Systems of Nonlinear Algebraic Equations

Systems of Nonlinear Equations
Systems of Nonlinear
A general system of n nonlinear equations:
fi ( x1 , x2 , ..., xn ) fi ( x) 0
(i 1, 2,..., n)
In general, it is difficult to solve such sets of equations

Bounding techniques cannot be used.
In addition, plotting a function to locate the solutions,
which will work for a single nonlinear equation, will
not generally work for a system of nonlinear
equations.
Use algorithms to minimize the number of equations
that must be solved.
Simultaneous Nonlinear Algebraic
Equations
Precedence Ordering
Reduce the number of equations that must
be solved simultaneously
Identify two classes of variables and
appropriately order equations:
Equations that can be solved for an unknown
variable irrespective of the other equations
solve these first
Variables that appear in only one equation.
Solve these equations after all others have been
solved.
Equations
Example
Equation
Nu
(Number of unknowns)
4
3
(1)
(2)
x2
x1 ln 3
x4
(3)
x x3 2
(4)
x2 + x4 = 4
x3 (x3 + x6) = 7
2
2
(5)
(6)
x1x2 + x6x4 = 18
x2 + x5 + x6 = 12
2
3
1. Solve equation 4 for x3 and remove variable from set.

Equations
Apply algorithm
Solution Order
Output variable
Equation
x3
x32 x3 2
x6
x6
x4
4 x4
18 x6 x4
ln
3
4 x4
x4
x1
x1
x2
x2 = 4 - x4
x5
x5 = 12 - x2 - x6
7
x3
x3
18 x6x4
4 x4
Only one non-linear equation (eqn 4) must be solved. All

others calculated directly
Equations
The Tearing Method

Is useful when most of the nonlinearity of a problem is
associated with a single unknown.
The nonlinear variable and one nonlinear equation are
torn from the problem and a value for the nonlinear
unknown is assumed.
The remaining equations are solved for the remaining
unknowns using any desired method.
The values of the calculated unknowns are combined
with the assumed value of the nonlinear unknown to
evaluate the torn equation.
Adjust the nonlinear unknown until the torn equation
is satisfied thus solving the original problem.
Equations
Conclusions
Tearing and Precedence ordering algorithms
can reduce the number of equations that
must be solved simultaneously
These algorithms can increase the potential
for finding a solution
We will focus on techniques for solving the
equations, but recall that these algorithms
will increase the potential for solving a
problem
Equations
12
Numerical Methods
All methods implement iterative solution
techniques.
Each method has another way to update the
solution.
All methods may sometimes converge
toward a solution and may also diverge,
depending on
Specifics of the problem
The initial guess used.
Equations
13
Three broad classes of methods

Methods that dont use partial derivatives
Gauss-Jacobi like direct substitution
Wegstein like false position
Methods that use partial derivatives

Analytical partial derivatives
Partial derivatives based on finite difference
estimates
Optimization-based methods
Excels solver
Matlab fsolve function
Equations
14
Iterative Methods without Partial

Derivatives
Gauss-Jacobi
Similar to method of direct substitution
Example
x1 2 x2 x3 33
x12 x22 x32 81
x1 x2
x3 2 4

Equations
15
Gauss-Jacobi
Rearrange to obtain an equation for each variable
33 x1*
*
*
*
x3 f1 x1 , x2 , x3
x2*
x
4 x
* 2
3
* 2
1
x2 f 2 x , x , x 81 x
*
1
*
2
*
3
x1 f 3 x1* , x2* , x3*
*
3
x2*
Iterate using these equations, check for convergence by

comparing change in each variable from one step to
the next, e.g. for the kth iteration, error x x
k
1

Equations
k 1
1
k 1
1
16
Spreadsheet for Gauss-Jacobi

k
1.0000
2.0000
3.0000
4.0000
5.0000
6.0000
7.0000
8.0000
9.0000
10.0000
11.0000
12.0000
13.0000
14.0000
15.0000
16.0000
17.0000
18.0000
x2
x3
error1
error2
error3
2.0000 10.0000
0.5488 7.2111
1.5229 8.4096
0.7964 7.6595
1.1354 8.1300
0.9157 7.8828
1.0427 8.0457
0.9704 7.9617
1.0144 8.0163
0.9901 7.9876
1.0049 8.0057
0.9967 7.9960
1.0017 8.0020
0.9989 7.9987
1.0006 8.0007
0.9996 7.9996
1.0002 8.0002
0.9999 7.9999
5.0000
3.1586
4.4735
3.7773
4.1919
3.9280
4.0649
3.9747
4.0211
3.9910
4.0068
3.9968
4.0022
3.9989
4.0007
3.9996
4.0002
3.9999
-0.726
1.775
-0.477
0.426
-0.194
0.139
-0.069
0.045
-0.024
0.015
-0.008
0.005
-0.003
0.002
-0.001
0.001
0.000
-0.279
0.166
-0.089
0.061
-0.030
0.021
-0.010
0.007
-0.004
0.002
-0.001
0.001
0.000
0.000
0.000
0.000
0.000
-0.368
0.416
-0.156
0.110
-0.063
0.035
-0.022
0.012
-0.007
0.004
-0.002
0.001
-0.001
0.000
0.000
0.000
0.000
x1

Equations
17
Methods without partial

derivatives
Wegsteins Method
Similar to a multi-dimensional false position
method
Generally requires fewer iterations that GaussJacobi and less likely to diverge
Again write equations as x f {x , x ,, x }, i 1,2,, m

Use direct substitution to obtain 2nd guess
i

Equations
18
Wegstein method
Use iterative equations for subsequent
guesses
xi( k 1) t i f i x1( k ) , x2( k ) ,, xm( k ) 1 t i xi( k ) ,i 1,2,, m

where :
ti
1
1 si
f i x1( k ) , x2( k ) ,, xm( k ) f i x1( k 1) , x2( k 1) ,, xm( k 1 _

si
xi( k ) xi( k 1)
We usually limit the distance you can

extrapolate by setting t t A typical value
for tmax is 10.
i
max

Equations
19
Wegstein example
k
x1
x2
x3
f1
s1
t1
f2
s2
t2
1.0000
2.0000
10.0000
5.0000
0.5488
2.0000
0.5488
7.2111
3.1586
1.5229
-0.6712
0.5984
8.4096
-0.4298
0.6994
4.4735
-0.7141
0.5834
-0.726
-0.279
-0.368
3.0000
1.1317
8.0494
3.9257
1.0219
-0.8595
0.5378
8.0192
-0.4657
0.6823
3.9675
-0.6596
0.6026
1.062
0.116
0.243
4.0000
1.0727
8.0288
3.9509
1.0149
0.1189
1.1349
8.0150
0.2071
1.2611
3.9812
0.5427
2.1865
-0.052
-0.003
0.006
5.0000
1.0071
8.0113
4.0171
0.9922
0.3469
1.5313
7.9905
1.4004
-2.4974
3.9939
0.1916
1.2370
-0.061
-0.002
0.017
6.0000
0.9842
8.0634
3.9884
0.9965
-0.1872
0.8423
8.0078
0.3313
1.4954
3.9695
0.8468
6.5275
-0.023
0.006
-0.007
7.0000
0.9945
7.9802
3.8654
1.0544
5.6242
-0.2163
8.0666
-0.7071
0.5858
4.0103
-0.3312
0.7512
0.010
-0.010
-0.031
8.0000
0.9816
8.0308
3.9742
1.0058
3.7514
-0.3635
8.0151
-1.0170
0.4958
3.9858
-0.2247
0.8165
-0.013
0.006
0.028
9.0000
0.9728
8.0230
3.9837
1.0032
0.2941
1.4166
8.0115
0.4660
1.8725
3.9902
0.4670
1.8763
-0.009
-0.001
0.002
10.0000
1.0159
8.0014
3.9960
1.0013
-0.0444
0.9575
8.0000
0.5316
2.1349
3.9983
0.6567
2.9131
0.044
-0.003
0.003
11.0000
1.0020
7.9984
4.0028
0.9992
0.1550
1.1834
7.9984
0.5383
2.1661
4.0007
0.3512
1.5412
-0.014
0.000
0.002
12.0000
0.9987
7.9984
3.9996
1.0004
-0.3649
10.0000
8.0004
-45.5222
0.0215
4.0009
-0.0714
0.9333
-0.003
0.000
-0.001
13.0000
1.0158
7.9984
4.0008
0.9999
-0.0279
0.9729
7.9976
-63.7828
0.0154
3.9998
-0.8648
0.5363
0.017
0.000
0.000
14.0000
1.0003
7.9984
4.0003
1.0001
-0.0131
0.9871
7.9998
-180.0035
0.0055
4.0008
-1.8089
0.3560
-0.015
0.000
0.000
15.0000
1.0001
7.9984
4.0005
1.0000
0.3033
1.4354
7.9998
-7.8148
0.1134
4.0008
0.0564
1.0598
0.000
0.000
0.000
7.2111
f3
s3
t3
error1
error2
error3
3.1586

Equations
20


estimates
Excels solver
Equations
21
Newtons Method
Also called Newton-Raphson method
Write equations as f i {x1 , x2 ,, xm } 0
Write a Taylor series expansion of each equation
about the guess value
Rearrange the equation to solve for a new guess
value
Newtons method applied to a general set of n
nonlinear equations is given by
n f k x
j
j
d
f
x
i
k
x
j
1
i
i
x
Equations
k 1, 2, , n
22
Newtons method
This equation generates a system of n linear
equations for which the coefficient matrix,
called the Jacobian, is the partial derivatives
of the nonlinear equations evaluated at the
current values of the unknowns
The right hand side vector is a vector of
the negative values of the function values
evaluated at the current values of the
unknowns and di=xi(j+1) -xi(j)
Equations
23
Newtons method
Equations can be written
f1
x1
f 2
x1

f
m
x1
f1
x 2
f 2
x 2
f m
x 2
x
1
1
*

x2 2

x3
*

f m x m m
x m *
f1
x m
f 2
x m

Equations
24
Newtons Method
The Jacobian used by Newtons method can
be calculated using analytical expressions
for the elements of the Jacobian or it can be
calculated numerically using finite
difference formulas.
The finite difference approach is easier to
apply, but is susceptible to reliability issues
for highly nonlinear systems of equations.
Equations
25
Newtons Method
Newtons method will solve over 95% of
the nonlinear equation problems
encountered in engineering.
Similar to the results for a single nonlinear
equation,
A good initial guess for the unknowns is many
times required for reliable convergence.
The more linear that equations can be
formulated, the greater the reliability for
convergence and the better the computational
efficiency.
Equations
26
Newtons Method
Davis provides a VBA macro QUASINEWTON
to solve a set of equations using Jacobian
calculated by finite difference (see section 6.3.4,
page 209)
Lecture notes show VBA and Matlab code to
solve an example with analytically determined
Jacobian
Lecture notes show Matlab code to solve example
with Jacobian determined with finite difference
approximation.
Equations
27


estimates
Excels solver
Equations
28
Optimization-based Techniques
Write problem as f(x) = 0.
For any value of x other than the solution,
f(x) will not be zero. Could be positive or
negative.
Write a new function F ( x) [ f ( x)]
Use a multidimensional optimization code
to minimize this function. If the minimum is
equal to zero, then it solves the problem.
2

Equations
29
Excel and Matlab tools

Excel solver implements optimization
Matlab fsolve function performs
optimization of the same function.
Lecture notes show implementation of these
tools. See section 2.8 on page 62 of Davis
for how to turn on the Solver in Excel.
Excel solver and Matlab fsolve optimize the
same function.
Equations
30
Example of Excel Solver

Again, consider
1
x1 2 x2 x3 33
x12 x22 x32 81
x1 x2
x3 2 4
Rearrange to
1
f1 ( x1 , x2 , x3 ) x1 2 x2 x3 33 0
f 2 ( x1 , x2 , x3 ) x12 x22 x32 81 0
f 3 ( x1 , x2 , x3 ) x1 x2 3 x3 2 4 0
1

Equations
31
Excel Solver

Equations
32
Excel Solver

Equations
33
Excel Solver
Solution obtained

Equations
34
Matlab fsolve

Equations
35
Matlab fsolve

Equations
36
Convergence and Accuracy

Iterative solutions are required; therefore,
convergence is an issue. Similar to a single
nonlinear equation, a relative convergence
criterion is recommended. For convergence
all the unknowns should satisfy the relative
convergence criteria.
Accuracy is met by reducing the
convergence criteria until the desired
accuracy is attained.
Equations
37
Stability and Computational

Efficiency
Divergence during the iterative solution
process can be referred to as unstable
convergence.
The computational efficiency is primarily
related to the computational efficiency of
the linear equation solver because Newtons
method is based on solving a series of
linearized problems.
Equations
38
Important issues
Ensure equations formulated properly.
Make the equations as linear as possible
Make sure you have reasonable starting values for the
unknowns. Physical considerations may provide a good
starting value, as can simplifications of the nonlinear
equations.
Ensure that the answers are accurate. Choose the proper
convergence criterion and check your answers in the
original functions.
Always ensure the solution makes sense from an
engineering standpoint.
Equations
39
Conclusions
Solution of Simultaneous non-linear
algebraic equations is difficult
Several tools at our disposal
Always reduce the set of equations as much
as possible using precedence ordering or
tearing methods.
Many can be solved with Newtons method
Equations
40
End of Simultaneous nonlinear algebraic equations

Systems of Nonlinear Algebraic Equations

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Systems of Nonlinear Equations

In general, it is difficult to solve such sets of equations

1. Solve equation 4 for x3 and remove variable from set.

Only one non-linear equation (eqn 4) must be solved. All

The Tearing Method

Three broad classes of methods

Methods that use partial derivatives

Iterative Methods without Partial

Simultaneous Nonlinear Algebraic

x1 f 3 x1* , x2* , x3*

Iterate using these equations, check for convergence by

Simultaneous Nonlinear Algebraic

Spreadsheet for Gauss-Jacobi

Simultaneous Nonlinear Algebraic

Methods without partial

Again write equations as x f {x , x ,, x }, i 1,2,, m

Simultaneous Nonlinear Algebraic

xi( k 1) t i f i x1( k ) , x2( k ) ,, xm( k ) 1 t i xi( k ) ,i 1,2,, m

f i x1( k ) , x2( k ) ,, xm( k ) f i x1( k 1) , x2( k 1) ,, xm( k 1 _

We usually limit the distance you can

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Three broad classes of methods

Methods that use partial derivatives

Simultaneous Nonlinear Algebraic

Three broad classes of methods

Methods that use partial derivatives

Simultaneous Nonlinear Algebraic

Excel and Matlab tools

Example of Excel Solver

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Simultaneous Nonlinear Algebraic

Convergence and Accuracy

Stability and Computational

End of Simultaneous nonlinear algebraic equations

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