Nonlinear Algebraic Systems

1. Iterative solution methods

2. Fixed-point iteration
3. Newton-Raphson method
4. Secant method
5. Matlab tutorial
6. Matlab exercise
 Single Nonlinear Equation

Nonlinear algebraic equation: f(x) = 0
» Analytical solution rarely possible
» Need numerical techniques
» Multiples solutions may exist

Iterative solution
» Start with an initial guess x0
» Algorithm generates x1 from x0
» Repeat to generate sequence x0, x1, x2, …
» Assume sequence convergences to solution
» Terminate algorithm at iteration N when: f ( x N )  0

Many iterative algorithms available
» Fixed-point iteration, Newton-Raphson method, secant
method
 Fixed-Point Iteration

Formulation of iterative equation
f ( x)  0 x  f ( x)  x  g ( x) xn 1  g ( xn )
» A solution of x = g(x) is called a fixed point

Convergence
» The iterative process is convergent if the sequence x0, x1, x2, …
converges: lim ( xn 1  xn )  0
n
» Let x = g(x) have a solution x = s and assume that g(x) has a
continuous first-order derivative on some interval J containing s, then
the fixed-point iteration converges for any x0 in J & the limit of the
sequence {xn} is s if: g
 K 1 x J
x
» A function satisfying the theorem is called a contraction mapping:
g ( x )  g (v )  K x  v

» K determines the rate of convergence

 Newton-Raphson Method

Iterative equation derived from first-order Taylor
series expansion
 df  df ( xn )
f ( x)  f ( x )    ( x  x )  f ( xn 1 )  f ( xn )  ( xn 1  xn )  0
 dx  ( x ) dx


Algorithm
» Input data: f(x), df(x)/dx, x0, tolerance (), maximum
number of iterations (N)
» Given xn, compute xn+1 as:

f ( xn )
xn 1  xn 
df ( xn ) dx

» Continue until | xn+1-xn| < |xn| or n = N

 Convergence of the Newton-Raphson Method

Order
» Provides a measure of convergence rate
» Newton-Raphson method is second-order

Assume f(x) is three times differentiable, its first- and
second-order derivatives are non-zero at the solution x = s
& x0 is sufficiently close to s, then the Newton method is
second-order & exhibit quadratic converge to s
2
 n  s  xn   n 1  c  n

Caveats
» The method can converge slowly or even diverge for poorly chosen x0
» The solution obtained can depend on x0
» The method fails if the first-order derivative becomes zero
(singularity)
 Secant Method

Motivation
» Evaluation of df/dx may be computationally expensive
» Want efficient, derivative-free method

Derivative approximation
df ( xn ) f ( xn )  f ( xn 1 )

dx xn  xn 1

Secant algorithm
xn  xn 1
xn 1  xn  f ( xn )
f ( xn )  f ( xn 1 )

Convergence
m
» Superlinear:  n 1  c  n 1 m  2
» Similar to Newton-Raphson (m = 2)
 Matlab Tutorial

Solution of nonlinear algebraic equations with
Matlab

FZERO – scalar nonlinear zero finding
» Matlab function for solving a single nonlinear algebraic
equation
» Finds the root of a continuous function of one variable
» Syntax: x = fzero(‘fun’,xo)
– ‘fun’ is the name of the user provided Matlab m-file function
(fun.m) that evaluates & returns the LHS of f(x) = 0.
– xo is an initial guess for the solution of f(x) = 0.
» Algorithm uses a combination of bisection, secant, and
inverse quadratic interpolation methods.
 Matlab Tutorial cont.

Solution of a single nonlinear algebraic
equation:
1 1
f ( x)   6  0
( x  3)  0.01 ( x  0.9)  0.04
2 2


Write Matlab m-file function, fun.m:


Call fzero from the Matlab command line to
find the solution: >> xo = 0;
>> fzero('fun',xo)
ans =
0.5376

Different initial guesses, xo, can give different
solutions:
>> fzero('fun',1) >> fzero('fun',4)
ans = ans =
1.2694 3.4015
 Nonisothermal Chemical Reactor

Reaction: A  B

Assumptions
» Pure A in feed
» Perfect mixing
» Negligible heat losses
» Constant properties (, Cp,
H, U)
» Constant cooling jacket
temperature (Tj)


Constitutive relations
» Reaction rate/volume: r = kcA = k0exp(-E/RT)cA
» Heat transfer rate: Q = UA(Tj-T)
 Model Formulation

Mass balance
d ( V )
 0  wi  w  qi  q  qi  q
dt

Component balance
d ( M AVC A )
 M A qi C Ai  M A qC A  M AVr
dt
dC A
V  q(C Ai  C A )  Vk0 exp( E / RT )C A
dt

Energy balance
d
dt
 
VC p (T  Tref )  wi C p (Ti  Tref )  wC p (T  Tref )  (H )rV  Q
dT
VC p  qC p (Ti  T )  (H )Vk0 exp( E / RT )C A  UA(T j  T )
dt
 Matlab Exercise

Steady-state model
0  q(C Af  C A )  Vk0 exp( E / RT )C A
0   qC p (T f  T )  (H )Vk0 exp( E / RT )C A  UA(T j  T )


Parameter values
» k0 = 3.493x107 h-1, E = 11843 kcal/kmol
» (-H) = 5960 kcal/kmol, Cp = 500 kcal/m3/K
» UA = 150 kcal/h/K, R = 1.987 kcal/kmol/K
» V = 1 m3, q =1 m3/h,
» CAf = 10 kmol/m3, Tf = 298 K, Tj = 298 K.

Problem
» Find the three steady-state points: (C A , T )
 Matlab Tutorial cont.

FSOLVE – multivariable nonlinear zero finding
» Matlab function for solving a system of nonlinear algebraic
equations
» Syntax: x = fsolve(‘fun’,xo)
– Same syntax as fzero, but x is a vector of variables and the function,
‘fun’, returns a vector of equation values, f(x).
» Part of the Matlab Optimization toolbox
» Multiple algorithms available in options settings (e.g. trust-
region dogleg, Gauss-Newton, Levenberg-Marquardt)
Matlab Exercise: Solution with fsolve

Syntax for fsolve
» x = fsolve('cstr',xo,options)
» 'cstr' – name of the Matlab m-file function (cstr.m) for the CSTR model
» xo – initial guess for the steady state, xo = [CA T] ';
» options – Matlab structure of optimization parameter values created with the
optimset function

Solution for first steady state, Matlab command line input and output:
>> xo = [10 300]';
>> x = fsolve('cstr',xo,optimset('Display','iter'))

Norm of
First-order Trust-region
Iteration Func-count f(x) step optimality radius
0 3 1.29531e+007 1.76e+006 1
1 6 8.99169e+006 1 1.52e+006 1
2 9 1.91379e+006 2.5 7.71e+005 2.5
3 12 574729 6.25 6.2e+005 6.25
4 15 5605.19 2.90576 7.34e+004 6.25
5 18 0.602702 0.317716 776 7.26
6 21 7.59906e-009 0.00336439 0.0871 7.26
7 24 2.98612e-022 3.77868e-007 1.73e-008 7.26
Optimization terminated: first-order optimality is less than options.TolFun.

x =

8.5637
311.1702
 Matlab Exercise: cstr.m
function f = cstr(x)

ko = 3.493e7;
E = 11843;
H = -5960;
rhoCp = 500;
UA = 150;
R = 1.987;
V = 1;
q = 1;
Caf = 10;
Tf = 298;
Tj = 298;

Ca = x(1);
T = x(2);

f(1) = q*(Caf - Ca) - V*ko*exp(-E/R/T)*Ca;

f(2) = rhoCp*q*(Tf - T) + -H*V*ko*exp(-E/R/T)*Ca + UA*(Tj-T);

f=f';