Archive for root finding

on arithmetic derivations of square roots

Posted in Books, Kids, pictures, R, Statistics with tags , , , , , , , , , on November 13, 2020 by xi'an

An intriguing question made a short-lived appearance on the CodeGolf section of Stack Exchange, before being removed, namely the (most concise possible) coding of an arithmetic derivation of the square root of an integer, S, with a 30 digit precision and using only arithmetic operators. I was not aware of the myriad of solutions available, as demonstrated on the dedicated WIkipedia page. And ended playing with three of them during a sleepless pre-election night!

The first solution for finding √S is based on a continued fraction representation of the root,


with a²≤S and r=S-a². It is straightforward to code-golf:


but I found it impossible to reach the 30 digit precision (even when decreasing the error bound from 10⁻⁹). Given the strict rules of the game, this would have been considered to be a failure.

The second solution is Goldschmidt’s algorithm


which is longer for code-golfing but produces both √S and 1/√S (and is faster than the Babylonian method and Newton-Raphson). Again no luck with high precision and almost surely unacceptable for the game.

The third solution is the most interesting [imho] as it mimicks long division, working two digits at a time (and connection with Napier’s bones)


plus providing an arbitrary number of digits with no error. This code requires S to be entered as a sequence of digits (with a possible extra top digit 0 to make the integer D even). Returning one digit at a time, it would further have satisfied the constraints of the question (if in a poorly condensed manner).

the buzz about nuzz

Posted in Books, Mountains, pictures, Statistics with tags , , , , , , , , , , , , , on April 6, 2020 by xi'an

“…expensive in these terms, as for each root, Λ(x(s),v) (at the cost of one epoch) has to be evaluated for each root finding iteration, for each node of the numerical integral

When using the ZigZag sampler, the main (?) difficulty is in producing velocity switch as the switches are produced as interarrival times of an inhomogeneous Poisson process. When the rate of this process cannot be integrated out in an analytical manner, the only generic approach I know is in using Poisson thinning, obtained by finding an integrable upper bound on this rate, generating from this new process and subsampling. Finding the bound is however far from straightforward and may anyway result in an inefficient sampler. This new paper by Simon Cotter, Thomas House and Filippo Pagani makes several proposals to simplify this simulation, Nuzz standing for numerical ZigZag. Even better (!), their approach is based on what they call the Sellke construction, with Tom Sellke being a probabilist and statistician at Purdue University (trivia: whom I met when spending a postdoctoral year there in 1987-1988) who also wrote a fundamental paper on the opposition between Bayes factors and p-values with Jim Berger.

“We chose as a measure of algorithm performance the largest Kolmogorov-Smirnov (KS) distance between the MCMC sample and true distribution amongst all the marginal distributions.”

The practical trick is rather straightforward in that it sums up as the exponentiation of the inverse cdf method, completed with a numerical resolution of the inversion. Based on the QAGS (Quadrature Adaptive Gauss-Kronrod Singularities) integration routine. In order to save time Kingman’s superposition trick only requires one inversion rather than d, the dimension of the variable of interest. This nuzzled version of ZIgZag can furthermore be interpreted as a PDMP per se. Except that it retains a numerical error, whose impact on convergence is analysed in the paper. In terms of Wasserstein distance between the invariant measures. The paper concludes with a numerical comparison between Nuzz and random walk Metropolis-Hastings, HMC, and manifold MALA, using the number of evaluations of the likelihood as a measure of time requirement. Tuning for Nuzz is described, but not for the competition. Rather dramatically the Nuzz algorithm performs worse than this competition when counting one epoch for each likelihood computation and better when counting one epoch for each integral inversion. Which amounts to perfect inversion, unsurprisingly. As a final remark, all models are more or less Normal, with very smooth level sets, maybe not an ideal range