alglib 0.1.1
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- data/History.txt +7 -0
- data/Manifest.txt +253 -0
- data/README.txt +33 -0
- data/Rakefile +27 -0
- data/ext/Rakefile +24 -0
- data/ext/alglib.i +24 -0
- data/ext/alglib/Makefile +157 -0
- data/ext/alglib/airyf.cpp +372 -0
- data/ext/alglib/airyf.h +81 -0
- data/ext/alglib/alglib.cpp +8558 -0
- data/ext/alglib/alglib_util.cpp +19 -0
- data/ext/alglib/alglib_util.h +14 -0
- data/ext/alglib/ap.cpp +877 -0
- data/ext/alglib/ap.english.html +364 -0
- data/ext/alglib/ap.h +666 -0
- data/ext/alglib/ap.russian.html +442 -0
- data/ext/alglib/apvt.h +754 -0
- data/ext/alglib/bdss.cpp +1500 -0
- data/ext/alglib/bdss.h +251 -0
- data/ext/alglib/bdsvd.cpp +1339 -0
- data/ext/alglib/bdsvd.h +164 -0
- data/ext/alglib/bessel.cpp +1226 -0
- data/ext/alglib/bessel.h +331 -0
- data/ext/alglib/betaf.cpp +105 -0
- data/ext/alglib/betaf.h +74 -0
- data/ext/alglib/bidiagonal.cpp +1328 -0
- data/ext/alglib/bidiagonal.h +350 -0
- data/ext/alglib/binomialdistr.cpp +247 -0
- data/ext/alglib/binomialdistr.h +153 -0
- data/ext/alglib/blas.cpp +576 -0
- data/ext/alglib/blas.h +132 -0
- data/ext/alglib/cblas.cpp +226 -0
- data/ext/alglib/cblas.h +57 -0
- data/ext/alglib/cdet.cpp +138 -0
- data/ext/alglib/cdet.h +92 -0
- data/ext/alglib/chebyshev.cpp +216 -0
- data/ext/alglib/chebyshev.h +76 -0
- data/ext/alglib/chisquaredistr.cpp +157 -0
- data/ext/alglib/chisquaredistr.h +144 -0
- data/ext/alglib/cholesky.cpp +285 -0
- data/ext/alglib/cholesky.h +86 -0
- data/ext/alglib/cinverse.cpp +298 -0
- data/ext/alglib/cinverse.h +111 -0
- data/ext/alglib/clu.cpp +337 -0
- data/ext/alglib/clu.h +120 -0
- data/ext/alglib/correlation.cpp +280 -0
- data/ext/alglib/correlation.h +77 -0
- data/ext/alglib/correlationtests.cpp +726 -0
- data/ext/alglib/correlationtests.h +134 -0
- data/ext/alglib/crcond.cpp +826 -0
- data/ext/alglib/crcond.h +148 -0
- data/ext/alglib/creflections.cpp +310 -0
- data/ext/alglib/creflections.h +165 -0
- data/ext/alglib/csolve.cpp +312 -0
- data/ext/alglib/csolve.h +99 -0
- data/ext/alglib/ctrinverse.cpp +387 -0
- data/ext/alglib/ctrinverse.h +98 -0
- data/ext/alglib/ctrlinsolve.cpp +297 -0
- data/ext/alglib/ctrlinsolve.h +81 -0
- data/ext/alglib/dawson.cpp +234 -0
- data/ext/alglib/dawson.h +74 -0
- data/ext/alglib/descriptivestatistics.cpp +436 -0
- data/ext/alglib/descriptivestatistics.h +112 -0
- data/ext/alglib/det.cpp +140 -0
- data/ext/alglib/det.h +94 -0
- data/ext/alglib/dforest.cpp +1819 -0
- data/ext/alglib/dforest.h +316 -0
- data/ext/alglib/elliptic.cpp +497 -0
- data/ext/alglib/elliptic.h +217 -0
- data/ext/alglib/estnorm.cpp +429 -0
- data/ext/alglib/estnorm.h +107 -0
- data/ext/alglib/expintegrals.cpp +422 -0
- data/ext/alglib/expintegrals.h +108 -0
- data/ext/alglib/faq.english.html +258 -0
- data/ext/alglib/faq.russian.html +272 -0
- data/ext/alglib/fdistr.cpp +202 -0
- data/ext/alglib/fdistr.h +163 -0
- data/ext/alglib/fresnel.cpp +211 -0
- data/ext/alglib/fresnel.h +91 -0
- data/ext/alglib/gammaf.cpp +338 -0
- data/ext/alglib/gammaf.h +104 -0
- data/ext/alglib/gqgengauss.cpp +235 -0
- data/ext/alglib/gqgengauss.h +92 -0
- data/ext/alglib/gqgenhermite.cpp +268 -0
- data/ext/alglib/gqgenhermite.h +63 -0
- data/ext/alglib/gqgenjacobi.cpp +297 -0
- data/ext/alglib/gqgenjacobi.h +72 -0
- data/ext/alglib/gqgenlaguerre.cpp +265 -0
- data/ext/alglib/gqgenlaguerre.h +69 -0
- data/ext/alglib/gqgenlegendre.cpp +300 -0
- data/ext/alglib/gqgenlegendre.h +62 -0
- data/ext/alglib/gqgenlobatto.cpp +305 -0
- data/ext/alglib/gqgenlobatto.h +97 -0
- data/ext/alglib/gqgenradau.cpp +232 -0
- data/ext/alglib/gqgenradau.h +95 -0
- data/ext/alglib/hbisinv.cpp +480 -0
- data/ext/alglib/hbisinv.h +183 -0
- data/ext/alglib/hblas.cpp +228 -0
- data/ext/alglib/hblas.h +64 -0
- data/ext/alglib/hcholesky.cpp +339 -0
- data/ext/alglib/hcholesky.h +91 -0
- data/ext/alglib/hermite.cpp +114 -0
- data/ext/alglib/hermite.h +49 -0
- data/ext/alglib/hessenberg.cpp +370 -0
- data/ext/alglib/hessenberg.h +152 -0
- data/ext/alglib/hevd.cpp +247 -0
- data/ext/alglib/hevd.h +107 -0
- data/ext/alglib/hsschur.cpp +1316 -0
- data/ext/alglib/hsschur.h +108 -0
- data/ext/alglib/htridiagonal.cpp +734 -0
- data/ext/alglib/htridiagonal.h +180 -0
- data/ext/alglib/ialglib.cpp +6 -0
- data/ext/alglib/ialglib.h +9 -0
- data/ext/alglib/ibetaf.cpp +960 -0
- data/ext/alglib/ibetaf.h +125 -0
- data/ext/alglib/igammaf.cpp +430 -0
- data/ext/alglib/igammaf.h +157 -0
- data/ext/alglib/inv.cpp +274 -0
- data/ext/alglib/inv.h +115 -0
- data/ext/alglib/inverseupdate.cpp +480 -0
- data/ext/alglib/inverseupdate.h +185 -0
- data/ext/alglib/jacobianelliptic.cpp +164 -0
- data/ext/alglib/jacobianelliptic.h +94 -0
- data/ext/alglib/jarquebera.cpp +2271 -0
- data/ext/alglib/jarquebera.h +80 -0
- data/ext/alglib/kmeans.cpp +356 -0
- data/ext/alglib/kmeans.h +76 -0
- data/ext/alglib/laguerre.cpp +94 -0
- data/ext/alglib/laguerre.h +48 -0
- data/ext/alglib/lbfgs.cpp +1167 -0
- data/ext/alglib/lbfgs.h +218 -0
- data/ext/alglib/lda.cpp +434 -0
- data/ext/alglib/lda.h +133 -0
- data/ext/alglib/ldlt.cpp +1130 -0
- data/ext/alglib/ldlt.h +124 -0
- data/ext/alglib/leastsquares.cpp +1252 -0
- data/ext/alglib/leastsquares.h +290 -0
- data/ext/alglib/legendre.cpp +107 -0
- data/ext/alglib/legendre.h +49 -0
- data/ext/alglib/linreg.cpp +1185 -0
- data/ext/alglib/linreg.h +380 -0
- data/ext/alglib/logit.cpp +1523 -0
- data/ext/alglib/logit.h +333 -0
- data/ext/alglib/lq.cpp +399 -0
- data/ext/alglib/lq.h +160 -0
- data/ext/alglib/lu.cpp +462 -0
- data/ext/alglib/lu.h +119 -0
- data/ext/alglib/mannwhitneyu.cpp +4490 -0
- data/ext/alglib/mannwhitneyu.h +115 -0
- data/ext/alglib/minlm.cpp +918 -0
- data/ext/alglib/minlm.h +312 -0
- data/ext/alglib/mlpbase.cpp +3375 -0
- data/ext/alglib/mlpbase.h +589 -0
- data/ext/alglib/mlpe.cpp +1369 -0
- data/ext/alglib/mlpe.h +552 -0
- data/ext/alglib/mlptrain.cpp +1056 -0
- data/ext/alglib/mlptrain.h +283 -0
- data/ext/alglib/nearunityunit.cpp +91 -0
- data/ext/alglib/nearunityunit.h +17 -0
- data/ext/alglib/normaldistr.cpp +377 -0
- data/ext/alglib/normaldistr.h +175 -0
- data/ext/alglib/nsevd.cpp +1869 -0
- data/ext/alglib/nsevd.h +140 -0
- data/ext/alglib/pca.cpp +168 -0
- data/ext/alglib/pca.h +87 -0
- data/ext/alglib/poissondistr.cpp +143 -0
- data/ext/alglib/poissondistr.h +130 -0
- data/ext/alglib/polinterpolation.cpp +685 -0
- data/ext/alglib/polinterpolation.h +206 -0
- data/ext/alglib/psif.cpp +173 -0
- data/ext/alglib/psif.h +88 -0
- data/ext/alglib/qr.cpp +414 -0
- data/ext/alglib/qr.h +168 -0
- data/ext/alglib/ratinterpolation.cpp +134 -0
- data/ext/alglib/ratinterpolation.h +72 -0
- data/ext/alglib/rcond.cpp +705 -0
- data/ext/alglib/rcond.h +140 -0
- data/ext/alglib/reflections.cpp +504 -0
- data/ext/alglib/reflections.h +165 -0
- data/ext/alglib/rotations.cpp +473 -0
- data/ext/alglib/rotations.h +128 -0
- data/ext/alglib/rsolve.cpp +221 -0
- data/ext/alglib/rsolve.h +99 -0
- data/ext/alglib/sbisinv.cpp +217 -0
- data/ext/alglib/sbisinv.h +171 -0
- data/ext/alglib/sblas.cpp +185 -0
- data/ext/alglib/sblas.h +64 -0
- data/ext/alglib/schur.cpp +156 -0
- data/ext/alglib/schur.h +102 -0
- data/ext/alglib/sdet.cpp +193 -0
- data/ext/alglib/sdet.h +101 -0
- data/ext/alglib/sevd.cpp +116 -0
- data/ext/alglib/sevd.h +99 -0
- data/ext/alglib/sinverse.cpp +672 -0
- data/ext/alglib/sinverse.h +138 -0
- data/ext/alglib/spddet.cpp +138 -0
- data/ext/alglib/spddet.h +96 -0
- data/ext/alglib/spdgevd.cpp +842 -0
- data/ext/alglib/spdgevd.h +200 -0
- data/ext/alglib/spdinverse.cpp +509 -0
- data/ext/alglib/spdinverse.h +122 -0
- data/ext/alglib/spdrcond.cpp +421 -0
- data/ext/alglib/spdrcond.h +118 -0
- data/ext/alglib/spdsolve.cpp +275 -0
- data/ext/alglib/spdsolve.h +105 -0
- data/ext/alglib/spline2d.cpp +1192 -0
- data/ext/alglib/spline2d.h +301 -0
- data/ext/alglib/spline3.cpp +1264 -0
- data/ext/alglib/spline3.h +290 -0
- data/ext/alglib/srcond.cpp +595 -0
- data/ext/alglib/srcond.h +127 -0
- data/ext/alglib/ssolve.cpp +895 -0
- data/ext/alglib/ssolve.h +139 -0
- data/ext/alglib/stdafx.h +0 -0
- data/ext/alglib/stest.cpp +131 -0
- data/ext/alglib/stest.h +94 -0
- data/ext/alglib/studenttdistr.cpp +222 -0
- data/ext/alglib/studenttdistr.h +115 -0
- data/ext/alglib/studentttests.cpp +377 -0
- data/ext/alglib/studentttests.h +178 -0
- data/ext/alglib/svd.cpp +620 -0
- data/ext/alglib/svd.h +126 -0
- data/ext/alglib/tdbisinv.cpp +2608 -0
- data/ext/alglib/tdbisinv.h +228 -0
- data/ext/alglib/tdevd.cpp +1229 -0
- data/ext/alglib/tdevd.h +115 -0
- data/ext/alglib/tridiagonal.cpp +594 -0
- data/ext/alglib/tridiagonal.h +171 -0
- data/ext/alglib/trigintegrals.cpp +490 -0
- data/ext/alglib/trigintegrals.h +131 -0
- data/ext/alglib/trinverse.cpp +345 -0
- data/ext/alglib/trinverse.h +98 -0
- data/ext/alglib/trlinsolve.cpp +926 -0
- data/ext/alglib/trlinsolve.h +73 -0
- data/ext/alglib/tsort.cpp +405 -0
- data/ext/alglib/tsort.h +54 -0
- data/ext/alglib/variancetests.cpp +245 -0
- data/ext/alglib/variancetests.h +134 -0
- data/ext/alglib/wsr.cpp +6285 -0
- data/ext/alglib/wsr.h +96 -0
- data/ext/ap.i +97 -0
- data/ext/correlation.i +24 -0
- data/ext/extconf.rb +6 -0
- data/ext/logit.i +89 -0
- data/lib/alglib.rb +71 -0
- data/lib/alglib/correlation.rb +26 -0
- data/lib/alglib/linearregression.rb +63 -0
- data/lib/alglib/logit.rb +42 -0
- data/test/test_alglib.rb +52 -0
- data/test/test_correlation.rb +44 -0
- data/test/test_correlationtest.rb +45 -0
- data/test/test_linreg.rb +35 -0
- data/test/test_logit.rb +43 -0
- data/test/test_pca.rb +27 -0
- metadata +326 -0
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/*************************************************************************
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Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
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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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- 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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- 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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- 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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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
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LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
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OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
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SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
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LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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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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#ifndef _gqgenhermite_h
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#define _gqgenhermite_h
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#include "ap.h"
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#include "ialglib.h"
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/*************************************************************************
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Computation of nodes and weights for a Gauss-Hermite quadrature formula
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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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Input parameters:
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n � a required number of nodes.
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1 <= n <= 190.
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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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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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#endif
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/*************************************************************************
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Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
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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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- 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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- 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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- 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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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
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LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
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OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
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SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
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LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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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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#include <stdafx.h>
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#include <stdio.h>
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#include "gqgenjacobi.h"
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static void testquad();
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/*************************************************************************
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Computation of nodes and weights for a Gauss-Jacobi quadrature formula
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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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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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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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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;
|
85
|
+
double alfbet;
|
86
|
+
double temp;
|
87
|
+
int its;
|
88
|
+
|
89
|
+
x.setbounds(0, n-1);
|
90
|
+
w.setbounds(0, n-1);
|
91
|
+
for(i = 0; i <= n-1; i++)
|
92
|
+
{
|
93
|
+
if( i==0 )
|
94
|
+
{
|
95
|
+
an = alpha/n;
|
96
|
+
bn = beta/n;
|
97
|
+
t1 = (1+alpha)*(2.78/(4+n*n)+0.768*an/n);
|
98
|
+
t2 = 1+1.48*an+0.96*bn+0.452*an*an+0.83*an*bn;
|
99
|
+
r = (t2-t1)/t2;
|
100
|
+
}
|
101
|
+
else
|
102
|
+
{
|
103
|
+
if( i==1 )
|
104
|
+
{
|
105
|
+
t1 = (4.1+alpha)/((1+alpha)*(1+0.156*alpha));
|
106
|
+
t2 = 1+0.06*(n-8)*(1+0.12*alpha)/n;
|
107
|
+
t3 = 1+0.012*beta*(1+0.25*fabs(alpha))/n;
|
108
|
+
r = r-t1*t2*t3*(1-r);
|
109
|
+
}
|
110
|
+
else
|
111
|
+
{
|
112
|
+
if( i==2 )
|
113
|
+
{
|
114
|
+
t1 = (1.67+0.28*alpha)/(1+0.37*alpha);
|
115
|
+
t2 = 1+0.22*(n-8)/n;
|
116
|
+
t3 = 1+8*beta/((6.28+beta)*n*n);
|
117
|
+
r = r-t1*t2*t3*(x(0)-r);
|
118
|
+
}
|
119
|
+
else
|
120
|
+
{
|
121
|
+
if( i<n-2 )
|
122
|
+
{
|
123
|
+
r = 3*x(i-1)-3*x(i-2)+x(i-3);
|
124
|
+
}
|
125
|
+
else
|
126
|
+
{
|
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
|
+
|