Tuesday, January 3, 2012

Fixed point iteration

A fixed point for a function is a point at which the value of the function does not change when the function is applied. More formally, x is a fixed point for a given function f if
and the fixed point iteration
converges to the a fixed point if f is continuous.
The following function implements the fixed point iteration algorithm:
from pylab import plot,show
from numpy import array,linspace,sqrt,sin
from numpy.linalg import norm

def fixedp(f,x0,tol=10e-5,maxiter=100):
 """ Fixed point algorithm """
 e = 1
 itr = 0
 xp = []
 while(e > tol and itr < maxiter):
  x = f(x0)      # fixed point equation
  e = norm(x0-x) # error at the current step
  x0 = x
  xp.append(x0)  # save the solution of the current step
  itr = itr + 1
 return x,xp
Let's find the fixed point of the square root funtion starting from x = 0.5 and plot the result
f = lambda x : sqrt(x)

x_start = .5
xf,xp = fixedp(f,x_start)

x = linspace(0,2,100)
y = f(x)
plot(x,y,xp,f(xp),'bo',
     x_start,f(x_start),'ro',xf,f(xf),'go',x,x,'k')
show()
The result of the program would appear as follows:
The red dot is the starting point, the blue ones are the sequence x_1,x_2,x_3,... and the green is the fixed point found.
In a similar way, we can compute the fixed point of function of multiple variables:
# 2 variables function
def g(x):
 x[0] = 1/4*(x[0]*x[0] + x[1]*x[1])
 x[1] = sin(x[0]+1)
 return array(x)

x,xf = fixedp(g,[0, 1])
print '   x =',x
print 'f(x) =',g(xf[len(xf)-1])
In this case g is a function of two variables and x is a vector, so the fixed point is a vector and the output is as follows:
   x = [ 0.          0.84147098]
f(x) = [ 0.          0.84147098]

1 comment:

  1. This comment has been removed by a blog administrator.

    ReplyDelete