Circumscribed ellipsoid algorithm for fixed-point problems

We present a new implementation of the almost optimal Circumscribed Ellipsoid (CE) Algorithm for approximating fixed points of nonexpanding functions, as well as of functions that may be globally expanding, however, are nonexpanding/contracting in the direction of fixed points. Our algorithm is based only on function values, i.e., it does not require computing derivatives of any order. We utilize the absolute and residual termination criteria with respect to the second norm. The numerical results confirm that the CE algorithm is much more efficient than the simple iteration algorithm whenever the Lipschitz constant is close to 1. We also compare it with the Newton-Raphson method. In some tests the Newton-Raphson method is more efficient than the CE method, especially when the problem size is large. However, the CE algorithm is an excellent method for low dimensional functions with discontinuities and/or low regularity. Our implementation can be downloaded from http://www.cs.utah.edu/~sikorski/cea.