @benchmark in Julia.

For Python:

%timeit broyden(fun, jaco, [1.0, 2.0])

with result

1000 loops, best of 3: 703 µs per loop

For Julia:

@benchmark broyden(fun, jaco, [1.0, 2.0])

with result

BenchmarkTools.Trial:
  memory estimate:  14.41 KiB
  allocs estimate:  220
  --------------
  minimum time:     12.099 μs (0.00% GC)
  median time:      12.867 μs (0.00% GC)
  mean time:        15.378 μs (10.78% GC)
  maximum time:     3.511 ms (97.53% GC)
  --------------
  samples:          10000
  evals/sample:     1

In this case, we can say that the Python code is roughly 50 times slower than the Julia one.

Comparison Newton/Broyden

Following, we are comparing Newton's and Broyden's method. We are using the function \(\mathbf{x}^T \mathbf{x} + \mathbf{x}\) for this test.

Python

The code for the function and Jacobian is

from numpy import diag
fun = lambda x: x**2 + x
jaco = lambda x: diag(2*x + 1)

and the results are:

n Newton (μs) Broyden (μs)
2 500 664
10 541 717
100 3450 4800

Julia

The code for the function and Jacobian is

fun(x) = x' * x + x
jaco(x) = diagm(2*x + 1)

and the results are:

n Newton (μs) Broyden (μs)
2 1.76 1.65
10 56.42 5.12
100 1782 367

In this case, we are comparing the mean values of the results from @benchmark.

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