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Survey Reweighting for Tax Microsimulation Modelling - WP 03/17

Appendix: Newton’s method

Consider finding the root of the single equation in one variable, where takes the form shown in Figure 9. Newton’s method involves taking an arbitrary starting point, and drawing the tangent, with slope . By approximating the function by the tangent, the new value is given by the point of intersection of this tangent with the axis, at . Selecting as the next starting point leads quickly to the required root.

Figure 9 – Newton’s method
Figure 9 – Newton’s method.

From the triangle in Figure 9:

(34)    

Hence, starting from , the sequence of iterations is:

(35)    

Convergence is reached when and depends on the accuracy required. Newton’s method is easily adapted to deal with a set of equations, where is a vector. The method involves repeatedly solving the following matrix equation, where now denotes the vector in the th iteration and is a vector containing the values.

(36)    

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