Local convergence of a parameter based iteration with Holder continuous derivative in Banach spaces

[EN] The local convergence analysis of a parameter based iteration with Hölder continuous first derivative is studied for finding solutions of nonlinear equations in Banach spaces. It generalizes the local convergence analysis under Lipschitz continuous first derivative. The main contribution is to show the applicability to those problems for which Lipschitz condition fails without using higher order derivatives. An existence-uniqueness theorem along with the derivation of error bounds for the solution is established. Different numerical examples including nonlinear Hammerstein equation are solved. The radii of balls of convergence for them are obtained. Substantial improvements of these radii are found in comparison to some other existing methods under similar conditions for all examples considered.The authors thank the referees for their valuable comments which have improved the presentation of the paper. The authors thankfully acknowledge the financial assistance provided by Council of Scientific and Industrial Research (CSIR), New Delhi, India.Singh, S.; Gupta, DK.; Badoni, RP.; Martínez Molada, E.; Hueso Pagoaga, JL. (2017). Local convergence of a parameter based iteration with Holder continuous derivative in Banach spaces. CALCOLO. 54(2):527-539. doi:10.1007/s10092-016-0197-9S527539542Argyros, I.K., Hilout, S.: Numerical methods in nonlinear analysis. World Scientific Publ. Comp, New Jersey (2013)Argyros, I.K., Hilout, S., Tabatabai, M.A.: Mathematical modelling with applications in biosciences and engineering. Nova Publishers, New York (2011)Singh, S., Gupta, D.K., Martínez, E., Hueso, J.L.: Semilocal and local convergence of a fifth order iteration with Fréchet derivative satisfying Hölder condition. Appl. Math. Comput. 276, 266–277 (2016)Traub, J.F.: Iterative methods for the solution of equations. Prentice-Hall, Englewood Cliffs (1964)Rall, L.B.: Computational solution of nonlinear operator equations, reprint edn. R. E. Krieger, New York (2007)Cordero, A., Ezquerro, J.A., Hernández-Verón, M.A., Torregrosa, J.R.: On the local convergence of a fifth-order iterative method in Banach spaces. Appl. Math. Comput. 251, 396–403 (2015)Argyros, I.K., Hilout, A.S.: On the local convergence of fast two-step Newton-like methods for solving nonlinear equations. J. Comput. Appl. Math. 245, 1–9 (2013)Argyros, I.K., Behl, R., Motsa, S.S.: Local convergence of an efficient high convergence order method using hypothesis only on the first derivative. Algorithms 8, 1076–1087 (2015)Kantorovich, L.V., Akilov, G.P.: Functional analysis. Pergamon Press, Oxford (1982)Argyros, I.K., Magreñán, A.A.: A study on the local convergence and dynamics of Chebyshev-Halley-type methods free from second derivative. Numer. Algorithms 71, 1–23 (2016)Li, D., Liu, P., Kou, J.: An improvement ofthe Chebyshev-Halley methods free from second derivative. Appl. Math. Comput. 235, 221–225 (2014)Argyros, I.K., George, S.: Local convergence of deformed Halley method in Banach space under Holder continuity conditions. J. Nonlinear Sci. Appl. 8, 246–254 (2015)Argyros, I.K., Khattri, S.K.: Local convergence for a family of third order methods in Banach spaces. J. Math. 46, 53–62 (2014)Argyros, I.K., George, S., Magreñán, A.A.: Local convergence for multi-point-parametric Chebyshev-Halley-type methods of higher convergence order. J. Comput. Appl. Math. 282, 215–224 (2015)Argyros, I.K., George, S.: Local convergence of modified Halley-like methods with less computation of inversion. Novi. Sad. J. Math. 45, 47–58 (2015)Xiao, X.Y., Yin, H.W.: Increasing the order of convergence for iterative methods to solve nonlinear systems. Calcolo (2015). doi: 10.1007/s10092-015-0149-9Martínez, E., Singh, S., Hueso, J.L., Gupta, D.K.: Enlarging the convergence domain in local convergence studies for iterative methods in Banach spaces. Appl. Math. Comput. 281, 252–265 (2016

A study of the local convergence of a fifth order iterative method

[EN] We present a local convergence study of a fifth order iterative method to approximate a locally unique root of nonlinear equations. The analysis is discussed under the assumption that first order Frechet derivative satisfies the Lipschitz continuity condition. Moreover, we consider the derivative free method that obtained through approximating the derivative with divided difference along with the local convergence study. Finally, we provide computable radii and error bounds based on the Lipschitz constant for both cases. Some of the numerical examples are worked out and compared the results with existing methods.This research was partially supported by Ministerio de Economia y Competitividad under grant PGC2018-095896-B-C21-C22.Singh, S.; Martínez Molada, E.; Maroju, P.; Behl, R. (2020). A study of the local convergence of a fifth order iterative method. Indian Journal of Pure and Applied Mathematics. 51(2):439-455. https://doi.org/10.1007/s13226-020-0409-5S439455512A. Constantinides and N. Mostoufi, Numerical Methods for Chemical Engineers with MATLAB Applications, Prentice Hall PTR, New Jersey, (1999).J. M. Douglas, Process Dynamics and Control, Prentice Hall, Englewood Cliffs, (1972).M. Shacham, An improved memory method for the solution of a nonlinear equation, Chem. Eng. Sci., 44 (1989), 1495–1501.J. M. Ortega and W. C. Rheinboldt, Iterative solution of nonlinear equations in several variables, Academic Press, New-York, (1970).J. R. Sharma and H. Arora, A novel derivative free algorithm with seventh order convergence for solving systems of nonlinear equations, Numer. Algorithms, 67 (2014), 917–933.I. K. Argyros, A. A. Magreńan, and L. Orcos, Local convergence and a chemical application of derivative free root finding methods with one parameter based on interpolation, J. Math. Chem., 54 (2016), 1404–1416.E. L. Allgower and K. Georg, Lectures in Applied Mathematics, American Mathematical Society (Providence, RI) 26, 723–762.A. V. Rangan, D. Cai, and L. Tao, Numerical methods for solving moment equations in kinetic theory of neuronal network dynamics, J. Comput. Phys., 221 (2007), 781–798.A. Nejat and C. Ollivier-Gooch, Effect of discretization order on preconditioning and convergence of a high-order unstructured Newton-GMRES solver for the Euler equations, J. Comput. Phys., 227 (2008), 2366–2386.C. Grosan and A. Abraham, A new approach for solving nonlinear equations systems, IEEE Trans. Syst. Man Cybernet Part A: System Humans, 38 (2008), 698–714.F. Awawdeh, On new iterative method for solving systems of nonlinear equations, Numer. Algorithms, 54 (2010), 395–409.I. G. Tsoulos and A. Stavrakoudis, On locating all roots of systems of nonlinear equations inside bounded domain using global optimization methods, Nonlinear Anal. Real World Appl., 11 (2010), 2465–2471.E. Martínez, S. Singh, J. L. Hueso, and D. K. Gupta, Enlarging the convergence domain in local convergence studies for iterative methods in Banach spaces, Appl. Math. Comput., 281 (2016), 252–265.S. Singh, D. K. Gupta, E. Martínez, and J. L. Hueso, Semi local and local convergence of a fifth order iteration with Fréchet derivative satisfying Hölder condition, Appl. Math. Comput., 276 (2016), 266–277.I. K. Argyros and S. George, Local convergence of modified Halley-like methods with less computation of inversion, Novi. Sad.J. Math., 45 (2015), 47–58.I. K. Argyros, R. Behl, and S. S. Motsa, Local Convergence of an Efficient High Convergence Order Method Using Hypothesis Only on the First Derivative Algorithms 2015, 8, 1076–1087; doi:https://doi.org/10.3390/a8041076.A. Cordero, J. L. Hueso, E. Martínez, and J. R. Torregrosa, Increasing the convergence order of an iterative method for nonlinear systems, Appl. Math. Lett., 25 (2012), 2369–2374.I. K. Argyros and A. A. Magreñán, A study on the local convergence and dynamics of Chebyshev- Halley-type methods free from second derivative, Numer. Algorithms71 (2016), 1–23.M. Grau-Sánchez, Á Grau, asnd M. Noguera, Frozen divided difference scheme for solving systems of nonlinear equations, J. Comput. Appl. Math., 235 (2011), 1739–1743.M. Grau-Sánchez, M. Noguera, and S. Amat, On the approximation of derivatives using divided difference operators preserving the local convergence order of iterative methods, J. Comput. Appl. Math., 237 (2013), 363–372

Common price and volatility jumps in noisy high-frequency data

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local estimators of volatility jumps at price jump arrival times are designed using a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps

Optimization of the derivative expansion in the nonperturbative renormalization group

We study the optimization of nonperturbative renormalization group equations truncated both in fields and derivatives. On the example of the Ising model in three dimensions, we show that the Principle of Minimal Sensitivity can be unambiguously implemented at order $\partial^2$ of the derivative expansion. This approach allows us to select optimized cut-off functions and to improve the accuracy of the critical exponents $\nu$ and $\eta$. The convergence of the field expansion is also analyzed. We show in particular that its optimization does not coincide with optimization of the accuracy of the critical exponents.Comment: 13 pages, 9 PS figures, published versio