alglib 0.1.1

data/ext/alglib/chisquaredistr.h

@@ -0,0 +1,144 @@
+/*************************************************************************
+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.
+*************************************************************************/
+
+#ifndef _chisquaredistr_h
+#define _chisquaredistr_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+#include "igammaf.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);
+
+
+/*************************************************************************
+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);
+
+
+/*************************************************************************
+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);
+
+
+#endif

data/ext/alglib/cholesky.cpp

@@ -0,0 +1,285 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee.  All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN 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 "cholesky.h"
+
+/*************************************************************************
+Cholesky decomposition
+
+The algorithm computes Cholesky decomposition of a symmetric
+positive-definite matrix.
+
+The result of an algorithm is a representation of matrix A as A = U'*U or
+A = L*L'.
+
+Input parameters:
+    A       -   upper or lower triangle of a factorized matrix.
+                array with elements [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   if IsUpper=True, then A contains an upper triangle of
+                a symmetric matrix, otherwise A contains a lower one.
+
+Output parameters:
+    A       -   the result of factorization. If IsUpper=True, then
+                the upper triangle contains matrix U, so that A = U'*U,
+                and the elements below the main diagonal are not modified.
+                Similarly, if IsUpper = False.
+
+Result:
+    If the matrix is positive-definite, the function returns True.
+    Otherwise, the function returns False. This means that the
+    factorization could not be carried out.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     February 29, 1992
+*************************************************************************/
+bool spdmatrixcholesky(ap::real_2d_array& a, int n, bool isupper)
+{
+    bool result;
+    int i;
+    int j;
+    double ajj;
+    double v;
+
+    
+    //
+    //     Test the input parameters.
+    //
+    ap::ap_error::make_assertion(n>=0, "Error in SMatrixCholesky: incorrect function arguments");
+    
+    //
+    //     Quick return if possible
+    //
+    result = true;
+    if( n<=0 )
+    {
+        return result;
+    }
+    if( isupper )
+    {
+        
+        //
+        // Compute the Cholesky factorization A = U'*U.
+        //
+        for(j = 0; j <= n-1; j++)
+        {
+            
+            //
+            // Compute U(J,J) and test for non-positive-definiteness.
+            //
+            v = ap::vdotproduct(a.getcolumn(j, 0, j-1), a.getcolumn(j, 0, j-1));
+            ajj = a(j,j)-v;
+            if( ajj<=0 )
+            {
+                result = false;
+                return result;
+            }
+            ajj = sqrt(ajj);
+            a(j,j) = ajj;
+            
+            //
+            // Compute elements J+1:N of row J.
+            //
+            if( j<n-1 )
+            {
+                for(i = 0; i <= j-1; i++)
+                {
+                    v = a(i,j);
+                    ap::vsub(&a(j, j+1), &a(i, j+1), ap::vlen(j+1,n-1), v);
+                }
+                v = 1/ajj;
+                ap::vmul(&a(j, j+1), ap::vlen(j+1,n-1), v);
+            }
+        }
+    }
+    else
+    {
+        
+        //
+        // Compute the Cholesky factorization A = L*L'.
+        //
+        for(j = 0; j <= n-1; j++)
+        {
+            
+            //
+            // Compute L(J,J) and test for non-positive-definiteness.
+            //
+            v = ap::vdotproduct(&a(j, 0), &a(j, 0), ap::vlen(0,j-1));
+            ajj = a(j,j)-v;
+            if( ajj<=0 )
+            {
+                result = false;
+                return result;
+            }
+            ajj = sqrt(ajj);
+            a(j,j) = ajj;
+            
+            //
+            // Compute elements J+1:N of column J.
+            //
+            if( j<n-1 )
+            {
+                for(i = j+1; i <= n-1; i++)
+                {
+                    v = ap::vdotproduct(&a(i, 0), &a(j, 0), ap::vlen(0,j-1));
+                    a(i,j) = a(i,j)-v;
+                }
+                v = 1/ajj;
+                ap::vmul(a.getcolumn(j, j+1, n-1), v);
+            }
+        }
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+*************************************************************************/
+bool choleskydecomposition(ap::real_2d_array& a, int n, bool isupper)
+{
+    bool result;
+    int i;
+    int j;
+    double ajj;
+    double v;
+    int jm1;
+    int jp1;
+
+    
+    //
+    //     Test the input parameters.
+    //
+    ap::ap_error::make_assertion(n>=0, "Error in CholeskyDecomposition: incorrect function arguments");
+    
+    //
+    //     Quick return if possible
+    //
+    result = true;
+    if( n==0 )
+    {
+        return result;
+    }
+    if( isupper )
+    {
+        
+        //
+        // Compute the Cholesky factorization A = U'*U.
+        //
+        for(j = 1; j <= n; j++)
+        {
+            
+            //
+            // Compute U(J,J) and test for non-positive-definiteness.
+            //
+            jm1 = j-1;
+            v = ap::vdotproduct(a.getcolumn(j, 1, jm1), a.getcolumn(j, 1, jm1));
+            ajj = a(j,j)-v;
+            if( ajj<=0 )
+            {
+                result = false;
+                return result;
+            }
+            ajj = sqrt(ajj);
+            a(j,j) = ajj;
+            
+            //
+            // Compute elements J+1:N of row J.
+            //
+            if( j<n )
+            {
+                for(i = j+1; i <= n; i++)
+                {
+                    jm1 = j-1;
+                    v = ap::vdotproduct(a.getcolumn(i, 1, jm1), a.getcolumn(j, 1, jm1));
+                    a(j,i) = a(j,i)-v;
+                }
+                v = 1/ajj;
+                jp1 = j+1;
+                ap::vmul(&a(j, jp1), ap::vlen(jp1,n), v);
+            }
+        }
+    }
+    else
+    {
+        
+        //
+        // Compute the Cholesky factorization A = L*L'.
+        //
+        for(j = 1; j <= n; j++)
+        {
+            
+            //
+            // Compute L(J,J) and test for non-positive-definiteness.
+            //
+            jm1 = j-1;
+            v = ap::vdotproduct(&a(j, 1), &a(j, 1), ap::vlen(1,jm1));
+            ajj = a(j,j)-v;
+            if( ajj<=0 )
+            {
+                result = false;
+                return result;
+            }
+            ajj = sqrt(ajj);
+            a(j,j) = ajj;
+            
+            //
+            // Compute elements J+1:N of column J.
+            //
+            if( j<n )
+            {
+                for(i = j+1; i <= n; i++)
+                {
+                    jm1 = j-1;
+                    v = ap::vdotproduct(&a(i, 1), &a(j, 1), ap::vlen(1,jm1));
+                    a(i,j) = a(i,j)-v;
+                }
+                v = 1/ajj;
+                jp1 = j+1;
+                ap::vmul(a.getcolumn(j, jp1, n), v);
+            }
+        }
+    }
+    return result;
+}
+
+
+

data/ext/alglib/cholesky.h

@@ -0,0 +1,86 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee.  All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN 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.
+*************************************************************************/
+
+#ifndef _cholesky_h
+#define _cholesky_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Cholesky decomposition
+
+The algorithm computes Cholesky decomposition of a symmetric
+positive-definite matrix.
+
+The result of an algorithm is a representation of matrix A as A = U'*U or
+A = L*L'.
+
+Input parameters:
+    A       -   upper or lower triangle of a factorized matrix.
+                array with elements [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   if IsUpper=True, then A contains an upper triangle of
+                a symmetric matrix, otherwise A contains a lower one.
+
+Output parameters:
+    A       -   the result of factorization. If IsUpper=True, then
+                the upper triangle contains matrix U, so that A = U'*U,
+                and the elements below the main diagonal are not modified.
+                Similarly, if IsUpper = False.
+
+Result:
+    If the matrix is positive-definite, the function returns True.
+    Otherwise, the function returns False. This means that the
+    factorization could not be carried out.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     February 29, 1992
+*************************************************************************/
+bool spdmatrixcholesky(ap::real_2d_array& a, int n, bool isupper);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+*************************************************************************/
+bool choleskydecomposition(ap::real_2d_array& a, int n, bool isupper);
+
+
+#endif