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Brent's Method in C++

VTQ

C++ Certificate
Joined
8/10/18
Messages
122
Points
128
Hi All,

I am looking for an efficient implementation of Brent's method. I understand it is available in Boost. However is there any other implementation which you would recommend ?

Any suggestions for implementing indenpendently are also welcome.

Thanks in advance!

@Daniel Duffy
 
Yes, it is in Boost. It works very well.

Can you be more precise? Do you want other solvers for a problem? etc.
 
Daniel Duffy said:
Yes, it is in Boost. It works very well.

Can you be more precise? Do you want other solvers for a problem? etc.
Click to expand...
Hi Daniel, Thank you for the response. To be precise, I am looking for implementation of Brent's method without boost libraries. My purpose is solving for implied vol.
I want to use this in Python wherever possible for faster compute. So instead using Scipy, I want to keep my library light. I hope that makes sense.
 
That's a good argument :) I might even try it myself.

1.
  • Brent, R. P. (1973), "Chapter 4: An Algorithm with Guaranteed Convergence for Finding a Zero of a Function", Algorithms for Minimization without Derivatives, Englewood Cliffs, NJ: Prentice-Hall, ISBN 0-13-022335-2 (can alway write f(x) = 0 as min f(x)*f(x) ==. very robust fo iv Ihave found).
2. Numercal,Recipes section 9.3 vn Wijngaarden-Dekker-Brent ==> 1 page of C code.
3. Use source code in Boost C++ and leave the rest behind. (boost\maths\tools\minima.hpp)
(4. solve min f(x)*f(x) by formulating as an ODE .... more advanced).

I reckon this should help! Good luck. :cool:

//

Boost Code >> NR Code
 
Last edited:
Daniel Duffy said:
That's a good argument :) I might even try it myself.

1.
  • Brent, R. P. (1973), "Chapter 4: An Algorithm with Guaranteed Convergence for Finding a Zero of a Function", Algorithms for Minimization without Derivatives, Englewood Cliffs, NJ: Prentice-Hall, ISBN 0-13-022335-2 (can alway write f(x) = 0 as min f(x)*f(x) ==. very robust fo iv Ihave found).
2. Numercal,Recipes section 9.3 vn Wijngaarden-Dekker-Brent ==> 1 page of C code.
3. Use source code in Boost C++ and leave the rest behind. (boost\maths\tools\minima.hpp)
(4. solve min f(x)*f(x) by formulating as an ODE .... more advanced).

I reckon this should help! Good luck. :cool:

//

Boost Code >> NR Code
Click to expand...
Thanks a lot, let me give this a go.
 
If you get time, give us a shout on how it went.
You can benchmark againg Python and Boost. It would be an interesting test of accuracy, robustness, effiiciency etc.
 
Last edited:
VTQ said:
Thanks a lot, let me give this a go.
Click to expand...

Daniel Duffy said:
If you get time, give us a shout on how it went.
You can benchmark againg Python and Boost. It would be an interesting test of accuracy, robustness, effiiciency etc.
Click to expand...
Sure, it may not be immediate but I will definitely update on this post. All I can say now is brentq from Scipy is robust, however it is on slow side :)
 
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