Max-Min-Root algorithms

[mkheidzedavid]

Hello!

I wonder which is the best algorithms to find the max-min or root(s) of a function... I have developed a code which passes through the all points of the function in a very big range and chooses if the value is max, min or equal to 0. So it takes very long time to get the value. What would you advice?

Thanks a lot

 

[Daniel Duffy]

Brent's method is good. It is used by Quantlib, discussed in Numerical Recipes and C++ code in Boost Math Toolkit.

http://svn.boost.org/svn/boost/sandbox/pdf/math/release/math.pdf

page 382 or thereabouts

 

[mkheidzedavid]

Thank you very much Daniel. Actually Im a C# user, could you recommend something similar for C# (i mean the PDF). Focused on mathematical programming.

Thanks 1000000 times

 

[Daniel Duffy]

You're welcome.
In the case of C# this library might be useful for the areas you mentioned.

http://www.alglib.net/