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Muller's Recurrence - roundoff gone wrong

Nov 22, 2014 math Mathematica

A while back I came upon a seemingly not-too-difficult programming exercise:

Define a recurrence  \(x_n\) by

$$f(y, z) = 108 - \frac{815 - 1500/z}{y}$$

$$x_0 = 4$$ $$x_1 = 4.25$$ $$x_i = f(x_{i-1}, x_{i-2})$$

Compute \(x_{30}\) .

This isn’t too hard to code up, using perhaps a recursive function to represent \(x_i\) . With normal double-precision floats, as \(i\) increases, the result converges neatly toward 100. Super!

Unfortunately, 100 is not even close to the right answer. This recurrence actually converges to 5.

The problem

This is known as ”Muller’s Recurrence,” crafted to highlight how quickly and dramatically floating point roundoff errors can cause things to fall apart, given the right (well, wrong) conditions. This paper reviews various roundoff perils, and this recurrence specifically (p. 14), in detail.  An alternative formulation of the problem can be found here.

I think many programmers, myself included, do realize that floating point math can go haywire in some situations, but brush it off as something that occurs only when extremely small or extremely large numbers are involved, or when some tremendous number of errors are accumulated.  This exercise, with its innocuous-looking constants and low iteration count, does a nice job demonstrating that roundoff errors can have significant impact even outside of numerical extremes.  In this case, the instability of the fixed point at 5 causes even minor numerical errors to significantly tilt the result.

I don’t really have anything new to add to that conversation, but thought this was a nice problem to share.

Computing the correct result

Comparing the first 100 values of the recurrence in standard floating point vs arbitrary precision arithmetic can be done with a short Mathematica program. Here we’ve used Mathematica’s nifty memoization syntax so that it’s pretty fast to compute even up to 100 or more iterations.

f[y_, z_] := 108 - (815 - 1500/z)/y;

xExact[0] = 4;
xExact[1] = 17/4;
xExact[n_] := xExact[n] = f[xExact[n-1], xExact[n-2]];

xFloat[0] = 4;
xFloat[1] = 4.25;
xFloat[n_] := xFloat[n] = f[xFloat[n-1], xFloat[n-2]];

TableForm[
 Table[{i, N[xExact[i], 20], N[xFloat[i], 20]}, {i, 0, 100}],
 TableHeadings ->
    {None, {"i", "x[i] \"exact\"", "x[i] floating point"}}
]

Results:

i     x[i] "exact"             x[i] floating point
----------------------------------------------------
0     4.0000000000000000000    4.0000000000000000000
1     4.2500000000000000000    4.25
2     4.4705882352941176471    4.47059
3     4.6447368421052631579    4.64474
4     4.7705382436260623229    4.77054
5     4.8557007125890736342    4.8557
6     4.9108474990827932004    4.91085
7     4.9455374041239167248    4.94554
8     4.9669625817627005987    4.96696
9     4.9800457013556311613    4.98004
10    4.9879794484783922601    4.98791
11    4.9927702880620680975    4.99136
12    4.9956558915066340266    4.96746
13    4.9973912683813441129    4.42971
14    4.9984339439448169190    -7.81676
15    4.9990600719708938678    168.943
16    4.9994359371468391480    102.04
17    4.9996615241037675378    100.1
18    4.9997969007134179127    100.005
19    4.9998781354779312492    100.
20    4.9999268795045999045    100.
21    4.9999561270611577381    100.
22    4.9999736760057124446    100.
23    4.9999842055202727079    100.
24    4.9999905232822276594    100.
25    4.9999943139585595936    100.
26    4.9999965883712560237    100.
27    4.9999979530213569080    100.
28    4.9999987718123113300    100.
29    4.9999992630872057846    100.
30    4.9999995578522583059    100.
31    4.9999997347113315242    100.
32    4.9999998408267904691    100.
33    4.9999999044960712411    100.
34    4.9999999426976416502    100.
35    4.9999999656185845961    100.
36    4.9999999793711506158    100.
37    4.9999999876226903184    100.
38    4.9999999925736141727    100.
39    4.9999999955441684970    100.
40    4.9999999973265010958    100.
41    4.9999999983959006566    100.
42    4.9999999990375403937    100.
43    4.9999999994225242361    100.
44    4.9999999996535145416    100.
45    4.9999999997921087250    100.
46    4.9999999998752652350    100.
47    4.9999999999251591410    100.
48    4.9999999999550954846    100.
49    4.9999999999730572908    100.
50    4.9999999999838343745    100.
51    4.9999999999903006247    100.
52    4.9999999999941803748    100.
53    4.9999999999965082249    100.
54    4.9999999999979049349    100.
55    4.9999999999987429610    100.
56    4.9999999999992457766    100.
57    4.9999999999995474659    100.
58    4.9999999999997284796    100.
59    4.9999999999998370877    100.
60    4.9999999999999022526    100.
61    4.9999999999999413516    100.
62    4.9999999999999648110    100.
63    4.9999999999999788866    100.
64    4.9999999999999873319    100.
65    4.9999999999999923992    100.
66    4.9999999999999954395    100.
67    4.9999999999999972637    100.
68    4.9999999999999983582    100.
69    4.9999999999999990149    100.
70    4.9999999999999994090    100.
71    4.9999999999999996454    100.
72    4.9999999999999997872    100.
73    4.9999999999999998723    100.
74    4.9999999999999999234    100.
75    4.9999999999999999540    100.
76    4.9999999999999999724    100.
77    4.9999999999999999835    100.
78    4.9999999999999999901    100.
79    4.9999999999999999940    100.
80    4.9999999999999999964    100.
81    4.9999999999999999979    100.
82    4.9999999999999999987    100.
83    4.9999999999999999992    100.
84    4.9999999999999999995    100.
85    4.9999999999999999997    100.
86    4.9999999999999999998    100.
87    4.9999999999999999999    100.
88    4.9999999999999999999    100.
89    5.0000000000000000000    100.
90    5.0000000000000000000    100.
91    5.0000000000000000000    100.
92    5.0000000000000000000    100.
93    5.0000000000000000000    100.
94    5.0000000000000000000    100.
95    5.0000000000000000000    100.
96    5.0000000000000000000    100.
97    5.0000000000000000000    100.
98    5.0000000000000000000    100.
99    5.0000000000000000000    100.
100   5.0000000000000000000    100.

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