# Activity 11/01/2021 ## STAT 445 / 645 -- Section 1001
Instructor: Colin Grudzien
## Instructions: We will work through the following series of activities as a group and hold small group work and discussions in Zoom Breakout Rooms. Follow the instructions in each sub-section when the instructor assigns you to a breakout room. ## Activities: {r} require("numDeriv")  ## Activity 1: Code Newton's method in multiple variables in R. Recall, Newton's method in multiple variables is given as follows: * Step 0: Identify the objective function $\mathbf{f}$ and the root value we are solving for, possibly redefining $\tilde{\mathbf{f}}(\mathbf{x}) = \mathbf{f}(\mathbf{x}) - \mathbf{b}$. Here, $\mathbf{f}(\mathbf{x}),$ $\mathbf{x}$ and $\mathbf{b}$ all refer to vector values in $\mathbb{R}^n$. * Step 1: Set an initial guess x_0, a maximum number of iterations max_iter and an error tolerance tol. * Step 2: Compute each of $\tilde{\mathbf{f}}(\mathbf{x}_0)$ and $\nabla \tilde{\mathbf{f}}(\mathbf{x}_0)$. **Note:** We should add a check in here if we have found a root already, and if there is no need to continue. I.e., if $$\parallel \tilde{\mathbf{f}}(\mathbf{x}_0) \parallel \leq tol,$$ break the function and return the root. * Step 3: Determine if $\nabla \tilde{\mathbf{f}}(\mathbf{x}_0)$ has an inverse matrix. Break the function and throw an error message if this is not the case; if an inverse is defined set $\mathbf{x}_1 = \mathbf{x}_0 - \left(\nabla \tilde{\mathbf{f}}(x_0)\right)^{-1}\tilde{\mathbf{f}}(\mathbf{x}_0)$ * Step 4: If the number of iterations has exceeded max_iter or $$\parallel \tilde{\mathbf{f}}(x_1) \parallel \leq tol,$$ break the function and print the reason for completion, including the number of iterations spent. Else, repeat steps 2 through 4 with $\mathbf{x}_0 = \mathbf{x}_1$. ### Question 1: Provide your commented code so that it takes the arguments x_0, max_iter and tol as described above, such that it will return error and / or completion messages, along with the final value of x_1 and the Euclidean norm $$\parallel \tilde{\mathbf{f}}(\mathbf{x}_1)\parallel$$ if the algorithm is successful. Set default arguments for max_iter = 100 and tol=10e-14. Use the package numDeriv and *the appropriate kind of derivative $\nabla \mathbf{f}$ for this problem*. This will strongly resemble the one-dimensional case but you need to bear in mind the slight differences. Note, the Euclidean norm of a generic vector $\mathbf{v}$ can be calculated mathematically as $$\parallel \mathbf{v}\parallel = \sqrt{\mathbf{\mathbf{v}}^\mathrm{T}\mathbf{\mathbf{v}}} = \sqrt{\sum_{i=1}^n \mathbf{v}_i^2}.$$ You will have to include this step appropriately -- it is recommended to use the matrix multiplication / transpose version of this definition as this will work fairly generally with simple code. {r, eval=FALSE} newton_mv <- function(fun, x_0, max_iter=100, tol=10e-14) { for (i in 1:max_iter){ # compute the function value at the initial guess # check if the initial guess is already approximately zero if (){ # if so break break } # compute the Jacobian for the function at the initial guess # check if there are any zero eigenvalues, to prevent division by zero if (){ #if so break break } # compute the newton iterated guess # evaluate the function at the new guess # check if this is a root if () { # if so break break } # check if we have reached maximum iterations else if () { # if so break break } else { # else we begin again with new guess } } }  ### Question 2: Define the following function $\mathbf{f}(x_1,x_2) = \begin{pmatrix}\cos(x_1)^2 \\ \sin(x_2)^2\end{pmatrix}$. Use the following initial guesses with your code and output the messages. The guesses are given as the columns of the following matrix for convenience. {r} initial_conditions <- matrix(c(0, 0, 2, 2, (pi/2), pi, -pi, pi), nrow=2, ncol=4, byrow=FALSE) initial_conditions