In numerical analysis, the secant method is a root-finding algorithm that uses a succession of roots of secant lines to better approximate a root of a function f. The secant method can be thought of as a finite-difference approximation of Newton's method. However, the secant method predates Newton's method by over 3000 years. [1]
For finding a zero of a function f, the secant method is defined by the recurrence relation.
As can be seen from this formula, two initial values x0 and x1 are required. Ideally, they should be chosen close to the desired zero.
Starting with initial values x0 and x1, we construct a line through the points (x0, f(x0)) and (x1, f(x1)), as shown in the picture above. In slope–intercept form, the equation of this line is
The root of this linear function, that is the value of x such that y = 0 is
We then use this new value of x as x2 and repeat the process, using x1 and x2 instead of x0 and x1. We continue this process, solving for x3, x4, etc., until we reach a sufficiently high level of precision (a sufficiently small difference between xn and xn−1):
The iterates of the secant method converge to a root of if the initial values and are sufficiently close to the root. The order of convergence is , where
is the golden ratio. In particular, the convergence is super linear, but not quite quadratic.
This result only holds under some technical conditions, namely that be twice continuously differentiable and the root in question be simple (i.e., with multiplicity 1).
If the initial values are not close enough to the root, then there is no guarantee that the secant method converges. There is no general definition of "close enough", but the criterion has to do with how "wiggly" the function is on the interval . For example, if is differentiable on that interval and there is a point where on the interval, then the algorithm may not converge.
The secant method does not require that the root remain bracketed, like the bisection method does, and hence it does not always converge. The false position method (or regula falsi) uses the same formula as the secant method. However, it does not apply the formula on and , like the secant method, but on and on the last iterate such that and have a different sign. This means that the false position method always converges; however, only with a linear order of convergence. Bracketing with a super-linear order of convergence as the secant method can be attained with improvements to the false position method (see Regula falsi § Improvements in regula falsi) such as the ITP method or Illinois method.
The recurrence formula of the secant method can be derived from the formula for Newton's method
by using the finite-difference approximation, for a small :
The secant method can be interpreted as a method in which the derivative is replaced by an approximation and is thus a quasi-Newton method.
If we compare Newton's method with the secant method, we see that Newton's method converges faster (order 2 against φ ≈ 1.6). However, Newton's method requires the evaluation of both and its derivative at every step, while the secant method only requires the evaluation of . Therefore, the secant method may occasionally be faster in practice. For instance, if we assume that evaluating takes as much time as evaluating its derivative and we neglect all other costs, we can do two steps of the secant method (decreasing the logarithm of the error by a factor φ2 ≈ 2.6) for the same cost as one step of Newton's method (decreasing the logarithm of the error by a factor 2), so the secant method is faster. If, however, we consider parallel processing for the evaluation of the derivative, Newton's method proves its worth, being faster in time, though still spending more steps.
Broyden's method is a generalization of the secant method to more than one dimension.
The following graph shows the function f in red and the last secant line in bold blue. In the graph, the x intercept of the secant line seems to be a good approximation of the root of f.
Below, the secant method is implemented in the Python programming language.
It is then applied to find a root of the function f(x) = x2 − 612 with initial points and
defsecant_method(f,x0,x1,iterations):"""Return the root calculated using the secant method."""foriinrange(iterations):x2=x1-f(x1)*(x1-x0)/float(f(x1)-f(x0))x0,x1=x1,x2# Apply a stopping criterion here (see below)returnx2deff_example(x):returnx**2-612root=secant_method(f_example,10,30,5)print(f"Root: {root}")# Root: 24.738633748750722It is very important to have a good stopping criterion above, otherwise, due to limited numerical precision of floating point numbers, the algorithm can return inaccurate results if running for too many iterations. For example, the loop above can stop when one of these is reached first: abs(x0 - x1) < tol, or abs(x0/x1-1) < tol, or abs(f(x1)) < tol. [2]
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