alglib 0.1.1

data/ext/alglib/cdet.h

@@ -0,0 +1,92 @@
+/*************************************************************************
+Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _cdet_h
+#define _cdet_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "clu.h"
+
+
+/*************************************************************************
+Determinant calculation of the matrix given by its LU decomposition.
+
+Input parameters:
+    A       -   LU decomposition of the matrix (output of
+                RMatrixLU subroutine).
+    Pivots  -   table of permutations which were made during
+                the LU decomposition.
+                Output of RMatrixLU subroutine.
+    N       -   size of matrix A.
+
+Result: matrix determinant.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+ap::complex cmatrixludet(const ap::complex_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n);
+
+
+/*************************************************************************
+Calculation of the determinant of a general matrix
+
+Input parameters:
+    A       -   matrix, array[0..N-1, 0..N-1]
+    N       -   size of matrix A.
+
+Result: determinant of matrix A.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+ap::complex cmatrixdet(ap::complex_2d_array a, int n);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+*************************************************************************/
+ap::complex complexdeterminantlu(const ap::complex_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+*************************************************************************/
+ap::complex complexdeterminant(ap::complex_2d_array a, int n);
+
+
+#endif

data/ext/alglib/chebyshev.cpp

@@ -0,0 +1,216 @@
+
+#include <stdafx.h>
+#include "chebyshev.h"
+
+/*************************************************************************
+Calculation of the value of the Chebyshev polynomials of the
+first and second kinds.
+
+Parameters:
+    r   -   polynomial kind, either 1 or 2.
+    n   -   degree, n>=0
+    x   -   argument, -1 <= x <= 1
+
+Result:
+    the value of the Chebyshev polynomial at x
+*************************************************************************/
+double chebyshevcalculate(const int& r, const int& n, const double& x)
+{
+    double result;
+    int i;
+    double a;
+    double b;
+
+    
+    //
+    // Prepare A and B
+    //
+    if( r==1 )
+    {
+        a = 1;
+        b = x;
+    }
+    else
+    {
+        a = 1;
+        b = 2*x;
+    }
+    
+    //
+    // Special cases: N=0 or N=1
+    //
+    if( n==0 )
+    {
+        result = a;
+        return result;
+    }
+    if( n==1 )
+    {
+        result = b;
+        return result;
+    }
+    
+    //
+    // General case: N>=2
+    //
+    for(i = 2; i <= n; i++)
+    {
+        result = 2*x*b-a;
+        a = b;
+        b = result;
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Summation of Chebyshev polynomials using Clenshaw�s recurrence formula.
+
+This routine calculates
+    c[0]*T0(x) + c[1]*T1(x) + ... + c[N]*TN(x)
+or
+    c[0]*U0(x) + c[1]*U1(x) + ... + c[N]*UN(x)
+depending on the R.
+
+Parameters:
+    r   -   polynomial kind, either 1 or 2.
+    n   -   degree, n>=0
+    x   -   argument
+
+Result:
+    the value of the Chebyshev polynomial at x
+*************************************************************************/
+double chebyshevsum(const ap::real_1d_array& c,
+     const int& r,
+     const int& n,
+     const double& x)
+{
+    double result;
+    double b1;
+    double b2;
+    int i;
+
+    b1 = 0;
+    b2 = 0;
+    for(i = n; i >= 1; i--)
+    {
+        result = 2*x*b1-b2+c(i);
+        b2 = b1;
+        b1 = result;
+    }
+    if( r==1 )
+    {
+        result = -b2+x*b1+c(0);
+    }
+    else
+    {
+        result = -b2+2*x*b1+c(0);
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Representation of Tn as C[0] + C[1]*X + ... + C[N]*X^N
+
+Input parameters:
+    N   -   polynomial degree, n>=0
+
+Output parameters:
+    C   -   coefficients
+*************************************************************************/
+void chebyshevcoefficients(const int& n, ap::real_1d_array& c)
+{
+    int i;
+
+    c.setbounds(0, n);
+    for(i = 0; i <= n; i++)
+    {
+        c(i) = 0;
+    }
+    if( n==0||n==1 )
+    {
+        c(n) = 1;
+    }
+    else
+    {
+        c(n) = exp((n-1)*log(double(2)));
+        for(i = 0; i <= n/2-1; i++)
+        {
+            c(n-2*(i+1)) = -c(n-2*i)*(n-2*i)*(n-2*i-1)/4/(i+1)/(n-i-1);
+        }
+    }
+}
+
+
+/*************************************************************************
+Conversion of a series of Chebyshev polynomials to a power series.
+
+Represents A[0]*T0(x) + A[1]*T1(x) + ... + A[N]*Tn(x) as
+B[0] + B[1]*X + ... + B[N]*X^N.
+
+Input parameters:
+    A   -   Chebyshev series coefficients
+    N   -   degree, N>=0
+    
+Output parameters
+    B   -   power series coefficients
+*************************************************************************/
+void fromchebyshev(const ap::real_1d_array& a,
+     const int& n,
+     ap::real_1d_array& b)
+{
+    int i;
+    int k;
+    double e;
+    double d;
+
+    b.setbounds(0, n);
+    for(i = 0; i <= n; i++)
+    {
+        b(i) = 0;
+    }
+    d = 0;
+    i = 0;
+    do
+    {
+        k = i;
+        do
+        {
+            e = b(k);
+            b(k) = 0;
+            if( i<=1&&k==i )
+            {
+                b(k) = 1;
+            }
+            else
+            {
+                if( i!=0 )
+                {
+                    b(k) = 2*d;
+                }
+                if( k>i+1 )
+                {
+                    b(k) = b(k)-b(k-2);
+                }
+            }
+            d = e;
+            k = k+1;
+        }
+        while(k<=n);
+        d = b(i);
+        e = 0;
+        k = i;
+        while(k<=n)
+        {
+            e = e+b(k)*a(k);
+            k = k+2;
+        }
+        b(i) = e;
+        i = i+1;
+    }
+    while(i<=n);
+}
+
+
+

data/ext/alglib/chebyshev.h

@@ -0,0 +1,76 @@
+
+#ifndef _chebyshev_h
+#define _chebyshev_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Calculation of the value of the Chebyshev polynomials of the
+first and second kinds.
+
+Parameters:
+    r   -   polynomial kind, either 1 or 2.
+    n   -   degree, n>=0
+    x   -   argument, -1 <= x <= 1
+
+Result:
+    the value of the Chebyshev polynomial at x
+*************************************************************************/
+double chebyshevcalculate(const int& r, const int& n, const double& x);
+
+
+/*************************************************************************
+Summation of Chebyshev polynomials using Clenshaw�s recurrence formula.
+
+This routine calculates
+    c[0]*T0(x) + c[1]*T1(x) + ... + c[N]*TN(x)
+or
+    c[0]*U0(x) + c[1]*U1(x) + ... + c[N]*UN(x)
+depending on the R.
+
+Parameters:
+    r   -   polynomial kind, either 1 or 2.
+    n   -   degree, n>=0
+    x   -   argument
+
+Result:
+    the value of the Chebyshev polynomial at x
+*************************************************************************/
+double chebyshevsum(const ap::real_1d_array& c,
+     const int& r,
+     const int& n,
+     const double& x);
+
+
+/*************************************************************************
+Representation of Tn as C[0] + C[1]*X + ... + C[N]*X^N
+
+Input parameters:
+    N   -   polynomial degree, n>=0
+
+Output parameters:
+    C   -   coefficients
+*************************************************************************/
+void chebyshevcoefficients(const int& n, ap::real_1d_array& c);
+
+
+/*************************************************************************
+Conversion of a series of Chebyshev polynomials to a power series.
+
+Represents A[0]*T0(x) + A[1]*T1(x) + ... + A[N]*Tn(x) as
+B[0] + B[1]*X + ... + B[N]*X^N.
+
+Input parameters:
+    A   -   Chebyshev series coefficients
+    N   -   degree, N>=0
+    
+Output parameters
+    B   -   power series coefficients
+*************************************************************************/
+void fromchebyshev(const ap::real_1d_array& a,
+     const int& n,
+     ap::real_1d_array& b);
+
+
+#endif

data/ext/alglib/chisquaredistr.cpp

@@ -0,0 +1,157 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 2000 by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "chisquaredistr.h"
+
+/*************************************************************************
+Chi-square distribution
+
+Returns the area under the left hand tail (from 0 to x)
+of the Chi square probability density function with
+v degrees of freedom.
+
+
+                                  x
+                                   -
+                       1          | |  v/2-1  -t/2
+ P( x | v )   =   -----------     |   t      e     dt
+                   v/2  -       | |
+                  2    | (v/2)   -
+                                  0
+
+where x is the Chi-square variable.
+
+The incomplete gamma integral is used, according to the
+formula
+
+y = chdtr( v, x ) = igam( v/2.0, x/2.0 ).
+
+The arguments must both be positive.
+
+ACCURACY:
+
+See incomplete gamma function
+
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double chisquaredistribution(double v, double x)
+{
+    double result;
+
+    ap::ap_error::make_assertion(x>=0&&v>=1, "Domain error in ChiSquareDistribution");
+    result = incompletegamma(v/2.0, x/2.0);
+    return result;
+}
+
+
+/*************************************************************************
+Complemented Chi-square distribution
+
+Returns the area under the right hand tail (from x to
+infinity) of the Chi square probability density function
+with v degrees of freedom:
+
+                                 inf.
+                                   -
+                       1          | |  v/2-1  -t/2
+ P( x | v )   =   -----------     |   t      e     dt
+                   v/2  -       | |
+                  2    | (v/2)   -
+                                  x
+
+where x is the Chi-square variable.
+
+The incomplete gamma integral is used, according to the
+formula
+
+y = chdtr( v, x ) = igamc( v/2.0, x/2.0 ).
+
+The arguments must both be positive.
+
+ACCURACY:
+
+See incomplete gamma function
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double chisquarecdistribution(double v, double x)
+{
+    double result;
+
+    ap::ap_error::make_assertion(x>=0&&v>=1, "Domain error in ChiSquareDistributionC");
+    result = incompletegammac(v/2.0, x/2.0);
+    return result;
+}
+
+
+/*************************************************************************
+Inverse of complemented Chi-square distribution
+
+Finds the Chi-square argument x such that the integral
+from x to infinity of the Chi-square density is equal
+to the given cumulative probability y.
+
+This is accomplished using the inverse gamma integral
+function and the relation
+
+   x/2 = igami( df/2, y );
+
+ACCURACY:
+
+See inverse incomplete gamma function
+
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invchisquaredistribution(double v, double y)
+{
+    double result;
+
+    ap::ap_error::make_assertion(y>=0&&y<=1&&v>=1, "Domain error in InvChiSquareDistribution");
+    result = 2*invincompletegammac(0.5*v, y);
+    return result;
+}
+
+
+