Fixed Point Method | Sahithyan's Notes

A function $G$ from $D \subseteq \mathbb{R}^n$ into $\mathbb{R}^n$ has a fixed point at $\vec{p} \in D$ iff

G(\vec{p}) = \vec{p}

A nonlinear system $F(\vec{x}) = \vec{0}$ can be rewritten in fixed-point form $\vec{x} = G(\vec{x})$ , so that a solution of $F(\vec{x}) = \vec{0}$ is a fixed point of $G$ .

Rearranging F to G

For each coordinate function $f_i(\vec{x}) = 0$ , solve for one variable in terms of the rest to isolate $x_i$ , giving $x_i = g_i(\vec{x})$ . Stacking the $g_i$ ‘s gives $G = (g_1, \ldots, g_n)^T$ . This choice is not unique: $f_i = 0$ can be solved for any variable, and different choices give different $G$ ‘s with different convergence behavior under the fixed-point theorem.

Fixed-Point Iteration

Given $G$ and a starting vector $\vec{x}^{(0)}$ , generate

\vec{x}^{(k)} = G(\vec{x}^{(k-1)}), \quad k \geq 1

Fixed-Point Theorem in n-Space

Let $D = \{(x_1, x_2, \ldots, x_n)^T \mid a_i \leq x_i \leq b_i, \; i = 1, 2, \ldots, n\}$ for constants $a_i, b_i$ , and let $G: D \rightarrow \mathbb{R}^n$ be continuous with $G(\vec{x}) \in D$ whenever $\vec{x} \in D$ . Then $G$ has a fixed point in $D$ .

If, in addition, every component function of $G$ has continuous partial derivatives and a constant $K < 1$ exists with

\left|\frac{\partial g_i(\vec{x})}{\partial x_j}\right| \leq \frac{K}{n}, \quad \forall \vec{x} \in D, \; i, j = 1, 2, \ldots, n

then:

$G$ has a unique fixed point $\vec{p} \in D$ .
Fixed-point iteration converges to $\vec{p}$ for any $\vec{x}^{(0)} \in D$ .
$\lVert \vec{x}^{(k)} - \vec{p} \rVert_\infty \leq \dfrac{K^k}{1-K} \lVert \vec{x}^{(1)} - \vec{x}^{(0)} \rVert_\infty$ for each $k \geq 1$ .

Accelerating Convergence

Computing $\vec{x}^{(k)}$ with the already-updated components $x_1^{(k)}, \ldots, x_{i-1}^{(k)}$ in place of $x_1^{(k-1)}, \ldots, x_{i-1}^{(k-1)}$ , rather than waiting for the full previous iterate, is the Gauss-Seidel method applied to fixed-point iteration. It often converges faster, but not always.

Example

\begin{aligned} f_1(x_1, x_2, x_3) &= 3x_1 - \cos(x_2 x_3) - \tfrac{1}{2} \\ f_2(x_1, x_2, x_3) &= x_1^2 - 81(x_2 + 0.1)^2 + \sin x_3 + 1.06 \\ f_3(x_1, x_2, x_3) &= e^{-x_1 x_2} + 20x_3 + \tfrac{10\pi - 3}{3} \end{aligned}

For the coordinate functions $f_1, f_2, f_3$ , solving each $f_i = 0$ for $x_i$ gives the fixed-point form $\vec{x} = G(\vec{x})$ .

Solving $f_1 = 3x_1 - \cos(x_2x_3) - \tfrac{1}{2} = 0$ for $x_1$ :

3x_1 = \cos(x_2x_3) + \tfrac{1}{2} \implies x_1 = g_1(\vec{x}) = \tfrac{1}{3}\cos(x_2 x_3) + \tfrac{1}{6}

Solving $f_2 = x_1^2 - 81(x_2+0.1)^2 + \sin x_3 + 1.06 = 0$ for $x_2$ :

(x_2+0.1)^2 = \tfrac{1}{81}\left(x_1^2 + \sin x_3 + 1.06\right) \implies x_2 = g_2(\vec{x}) = \tfrac{1}{9}\sqrt{x_1^2 + \sin x_3 + 1.06} - 0.1

(taking the positive root, since the solution near the expected root has $x_2 + 0.1 > 0$ )

Solving $f_3 = e^{-x_1x_2} + 20x_3 + \tfrac{10\pi - 3}{3} = 0$ for $x_3$ :

20x_3 = -e^{-x_1x_2} - \tfrac{10\pi - 3}{3} \implies x_3 = g_3(\vec{x}) = -\tfrac{1}{20}e^{-x_1 x_2} - \tfrac{10\pi - 3}{60}

Verifying a Fixed Point Exists

Take $D = \{(x_1, x_2, x_3)^T \mid -1 \leq x_i \leq 1\}$ .

$G(D) \subseteq D$ : for $\vec{x} \in D$ , $x_2 x_3 \in [-1, 1]$ , so $\cos(x_2x_3) \in [\cos 1, 1] = [0.5403, 1]$ , giving

g_1(\vec{x}) \in \left[\tfrac{1}{3}(0.5403) + \tfrac{1}{6},\ \tfrac{1}{3}(1) + \tfrac{1}{6}\right] = [0.3468,\ 0.5]

Similarly $x_1^2 + \sin x_3 + 1.06 \in [0.2185, 2.9015]$ (using $\sin x_3 \in [-0.8415, 0.8415]$ , $x_1^2 \in [0, 1]$ ), so

g_2(\vec{x}) \in [-0.0481,\ 0.0893]

and $x_1 x_2 \in [-1, 1]$ gives $e^{-x_1x_2} \in [0.3679, 2.7183]$ , so

g_3(\vec{x}) \in [-0.6095,\ -0.4920]

All three ranges lie in $[-1, 1]$ , so $G(\vec{x}) \in D$ whenever $\vec{x} \in D$ . Every $g_i$ is continuous on $D$ , so by the Fixed-Point Theorem, $G$ has a fixed point in $D$ .

Verifying Uniqueness

The Jacobian matrix of $G$ is

J_G(\vec{x}) = \begin{pmatrix} 0 & -\tfrac{1}{3}x_3\sin(x_2x_3) & -\tfrac{1}{3}x_2\sin(x_2x_3) \\[6pt] \dfrac{x_1}{9\sqrt{x_1^2+\sin x_3+1.06}} & 0 & \dfrac{\cos x_3}{18\sqrt{x_1^2+\sin x_3+1.06}} \\[6pt] \tfrac{1}{20}x_2 e^{-x_1x_2} & \tfrac{1}{20}x_1 e^{-x_1x_2} & 0 \end{pmatrix}

Bounding each entry of $J_G(\vec{x})$ on $D$ (using $|x_i| \leq 1$ , $|\sin(x_2x_3)| \leq \sin 1 = 0.8415$ , $\sqrt{x_1^2+\sin x_3+1.06} \geq \sqrt{0.2185} = 0.4675$ , $e^{-x_1x_2} \leq e = 2.7183$ ):

\left|\frac{\partial g_1}{\partial x_2}\right|, \left|\frac{\partial g_1}{\partial x_3}\right| \leq 0.2805, \quad \left|\frac{\partial g_2}{\partial x_1}\right| \leq 0.2377, \quad \left|\frac{\partial g_2}{\partial x_3}\right| \leq 0.1189, \quad \left|\frac{\partial g_3}{\partial x_1}\right|, \left|\frac{\partial g_3}{\partial x_2}\right| \leq 0.1359

The largest of these is $0.2805$ , so taking $K = 0.85$ (so $K/n = K/3 = 0.2833 \geq 0.2805$ ) satisfies $\left|\left(J_G(\vec{x})\right)_{ij}\right| \leq K/n$ for all $i,j$ on $D$ , with $K < 1$ . By the Fixed-Point Theorem, $G$ therefore has a unique fixed point in $D$ , and fixed-point iteration converges to it for any $\vec{x}^{(0)} \in D$ .

Iterating to the Fixed Point

Starting from $\vec{x}^{(0)} = (0.1, 0.1, -0.1)^T \in D$ and applying $\vec{x}^{(k)} = G(\vec{x}^{(k-1)})$ :

$k$	$x_1^{(k)}$	$x_2^{(k)}$	$x_3^{(k)}$
0	0.10000	0.10000	-0.10000
1	0.49998	0.00944	-0.52310
2	0.49999	0.00003	-0.52336
3	0.50000	0.00001	-0.52360

For $k=1$ : $x_2^{(0)}x_3^{(0)} = -0.01$ , so $g_1 = \tfrac{1}{3}\cos(-0.01) + \tfrac{1}{6} = 0.49998$ ; $\left(x_1^{(0)}\right)^2 + \sin x_3^{(0)} + 1.06 = 0.97017$ , so $g_2 = \tfrac{1}{9}\sqrt{0.97017} - 0.1 = 0.00944$ ; $x_1^{(0)}x_2^{(0)} = 0.01$ , so $g_3 = -\tfrac{1}{20}e^{-0.01} - \tfrac{10\pi-3}{60} = -0.52310$ .

The iterates converge to $\vec{p} = \left(0.5,\ 0,\ -\tfrac{\pi}{6}\right) \approx (0.5, 0, -0.52360)$ , which checks out directly: $g_1(\vec{p}) = \tfrac{1}{3}\cos(0) + \tfrac{1}{6} = 0.5$ , $g_2(\vec{p}) = \tfrac{1}{9}\sqrt{0.25 - 0.5 + 1.06} - 0.1 = \tfrac{1}{9}\sqrt{0.81} - 0.1 = 0$ , $g_3(\vec{p}) = -\tfrac{1}{20}e^0 - \tfrac{10\pi-3}{60} = -0.05 - 0.4736 = -\tfrac{\pi}{6}$ .