Module quantmath::math::brent

Functions

zbrent

Brent's method of root-finding, based on the implementation given in Numerical Recipes in C by Press, Teukolsky, Vetterling and Flannery. The algorithm was developed in the 1960s by van Wijngaarden, Dekker et al and later improved by Brent. The algorithm uses bisection and inverse quadratic interpolation and is guaranteed to find a root, so long as one exists in the given range, and as long as it is allowed sufficient iterations. For smooth functions, it converges very quickly.