2.3 Functional Iteration

We want to find a solution to the equation \(f(x)=0\) for \(f: \mathbb{R}^k\rightarrow \mathbb{R}\) and \(x\in S\subset \mathbb{R}^k\). One approach to solving this problem is to characterize solutions as fixed points of other functions. For example, if \(f(x_0) = 0\), then \(x_0\) is a fixed point of the function \(g(x)=f(x) + x\). Another such function might be \(g(x) = x(f(x) + 1)\) for \(x\ne 0\).

In some situations, we can construct a function \(g\) and a sequence \(x_n = g(x_{n-1})\) such that we have the sequence \(x_n\rightarrow x_\infty\) where \(g(x_\infty) = x_\infty\). In other words, the sequence of values \(x_n\) converges to a fixed point of \(g\). If this fixed point satisfies \(f(x_\infty) = 0\), then we have found a solution to our original problem.

The most important algorithm that we will discuss based on functional iteration is Newton’s method. The EM algorithm is also an algorithm that can be formulated as a functional iteration and we will discuss that at a later section.

When can such a functional iteration procedure work? The Shrinking Lemma gives us the conditions under which this type of sequence will converge.

2.3.1 The Shrinking Lemma

The Shrinking Lemma gives conditions under which a sequence derived via functional iteration will converge to a fixed point. Let \(M\) be a closed subset of a complete normed vector space and let \(f: M\rightarrow M\) be a map. Assume that there exists a \(K\), \(0<K<1\), such that for all \(x,y\in M\),

\[ \|f(x)-f(y)\|\leq K\|x-y\|. \]

Then \(f\) has a unique fixed point, i.e. there is a unique point \(x_0\in M\) such that \(f(x_0) = x_0\).

Proof: The basic idea of the proof of this lemma is that for a give \(x\in M\), we can construct a Cauchy sequence \(\{f^n(x)\}\) that converges to \(x_0\), where \(f^n(x)\) represents the \(n\)th functional iteration of \(x\), i.e. \(f^2(x) = f(f(x))\).

Given \(x\in M\), we can write

\[ \|f^2(x)-f(x)\| = \|f(f(x)) - f(x)\|\leq K\|f(x)-x\|. \]

By induction, we can therefore write

\[ \|f(^{n+1}(x)-f^{n}(x)\|\leq K\|f^n(x)-f^{n-1}(x)\|\leq K^n\|f(x)-x\|. \]

It then follows that

\[\begin{eqnarray*} \|f^n(x)-x\| & \leq & \|f^{n}(x)-f^{n-1}(x)\| + \|f^{n-1}(x)-f^{n-2}(x)\| + \cdots + \|f(x)-x\|\\ & \leq & (K^{n-1} + K^{n-2} + \cdots + K)\|f(x)-x\|\\ & \leq & \frac{1}{1-K}\|f(x)-x\|. \end{eqnarray*}\]

Given integers \(m\geq 1\) and \(k\geq 1\), we can write

\[\begin{eqnarray*} \|f^{m+k}(x)-f^k(x)\| & \leq & K^m\|f^k(x)-x\|\\ & \leq & K^m\frac{1}{1-K}\|f(x)-x\| \end{eqnarray*}\]

Therefore, there exists some \(N\) such that for all \(m, n\geq N\) (say \(n=m+k\)), we have \(\|f^n(x)-f^m(x)\|\leq\varepsilon\), because \(K^m\rightarrow 0\) as \(m\rightarrow\infty\). As a result, the sequence \(\{f^n(x)\}\) is a Cauchy sequence, so let \(x_0\) be its limit.

Given \(\varepsilon>0\), let \(N\) be such that for all \(n\geq N\), \(\|f^n(x)-x_0\|\leq\varepsilon\). Then we can also say that for \(n\geq N\),

\[ \|f(x_0) - f^{n+1}(x)\|\leq \|x_0-f^n(x)\|\leq\varepsilon \]

So what we have is \(\{f^n(x)\}\rightarrow x_0\) and we have \(\{f^n(x)\}\rightarrow f(x_0)\). Therefore, \(x_0\) is a fixed point of \(f\), so that \(f(x_0)=x_0\).

To show that \(x_0\) is unique, suppose that \(x_1\) is another fixed point of \(f\). Then

\[ \|x_1-x_0\| = \|f(x_1)-f(x_0)\|\leq K\|x_1-x_0\|. \] Because \(0<K<1\), we must have \(x_0=x_1\).

2.3.2 Convergence Rates for Shrinking Maps

Suppose \(g\) satisfies

\[ |g(x)-g(y)|\leq K|x-y| \] for some \(K\in (0,1)\) and any \(x, y\in I\), a closed interval. Therefore, \(g\) has a fixesd point at \(x_\infty\). Assume \(g\) is differentiable with \(0<|g^\prime(x_\infty)|<1\), where \(x_\infty\) is the fixed point of \(g\). Then \(x_n\rightarrow x_\infty\) linearly.

We can show that

\[ \frac{|x_{n+1}-x_\infty|}{|x_n-x_\infty|} = \frac{|g(x_n)-g(x_\infty)|}{|x_n-x_\infty|} \leq K \frac{|x_n-x_\infty|}{|x_n-x_\infty|}. \]

Because \(K\in(0,1)\), this shows that convergence to \(x_\infty\) is linear.