alglib 0.1.1

data/ext/alglib/fdistr.cpp

@@ -0,0 +1,202 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 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 "fdistr.h"
+
+/*************************************************************************
+F distribution
+
+Returns the area from zero to x under the F density
+function (also known as Snedcor's density or the
+variance ratio density).  This is the density
+of x = (u1/df1)/(u2/df2), where u1 and u2 are random
+variables having Chi square distributions with df1
+and df2 degrees of freedom, respectively.
+The incomplete beta integral is used, according to the
+formula
+
+P(x) = incbet( df1/2, df2/2, (df1*x/(df2 + df1*x) ).
+
+
+The arguments a and b are greater than zero, and x is
+nonnegative.
+
+ACCURACY:
+
+Tested at random points (a,b,x).
+
+               x     a,b                     Relative error:
+arithmetic  domain  domain     # trials      peak         rms
+   IEEE      0,1    0,100       100000      9.8e-15     1.7e-15
+   IEEE      1,5    0,100       100000      6.5e-15     3.5e-16
+   IEEE      0,1    1,10000     100000      2.2e-11     3.3e-12
+   IEEE      1,5    1,10000     100000      1.1e-11     1.7e-13
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double fdistribution(int a, int b, double x)
+{
+    double result;
+    double w;
+
+    ap::ap_error::make_assertion(a>=1&&b>=1&&x>=0, "Domain error in FDistribution");
+    w = a*x;
+    w = w/(b+w);
+    result = incompletebeta(0.5*a, 0.5*b, w);
+    return result;
+}
+
+
+/*************************************************************************
+Complemented F distribution
+
+Returns the area from x to infinity under the F density
+function (also known as Snedcor's density or the
+variance ratio density).
+
+
+                     inf.
+                      -
+             1       | |  a-1      b-1
+1-P(x)  =  ------    |   t    (1-t)    dt
+           B(a,b)  | |
+                    -
+                     x
+
+
+The incomplete beta integral is used, according to the
+formula
+
+P(x) = incbet( df2/2, df1/2, (df2/(df2 + df1*x) ).
+
+
+ACCURACY:
+
+Tested at random points (a,b,x) in the indicated intervals.
+               x     a,b                     Relative error:
+arithmetic  domain  domain     # trials      peak         rms
+   IEEE      0,1    1,100       100000      3.7e-14     5.9e-16
+   IEEE      1,5    1,100       100000      8.0e-15     1.6e-15
+   IEEE      0,1    1,10000     100000      1.8e-11     3.5e-13
+   IEEE      1,5    1,10000     100000      2.0e-11     3.0e-12
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double fcdistribution(int a, int b, double x)
+{
+    double result;
+    double w;
+
+    ap::ap_error::make_assertion(a>=1&&b>=1&&x>=0, "Domain error in FCDistribution");
+    w = b/(b+a*x);
+    result = incompletebeta(0.5*b, 0.5*a, w);
+    return result;
+}
+
+
+/*************************************************************************
+Inverse of complemented F distribution
+
+Finds the F density argument x such that the integral
+from x to infinity of the F density is equal to the
+given probability p.
+
+This is accomplished using the inverse beta integral
+function and the relations
+
+     z = incbi( df2/2, df1/2, p )
+     x = df2 (1-z) / (df1 z).
+
+Note: the following relations hold for the inverse of
+the uncomplemented F distribution:
+
+     z = incbi( df1/2, df2/2, p )
+     x = df2 z / (df1 (1-z)).
+
+ACCURACY:
+
+Tested at random points (a,b,p).
+
+             a,b                     Relative error:
+arithmetic  domain     # trials      peak         rms
+ For p between .001 and 1:
+   IEEE     1,100       100000      8.3e-15     4.7e-16
+   IEEE     1,10000     100000      2.1e-11     1.4e-13
+ For p between 10^-6 and 10^-3:
+   IEEE     1,100        50000      1.3e-12     8.4e-15
+   IEEE     1,10000      50000      3.0e-12     4.8e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invfdistribution(int a, int b, double y)
+{
+    double result;
+    double w;
+    double x;
+
+    ap::ap_error::make_assertion(a>=1&&b>=1&&y>0&&y<=1, "Domain error in InvFDistribution");
+    
+    //
+    // Compute probability for x = 0.5
+    //
+    w = incompletebeta(0.5*b, 0.5*a, 0.5);
+    
+    //
+    // If that is greater than y, then the solution w < .5
+    // Otherwise, solve at 1-y to remove cancellation in (b - b*w)
+    //
+    if( w>y||y<0.001 )
+    {
+        w = invincompletebeta(0.5*b, 0.5*a, y);
+        result = (b-b*w)/(a*w);
+    }
+    else
+    {
+        w = invincompletebeta(0.5*a, 0.5*b, 1.0-y);
+        result = b*w/(a*(1.0-w));
+    }
+    return result;
+}
+
+
+

data/ext/alglib/fdistr.h

@@ -0,0 +1,163 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 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 _fdistr_h
+#define _fdistr_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+#include "ibetaf.h"
+
+
+/*************************************************************************
+F distribution
+
+Returns the area from zero to x under the F density
+function (also known as Snedcor's density or the
+variance ratio density).  This is the density
+of x = (u1/df1)/(u2/df2), where u1 and u2 are random
+variables having Chi square distributions with df1
+and df2 degrees of freedom, respectively.
+The incomplete beta integral is used, according to the
+formula
+
+P(x) = incbet( df1/2, df2/2, (df1*x/(df2 + df1*x) ).
+
+
+The arguments a and b are greater than zero, and x is
+nonnegative.
+
+ACCURACY:
+
+Tested at random points (a,b,x).
+
+               x     a,b                     Relative error:
+arithmetic  domain  domain     # trials      peak         rms
+   IEEE      0,1    0,100       100000      9.8e-15     1.7e-15
+   IEEE      1,5    0,100       100000      6.5e-15     3.5e-16
+   IEEE      0,1    1,10000     100000      2.2e-11     3.3e-12
+   IEEE      1,5    1,10000     100000      1.1e-11     1.7e-13
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double fdistribution(int a, int b, double x);
+
+
+/*************************************************************************
+Complemented F distribution
+
+Returns the area from x to infinity under the F density
+function (also known as Snedcor's density or the
+variance ratio density).
+
+
+                     inf.
+                      -
+             1       | |  a-1      b-1
+1-P(x)  =  ------    |   t    (1-t)    dt
+           B(a,b)  | |
+                    -
+                     x
+
+
+The incomplete beta integral is used, according to the
+formula
+
+P(x) = incbet( df2/2, df1/2, (df2/(df2 + df1*x) ).
+
+
+ACCURACY:
+
+Tested at random points (a,b,x) in the indicated intervals.
+               x     a,b                     Relative error:
+arithmetic  domain  domain     # trials      peak         rms
+   IEEE      0,1    1,100       100000      3.7e-14     5.9e-16
+   IEEE      1,5    1,100       100000      8.0e-15     1.6e-15
+   IEEE      0,1    1,10000     100000      1.8e-11     3.5e-13
+   IEEE      1,5    1,10000     100000      2.0e-11     3.0e-12
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double fcdistribution(int a, int b, double x);
+
+
+/*************************************************************************
+Inverse of complemented F distribution
+
+Finds the F density argument x such that the integral
+from x to infinity of the F density is equal to the
+given probability p.
+
+This is accomplished using the inverse beta integral
+function and the relations
+
+     z = incbi( df2/2, df1/2, p )
+     x = df2 (1-z) / (df1 z).
+
+Note: the following relations hold for the inverse of
+the uncomplemented F distribution:
+
+     z = incbi( df1/2, df2/2, p )
+     x = df2 z / (df1 (1-z)).
+
+ACCURACY:
+
+Tested at random points (a,b,p).
+
+             a,b                     Relative error:
+arithmetic  domain     # trials      peak         rms
+ For p between .001 and 1:
+   IEEE     1,100       100000      8.3e-15     4.7e-16
+   IEEE     1,10000     100000      2.1e-11     1.4e-13
+ For p between 10^-6 and 10^-3:
+   IEEE     1,100        50000      1.3e-12     8.4e-15
+   IEEE     1,10000      50000      3.0e-12     4.8e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invfdistribution(int a, int b, double y);
+
+
+#endif

data/ext/alglib/fresnel.cpp

@@ -0,0 +1,211 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 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 "fresnel.h"
+
+/*************************************************************************
+Fresnel integral
+
+Evaluates the Fresnel integrals
+
+          x
+          -
+         | |
+C(x) =   |   cos(pi/2 t**2) dt,
+       | |
+        -
+         0
+
+          x
+          -
+         | |
+S(x) =   |   sin(pi/2 t**2) dt.
+       | |
+        -
+         0
+
+
+The integrals are evaluated by a power series for x < 1.
+For x >= 1 auxiliary functions f(x) and g(x) are employed
+such that
+
+C(x) = 0.5 + f(x) sin( pi/2 x**2 ) - g(x) cos( pi/2 x**2 )
+S(x) = 0.5 - f(x) cos( pi/2 x**2 ) - g(x) sin( pi/2 x**2 )
+
+
+
+ACCURACY:
+
+ Relative error.
+
+Arithmetic  function   domain     # trials      peak         rms
+  IEEE       S(x)      0, 10       10000       2.0e-15     3.2e-16
+  IEEE       C(x)      0, 10       10000       1.8e-15     3.3e-16
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1989, 2000 by Stephen L. Moshier
+*************************************************************************/
+void fresnelintegral(double x, double& c, double& s)
+{
+    double xxa;
+    double f;
+    double g;
+    double cc;
+    double ss;
+    double t;
+    double u;
+    double x2;
+    double sn;
+    double sd;
+    double cn;
+    double cd;
+    double fn;
+    double fd;
+    double gn;
+    double gd;
+    double mpi;
+    double mpio2;
+
+    mpi = 3.14159265358979323846;
+    mpio2 = 1.57079632679489661923;
+    xxa = x;
+    x = fabs(xxa);
+    x2 = x*x;
+    if( x2<2.5625 )
+    {
+        t = x2*x2;
+        sn = -2.99181919401019853726E3;
+        sn = sn*t+7.08840045257738576863E5;
+        sn = sn*t-6.29741486205862506537E7;
+        sn = sn*t+2.54890880573376359104E9;
+        sn = sn*t-4.42979518059697779103E10;
+        sn = sn*t+3.18016297876567817986E11;
+        sd = 1.00000000000000000000E0;
+        sd = sd*t+2.81376268889994315696E2;
+        sd = sd*t+4.55847810806532581675E4;
+        sd = sd*t+5.17343888770096400730E6;
+        sd = sd*t+4.19320245898111231129E8;
+        sd = sd*t+2.24411795645340920940E10;
+        sd = sd*t+6.07366389490084639049E11;
+        cn = -4.98843114573573548651E-8;
+        cn = cn*t+9.50428062829859605134E-6;
+        cn = cn*t-6.45191435683965050962E-4;
+        cn = cn*t+1.88843319396703850064E-2;
+        cn = cn*t-2.05525900955013891793E-1;
+        cn = cn*t+9.99999999999999998822E-1;
+        cd = 3.99982968972495980367E-12;
+        cd = cd*t+9.15439215774657478799E-10;
+        cd = cd*t+1.25001862479598821474E-7;
+        cd = cd*t+1.22262789024179030997E-5;
+        cd = cd*t+8.68029542941784300606E-4;
+        cd = cd*t+4.12142090722199792936E-2;
+        cd = cd*t+1.00000000000000000118E0;
+        s = ap::sign(xxa)*x*x2*sn/sd;
+        c = ap::sign(xxa)*x*cn/cd;
+        return;
+    }
+    if( x>36974.0 )
+    {
+        c = ap::sign(xxa)*0.5;
+        s = ap::sign(xxa)*0.5;
+        return;
+    }
+    x2 = x*x;
+    t = mpi*x2;
+    u = 1/(t*t);
+    t = 1/t;
+    fn = 4.21543555043677546506E-1;
+    fn = fn*u+1.43407919780758885261E-1;
+    fn = fn*u+1.15220955073585758835E-2;
+    fn = fn*u+3.45017939782574027900E-4;
+    fn = fn*u+4.63613749287867322088E-6;
+    fn = fn*u+3.05568983790257605827E-8;
+    fn = fn*u+1.02304514164907233465E-10;
+    fn = fn*u+1.72010743268161828879E-13;
+    fn = fn*u+1.34283276233062758925E-16;
+    fn = fn*u+3.76329711269987889006E-20;
+    fd = 1.00000000000000000000E0;
+    fd = fd*u+7.51586398353378947175E-1;
+    fd = fd*u+1.16888925859191382142E-1;
+    fd = fd*u+6.44051526508858611005E-3;
+    fd = fd*u+1.55934409164153020873E-4;
+    fd = fd*u+1.84627567348930545870E-6;
+    fd = fd*u+1.12699224763999035261E-8;
+    fd = fd*u+3.60140029589371370404E-11;
+    fd = fd*u+5.88754533621578410010E-14;
+    fd = fd*u+4.52001434074129701496E-17;
+    fd = fd*u+1.25443237090011264384E-20;
+    gn = 5.04442073643383265887E-1;
+    gn = gn*u+1.97102833525523411709E-1;
+    gn = gn*u+1.87648584092575249293E-2;
+    gn = gn*u+6.84079380915393090172E-4;
+    gn = gn*u+1.15138826111884280931E-5;
+    gn = gn*u+9.82852443688422223854E-8;
+    gn = gn*u+4.45344415861750144738E-10;
+    gn = gn*u+1.08268041139020870318E-12;
+    gn = gn*u+1.37555460633261799868E-15;
+    gn = gn*u+8.36354435630677421531E-19;
+    gn = gn*u+1.86958710162783235106E-22;
+    gd = 1.00000000000000000000E0;
+    gd = gd*u+1.47495759925128324529E0;
+    gd = gd*u+3.37748989120019970451E-1;
+    gd = gd*u+2.53603741420338795122E-2;
+    gd = gd*u+8.14679107184306179049E-4;
+    gd = gd*u+1.27545075667729118702E-5;
+    gd = gd*u+1.04314589657571990585E-7;
+    gd = gd*u+4.60680728146520428211E-10;
+    gd = gd*u+1.10273215066240270757E-12;
+    gd = gd*u+1.38796531259578871258E-15;
+    gd = gd*u+8.39158816283118707363E-19;
+    gd = gd*u+1.86958710162783236342E-22;
+    f = 1-u*fn/fd;
+    g = t*gn/gd;
+    t = mpio2*x2;
+    cc = cos(t);
+    ss = sin(t);
+    t = mpi*x;
+    c = 0.5+(f*ss-g*cc)/t;
+    s = 0.5-(f*cc+g*ss)/t;
+    c = c*ap::sign(xxa);
+    s = s*ap::sign(xxa);
+}
+
+
+