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Quantitative Finance · Glossaire

Qu'est-ce que « Bisection, secant and Brent’s methods » ?

Aussi appelé : bisection method · secant method · Brent's method

Definition 28.8 Quantitative Methods · Chapitre 28 — Transforms, Interpolation and Algorithmic Differentiation

The bisection method halves a bracket [a,b][a, b] with f(a)f(b)<0f(a)f(b) < 0 at each step. The secant method replaces the derivative in Newton’s method by the slope through the last two iterates. Brent’s method (Brent, 1973) keeps a bracket and takes an inverse quadratic interpolation or secant step when it stays inside the bracket and shrinks it fast enough, and a bisection step otherwise.

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