alglib 0.1.1

data/ext/alglib/polinterpolation.h

@@ -0,0 +1,206 @@
+/*************************************************************************
+Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
+
+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 _polinterpolation_h
+#define _polinterpolation_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Interpolation using barycentric formula
+
+F(t) = SUM(i=0,n-1,w[i]*f[i]/(t-x[i])) / SUM(i=0,n-1,w[i]/(t-x[i]))
+
+Input parameters:
+    X   -   interpolation nodes, array[0..N-1]
+    F   -   function values, array[0..N-1]
+    W   -   barycentric weights, array[0..N-1]
+    N   -   nodes count, N>0
+    T   -   interpolation point
+    
+Result:
+    barycentric interpolant F(t)
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+double barycentricinterpolation(const ap::real_1d_array& x,
+     const ap::real_1d_array& f,
+     const ap::real_1d_array& w,
+     int n,
+     double t);
+
+
+/*************************************************************************
+Polynomial interpolation on the equidistant nodes using barycentric
+formula. O(N) complexity.
+
+Input parameters:
+    A,B -   interpolation interval [A,B]
+    F   -   function values, array[0..N-1].
+            F[i] = F(A+(B-A)*i/(N-1))
+    N   -   nodes count
+    T   -   interpolation point
+
+Result:
+    the value of the interpolation polynomial F(t)
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+double equidistantpolynomialinterpolation(double a,
+     double b,
+     const ap::real_1d_array& f,
+     int n,
+     double t);
+
+
+/*************************************************************************
+Polynomial interpolation on the Chebyshev nodes (first kind) using
+barycentric formula. O(N) complexity.
+
+Input parameters:
+    A,B -   interpolation interval [A,B]
+    F   -   function values, array[0..N-1].
+            F[i] = F(0.5*(B+A) + 0.5*(B-A)*Cos(PI*(2*i+1)/(2*n)))
+    N   -   nodes count
+    T   -   interpolation point
+
+Result:
+    the value of the interpolation polynomial F(t)
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+double chebyshev1interpolation(double a,
+     double b,
+     const ap::real_1d_array& f,
+     int n,
+     double t);
+
+
+/*************************************************************************
+Polynomial interpolation on the Chebyshev nodes (second kind) using
+barycentric formula. O(N) complexity.
+
+Input parameters:
+    A,B -   interpolation interval [A,B]
+    F   -   function values, array[0..N-1].
+            F[i] = F(0.5*(B+A) + 0.5*(B-A)*Cos(PI*i/(n-1)))
+    N   -   nodes count
+    T   -   interpolation point
+
+Result:
+    the value of the interpolation polynomial F(t)
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+double chebyshev2interpolation(double a,
+     double b,
+     const ap::real_1d_array& f,
+     int n,
+     double t);
+
+
+/*************************************************************************
+Polynomial interpolation on the arbitrary nodes using Neville's algorithm.
+O(N^2) complexity.
+
+Input parameters:
+    X   -   interpolation nodes, array[0..N-1].
+    F   -   function values, array[0..N-1].
+    N   -   nodes count
+    T   -   interpolation point
+
+Result:
+    the value of the interpolation polynomial F(t)
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+double nevilleinterpolation(const ap::real_1d_array& x,
+     ap::real_1d_array f,
+     int n,
+     double t);
+
+
+/*************************************************************************
+Polynomial interpolation on the arbitrary nodes using Neville's algorithm.
+O(N^2) complexity. Subroutine  returns  the  value  of  the  interpolation
+polynomial, the first and the second derivative.
+
+Input parameters:
+    X   -   interpolation nodes, array[0..N-1].
+    F   -   function values, array[0..N-1].
+    N   -   nodes count
+    T   -   interpolation point
+
+Output parameters:
+    P   -   the value of the interpolation polynomial F(t)
+    DP  -   the first derivative of the interpolation polynomial dF(t)/dt
+    D2P -   the second derivative of the interpolation polynomial d2F(t)/dt2
+
+  -- ALGLIB --
+     Copyright 28.05.2007 by Bochkanov Sergey
+*************************************************************************/
+void nevilledifferentiation(const ap::real_1d_array& x,
+     ap::real_1d_array f,
+     int n,
+     double t,
+     double& p,
+     double& dp,
+     double& d2p);
+
+
+/*************************************************************************
+Obsolete algorithm, replaced by NevilleInterpolation.
+*************************************************************************/
+double lagrangeinterpolate(int n,
+     const ap::real_1d_array& x,
+     ap::real_1d_array f,
+     double t);
+
+
+/*************************************************************************
+Obsolete algorithm, replaced by NevilleInterpolationWithDerivative
+*************************************************************************/
+void lagrangederivative(int n,
+     const ap::real_1d_array& x,
+     ap::real_1d_array f,
+     double t,
+     double& p,
+     double& dp);
+
+
+#endif

data/ext/alglib/psif.cpp

@@ -0,0 +1,173 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "psif.h"
+
+/*************************************************************************
+Psi (digamma) function
+
+             d      -
+  psi(x)  =  -- ln | (x)
+             dx
+
+is the logarithmic derivative of the gamma function.
+For integer x,
+                  n-1
+                   -
+psi(n) = -EUL  +   >  1/k.
+                   -
+                  k=1
+
+This formula is used for 0 < n <= 10.  If x is negative, it
+is transformed to a positive argument by the reflection
+formula  psi(1-x) = psi(x) + pi cot(pi x).
+For general positive x, the argument is made greater than 10
+using the recurrence  psi(x+1) = psi(x) + 1/x.
+Then the following asymptotic expansion is applied:
+
+                          inf.   B
+                           -      2k
+psi(x) = log(x) - 1/2x -   >   -------
+                           -        2k
+                          k=1   2k x
+
+where the B2k are Bernoulli numbers.
+
+ACCURACY:
+   Relative error (except absolute when |psi| < 1):
+arithmetic   domain     # trials      peak         rms
+   IEEE      0,30        30000       1.3e-15     1.4e-16
+   IEEE      -30,0       40000       1.5e-15     2.2e-16
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1992, 2000 by Stephen L. Moshier
+*************************************************************************/
+double psi(double x)
+{
+    double result;
+    double p;
+    double q;
+    double nz;
+    double s;
+    double w;
+    double y;
+    double z;
+    double polv;
+    int i;
+    int n;
+    int negative;
+
+    negative = 0;
+    nz = 0.0;
+    if( x<=0 )
+    {
+        negative = 1;
+        q = x;
+        p = ap::ifloor(q);
+        if( p==q )
+        {
+            ap::ap_error::make_assertion(false, "Singularity in Psi(x)");
+            result = ap::maxrealnumber;
+            return result;
+        }
+        nz = q-p;
+        if( nz!=0.5 )
+        {
+            if( nz>0.5 )
+            {
+                p = p+1.0;
+                nz = q-p;
+            }
+            nz = ap::pi()/tan(ap::pi()*nz);
+        }
+        else
+        {
+            nz = 0.0;
+        }
+        x = 1.0-x;
+    }
+    if( x<=10.0&&x==ap::ifloor(x) )
+    {
+        y = 0.0;
+        n = ap::ifloor(x);
+        for(i = 1; i <= n-1; i++)
+        {
+            w = i;
+            y = y+1.0/w;
+        }
+        y = y-0.57721566490153286061;
+    }
+    else
+    {
+        s = x;
+        w = 0.0;
+        while(s<10.0)
+        {
+            w = w+1.0/s;
+            s = s+1.0;
+        }
+        if( s<1.0E17 )
+        {
+            z = 1.0/(s*s);
+            polv = 8.33333333333333333333E-2;
+            polv = polv*z-2.10927960927960927961E-2;
+            polv = polv*z+7.57575757575757575758E-3;
+            polv = polv*z-4.16666666666666666667E-3;
+            polv = polv*z+3.96825396825396825397E-3;
+            polv = polv*z-8.33333333333333333333E-3;
+            polv = polv*z+8.33333333333333333333E-2;
+            y = z*polv;
+        }
+        else
+        {
+            y = 0.0;
+        }
+        y = log(s)-0.5/s-y-w;
+    }
+    if( negative!=0 )
+    {
+        y = y-nz;
+    }
+    result = y;
+    return result;
+}
+
+
+

data/ext/alglib/psif.h

@@ -0,0 +1,88 @@
+/*************************************************************************
+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 _psif_h
+#define _psif_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Psi (digamma) function
+
+             d      -
+  psi(x)  =  -- ln | (x)
+             dx
+
+is the logarithmic derivative of the gamma function.
+For integer x,
+                  n-1
+                   -
+psi(n) = -EUL  +   >  1/k.
+                   -
+                  k=1
+
+This formula is used for 0 < n <= 10.  If x is negative, it
+is transformed to a positive argument by the reflection
+formula  psi(1-x) = psi(x) + pi cot(pi x).
+For general positive x, the argument is made greater than 10
+using the recurrence  psi(x+1) = psi(x) + 1/x.
+Then the following asymptotic expansion is applied:
+
+                          inf.   B
+                           -      2k
+psi(x) = log(x) - 1/2x -   >   -------
+                           -        2k
+                          k=1   2k x
+
+where the B2k are Bernoulli numbers.
+
+ACCURACY:
+   Relative error (except absolute when |psi| < 1):
+arithmetic   domain     # trials      peak         rms
+   IEEE      0,30        30000       1.3e-15     1.4e-16
+   IEEE      -30,0       40000       1.5e-15     2.2e-16
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1992, 2000 by Stephen L. Moshier
+*************************************************************************/
+double psi(double x);
+
+
+#endif