FIXED POINT ITERATION

We begin with a computational example. Consider

solving the two equations
E1: x = 1 + :5 sin x
E2: x = 3 + 2 sin x
Graphs of these two equations are shown on accom-
panying graphs, with the solutions being
E1: = 1:49870113351785
E2: = 3:09438341304928
We are going to use a numerical scheme called ` xed
point iteration'. It amounts to making an initial guess
of x0 and substituting this into the right side of the
equation. The resulting value is denoted by x1; and
then the process is repeated, this time substituting x1
into the right side. This is repeated until convergence
occurs or until the iteration is terminated.

In the above cases, we show the results of the rst 10

iterations in the accompanying table. Clearly conver-
gence is occurring with E1, but not with E2. Why?
y

y = 1 + .5sin x

y=x

x
α

y = 3 + 2sin x

y=x

α x
 E1: x = 1 + :5 sin x
E2: x = 3 + 2 sin x

E1 E2
n xn xn
0 0:00000000000000 3:00000000000000
1 1:00000000000000 3:28224001611973
2 1:42073549240395 2:71963177181556
3 1:49438099256432 3:81910025488514
4 1:49854088439917 1:74629389651652
5 1:49869535552190 4:96927957214762
6 1:49870092540704 1:06563065299216
7 1:49870112602244 4:75018861639465
8 1:49870113324789 1:00142864236516
9 1:49870113350813 4:68448404916097
10 1:49870113351750 1:00077863465869
The above iterations can be written symbolically as
E1: xn+1 = 1 + :5 sin xn
E2: xn+1 = 3 + 2 sin xn
for n = 0; 1; 2; ::: Why does one of these iterations
converge, but not the other? The graphs show similar
behaviour, so why the di erence.

As another example, note that the Newton method

f (xn)
xn+1 = xn
f 0(xn)
is also a xed point iteration, for the equation
f (x)
x=x
f 0(x)
In general, we are interested in solving equations
x = g (x)
by means of xed point iteration:
xn+1 = g (xn); n = 0; 1; 2; :::
It is called ` xed point iteration' because the root
is a xed point of the function g (x), meaning that
is a number for which g ( ) = .
 EXISTENCE THEOREM

We begin by asking whether the equation x = g (x)

has a solution. For this to occur, the graphs of y = x
and y = g (x) must intersect, as seen on the earlier
graphs. The lemmas and theorems in the book give
conditions under which we are guaranteed there is a
xed point .

Lemma: Let g (x) be a continuous function on the

interval [a; b], and suppose it satis es the property
a x b ) a g (x) b (#)
Then the equation x = g (x) has at least one solution
in the interval [a; b]. See the graphs for examples.

The proof of this is fairly intuitive. Look at the func-

tion
f (x) = x g (x); a x b
Evaluating at the endpoints,
f (a) 0; f (b) 0
The function f (x) is continuous on [a; b], and there-
fore it contains a zero in the interval.
Theorem: Assume g (x) and g 0(x) exist and are con-
tinuous on the interval [a; b]; and further, assume

a x b ) a g (x) b

max g 0(x) < 1

a x b
Then:
S1. The equation x = g (x) has a unique solution
in [a; b].
S2. For any initial guess x0 in [a; b], the iteration

xn+1 = g (xn); n = 0; 1; 2; :::

will converge to .
S3.
n
j xn j jx1 x0 j ; n 0
1
S4.
xn+1
lim = g 0( )
n!1 xn
Thus for xn close to ,

xn+1 g 0( ) ( xn )
The proof is given in the text, and I go over only a
portion of it here. For S2, note that from (#), if x0
is in [a; b], then
x1 = g (x0)
is also in [a; b]. Repeat the argument to show that

x2 = g (x1)
belongs to [a; b]. This can be continued by induction
to show that every xn belongs to [a; b].

We need the following general result. For any two

points w and z in [a; b],

g (w ) g (z ) = g 0(c) (w z)
for some unknown point c between w and z . There-
fore,
jg (w) g (z )j jw zj
for any a w; z b.
For S3, subtract xn+1 = g (xn) from = g ( ) to get

xn+1 = g ( ) g (xn)
= g 0(cn) ( xn ) ($)
j xn+1j j xn j (*)
with cn between and xn. From (*), we have that
the error is guaranteed to decrease by a factor of
with each iteration. This leads to

j xn j nj x0 j ; n 0
With some extra manipulation, we can obtain the error
bound in S3.

For S4, use ($) to write

xn+1
= g 0(cn)
xn
Since xn ! and cn is between and xn, we have
g 0(cn) ! g 0( ).
The statement

xn+1 g 0( ) ( xn )
tells us that when near to the root , the errors will
decrease by a constant factor of g 0( ). If this is nega-
tive, then the errors will oscillate between positive and
negative, and the iterates will be approaching from
both sides. When g 0( ) is positive, the iterates will
approach from only one side.

The statements

xn+1 = g 0(cn) ( xn )

xn+1 g 0( ) ( xn )
also tell us a bit more of what happens when

g 0( ) > 1
Then the errors will increase as we approach the root
rather than decrease in size.
Look at the earlier examples
E1: x = 1 + :5 sin x
E2: x = 3 + 2 sin x
In the rst case E1,
g (x) = 1 + :5 sin x
g 0(x) = :5 cos x
g 0( 1
2
Therefore the xed point iteration

xn+1 = 1 + :5 sin xn
will converge for E1.

For the second case E2,

g (x) = 3 + 2 sin x
g 0(x) = 2 cos x
:
g 0( ) = 2 cos (3:09438341304928) = 1:998
Therefore the xed point iteration

xn+1 = 3 + 2 sin xn
will diverge for E2.
Corollary: Assume x = g (x) has a solution , and
further assume that both g (x) and g 0(x) are contin-
uous for all x in some interval about . In addition,
assume
g 0( ) < 1 (**)
Then any su ciently small number " > 0, the interval
[a; b] = [ "; + "] will satisfy the hypotheses of
the preceding theorem.

This means that if (**) is true, and if we choose x0

su ciently close to , then the xed point iteration
xn+1 = g (xn) will converge and the earlier results
S1-S4 will all hold. The corollary does not tell us how
close we need to be to in order to have convergence.
 NEWTON'S METHOD

For Newton's method

f (xn)
xn+1 = xn
f 0(xn)
we have it is a xed point iteration with
f (x)
g (x) = x
f 0(x)
Check its convergence by checking the condition (**).
f 0(x) f (x)f 00(x)
g 0(x) = 1 +
0
f (x) [f 0(x)]2
f (x)f 00(x)
=
[f 0(x)]2
g 0( ) = 0
Therefore the Newton method will converge if x0 is
chosen su ciently close to .
 HIGHER ORDER METHODS

What happens when g 0( ) = 0? We use Taylor's

theorem to answer this question.
Begin by writing
1
g (x) = g ( ) + g 0( ) (x ) + g 00(c) (x )2
2
with c between x and . Substitute x = xn and
recall that g (xn) = xn+1 and g ( ) = . Also assume
g 0( ) = 0.
Then
xn+1 = + 21 g 00(cn) (xn )2
xn+1 = 1 g 00 (c ) (x
2 n n )2
with cn between and xn. Thus if g 0( ) = 0, the
xed point iteration is quadratically convergent or bet-
ter. In fact, if g 00( ) 6= 0, then the iteration is exactly
quadratically convergent.
 ANOTHER RAPID ITERATION

Newton's method is rapid, but requires use of the

derivative f 0(x). Can we get by without this. The
answer is yes! Consider the method
f (xn + f (xn)) f (xn)
Dn =
f (xn)
f (xn)
xn+1 = xn
Dn
This is an approximation to Newton's method, with
f 0(xn) Dn. To analyze its convergence, regard it
as a xed point iteration with
f (x + f (x)) f (x)
D(x) =
f (x)
f (x)
g (x) = x
D(x)
Then we can, with some di culty, show g 0( ) = 0
and g 00( ) 6= 0. This will prove this new iteration is
quadratically convergent.
 FIXED POINT INTERATION: ERROR

Recall the result

xn
lim = g 0( )
n!1 xn 1
for the iteration

xn = g (xn 1); n = 1; 2; :::

Thus
xn ( xn 1 ) (***)
with = g 0( ) and j j < 1.

If we were to know , then we could solve (***) for

:
xn xn 1
1
Usually, we write this as a modi cation of the cur-
rently computed iterate xn:
xn xn 1
1
xn xn xn xn 1
= +
1 1
= xn + [ xn xn 1 ]
1
The formula

xn + [ xn xn 1]
1
is said to be an extrapolation of the numbers xn 1
and xn. But what is ?

From
xn
lim = g 0( )
n!1 xn 1
we have
xn
xn 1
Unfortunately this also involves the unknown root
which we seek; and we must nd some other way of
estimating .

To calculate consider the ratio

xn xn 1
n=
xn 1 xn 2
To see this is approximately as xn approaches ,
write
xn xn 1 g (xn 1) g (xn 2)
= = g 0(cn)
xn 1 xn 2 xn 1 xn 2
with cn between xn 1 and xn 2. As the iterates ap-
proach , the number cn must also approach . Thus
n approaches as xn ! .
We combine these results to obtain the estimation
n xn xn 1
b n = xn +
x [xn xn 1] ; n =
1 n xn 1 xn 2
b n the Aitken extrapolate of fxn 2; xn 1; xng;
We call x
and bn.
x

We can also rewrite this as

n
xn bn
x xn = [ xn xn 1 ]
1 n
This is called Aitken's error estimation formula.

The accuracy of these procedures is tied directly to

the accuracy of the formulas

xn ( xn 1 ) ; xn 1 ( xn 2 )
If this is accurate, then so are the above extrapolation
and error estimation formulas.
 EXAMPLE

Consider the iteration

xn+1 = 6:28 + sin(xn); n = 0; 1; 2; :::

for solving
x = 6:28 + sin x
Iterates are shown on the accompanying sheet, includ-
ing calculations of n, the error estimate
n
xn bn
x xn = [ xn xn 1] (Estimate)
1 n
The latter is called \Estimate" in the table. In this
instance,
:
g 0( ) = :9644
and therefore the convergence is very slow. This is
apparent in the table.
 AITKEN'S ALGORITHM

Step 1: Select x0
Step 2: Calculate

x1 = g (x0); x2 = g (x1)
Step3: Calculate
2 x2 x1
x3 = x2 + [ x2 x1 ] ; 2=
1 2 x1 x0
Step 4: Calculate

x4 = g (x3); x5 = g (x4)
and calculate x6 as the extrapolate of fx3; x4; x5g.
Continue this procedure, ad in natum.

Of course in practice we will have some kind of er-

ror test to stop this procedure when believe we have
su cient accuracy.
 EXAMPLE

Consider again the iteration

xn+1 = 6:28 + sin(xn); n = 0; 1; 2; :::

for solving
x = 6:28 + sin x
Now we use the Aitken method, and the results are
shown in the accompanying table. With this we have

x3 = 7:98 10 4; x6 = 2:27 10 6
In comparison, the original iteration had

x6 = 1:23 10 2
 GENERAL COMMENTS

Aitken extrapolation can greatly accelerate the con-

vergence of a linearly convergent iteration

xn+1 = g (xn)
This shows the power of understanding the behaviour
of the error in a numerical process. From that un-
derstanding, we can often improve the accuracy, thru
extrapolation or some other procedure.

This is a justi cation for using mathematical analyses

to understand numerical methods. We will see this
repeated at later points in the course, and it holds
with many di erent types of problems and numerical
methods for their solution.