mathnet-numerics/src/FSharp/FindRoots.fs

// <copyright file="FindRoots.fs" company="Math.NET">
// Math.NET Numerics, part of the Math.NET Project
// http://numerics.mathdotnet.com
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// http://mathnetnumerics.codeplex.com
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namespace MathNet.Numerics

open System
open MathNet.Numerics.RootFinding

[<CompilationRepresentation(CompilationRepresentationFlags.ModuleSuffix)>]
module FindRoots =

    let private tobcl (f:'a->'b) = Func<'a,'b>(f)
    let private (|>|) option orElse = match option with | Some x -> Some x | None -> orElse()

    // direct algorithms

    let bisection maxIterations accuracy lowerBound upperBound (f:float->float) =
        match Bisection.TryFindRoot(tobcl f, lowerBound, upperBound, accuracy, maxIterations) with
        | true, root -> Some root
        | false, _ -> None

    let brent maxIterations accuracy lowerBound upperBound (f:float->float) =
        match Brent.TryFindRoot(tobcl f, lowerBound, upperBound, accuracy, maxIterations) with
        | true, root -> Some root
        | false, _ -> None

    let newtonRaphson maxIterations accuracy lowerBound upperBound (f:float->float) (df:float->float) =
        match NewtonRaphson.TryFindRoot(tobcl f, tobcl df, 0.5 * (lowerBound + upperBound), lowerBound, upperBound, accuracy, maxIterations) with
        | true, root -> Some root
        | false, _ -> None

    let newtonRaphsonGuess maxIterations accuracy guess (f:float->float) (df:float->float) =
        match NewtonRaphson.TryFindRoot(tobcl f, tobcl df, guess, Double.MinValue, Double.MaxValue, accuracy, maxIterations) with
        | true, root -> Some root
        | false, _ -> None

    let newtonRaphsonRobust maxIterations subdivision accuracy lowerBound upperBound (f:float->float) (df:float->float) =
        match RobustNewtonRaphson.TryFindRoot(tobcl f, tobcl df, lowerBound, upperBound, accuracy, maxIterations, subdivision) with
        | true, root -> Some root
        | false, _ -> None

    let broyden maxIterations accuracy guess (f:float[]->float[]) =
        match Broyden.TryFindRoot(tobcl f, guess, accuracy, maxIterations) with
        | true, root -> Some root
        | false, _ -> None

    // simple usage

    let ofFunction lowerBound upperBound (f:float->float) =
        brent 100 1e-8 lowerBound upperBound f
        |>| fun () -> bisection 100 1e-8 lowerBound upperBound f

    let ofFunctionDerivative lowerBound upperBound (f:float->float) (df:float->float) =
        newtonRaphsonRobust 100 20 1e-8 lowerBound upperBound f df
        |>| fun () -> bisection 100 1e-8 lowerBound upperBound f