alglib 0.1.1

data/ext/alglib/igammaf.h

@@ -0,0 +1,157 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _igammaf_h
+#define _igammaf_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+
+
+/*************************************************************************
+Incomplete gamma integral
+
+The function is defined by
+
+                          x
+                           -
+                  1       | |  -t  a-1
+ igam(a,x)  =   -----     |   e   t   dt.
+                 -      | |
+                | (a)    -
+                          0
+
+
+In this implementation both arguments must be positive.
+The integral is evaluated by either a power series or
+continued fraction expansion, depending on the relative
+values of a and x.
+
+ACCURACY:
+
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE      0,30       200000       3.6e-14     2.9e-15
+   IEEE      0,100      300000       9.9e-14     1.5e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1985, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double incompletegamma(double a, double x);
+
+
+/*************************************************************************
+Complemented incomplete gamma integral
+
+The function is defined by
+
+
+ igamc(a,x)   =   1 - igam(a,x)
+
+                           inf.
+                             -
+                    1       | |  -t  a-1
+              =   -----     |   e   t   dt.
+                   -      | |
+                  | (a)    -
+                            x
+
+
+In this implementation both arguments must be positive.
+The integral is evaluated by either a power series or
+continued fraction expansion, depending on the relative
+values of a and x.
+
+ACCURACY:
+
+Tested at random a, x.
+               a         x                      Relative error:
+arithmetic   domain   domain     # trials      peak         rms
+   IEEE     0.5,100   0,100      200000       1.9e-14     1.7e-15
+   IEEE     0.01,0.5  0,100      200000       1.4e-13     1.6e-15
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1985, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double incompletegammac(double a, double x);
+
+
+/*************************************************************************
+Inverse of complemented imcomplete gamma integral
+
+Given p, the function finds x such that
+
+ igamc( a, x ) = p.
+
+Starting with the approximate value
+
+        3
+ x = a t
+
+ where
+
+ t = 1 - d - ndtri(p) sqrt(d)
+
+and
+
+ d = 1/9a,
+
+the routine performs up to 10 Newton iterations to find the
+root of igamc(a,x) - p = 0.
+
+ACCURACY:
+
+Tested at random a, p in the intervals indicated.
+
+               a        p                      Relative error:
+arithmetic   domain   domain     # trials      peak         rms
+   IEEE     0.5,100   0,0.5       100000       1.0e-14     1.7e-15
+   IEEE     0.01,0.5  0,0.5       100000       9.0e-14     3.4e-15
+   IEEE    0.5,10000  0,0.5        20000       2.3e-13     3.8e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invincompletegammac(double a, double y0);
+
+
+#endif

data/ext/alglib/inv.cpp

@@ -0,0 +1,274 @@
+/*************************************************************************
+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 "inv.h"
+
+/*************************************************************************
+Inversion of a matrix given by its LU decomposition.
+
+Input parameters:
+    A       -   LU decomposition of the matrix (output of RMatrixLU subroutine).
+    Pivots  -   table of permutations which were made during the LU decomposition
+                (the output of RMatrixLU subroutine).
+    N       -   size of matrix A.
+
+Output parameters:
+    A       -   inverse of matrix A.
+                Array whose indexes range within [0..N-1, 0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrix is singular.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     February 29, 1992
+*************************************************************************/
+bool rmatrixluinverse(ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n)
+{
+    bool result;
+    ap::real_1d_array work;
+    int i;
+    int iws;
+    int j;
+    int jb;
+    int jj;
+    int jp;
+    double v;
+
+    result = true;
+    
+    //
+    // Quick return if possible
+    //
+    if( n==0 )
+    {
+        return result;
+    }
+    work.setbounds(0, n-1);
+    
+    //
+    // Form inv(U)
+    //
+    if( !rmatrixtrinverse(a, n, true, false) )
+    {
+        result = false;
+        return result;
+    }
+    
+    //
+    // Solve the equation inv(A)*L = inv(U) for inv(A).
+    //
+    for(j = n-1; j >= 0; j--)
+    {
+        
+        //
+        // Copy current column of L to WORK and replace with zeros.
+        //
+        for(i = j+1; i <= n-1; i++)
+        {
+            work(i) = a(i,j);
+            a(i,j) = 0;
+        }
+        
+        //
+        // Compute current column of inv(A).
+        //
+        if( j<n-1 )
+        {
+            for(i = 0; i <= n-1; i++)
+            {
+                v = ap::vdotproduct(&a(i, j+1), &work(j+1), ap::vlen(j+1,n-1));
+                a(i,j) = a(i,j)-v;
+            }
+        }
+    }
+    
+    //
+    // Apply column interchanges.
+    //
+    for(j = n-2; j >= 0; j--)
+    {
+        jp = pivots(j);
+        if( jp!=j )
+        {
+            ap::vmove(work.getvector(0, n-1), a.getcolumn(j, 0, n-1));
+            ap::vmove(a.getcolumn(j, 0, n-1), a.getcolumn(jp, 0, n-1));
+            ap::vmove(a.getcolumn(jp, 0, n-1), work.getvector(0, n-1));
+        }
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Inversion of a general matrix.
+
+Input parameters:
+    A   -   matrix. Array whose indexes range within [0..N-1, 0..N-1].
+    N   -   size of matrix A.
+
+Output parameters:
+    A   -   inverse of matrix A.
+            Array whose indexes range within [0..N-1, 0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrix is singular.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+bool rmatrixinverse(ap::real_2d_array& a, int n)
+{
+    bool result;
+    ap::integer_1d_array pivots;
+
+    rmatrixlu(a, n, n, pivots);
+    result = rmatrixluinverse(a, pivots, n);
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+
+See RMatrixLUInverse for 0-based replacement.
+*************************************************************************/
+bool inverselu(ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n)
+{
+    bool result;
+    ap::real_1d_array work;
+    int i;
+    int iws;
+    int j;
+    int jb;
+    int jj;
+    int jp;
+    int jp1;
+    double v;
+
+    result = true;
+    
+    //
+    // Quick return if possible
+    //
+    if( n==0 )
+    {
+        return result;
+    }
+    work.setbounds(1, n);
+    
+    //
+    // Form inv(U)
+    //
+    if( !invtriangular(a, n, true, false) )
+    {
+        result = false;
+        return result;
+    }
+    
+    //
+    // Solve the equation inv(A)*L = inv(U) for inv(A).
+    //
+    for(j = n; j >= 1; j--)
+    {
+        
+        //
+        // Copy current column of L to WORK and replace with zeros.
+        //
+        for(i = j+1; i <= n; i++)
+        {
+            work(i) = a(i,j);
+            a(i,j) = 0;
+        }
+        
+        //
+        // Compute current column of inv(A).
+        //
+        if( j<n )
+        {
+            jp1 = j+1;
+            for(i = 1; i <= n; i++)
+            {
+                v = ap::vdotproduct(&a(i, jp1), &work(jp1), ap::vlen(jp1,n));
+                a(i,j) = a(i,j)-v;
+            }
+        }
+    }
+    
+    //
+    // Apply column interchanges.
+    //
+    for(j = n-1; j >= 1; j--)
+    {
+        jp = pivots(j);
+        if( jp!=j )
+        {
+            ap::vmove(work.getvector(1, n), a.getcolumn(j, 1, n));
+            ap::vmove(a.getcolumn(j, 1, n), a.getcolumn(jp, 1, n));
+            ap::vmove(a.getcolumn(jp, 1, n), work.getvector(1, n));
+        }
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+
+See RMatrixInverse for 0-based replacement.
+*************************************************************************/
+bool inverse(ap::real_2d_array& a, int n)
+{
+    bool result;
+    ap::integer_1d_array pivots;
+
+    ludecomposition(a, n, n, pivots);
+    result = inverselu(a, pivots, n);
+    return result;
+}
+
+
+

data/ext/alglib/inv.h

@@ -0,0 +1,115 @@
+/*************************************************************************
+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 _inv_h
+#define _inv_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "lu.h"
+#include "trinverse.h"
+
+
+/*************************************************************************
+Inversion of a matrix given by its LU decomposition.
+
+Input parameters:
+    A       -   LU decomposition of the matrix (output of RMatrixLU subroutine).
+    Pivots  -   table of permutations which were made during the LU decomposition
+                (the output of RMatrixLU subroutine).
+    N       -   size of matrix A.
+
+Output parameters:
+    A       -   inverse of matrix A.
+                Array whose indexes range within [0..N-1, 0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrix is singular.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     February 29, 1992
+*************************************************************************/
+bool rmatrixluinverse(ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n);
+
+
+/*************************************************************************
+Inversion of a general matrix.
+
+Input parameters:
+    A   -   matrix. Array whose indexes range within [0..N-1, 0..N-1].
+    N   -   size of matrix A.
+
+Output parameters:
+    A   -   inverse of matrix A.
+            Array whose indexes range within [0..N-1, 0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrix is singular.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+bool rmatrixinverse(ap::real_2d_array& a, int n);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+
+See RMatrixLUInverse for 0-based replacement.
+*************************************************************************/
+bool inverselu(ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+
+See RMatrixInverse for 0-based replacement.
+*************************************************************************/
+bool inverse(ap::real_2d_array& a, int n);
+
+
+#endif