---
title: "Notes on the fixed point framework"
date: "`r Sys.Date()`"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{fixedPoint}
  %\VignetteEngine{knitr::rmarkdown}
  \usepackage[utf8]{inputenc}
---

In this vignette you can find some notes and examples on the use of the fixed
point function and associated tools. The function itself is simple enough; it
evaluates:

$$
x_{n + 1} = f(x_{n})
$$

until a convergence criterion is reached. A convergence criterion is defined as
a function:

$$
convCrit(x_{n + 1}, x_{n}) = TRUE
$$

if convergence is reached and `FALSE` otherwise. As a simple example consider
the function

$$
f(x) = 1 + \frac{1}{x}
$$

To find the value of $x$ for which $f(x) = x$ we can use `fixedPoint`.

```{r}
library("saeRobust")
library("magrittr")
convCrit <- function(xn1, xn0) abs(xn0 - xn1) < 0.001
fixedPoint(function(x) 1 + 1 / x, rnorm(1), convCrit = convCrit)
```

# Square Root

Another example which can be used is to find the square root. The square root of
$p$ is the fixed point of the function

$$
f(x) = \frac{p}{x}
$$

In this example, however, the function does not necessarily converge. To show
this we modify our `convCrit` function to stop the algorithm after 10
iterations:

```{r}
sqrtFp <- function(p) {
  force(p)
  function(x) p / x
}
fixedPoint(sqrtFp(2), 2, addMaxIter(convCrit, 10))
```

Surprisingly we are not even close to the actual value. To check the values in
each iteration you can modify your fp function such that it saves the history of
values in all iterations:

```{r}
fixedPoint(addHistory(sqrtFp(2)), 2, addMaxIter(convCrit, 10))
```

What happens is that the functions oscillates between 1 and 2. To overcome this
average damping can be applied, which can also be beneficial with regards to the
speed of convergence:

```{r}
fixedPoint(addHistory(addAverageDamp(sqrtFp(2))), 2, addMaxIter(convCrit, 10))
```

## Square root solved with Newton-Raphson

The Newton Raphson is frequently used to fit statistical models. It is a special
case of the fixed point algorithm and exists as a convenience in this package.
The algorithm is defined as:

$$
x_{n + 1} = x_n + (f'(x_n))^{-1} f(x_n)
$$

To find the square root it is sufficient to find the root of

$$
f(x) = x^2 - p
$$

So we can implement the algorithm as follows:

```{r}
sqrtNr <- function(.p) {
  force(.p)
  f <- function(x) x^2 - .p
  f1 <- function(x) 2 * x
  as.list(environment())
}

newtonRaphson(sqrtNr(2), 2, convCrit = convCrit)
```

.
