The upper-crossing/solution (US) algorithm for root-finding with strongly stable convergence

TL;DR

The paper introduces the US root-finding algorithm, a non-bracketing method that guarantees strong stable convergence to the root without initial value dependence, applicable to various statistical problems.

Contribution

It proposes a novel root-finding algorithm with guaranteed convergence properties and broad applicability, including explicit construction of U-functions based on derivatives.

Findings

US algorithm converges strongly and stably to the root.

The method is applicable to quantile calculation, p-value computation, and MLE estimation.

Numerical experiments demonstrate its effectiveness and convergence rate.

Abstract

In this paper, we propose a new and broadly applicable root-finding method, called as the upper-crossing/solution (US) algorithm, which belongs to the category of non-bracketing (or open domain) methods. The US algorithm is a general principle for iteratively seeking the unique root $\theta^{*}$ of a non-linear equation $g(\theta)=0$ and its each iteration consists of two steps: an upper-crossing step (U-step) and a solution step (S-step), where the U-step finds an upper-crossing function or a $U$-function $U(\theta|\theta^{(t)})$ [whose form depends on $\theta^{(t)}$ being the $t$-th iteration of $\theta^{*}$] based on a new notion of so-called changing direction inequality, and the S-step solves the simple $U$-equation $U(\theta|\theta^{(t)}) =0$ to obtain its explicit solution $\theta^{(t+1)}$. The US algorithm holds two major advantages: (i) It strongly stably converges to the root $\theta^{*}$; and (ii) it does not depend on any initial values, in contrast to Newton's method. The key step for applying the US algorithm is to construct one simple $U$-function $U(\theta|\theta^{(t)})$ such that an explicit solution to the $U$-equation $U(\theta|\theta^{(t)}) =0$ is available. Based on the first-, second- and third-derivative of $g(\theta)$, three methods are given for constructing such $U$-functions. We show various applications of the US algorithm in such as calculating quantile in continuous distributions, calculating exact $p$-values for skew null distributions, and finding maximum likelihood estimates of parameters in a class of continuous/discrete distributions. The analysis of the convergence rate of the US algorithm and some numerical experiments are also provided. Especially, because of the property of strongly stable convergence, the US algorithm could be one of the powerful tools for solving an equation with multiple roots.