alglib 0.1.1

data/ext/alglib/hermite.h

@@ -0,0 +1,49 @@
+
+#ifndef _hermite_h
+#define _hermite_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Calculation of the value of the Hermite polynomial.
+
+Parameters:
+    n   -   degree, n>=0
+    x   -   argument
+
+Result:
+    the value of the Hermite polynomial Hn at x
+*************************************************************************/
+double hermitecalculate(const int& n, const double& x);
+
+
+/*************************************************************************
+Summation of Hermite polynomials using Clenshaw�s recurrence formula.
+
+This routine calculates
+    c[0]*H0(x) + c[1]*H1(x) + ... + c[N]*HN(x)
+
+Parameters:
+    n   -   degree, n>=0
+    x   -   argument
+
+Result:
+    the value of the Hermite polynomial at x
+*************************************************************************/
+double hermitesum(const ap::real_1d_array& c, const int& n, const double& x);
+
+
+/*************************************************************************
+Representation of Hn as C[0] + C[1]*X + ... + C[N]*X^N
+
+Input parameters:
+    N   -   polynomial degree, n>=0
+
+Output parameters:
+    C   -   coefficients
+*************************************************************************/
+void hermitecoefficients(const int& n, ap::real_1d_array& c);
+
+
+#endif

data/ext/alglib/hessenberg.cpp

@@ -0,0 +1,370 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "hessenberg.h"
+
+/*************************************************************************
+Reduction of a square matrix to  upper Hessenberg form: Q'*A*Q = H,
+where Q is an orthogonal matrix, H - Hessenberg matrix.
+
+Input parameters:
+    A       -   matrix A with elements [0..N-1, 0..N-1]
+    N       -   size of matrix A.
+
+Output parameters:
+    A       -   matrices Q and P in  compact form (see below).
+    Tau     -   array of scalar factors which are used to form matrix Q.
+                Array whose index ranges within [0..N-2]
+
+Matrix H is located on the main diagonal, on the lower secondary  diagonal
+and above the main diagonal of matrix A. The elements which are used to
+form matrix Q are situated in array Tau and below the lower secondary
+diagonal of matrix A as follows:
+
+Matrix Q is represented as a product of elementary reflections
+
+Q = H(0)*H(2)*...*H(n-2),
+
+where each H(i) is given by
+
+H(i) = 1 - tau * v * (v^T)
+
+where tau is a scalar stored in Tau[I]; v - is a real vector,
+so that v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) stored in A(i+2:n-1,i).
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     October 31, 1992
+*************************************************************************/
+void rmatrixhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau)
+{
+    int i;
+    double v;
+    ap::real_1d_array t;
+    ap::real_1d_array work;
+
+    ap::ap_error::make_assertion(n>=0, "RMatrixHessenberg: incorrect N!");
+    
+    //
+    // Quick return if possible
+    //
+    if( n<=1 )
+    {
+        return;
+    }
+    tau.setbounds(0, n-2);
+    t.setbounds(1, n);
+    work.setbounds(0, n-1);
+    for(i = 0; i <= n-2; i++)
+    {
+        
+        //
+        // Compute elementary reflector H(i) to annihilate A(i+2:ihi,i)
+        //
+        ap::vmove(t.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
+        generatereflection(t, n-i-1, v);
+        ap::vmove(a.getcolumn(i, i+1, n-1), t.getvector(1, n-i-1));
+        tau(i) = v;
+        t(1) = 1;
+        
+        //
+        // Apply H(i) to A(1:ihi,i+1:ihi) from the right
+        //
+        applyreflectionfromtheright(a, v, t, 0, n-1, i+1, n-1, work);
+        
+        //
+        // Apply H(i) to A(i+1:ihi,i+1:n) from the left
+        //
+        applyreflectionfromtheleft(a, v, t, i+1, n-1, i+1, n-1, work);
+    }
+}
+
+
+/*************************************************************************
+Unpacking matrix Q which reduces matrix A to upper Hessenberg form
+
+Input parameters:
+    A   -   output of RMatrixHessenberg subroutine.
+    N   -   size of matrix A.
+    Tau -   scalar factors which are used to form Q.
+            Output of RMatrixHessenberg subroutine.
+
+Output parameters:
+    Q   -   matrix Q.
+            Array whose indexes range within [0..N-1, 0..N-1].
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixhessenbergunpackq(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& q)
+{
+    int i;
+    int j;
+    ap::real_1d_array v;
+    ap::real_1d_array work;
+
+    if( n==0 )
+    {
+        return;
+    }
+    
+    //
+    // init
+    //
+    q.setbounds(0, n-1, 0, n-1);
+    v.setbounds(0, n-1);
+    work.setbounds(0, n-1);
+    for(i = 0; i <= n-1; i++)
+    {
+        for(j = 0; j <= n-1; j++)
+        {
+            if( i==j )
+            {
+                q(i,j) = 1;
+            }
+            else
+            {
+                q(i,j) = 0;
+            }
+        }
+    }
+    
+    //
+    // unpack Q
+    //
+    for(i = 0; i <= n-2; i++)
+    {
+        
+        //
+        // Apply H(i)
+        //
+        ap::vmove(v.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
+        v(1) = 1;
+        applyreflectionfromtheright(q, tau(i), v, 0, n-1, i+1, n-1, work);
+    }
+}
+
+
+/*************************************************************************
+Unpacking matrix H (the result of matrix A reduction to upper Hessenberg form)
+
+Input parameters:
+    A   -   output of RMatrixHessenberg subroutine.
+    N   -   size of matrix A.
+
+Output parameters:
+    H   -   matrix H. Array whose indexes range within [0..N-1, 0..N-1].
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixhessenbergunpackh(const ap::real_2d_array& a,
+     int n,
+     ap::real_2d_array& h)
+{
+    int i;
+    int j;
+    ap::real_1d_array v;
+    ap::real_1d_array work;
+
+    if( n==0 )
+    {
+        return;
+    }
+    h.setbounds(0, n-1, 0, n-1);
+    for(i = 0; i <= n-1; i++)
+    {
+        for(j = 0; j <= i-2; j++)
+        {
+            h(i,j) = 0;
+        }
+        j = ap::maxint(0, i-1);
+        ap::vmove(&h(i, j), &a(i, j), ap::vlen(j,n-1));
+    }
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenberg for 0-based replacement.
+*************************************************************************/
+void toupperhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau)
+{
+    int i;
+    int ip1;
+    int nmi;
+    double v;
+    ap::real_1d_array t;
+    ap::real_1d_array work;
+
+    ap::ap_error::make_assertion(n>=0, "ToUpperHessenberg: incorrect N!");
+    
+    //
+    // Quick return if possible
+    //
+    if( n<=1 )
+    {
+        return;
+    }
+    tau.setbounds(1, n-1);
+    t.setbounds(1, n);
+    work.setbounds(1, n);
+    for(i = 1; i <= n-1; i++)
+    {
+        
+        //
+        // Compute elementary reflector H(i) to annihilate A(i+2:ihi,i)
+        //
+        ip1 = i+1;
+        nmi = n-i;
+        ap::vmove(t.getvector(1, nmi), a.getcolumn(i, ip1, n));
+        generatereflection(t, nmi, v);
+        ap::vmove(a.getcolumn(i, ip1, n), t.getvector(1, nmi));
+        tau(i) = v;
+        t(1) = 1;
+        
+        //
+        // Apply H(i) to A(1:ihi,i+1:ihi) from the right
+        //
+        applyreflectionfromtheright(a, v, t, 1, n, i+1, n, work);
+        
+        //
+        // Apply H(i) to A(i+1:ihi,i+1:n) from the left
+        //
+        applyreflectionfromtheleft(a, v, t, i+1, n, i+1, n, work);
+    }
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenbergUnpackQ for 0-based replacement.
+*************************************************************************/
+void unpackqfromupperhessenberg(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& q)
+{
+    int i;
+    int j;
+    ap::real_1d_array v;
+    ap::real_1d_array work;
+    int ip1;
+    int nmi;
+
+    if( n==0 )
+    {
+        return;
+    }
+    
+    //
+    // init
+    //
+    q.setbounds(1, n, 1, n);
+    v.setbounds(1, n);
+    work.setbounds(1, n);
+    for(i = 1; i <= n; i++)
+    {
+        for(j = 1; j <= n; j++)
+        {
+            if( i==j )
+            {
+                q(i,j) = 1;
+            }
+            else
+            {
+                q(i,j) = 0;
+            }
+        }
+    }
+    
+    //
+    // unpack Q
+    //
+    for(i = 1; i <= n-1; i++)
+    {
+        
+        //
+        // Apply H(i)
+        //
+        ip1 = i+1;
+        nmi = n-i;
+        ap::vmove(v.getvector(1, nmi), a.getcolumn(i, ip1, n));
+        v(1) = 1;
+        applyreflectionfromtheright(q, tau(i), v, 1, n, i+1, n, work);
+    }
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenbergUnpackH for 0-based replacement.
+*************************************************************************/
+void unpackhfromupperhessenberg(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& h)
+{
+    int i;
+    int j;
+    ap::real_1d_array v;
+    ap::real_1d_array work;
+
+    if( n==0 )
+    {
+        return;
+    }
+    h.setbounds(1, n, 1, n);
+    for(i = 1; i <= n; i++)
+    {
+        for(j = 1; j <= i-2; j++)
+        {
+            h(i,j) = 0;
+        }
+        j = ap::maxint(1, i-1);
+        ap::vmove(&h(i, j), &a(i, j), ap::vlen(j,n));
+    }
+}
+
+
+

data/ext/alglib/hessenberg.h

@@ -0,0 +1,152 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _hessenberg_h
+#define _hessenberg_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "reflections.h"
+
+
+/*************************************************************************
+Reduction of a square matrix to  upper Hessenberg form: Q'*A*Q = H,
+where Q is an orthogonal matrix, H - Hessenberg matrix.
+
+Input parameters:
+    A       -   matrix A with elements [0..N-1, 0..N-1]
+    N       -   size of matrix A.
+
+Output parameters:
+    A       -   matrices Q and P in  compact form (see below).
+    Tau     -   array of scalar factors which are used to form matrix Q.
+                Array whose index ranges within [0..N-2]
+
+Matrix H is located on the main diagonal, on the lower secondary  diagonal
+and above the main diagonal of matrix A. The elements which are used to
+form matrix Q are situated in array Tau and below the lower secondary
+diagonal of matrix A as follows:
+
+Matrix Q is represented as a product of elementary reflections
+
+Q = H(0)*H(2)*...*H(n-2),
+
+where each H(i) is given by
+
+H(i) = 1 - tau * v * (v^T)
+
+where tau is a scalar stored in Tau[I]; v - is a real vector,
+so that v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) stored in A(i+2:n-1,i).
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     October 31, 1992
+*************************************************************************/
+void rmatrixhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau);
+
+
+/*************************************************************************
+Unpacking matrix Q which reduces matrix A to upper Hessenberg form
+
+Input parameters:
+    A   -   output of RMatrixHessenberg subroutine.
+    N   -   size of matrix A.
+    Tau -   scalar factors which are used to form Q.
+            Output of RMatrixHessenberg subroutine.
+
+Output parameters:
+    Q   -   matrix Q.
+            Array whose indexes range within [0..N-1, 0..N-1].
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixhessenbergunpackq(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& q);
+
+
+/*************************************************************************
+Unpacking matrix H (the result of matrix A reduction to upper Hessenberg form)
+
+Input parameters:
+    A   -   output of RMatrixHessenberg subroutine.
+    N   -   size of matrix A.
+
+Output parameters:
+    H   -   matrix H. Array whose indexes range within [0..N-1, 0..N-1].
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixhessenbergunpackh(const ap::real_2d_array& a,
+     int n,
+     ap::real_2d_array& h);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenberg for 0-based replacement.
+*************************************************************************/
+void toupperhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenbergUnpackQ for 0-based replacement.
+*************************************************************************/
+void unpackqfromupperhessenberg(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& q);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixHessenbergUnpackH for 0-based replacement.
+*************************************************************************/
+void unpackhfromupperhessenberg(const ap::real_2d_array& a,
+     int n,
+     const ap::real_1d_array& tau,
+     ap::real_2d_array& h);
+
+
+#endif