alglib 0.1.1

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  1. data/History.txt +7 -0
  2. data/Manifest.txt +253 -0
  3. data/README.txt +33 -0
  4. data/Rakefile +27 -0
  5. data/ext/Rakefile +24 -0
  6. data/ext/alglib.i +24 -0
  7. data/ext/alglib/Makefile +157 -0
  8. data/ext/alglib/airyf.cpp +372 -0
  9. data/ext/alglib/airyf.h +81 -0
  10. data/ext/alglib/alglib.cpp +8558 -0
  11. data/ext/alglib/alglib_util.cpp +19 -0
  12. data/ext/alglib/alglib_util.h +14 -0
  13. data/ext/alglib/ap.cpp +877 -0
  14. data/ext/alglib/ap.english.html +364 -0
  15. data/ext/alglib/ap.h +666 -0
  16. data/ext/alglib/ap.russian.html +442 -0
  17. data/ext/alglib/apvt.h +754 -0
  18. data/ext/alglib/bdss.cpp +1500 -0
  19. data/ext/alglib/bdss.h +251 -0
  20. data/ext/alglib/bdsvd.cpp +1339 -0
  21. data/ext/alglib/bdsvd.h +164 -0
  22. data/ext/alglib/bessel.cpp +1226 -0
  23. data/ext/alglib/bessel.h +331 -0
  24. data/ext/alglib/betaf.cpp +105 -0
  25. data/ext/alglib/betaf.h +74 -0
  26. data/ext/alglib/bidiagonal.cpp +1328 -0
  27. data/ext/alglib/bidiagonal.h +350 -0
  28. data/ext/alglib/binomialdistr.cpp +247 -0
  29. data/ext/alglib/binomialdistr.h +153 -0
  30. data/ext/alglib/blas.cpp +576 -0
  31. data/ext/alglib/blas.h +132 -0
  32. data/ext/alglib/cblas.cpp +226 -0
  33. data/ext/alglib/cblas.h +57 -0
  34. data/ext/alglib/cdet.cpp +138 -0
  35. data/ext/alglib/cdet.h +92 -0
  36. data/ext/alglib/chebyshev.cpp +216 -0
  37. data/ext/alglib/chebyshev.h +76 -0
  38. data/ext/alglib/chisquaredistr.cpp +157 -0
  39. data/ext/alglib/chisquaredistr.h +144 -0
  40. data/ext/alglib/cholesky.cpp +285 -0
  41. data/ext/alglib/cholesky.h +86 -0
  42. data/ext/alglib/cinverse.cpp +298 -0
  43. data/ext/alglib/cinverse.h +111 -0
  44. data/ext/alglib/clu.cpp +337 -0
  45. data/ext/alglib/clu.h +120 -0
  46. data/ext/alglib/correlation.cpp +280 -0
  47. data/ext/alglib/correlation.h +77 -0
  48. data/ext/alglib/correlationtests.cpp +726 -0
  49. data/ext/alglib/correlationtests.h +134 -0
  50. data/ext/alglib/crcond.cpp +826 -0
  51. data/ext/alglib/crcond.h +148 -0
  52. data/ext/alglib/creflections.cpp +310 -0
  53. data/ext/alglib/creflections.h +165 -0
  54. data/ext/alglib/csolve.cpp +312 -0
  55. data/ext/alglib/csolve.h +99 -0
  56. data/ext/alglib/ctrinverse.cpp +387 -0
  57. data/ext/alglib/ctrinverse.h +98 -0
  58. data/ext/alglib/ctrlinsolve.cpp +297 -0
  59. data/ext/alglib/ctrlinsolve.h +81 -0
  60. data/ext/alglib/dawson.cpp +234 -0
  61. data/ext/alglib/dawson.h +74 -0
  62. data/ext/alglib/descriptivestatistics.cpp +436 -0
  63. data/ext/alglib/descriptivestatistics.h +112 -0
  64. data/ext/alglib/det.cpp +140 -0
  65. data/ext/alglib/det.h +94 -0
  66. data/ext/alglib/dforest.cpp +1819 -0
  67. data/ext/alglib/dforest.h +316 -0
  68. data/ext/alglib/elliptic.cpp +497 -0
  69. data/ext/alglib/elliptic.h +217 -0
  70. data/ext/alglib/estnorm.cpp +429 -0
  71. data/ext/alglib/estnorm.h +107 -0
  72. data/ext/alglib/expintegrals.cpp +422 -0
  73. data/ext/alglib/expintegrals.h +108 -0
  74. data/ext/alglib/faq.english.html +258 -0
  75. data/ext/alglib/faq.russian.html +272 -0
  76. data/ext/alglib/fdistr.cpp +202 -0
  77. data/ext/alglib/fdistr.h +163 -0
  78. data/ext/alglib/fresnel.cpp +211 -0
  79. data/ext/alglib/fresnel.h +91 -0
  80. data/ext/alglib/gammaf.cpp +338 -0
  81. data/ext/alglib/gammaf.h +104 -0
  82. data/ext/alglib/gqgengauss.cpp +235 -0
  83. data/ext/alglib/gqgengauss.h +92 -0
  84. data/ext/alglib/gqgenhermite.cpp +268 -0
  85. data/ext/alglib/gqgenhermite.h +63 -0
  86. data/ext/alglib/gqgenjacobi.cpp +297 -0
  87. data/ext/alglib/gqgenjacobi.h +72 -0
  88. data/ext/alglib/gqgenlaguerre.cpp +265 -0
  89. data/ext/alglib/gqgenlaguerre.h +69 -0
  90. data/ext/alglib/gqgenlegendre.cpp +300 -0
  91. data/ext/alglib/gqgenlegendre.h +62 -0
  92. data/ext/alglib/gqgenlobatto.cpp +305 -0
  93. data/ext/alglib/gqgenlobatto.h +97 -0
  94. data/ext/alglib/gqgenradau.cpp +232 -0
  95. data/ext/alglib/gqgenradau.h +95 -0
  96. data/ext/alglib/hbisinv.cpp +480 -0
  97. data/ext/alglib/hbisinv.h +183 -0
  98. data/ext/alglib/hblas.cpp +228 -0
  99. data/ext/alglib/hblas.h +64 -0
  100. data/ext/alglib/hcholesky.cpp +339 -0
  101. data/ext/alglib/hcholesky.h +91 -0
  102. data/ext/alglib/hermite.cpp +114 -0
  103. data/ext/alglib/hermite.h +49 -0
  104. data/ext/alglib/hessenberg.cpp +370 -0
  105. data/ext/alglib/hessenberg.h +152 -0
  106. data/ext/alglib/hevd.cpp +247 -0
  107. data/ext/alglib/hevd.h +107 -0
  108. data/ext/alglib/hsschur.cpp +1316 -0
  109. data/ext/alglib/hsschur.h +108 -0
  110. data/ext/alglib/htridiagonal.cpp +734 -0
  111. data/ext/alglib/htridiagonal.h +180 -0
  112. data/ext/alglib/ialglib.cpp +6 -0
  113. data/ext/alglib/ialglib.h +9 -0
  114. data/ext/alglib/ibetaf.cpp +960 -0
  115. data/ext/alglib/ibetaf.h +125 -0
  116. data/ext/alglib/igammaf.cpp +430 -0
  117. data/ext/alglib/igammaf.h +157 -0
  118. data/ext/alglib/inv.cpp +274 -0
  119. data/ext/alglib/inv.h +115 -0
  120. data/ext/alglib/inverseupdate.cpp +480 -0
  121. data/ext/alglib/inverseupdate.h +185 -0
  122. data/ext/alglib/jacobianelliptic.cpp +164 -0
  123. data/ext/alglib/jacobianelliptic.h +94 -0
  124. data/ext/alglib/jarquebera.cpp +2271 -0
  125. data/ext/alglib/jarquebera.h +80 -0
  126. data/ext/alglib/kmeans.cpp +356 -0
  127. data/ext/alglib/kmeans.h +76 -0
  128. data/ext/alglib/laguerre.cpp +94 -0
  129. data/ext/alglib/laguerre.h +48 -0
  130. data/ext/alglib/lbfgs.cpp +1167 -0
  131. data/ext/alglib/lbfgs.h +218 -0
  132. data/ext/alglib/lda.cpp +434 -0
  133. data/ext/alglib/lda.h +133 -0
  134. data/ext/alglib/ldlt.cpp +1130 -0
  135. data/ext/alglib/ldlt.h +124 -0
  136. data/ext/alglib/leastsquares.cpp +1252 -0
  137. data/ext/alglib/leastsquares.h +290 -0
  138. data/ext/alglib/legendre.cpp +107 -0
  139. data/ext/alglib/legendre.h +49 -0
  140. data/ext/alglib/linreg.cpp +1185 -0
  141. data/ext/alglib/linreg.h +380 -0
  142. data/ext/alglib/logit.cpp +1523 -0
  143. data/ext/alglib/logit.h +333 -0
  144. data/ext/alglib/lq.cpp +399 -0
  145. data/ext/alglib/lq.h +160 -0
  146. data/ext/alglib/lu.cpp +462 -0
  147. data/ext/alglib/lu.h +119 -0
  148. data/ext/alglib/mannwhitneyu.cpp +4490 -0
  149. data/ext/alglib/mannwhitneyu.h +115 -0
  150. data/ext/alglib/minlm.cpp +918 -0
  151. data/ext/alglib/minlm.h +312 -0
  152. data/ext/alglib/mlpbase.cpp +3375 -0
  153. data/ext/alglib/mlpbase.h +589 -0
  154. data/ext/alglib/mlpe.cpp +1369 -0
  155. data/ext/alglib/mlpe.h +552 -0
  156. data/ext/alglib/mlptrain.cpp +1056 -0
  157. data/ext/alglib/mlptrain.h +283 -0
  158. data/ext/alglib/nearunityunit.cpp +91 -0
  159. data/ext/alglib/nearunityunit.h +17 -0
  160. data/ext/alglib/normaldistr.cpp +377 -0
  161. data/ext/alglib/normaldistr.h +175 -0
  162. data/ext/alglib/nsevd.cpp +1869 -0
  163. data/ext/alglib/nsevd.h +140 -0
  164. data/ext/alglib/pca.cpp +168 -0
  165. data/ext/alglib/pca.h +87 -0
  166. data/ext/alglib/poissondistr.cpp +143 -0
  167. data/ext/alglib/poissondistr.h +130 -0
  168. data/ext/alglib/polinterpolation.cpp +685 -0
  169. data/ext/alglib/polinterpolation.h +206 -0
  170. data/ext/alglib/psif.cpp +173 -0
  171. data/ext/alglib/psif.h +88 -0
  172. data/ext/alglib/qr.cpp +414 -0
  173. data/ext/alglib/qr.h +168 -0
  174. data/ext/alglib/ratinterpolation.cpp +134 -0
  175. data/ext/alglib/ratinterpolation.h +72 -0
  176. data/ext/alglib/rcond.cpp +705 -0
  177. data/ext/alglib/rcond.h +140 -0
  178. data/ext/alglib/reflections.cpp +504 -0
  179. data/ext/alglib/reflections.h +165 -0
  180. data/ext/alglib/rotations.cpp +473 -0
  181. data/ext/alglib/rotations.h +128 -0
  182. data/ext/alglib/rsolve.cpp +221 -0
  183. data/ext/alglib/rsolve.h +99 -0
  184. data/ext/alglib/sbisinv.cpp +217 -0
  185. data/ext/alglib/sbisinv.h +171 -0
  186. data/ext/alglib/sblas.cpp +185 -0
  187. data/ext/alglib/sblas.h +64 -0
  188. data/ext/alglib/schur.cpp +156 -0
  189. data/ext/alglib/schur.h +102 -0
  190. data/ext/alglib/sdet.cpp +193 -0
  191. data/ext/alglib/sdet.h +101 -0
  192. data/ext/alglib/sevd.cpp +116 -0
  193. data/ext/alglib/sevd.h +99 -0
  194. data/ext/alglib/sinverse.cpp +672 -0
  195. data/ext/alglib/sinverse.h +138 -0
  196. data/ext/alglib/spddet.cpp +138 -0
  197. data/ext/alglib/spddet.h +96 -0
  198. data/ext/alglib/spdgevd.cpp +842 -0
  199. data/ext/alglib/spdgevd.h +200 -0
  200. data/ext/alglib/spdinverse.cpp +509 -0
  201. data/ext/alglib/spdinverse.h +122 -0
  202. data/ext/alglib/spdrcond.cpp +421 -0
  203. data/ext/alglib/spdrcond.h +118 -0
  204. data/ext/alglib/spdsolve.cpp +275 -0
  205. data/ext/alglib/spdsolve.h +105 -0
  206. data/ext/alglib/spline2d.cpp +1192 -0
  207. data/ext/alglib/spline2d.h +301 -0
  208. data/ext/alglib/spline3.cpp +1264 -0
  209. data/ext/alglib/spline3.h +290 -0
  210. data/ext/alglib/srcond.cpp +595 -0
  211. data/ext/alglib/srcond.h +127 -0
  212. data/ext/alglib/ssolve.cpp +895 -0
  213. data/ext/alglib/ssolve.h +139 -0
  214. data/ext/alglib/stdafx.h +0 -0
  215. data/ext/alglib/stest.cpp +131 -0
  216. data/ext/alglib/stest.h +94 -0
  217. data/ext/alglib/studenttdistr.cpp +222 -0
  218. data/ext/alglib/studenttdistr.h +115 -0
  219. data/ext/alglib/studentttests.cpp +377 -0
  220. data/ext/alglib/studentttests.h +178 -0
  221. data/ext/alglib/svd.cpp +620 -0
  222. data/ext/alglib/svd.h +126 -0
  223. data/ext/alglib/tdbisinv.cpp +2608 -0
  224. data/ext/alglib/tdbisinv.h +228 -0
  225. data/ext/alglib/tdevd.cpp +1229 -0
  226. data/ext/alglib/tdevd.h +115 -0
  227. data/ext/alglib/tridiagonal.cpp +594 -0
  228. data/ext/alglib/tridiagonal.h +171 -0
  229. data/ext/alglib/trigintegrals.cpp +490 -0
  230. data/ext/alglib/trigintegrals.h +131 -0
  231. data/ext/alglib/trinverse.cpp +345 -0
  232. data/ext/alglib/trinverse.h +98 -0
  233. data/ext/alglib/trlinsolve.cpp +926 -0
  234. data/ext/alglib/trlinsolve.h +73 -0
  235. data/ext/alglib/tsort.cpp +405 -0
  236. data/ext/alglib/tsort.h +54 -0
  237. data/ext/alglib/variancetests.cpp +245 -0
  238. data/ext/alglib/variancetests.h +134 -0
  239. data/ext/alglib/wsr.cpp +6285 -0
  240. data/ext/alglib/wsr.h +96 -0
  241. data/ext/ap.i +97 -0
  242. data/ext/correlation.i +24 -0
  243. data/ext/extconf.rb +6 -0
  244. data/ext/logit.i +89 -0
  245. data/lib/alglib.rb +71 -0
  246. data/lib/alglib/correlation.rb +26 -0
  247. data/lib/alglib/linearregression.rb +63 -0
  248. data/lib/alglib/logit.rb +42 -0
  249. data/test/test_alglib.rb +52 -0
  250. data/test/test_correlation.rb +44 -0
  251. data/test/test_correlationtest.rb +45 -0
  252. data/test/test_linreg.rb +35 -0
  253. data/test/test_logit.rb +43 -0
  254. data/test/test_pca.rb +27 -0
  255. metadata +326 -0
@@ -0,0 +1,63 @@
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+ /*************************************************************************
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+ Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
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+
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+ Redistribution and use in source and binary forms, with or without
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+ modification, are permitted provided that the following conditions are
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+ met:
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+
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+ - Redistributions of source code must retain the above copyright
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+ notice, this list of conditions and the following disclaimer.
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+
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+ - Redistributions in binary form must reproduce the above copyright
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+ notice, this list of conditions and the following disclaimer listed
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+ in this license in the documentation and/or other materials
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+ provided with the distribution.
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+
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+ - Neither the name of the copyright holders nor the names of its
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+ contributors may be used to endorse or promote products derived from
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+ this software without specific prior written permission.
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+
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+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
23
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
24
+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
25
+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
26
+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
27
+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
28
+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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+ *************************************************************************/
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+
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+ #ifndef _gqgenhermite_h
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+ #define _gqgenhermite_h
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+
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+ #include "ap.h"
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+ #include "ialglib.h"
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+
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+ /*************************************************************************
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+ Computation of nodes and weights for a Gauss-Hermite quadrature formula
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+
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+ The algorithm calculates the nodes and weights of the Gauss-Hermite
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+ quadrature formula on domain (-infinity, +infinity) with weight function
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+ W(x)=Exp(-x*x).
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+
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+ Input parameters:
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+ n � a required number of nodes.
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+ 1 <= n <= 190.
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+
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+ Output parameters:
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+ x - array of nodes.
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+ Array whose index ranges from 0 to N-1.
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+ w - array of weighting coefficients.
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+ Array whose index ranges from 0 to N-1.
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+
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+ The algorithm was designed by using information from the QUADRULE library.
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+ *************************************************************************/
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+ void buildgausshermitequadrature(int n,
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+ ap::real_1d_array& x,
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+ ap::real_1d_array& w);
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+
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+
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+ #endif
@@ -0,0 +1,297 @@
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+ /*************************************************************************
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+ Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
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+
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+ Redistribution and use in source and binary forms, with or without
5
+ modification, are permitted provided that the following conditions are
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+ met:
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+
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+ - Redistributions of source code must retain the above copyright
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+ notice, this list of conditions and the following disclaimer.
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+
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+ - Redistributions in binary form must reproduce the above copyright
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+ notice, this list of conditions and the following disclaimer listed
13
+ in this license in the documentation and/or other materials
14
+ provided with the distribution.
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+
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+ - Neither the name of the copyright holders nor the names of its
17
+ contributors may be used to endorse or promote products derived from
18
+ this software without specific prior written permission.
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+
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+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
23
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
24
+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
25
+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
26
+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
27
+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
28
+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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+ *************************************************************************/
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+
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+ #include <stdafx.h>
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+ #include <stdio.h>
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+ #include "gqgenjacobi.h"
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+
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+ static void testquad();
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+
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+ /*************************************************************************
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+ Computation of nodes and weights for a Gauss-Jacobi quadrature formula
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+
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+ The algorithm calculates the nodes and weights of the Gauss-Jacobi
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+ quadrature formula on domain [-1, 1] with weight function
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+ W(x)=Power(1-x,Alpha)*Power(1+x,Beta).
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+
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+ Input parameters:
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+ n � a required number of nodes.
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+ n>=1.
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+ alpha � power of the first factor of the weighting function.
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+ alpha > -1
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+ beta � power of the second factor of the weighting function.
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+ beta > -1
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+
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+ Output parameters:
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+ x - array of nodes.
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+ Array whose index ranges from 0 to N-1.
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+ w - array of weighting coefficients.
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+ Array whose index ranges from 0 to N-1.
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+
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+ The algorithm was designed by using information from the QUADRULE library.
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+ *************************************************************************/
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+ void buildgaussjacobiquadrature(int n,
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+ double alpha,
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+ double beta,
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+ ap::real_1d_array& x,
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+ ap::real_1d_array& w)
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+ {
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+ int i;
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+ int j;
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+ double r;
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+ double r1;
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+ double t1;
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+ double t2;
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+ double t3;
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+ double p1;
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+ double p2;
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+ double p3;
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+ double pp;
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+ double an;
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+ double bn;
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+ double a;
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+ double b;
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+ double c;
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+ double tmpsgn;
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+ double alfbet;
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+ double temp;
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+ int its;
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+
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+ x.setbounds(0, n-1);
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+ w.setbounds(0, n-1);
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+ for(i = 0; i <= n-1; i++)
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+ {
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+ if( i==0 )
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+ {
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+ an = alpha/n;
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+ bn = beta/n;
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+ t1 = (1+alpha)*(2.78/(4+n*n)+0.768*an/n);
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+ t2 = 1+1.48*an+0.96*bn+0.452*an*an+0.83*an*bn;
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+ r = (t2-t1)/t2;
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+ }
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+ else
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+ {
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+ if( i==1 )
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+ {
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+ t1 = (4.1+alpha)/((1+alpha)*(1+0.156*alpha));
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+ t2 = 1+0.06*(n-8)*(1+0.12*alpha)/n;
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+ t3 = 1+0.012*beta*(1+0.25*fabs(alpha))/n;
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+ r = r-t1*t2*t3*(1-r);
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+ }
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+ else
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+ {
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+ if( i==2 )
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+ {
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+ t1 = (1.67+0.28*alpha)/(1+0.37*alpha);
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+ t2 = 1+0.22*(n-8)/n;
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+ t3 = 1+8*beta/((6.28+beta)*n*n);
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+ r = r-t1*t2*t3*(x(0)-r);
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+ }
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+ else
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+ {
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+ if( i<n-2 )
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+ {
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+ r = 3*x(i-1)-3*x(i-2)+x(i-3);
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+ }
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+ else
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+ {
127
+ if( i==n-2 )
128
+ {
129
+ t1 = (1+0.235*beta)/(0.766+0.119*beta);
130
+ t2 = 1/(1+0.639*(n-4)/(1+0.71*(n-4)));
131
+ t3 = 1/(1+20*alpha/((7.5+alpha)*n*n));
132
+ r = r+t1*t2*t3*(r-x(i-2));
133
+ }
134
+ else
135
+ {
136
+ if( i==n-1 )
137
+ {
138
+ t1 = (1+0.37*beta)/(1.67+0.28*beta);
139
+ t2 = 1/(1+0.22*(n-8)/n);
140
+ t3 = 1/(1+8*alpha/((6.28+alpha)*n*n));
141
+ r = r+t1*t2*t3*(r-x(i-2));
142
+ }
143
+ }
144
+ }
145
+ }
146
+ }
147
+ }
148
+ alfbet = alpha+beta;
149
+ do
150
+ {
151
+ temp = 2+alfbet;
152
+ p1 = (alpha-beta+temp*r)*0.5;
153
+ p2 = 1;
154
+ for(j = 2; j <= n; j++)
155
+ {
156
+ p3 = p2;
157
+ p2 = p1;
158
+ temp = 2*j+alfbet;
159
+ a = 2*j*(j+alfbet)*(temp-2);
160
+ b = (temp-1)*(alpha*alpha-beta*beta+temp*(temp-2)*r);
161
+ c = 2*(j-1+alpha)*(j-1+beta)*temp;
162
+ p1 = (b*p2-c*p3)/a;
163
+ }
164
+ pp = (n*(alpha-beta-temp*r)*p1+2*(n+alpha)*(n+beta)*p2)/(temp*(1-r*r));
165
+ r1 = r;
166
+ r = r1-p1/pp;
167
+ }
168
+ while(fabs(r-r1)>=ap::machineepsilon*(1+fabs(r))*100);
169
+ x(i) = r;
170
+ w(i) = exp(lngamma(alpha+n, tmpsgn)+lngamma(beta+n, tmpsgn)-lngamma(double(n+1), tmpsgn)-lngamma(n+alfbet+1, tmpsgn))*temp*pow(double(2), alfbet)/(pp*p2);
171
+ }
172
+ }
173
+
174
+
175
+ static void testquad()
176
+ {
177
+ double alpha;
178
+ double beta;
179
+ ap::real_1d_array x;
180
+ ap::real_1d_array w;
181
+ ap::real_1d_array xleg;
182
+ ap::real_1d_array wleg;
183
+ int n;
184
+ int i;
185
+ int j;
186
+ double tmp;
187
+ double valjac;
188
+ double valsim;
189
+ double nodedist;
190
+ double nodesectstart;
191
+ double nodesectend;
192
+ double err;
193
+ double nodeerr;
194
+ double weighterr;
195
+
196
+ n = 56;
197
+ alpha = -0.5;
198
+ beta = -0.5;
199
+ printf("CHEBYSHEV TEST\n");
200
+ buildgaussjacobiquadrature(n, alpha, beta, x, w);
201
+ for(i = 0; i <= n-1; i++)
202
+ {
203
+ for(j = 0; j <= n-2-i; j++)
204
+ {
205
+ if( x(j)>=x(j+1) )
206
+ {
207
+ tmp = x(j);
208
+ x(j) = x(j+1);
209
+ x(j+1) = tmp;
210
+ tmp = w(j);
211
+ w(j) = w(j+1);
212
+ w(j+1) = tmp;
213
+ }
214
+ }
215
+ }
216
+ nodeerr = 0;
217
+ weighterr = 0;
218
+ for(i = 0; i <= n-1; i++)
219
+ {
220
+ err = fabs(ap::pi()/n-w(i));
221
+ if( err>weighterr )
222
+ {
223
+ weighterr = err;
224
+ }
225
+ err = fabs(x(n-1-i)-cos(ap::pi()*(i+0.5)/n));
226
+ if( err>nodeerr )
227
+ {
228
+ nodeerr = err;
229
+ }
230
+ }
231
+ printf("Node error is %5.3le\nWeight error is %5.3le\n",
232
+ double(nodeerr),
233
+ double(weighterr));
234
+ n = 56;
235
+ alpha = -0.95;
236
+ beta = -0.95;
237
+ printf("\n\nMIN NODE DISTANCE AND WEIGHT HISTOGRAM TEST\n");
238
+ buildgaussjacobiquadrature(n, alpha, beta, x, w);
239
+ for(i = 0; i <= n-1; i++)
240
+ {
241
+ for(j = 0; j <= n-2-i; j++)
242
+ {
243
+ if( x(j)>=x(j+1) )
244
+ {
245
+ tmp = x(j);
246
+ x(j) = x(j+1);
247
+ x(j+1) = tmp;
248
+ tmp = w(j);
249
+ w(j) = w(j+1);
250
+ w(j+1) = tmp;
251
+ }
252
+ }
253
+ }
254
+ for(i = 0; i <= 4; i++)
255
+ {
256
+ nodesectstart = 0.2*i*2-1;
257
+ nodesectend = 0.2*(i+1)*2-1;
258
+ nodedist = 2;
259
+ for(j = 0; j <= n-2; j++)
260
+ {
261
+ if( x(j)>=nodesectstart&&x(j)<=nodesectend||x(j+1)>=nodesectstart&&x(j+1)<=nodesectend )
262
+ {
263
+ if( nodedist>x(j+1)-x(j) )
264
+ {
265
+ nodedist = x(j+1)-x(j);
266
+ }
267
+ }
268
+ }
269
+ printf("Node distance at [%5.2lf, %5.2lf] is %5.3le\n",
270
+ double(nodesectstart),
271
+ double(nodesectend),
272
+ double(nodedist));
273
+ }
274
+ for(i = 0; i <= 4; i++)
275
+ {
276
+ nodesectstart = 0.2*i*2-1;
277
+ nodesectend = 0.2*(i+1)*2-1;
278
+ nodedist = 0;
279
+ for(j = 0; j <= n-1; j++)
280
+ {
281
+ if( x(j)>=nodesectstart&&x(j)<=nodesectend )
282
+ {
283
+ if( nodedist<fabs(w(j)) )
284
+ {
285
+ nodedist = fabs(w(j));
286
+ }
287
+ }
288
+ }
289
+ printf("Max weight at [%5.2lf, %5.2lf] is %5.3le\n",
290
+ double(nodesectstart),
291
+ double(nodesectend),
292
+ double(nodedist));
293
+ }
294
+ }
295
+
296
+
297
+
@@ -0,0 +1,72 @@
1
+ /*************************************************************************
2
+ Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
3
+
4
+ Redistribution and use in source and binary forms, with or without
5
+ modification, are permitted provided that the following conditions are
6
+ met:
7
+
8
+ - Redistributions of source code must retain the above copyright
9
+ notice, this list of conditions and the following disclaimer.
10
+
11
+ - Redistributions in binary form must reproduce the above copyright
12
+ notice, this list of conditions and the following disclaimer listed
13
+ in this license in the documentation and/or other materials
14
+ provided with the distribution.
15
+
16
+ - Neither the name of the copyright holders nor the names of its
17
+ contributors may be used to endorse or promote products derived from
18
+ this software without specific prior written permission.
19
+
20
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
21
+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
23
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
24
+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
25
+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
26
+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
27
+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
28
+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
29
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
30
+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
31
+ *************************************************************************/
32
+
33
+ #ifndef _gqgenjacobi_h
34
+ #define _gqgenjacobi_h
35
+
36
+ #include "ap.h"
37
+ #include "ialglib.h"
38
+
39
+ #include "gammaf.h"
40
+
41
+
42
+ /*************************************************************************
43
+ Computation of nodes and weights for a Gauss-Jacobi quadrature formula
44
+
45
+ The algorithm calculates the nodes and weights of the Gauss-Jacobi
46
+ quadrature formula on domain [-1, 1] with weight function
47
+ W(x)=Power(1-x,Alpha)*Power(1+x,Beta).
48
+
49
+ Input parameters:
50
+ n � a required number of nodes.
51
+ n>=1.
52
+ alpha � power of the first factor of the weighting function.
53
+ alpha > -1
54
+ beta � power of the second factor of the weighting function.
55
+ beta > -1
56
+
57
+ Output parameters:
58
+ x - array of nodes.
59
+ Array whose index ranges from 0 to N-1.
60
+ w - array of weighting coefficients.
61
+ Array whose index ranges from 0 to N-1.
62
+
63
+ The algorithm was designed by using information from the QUADRULE library.
64
+ *************************************************************************/
65
+ void buildgaussjacobiquadrature(int n,
66
+ double alpha,
67
+ double beta,
68
+ ap::real_1d_array& x,
69
+ ap::real_1d_array& w);
70
+
71
+
72
+ #endif
@@ -0,0 +1,265 @@
1
+ /*************************************************************************
2
+ Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
3
+
4
+ Redistribution and use in source and binary forms, with or without
5
+ modification, are permitted provided that the following conditions are
6
+ met:
7
+
8
+ - Redistributions of source code must retain the above copyright
9
+ notice, this list of conditions and the following disclaimer.
10
+
11
+ - Redistributions in binary form must reproduce the above copyright
12
+ notice, this list of conditions and the following disclaimer listed
13
+ in this license in the documentation and/or other materials
14
+ provided with the distribution.
15
+
16
+ - Neither the name of the copyright holders nor the names of its
17
+ contributors may be used to endorse or promote products derived from
18
+ this software without specific prior written permission.
19
+
20
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
21
+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
23
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
24
+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
25
+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
26
+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
27
+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
28
+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
29
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
30
+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
31
+ *************************************************************************/
32
+
33
+ #include <stdafx.h>
34
+ #include <stdio.h>
35
+ #include "gqgenlaguerre.h"
36
+
37
+ static double f(double x);
38
+ static void testquad();
39
+
40
+ /*************************************************************************
41
+ Computation of nodes and weights for a Gauss-Laguerre quadrature formula
42
+
43
+ The algorithm calculates the nodes and weights of the Gauss-Laguerre
44
+ quadrature formula on domain [0, +infinity) with weighting function
45
+ W(x)=Power(x,Alpha)*Exp(-x).
46
+
47
+ Input parameters:
48
+ n � a required number of nodes.
49
+ n >= 1
50
+ alpha � power of the first factor of the weighting function.
51
+ alpha > -1
52
+
53
+ Output parameters:
54
+ x - array of nodes.
55
+ Array whose index ranges from 0 to N-1.
56
+ w - array of weighting coefficients.
57
+ Array whose index ranges from 0 to N-1.
58
+
59
+ The algorithm was designed by using information from the QUADRULE library.
60
+ *************************************************************************/
61
+ void buildgausslaguerrequadrature(int n,
62
+ double alpha,
63
+ ap::real_1d_array& x,
64
+ ap::real_1d_array& w)
65
+ {
66
+ int i;
67
+ int j;
68
+ double r;
69
+ double r1;
70
+ double p1;
71
+ double p2;
72
+ double p3;
73
+ double dp3;
74
+ double tsg;
75
+
76
+ x.setbounds(0, n-1);
77
+ w.setbounds(0, n-1);
78
+ for(i = 0; i <= n-1; i++)
79
+ {
80
+ if( i==0 )
81
+ {
82
+ r = (1+alpha)*(3+0.92*alpha)/(1+2.4*n+1.8*alpha);
83
+ }
84
+ else
85
+ {
86
+ if( i==1 )
87
+ {
88
+ r = r+(15+6.25*alpha)/(1+0.9*alpha+2.5*n);
89
+ }
90
+ else
91
+ {
92
+ r = r+((1+2.55*(i-1))/(1.9*(i-1))+1.26*(i-1)*alpha/(1+3.5*(i-1)))/(1+0.3*alpha)*(r-x(i-2));
93
+ }
94
+ }
95
+ do
96
+ {
97
+ p2 = 0;
98
+ p3 = 1;
99
+ for(j = 0; j <= n-1; j++)
100
+ {
101
+ p1 = p2;
102
+ p2 = p3;
103
+ p3 = ((-r+2*j+alpha+1)*p2-(j+alpha)*p1)/(j+1);
104
+ }
105
+ dp3 = (n*p3-(n+alpha)*p2)/r;
106
+ r1 = r;
107
+ r = r-p3/dp3;
108
+ }
109
+ while(fabs(r-r1)>=ap::machineepsilon*(1+fabs(r))*100);
110
+ x(i) = r;
111
+ w(i) = -exp(lngamma(alpha+n, tsg)-lngamma(double(n), tsg))/(dp3*n*p2);
112
+ }
113
+ }
114
+
115
+
116
+ static double f(double x)
117
+ {
118
+ double result;
119
+
120
+ result = sin(x);
121
+ return result;
122
+ }
123
+
124
+
125
+ static void testquad()
126
+ {
127
+ double alpha;
128
+ double totalepsilon;
129
+ double partialepsilon;
130
+ double a;
131
+ double b;
132
+ ap::real_1d_array x;
133
+ ap::real_1d_array w;
134
+ int n;
135
+ int i;
136
+ int j;
137
+ double v1;
138
+ double v2;
139
+ double h;
140
+ double s;
141
+ double s1;
142
+ double s2;
143
+ double s3;
144
+ double tx;
145
+ int lessthanepscnt;
146
+ double nodedist;
147
+ double nodesectstart;
148
+ double nodesectend;
149
+ double tmp;
150
+
151
+ n = 10;
152
+ alpha = 2.3;
153
+ totalepsilon = 0.001;
154
+ a = 0;
155
+ b = 1;
156
+ v1 = 0;
157
+ lessthanepscnt = 0;
158
+ partialepsilon = totalepsilon/50;
159
+ while(lessthanepscnt<5)
160
+ {
161
+ s2 = 1;
162
+ h = b-a;
163
+ s = pow(a, alpha)*exp(-a)*f(a)+pow(b, alpha)*exp(-b)*f(b);
164
+ do
165
+ {
166
+ s3 = s2;
167
+ h = h/2;
168
+ s1 = 0;
169
+ tx = a+h;
170
+ do
171
+ {
172
+ s1 = s1+2*pow(tx, alpha)*exp(-tx)*f(tx);
173
+ tx = tx+2*h;
174
+ }
175
+ while(tx<b);
176
+ s = s+s1;
177
+ s2 = (s+s1)*h/3;
178
+ tx = fabs(s3-s2)/15;
179
+ }
180
+ while(tx>partialepsilon);
181
+ if( fabs(s2)<totalepsilon )
182
+ {
183
+ lessthanepscnt = lessthanepscnt+1;
184
+ }
185
+ v1 = v1+s2;
186
+ a = a+1;
187
+ b = b+1;
188
+ }
189
+ printf("Simpson result %12.8lf\n",
190
+ double(v1));
191
+ buildgausslaguerrequadrature(n, alpha, x, w);
192
+ v2 = 0;
193
+ for(i = 0; i <= n-1; i++)
194
+ {
195
+ v2 = v2+w(i)*f(x(i));
196
+ }
197
+ printf("Quadrature (%1ld points) result %12.8lf\n",
198
+ long(n),
199
+ double(v2));
200
+ printf("Difference is %5.3le\n",
201
+ double(fabs(v2-v1)));
202
+ n = 56;
203
+ printf("\n\nMIN NODE DISTANCE TEST\n");
204
+ alpha = 0.4;
205
+ buildgausslaguerrequadrature(n, alpha, x, w);
206
+ for(i = 0; i <= n-1; i++)
207
+ {
208
+ for(j = 0; j <= n-2-i; j++)
209
+ {
210
+ if( x(j)>=x(j+1) )
211
+ {
212
+ tmp = x(j);
213
+ x(j) = x(j+1);
214
+ x(j+1) = tmp;
215
+ tmp = w(j);
216
+ w(j) = w(j+1);
217
+ w(j+1) = tmp;
218
+ }
219
+ }
220
+ }
221
+ for(i = 0; i <= 4; i++)
222
+ {
223
+ nodedist = x(n-1);
224
+ nodesectstart = nodedist*0.2*i;
225
+ nodesectend = nodedist*0.2*(i+1);
226
+ for(j = 0; j <= n-2; j++)
227
+ {
228
+ if( x(j)>=nodesectstart&&x(j)<=nodesectend||x(j+1)>=nodesectstart&&x(j+1)<=nodesectend )
229
+ {
230
+ if( nodedist>x(j+1)-x(j) )
231
+ {
232
+ nodedist = x(j+1)-x(j);
233
+ }
234
+ }
235
+ }
236
+ printf("Node distance at [%7.2lf, %7.2lf] is %7.3le\n",
237
+ double(nodesectstart),
238
+ double(nodesectend),
239
+ double(nodedist));
240
+ }
241
+ for(i = 0; i <= 4; i++)
242
+ {
243
+ tmp = x(n-1);
244
+ nodesectstart = tmp*0.2*i;
245
+ nodesectend = tmp*0.2*(i+1);
246
+ nodedist = 0;
247
+ for(j = 0; j <= n-1; j++)
248
+ {
249
+ if( x(j)>=nodesectstart&&x(j)<=nodesectend )
250
+ {
251
+ if( nodedist<fabs(w(j)) )
252
+ {
253
+ nodedist = fabs(w(j));
254
+ }
255
+ }
256
+ }
257
+ printf("Max weight at [%7.2lf, %7.2lf] is %7.3le\n",
258
+ double(nodesectstart),
259
+ double(nodesectend),
260
+ double(nodedist));
261
+ }
262
+ }
263
+
264
+
265
+