Arithmetic–geometric mean

In mathematics, the arithmetic–geometric mean (AGM) of two positive real numbers $x$ and $y$ is defined as follows:

Call $x$ and $y$ $a 0$ and $g 0$ :

{\begin{aligned}a_{0}&=x,\\g_{0}&=y.\end{aligned}}

Then define the two interdependent sequences $(a n)$ and $(g n)$ as

{\begin{aligned}a_{n+1}&={\tfrac {1}{2}}(a_{n}+g_{n}),\\g_{n+1}&={\sqrt {a_{n}g_{n}}}\,,\end{aligned}}

where the square root takes the principal value. These two sequences converge to the same number, the arithmetic–geometric mean of $x$ and $y$ ; it is denoted by $M (x, y)$ , or sometimes by $agm(x, y)$ .

The arithmetic-geometric mean is used in fast algorithms for exponential and trigonometric functions, as well as some mathematical constants, in particular, computing $\pi$ .

Example

To find the arithmetic–geometric mean of $a 0 = 24$ and $g 0 = 6$ , iterate as follows:

{\begin{array}{rcccl}a_{1}&=&{\tfrac {1}{2}}(24+6)&=&15\\g_{1}&=&{\sqrt {24\cdot 6}}&=&12\\a_{2}&=&{\tfrac {1}{2}}(15+12)&=&13.5\\g_{2}&=&{\sqrt {15\cdot 12}}&=&13.416\ 407\ 8649\dots \\&&\vdots &&\end{array}}

The first five iterations give the following values:

$n$	$a n$	$g n$
0	24	6
1	15	12
2	13.5	13.416 407 864 998 738 178 455 042...
3	13.458 203 932 499 369 089 227 521...	13.458 139 030 990 984 877 207 090...
4	13.458 171 481 745 176 983 217 305...	13.458 171 481 706 053 858 316 334...
5	13.458 171 481 725 615 420 766 820...	13.458 171 481 725 615 420 766 806...

The number of digits in which $a n$ and $g n$ agree (underlined) approximately doubles with each iteration. The arithmetic–geometric mean of 24 and 6 is the common limit of these two sequences, which is approximately 7001134581714817256♠13.4581714817256154207668131569743992430538388544.^[1]

History

The first algorithm based on this sequence pair appeared in the works of Lagrange. Its properties were further analyzed by Gauss.^[2]

Properties

The geometric mean of two positive numbers is never bigger than the arithmetic mean (see inequality of arithmetic and geometric means); as a consequence, for $n>0$ , $(g n)$ is an increasing sequence, $(a n)$ is a decreasing sequence, and $g n \leq M (x, y) \leq a n$ . These are strict inequalities if $x \neq y$ .

$M (x, y)$ is thus a number between the geometric and arithmetic mean of $x$ and $y$ ; it is also between $x$ and $y$ .

If $r \geq 0$ , then $M (rx, ry) = r M (x, y)$ .

There is an integral-form expression for $M (x, y)$ :

{\begin{aligned}M(x,y)&={\frac {\pi }{2}}\div \int _{0}^{\frac {\pi }{2}}{\frac {d\theta }{\sqrt {x^{2}\cos ^{2}\theta +y^{2}\sin ^{2}\theta }}}\\&={\frac {\pi }{4}}\cdot {\frac {x+y}{K\left({\frac {x-y}{x+y}}\right)}}\end{aligned}}

where $K (k)$ is the complete elliptic integral of the first kind:

K(k)=\int _{0}^{\frac {\pi }{2}}{\frac {d\theta }{\sqrt {1-k^{2}\sin ^{2}(\theta )}}}

Indeed, since the arithmetic–geometric process converges so quickly, it provides an efficient way to compute elliptic integrals via this formula. In engineering, it is used for instance in elliptic filter design.^[3]

Related concepts

The reciprocal of the arithmetic–geometric mean of 1 and the square root of 2 is called Gauss's constant, after Carl Friedrich Gauss.

{\frac {1}{M(1,{\sqrt {2}})}}=G=0.8346268\dots

The geometric–harmonic mean can be calculated by an analogous method, using sequences of geometric and harmonic means. The arithmetic–harmonic mean can be similarly defined, but takes the same value as the geometric mean.

The arithmetic–geometric mean can be used to compute – among others – logarithms, complete and incomplete elliptic integrals of the first and second kind,^[4] and Jacobi elliptic functions.^[5]

Proof of existence

From the inequality of arithmetic and geometric means we can conclude that:

g_{n}\leq a_{n}

and thus

g_{n+1}={\sqrt {g_{n}\cdot a_{n}}}\geq {\sqrt {g_{n}\cdot g_{n}}}=g_{n}

that is, the sequence $g n$ is nondecreasing.

Furthermore, it is easy to see that it is also bounded above by the larger of $x$ and $y$ (which follows from the fact that both the arithmetic and geometric means of two numbers lie between them). Thus, by the monotone convergence theorem, the sequence is convergent, so there exists a $g$ such that:

\lim _{n\to \infty }g_{n}=g

However, we can also see that:

a_{n}={\frac {g_{n+1}^{2}}{g_{n}}}

and so:

\lim _{n\to \infty }a_{n}=\lim _{n\to \infty }{\frac {g_{n+1}^{2}}{g_{n}}}={\frac {g^{2}}{g}}=g

Q.E.D.

Proof of the integral-form expression

This proof is given by Gauss.^[2] Let

I(x,y)=\int _{0}^{\pi /2}{\frac {d\theta }{\sqrt {x^{2}\cos ^{2}\theta +y^{2}\sin ^{2}\theta }}},

Changing the variable of integration to $\theta '$ , where

\sin \theta ={\frac {2x\sin \theta '}{(x+y)+(x-y)\sin ^{2}\theta '}},

gives

{\begin{aligned}I(x,y)&=\int _{0}^{\pi /2}{\frac {d\theta '}{\sqrt {{\bigl (}{\frac {1}{2}}(x+y){\bigr )}^{2}\cos ^{2}\theta '+{\bigl (}{\sqrt {xy}}{\bigr )}^{2}\sin ^{2}\theta '}}}\\&=I{\bigl (}{\tfrac {1}{2}}(x+y),{\sqrt {xy}}{\bigr )}.\end{aligned}}

Thus, we have

{\begin{aligned}I(x,y)&=I(a_{1},g_{1})=I(a_{2},g_{2})=\cdots \\&=I{\bigl (}M(x,y),M(x,y){\bigr )}=\pi /{\bigr (}2M(x,y){\bigl )}.\end{aligned}}

The last equality comes from observing that $I(z,z)=\pi /(2z)$ .

Finally, we obtain the desired result

M(x,y)=\pi /{\bigl (}2I(x,y){\bigr )}.

The AGM method

Gauss noticed^[6]^[7] that the sequences

{\begin{aligned}a_{0}&&b_{0}\\a_{1}&={\frac {a_{0}+b_{0}}{2}},&b_{1}&={\sqrt {a_{0}b_{0}}}\\a_{2}&={\frac {a_{1}+b_{1}}{2}},&b_{2}&={\sqrt {a_{1}b_{1}}}\\&{}\ \ \vdots &&{}\ \ \vdots \\a_{N+1}&={\frac {a_{N}+b_{N}}{2}},&b_{N+1}&={\sqrt {a_{N}b_{N}}}\end{aligned}}

as

N\to +\infty ,

have the same limit:

\lim _{N\to \infty }a_{N}=\lim _{N\to \infty }b_{N}=M(a,b),

the arithmetic–geometric mean, agm.

It is possible to use this fact to construct fast algorithms for calculating elementary transcendental functions and some classical constants, in particular, the constant $π$ .

Applications

The number π

For example, according to the Gauss–Salamin formula:^[8]

\pi ={\frac {4\left(M(1;{\frac {1}{\sqrt {2}}})\right)^{2}}{\displaystyle 1-\sum _{j=1}^{\infty }2^{j+1}c_{j}^{2}}},

where

c_{j}={\frac {1}{2}}\left(a_{j-1}-b_{j-1}\right)

which can be computed without loss of precision using

c_{j}={\frac {c_{j-1}^{2}}{4a_{j}}}.

Complete elliptic integral K(sinα)

Taking $a_{0}=1,\quad b_{0}=\cos \alpha$ , yields the agm,

\lim _{N\to \infty }a_{N}={\frac {\pi }{2K(\sin \alpha )}}~,

where $K (k)$ is a complete elliptic integral of the first kind,

K(k)=\int _{0}^{\pi /2}(1-k^{2}\sin ^{2}\theta )^{-1/2}\,d\theta ~.

That is to say that this quarter period may be efficiently computed through the agm,

K(k)={\frac {\pi }{2~M(1,{\sqrt {1-k^{2}}})}}~.

Other applications

Using this property of the AGM along with the ascending transformations of Landen,^[9] Richard Brent^[10] suggested the first AGM algorithms for the fast evaluation of elementary transcendental functions (e^x, cos x, sin x). Subsequently, many authors went on to study the use of the AGM algorithms.^[11]

External links

References

Notes

↑ agm(24, 6) at WolframAlpha
1 2 David A. Cox (2004). "The Arithmetic-Geometric Mean of Gauss". In J.L. Berggren; Jonathan M. Borwein; Peter Borwein. Pi: A Source Book. Springer. p. 481. ISBN 978-0-387-20571-7. first published in L'Enseignement Mathématique, t. 30 (1984), p. 275-330
↑ Hercules G. Dimopoulos (2011). Analog Electronic Filters: Theory, Design and Synthesis. Springer. pp. 147–155. ISBN 978-94-007-2189-0.
↑ Abramowitz, Milton; Stegun, Irene Ann, eds. (1983) [June 1964]. "Chapter 17". Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Applied Mathematics Series. 55 (Ninth reprint with additional corrections of tenth original printing with corrections (December 1972); first ed.). Washington D.C.; New York: United States Department of Commerce, National Bureau of Standards; Dover Publications. pp. 598–599. ISBN 978-0-486-61272-0. LCCN 64-60036. MR 0167642. LCCN 65-12253.
↑ King, Louis V. (1924). On The Direct Numerical Calculation Of Elliptic Functions And Integrals. Cambridge University Press.
↑ B. C. Carlson (1971). "Algorithms involving arithmetic and geometric means". Amer. Math. Monthly. 78: 496–505. doi:10.2307/2317754. MR 0283246.
↑ B. C. Carlson (1972). "An algorithm for computing logarithms and arctangents". Math. Comp. 26 (118): 543–549. doi:10.2307/2005182. MR 0307438.
↑ E. Salamin (1976). "Computation of π using arithmetic-geometric mean". Math. Comp. 30 (135): 565–570. doi:10.2307/2005327. MR 0404124.
↑ J. Landen (1775). "An investigation of a general theorem for finding the length of any arc of any conic hyperbola, by means of two elliptic arcs, with some other new and useful theorems deduced therefrom". Philosophical Transactions of the Royal Society. 65: 283–289. doi:10.1098/rstl.1775.0028.
↑ R. P. Brent (1976). "Fast Multiple-Precision Evaluation of Elementary Functions". J. Assoc. Comput. Mach. 23 (2): 242–251. CiteSeerX 10.1.1.98.4721. doi:10.1145/321941.321944. MR 0395314.
↑ Borwein, J. M.; Borwein, P. B. (1987). Pi and the AGM. New York: Wiley. ISBN 0-471-83138-7. MR 0877728.

Other

Daróczy Zoltán, Páles Zsolt (2002). "Gauss-composition of means and the solution of the Matkowski–Suto problem". Publ. Math. Debrecen. 61 (1–2): 157–218.
M. Hazewinkel (2001) [1994], "Arithmetic–geometric mean process", in Hazewinkel, Michiel, Encyclopedia of Mathematics, Springer Science+Business Media B.V. / Kluwer Academic Publishers, ISBN 978-1-55608-010-4
Weisstein, Eric W. "Arithmetic–Geometric mean". MathWorld.

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[1] (24, 6) at WolframAlpha

[BerggrenBorwein2004-2] 1 2 David A. Cox (2004). "The Arithmetic-Geometric Mean of Gauss". In J.L. Berggren; Jonathan M. Borwein; Peter Borwein. Pi: A Source Book. Springer. p. 481. ISBN 978-0-387-20571-7. first published in L'Enseignement Mathématique, t. 30 (1984), p. 275-330

[Dimopoulos2011-3] Hercules G. Dimopoulos (2011). Analog Electronic Filters: Theory, Design and Synthesis. Springer. pp. 147–155. ISBN 978-94-007-2189-0.

[4] Abramowitz, Milton; Stegun, Irene Ann, eds. (1983) [June 1964]. "Chapter 17". Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Applied Mathematics Series. 55 (Ninth reprint with additional corrections of tenth original printing with corrections (December 1972); first ed.). Washington D.C.; New York: United States Department of Commerce, National Bureau of Standards; Dover Publications. pp. 598–599. ISBN 978-0-486-61272-0. LCCN 64-60036. MR 0167642. LCCN 65-12253.

[5] King, Louis V. (1924). On The Direct Numerical Calculation Of Elliptic Functions And Integrals. Cambridge University Press.

[6] B. C. Carlson (1971). "Algorithms involving arithmetic and geometric means". Amer. Math. Monthly. 78: 496–505. doi:10.2307/2317754. MR 0283246.

[7] B. C. Carlson (1972). "An algorithm for computing logarithms and arctangents". Math. Comp. 26 (118): 543–549. doi:10.2307/2005182. MR 0307438.

[8] E. Salamin (1976). "Computation of π using arithmetic-geometric mean". Math. Comp. 30 (135): 565–570. doi:10.2307/2005327. MR 0404124.

[9] J. Landen (1775). "An investigation of a general theorem for finding the length of any arc of any conic hyperbola, by means of two elliptic arcs, with some other new and useful theorems deduced therefrom". Philosophical Transactions of the Royal Society. 65: 283–289. doi:10.1098/rstl.1775.0028.

[10] R. P. Brent (1976). "Fast Multiple-Precision Evaluation of Elementary Functions". J. Assoc. Comput. Mach. 23 (2): 242–251. CiteSeerX 10.1.1.98.4721. doi:10.1145/321941.321944. MR 0395314.

[11] Borwein, J. M.; Borwein, P. B. (1987). Pi and the AGM. New York: Wiley. ISBN 0-471-83138-7. MR 0877728.