Steffensen's method

In numerical analysis, Steffensen's method is a root-finding method. It is similar to Newton's method and it also achieves quadratic convergence, but it does not use derivatives. The method is named after Johan Frederik Steffensen.

Generalised definition

Steffensen's method finds fixed points of a mapping ƒ. In the original definition, ƒ was supposed to be a real function, but the method has been generalised for functions ƒ on a Banach space X.

The method assumes that a family F(x',x") of bounded linear operators associated with x' and x" is known which satisfies

${\displaystyle F(x',x'')(x'-x'')=F(x')-F(x'').\,}$ 

Steffensen's method is then the same as Newton's method, except that it uses this operator instead of the derivative. It is thus defined by

${\displaystyle x_{k+1}=x_{k}+[I-F(f(x_{k}),x_{k})]^{-1}(f(x_{k})-x_{k}).\,}$ 

If F satisfies

${\displaystyle \|F(x,x')-F(y,y')\|\leq K{\big (}\|x-y\|+\|x'-y'\|{\big )}}$ 

for some constant K, then the method converges quadratically to a fixed point of ƒ if the initial approximation ${\displaystyle x_{0}}$  is sufficiently good.

References

• "On Steffensen's Method", L. W. Johnson; D. R. Scholz, SIAM Journal on Numerical Analysis, Vol. 5, No. 2. (Jun., 1968), pp. 296-302. Stable URL: [1]