alglib 0.1.1

data/ext/alglib/ssolve.h

@@ -0,0 +1,139 @@
+/*************************************************************************
+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 _ssolve_h
+#define _ssolve_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "ldlt.h"
+
+
+/*************************************************************************
+Solving  a system  of linear equations  with a system matrix  given by its
+LDLT decomposition
+
+The algorithm solves systems with a square matrix only.
+
+Input parameters:
+    A       -   LDLT decomposition of the matrix (the result of the
+                SMatrixLDLT subroutine).
+    Pivots  -   row permutation table (the result of the SMatrixLDLT subroutine).
+    B       -   right side of a system.
+                Array whose index ranges within [0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   points to the triangle of matrix A in which the LDLT
+                decomposition is stored.
+                If IsUpper=True, the decomposition has the form of U*D*U',
+                matrix U is stored in the upper triangle of  matrix A  (in
+                that case, the lower triangle isn't used and isn't changed
+                by the subroutine).
+                Similarly, if IsUpper=False, the decomposition has the form
+                of L*D*L' and the lower triangle stores matrix L.
+
+Output parameters:
+    X       -   solution of a system.
+                Array whose index ranges within [0..N-1].
+
+Result:
+    True, if the matrix is not singular. X contains the solution.
+    False, if the matrix is singular (the determinant of matrix D is equal
+to 0). In this case, X doesn't contain a solution.
+*************************************************************************/
+bool smatrixldltsolve(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     ap::real_1d_array b,
+     int n,
+     bool isupper,
+     ap::real_1d_array& x);
+
+
+/*************************************************************************
+Solving a system of linear equations with a symmetric system matrix
+
+Input parameters:
+    A       -   system matrix (upper or lower triangle).
+                Array whose indexes range within [0..N-1, 0..N-1].
+    B       -   right side of a system.
+                Array whose index ranges within [0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   If IsUpper = True, A contains the upper triangle,
+                otherwise A contains the lower triangle.
+
+Output parameters:
+    X       -   solution of a system.
+                Array whose index ranges within [0..N-1].
+
+Result:
+    True, if the matrix is not singular. X contains the solution.
+    False, if the matrix is singular (the determinant of the matrix is equal
+to 0). In this case, X doesn't contain a solution.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+bool smatrixsolve(ap::real_2d_array a,
+     const ap::real_1d_array& b,
+     int n,
+     bool isupper,
+     ap::real_1d_array& x);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+*************************************************************************/
+bool solvesystemldlt(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     ap::real_1d_array b,
+     int n,
+     bool isupper,
+     ap::real_1d_array& x);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool solvesymmetricsystem(ap::real_2d_array a,
+     ap::real_1d_array b,
+     int n,
+     bool isupper,
+     ap::real_1d_array& x);
+
+
+#endif

data/ext/alglib/stest.cpp

@@ -0,0 +1,131 @@
+/*************************************************************************
+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.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "stest.h"
+
+/*************************************************************************
+Sign test
+
+This test checks three hypotheses about the median of  the  given  sample.
+The following tests are performed:
+    * two-tailed test (null hypothesis - the median is equal to the  given
+      value)
+    * left-tailed test (null hypothesis - the median is  greater  than  or
+      equal to the given value)
+    * right-tailed test (null hypothesis - the  median  is  less  than  or
+      equal to the given value)
+
+Requirements:
+    * the scale of measurement should be ordinal, interval or ratio  (i.e.
+      the test could not be applied to nominal variables).
+
+The test is non-parametric and doesn't require distribution X to be normal
+
+Input parameters:
+    X       -   sample. Array whose index goes from 0 to N-1.
+    N       -   size of the sample.
+    Median  -   assumed median value.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+While   calculating   p-values   high-precision   binomial    distribution
+approximation is used, so significance levels have about 15 exact digits.
+
+  -- ALGLIB --
+     Copyright 08.09.2006 by Bochkanov Sergey
+*************************************************************************/
+void onesamplesigntest(const ap::real_1d_array& x,
+     int n,
+     double median,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    int i;
+    int gtcnt;
+    int necnt;
+
+    if( n<=1 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // Calculate:
+    // GTCnt - count of x[i]>Median
+    // NECnt - count of x[i]<>Median
+    //
+    gtcnt = 0;
+    necnt = 0;
+    for(i = 0; i <= n-1; i++)
+    {
+        if( x(i)>median )
+        {
+            gtcnt = gtcnt+1;
+        }
+        if( x(i)!=median )
+        {
+            necnt = necnt+1;
+        }
+    }
+    if( necnt==0 )
+    {
+        
+        //
+        // all x[i] are equal to Median.
+        // So we can conclude that Median is a true median :)
+        //
+        bothtails = 0.0;
+        lefttail = 0.0;
+        righttail = 0.0;
+        return;
+    }
+    bothtails = 2*binomialdistribution(ap::minint(gtcnt, necnt-gtcnt), necnt, 0.5);
+    lefttail = binomialdistribution(gtcnt, necnt, 0.5);
+    righttail = binomialcdistribution(gtcnt-1, necnt, 0.5);
+}
+
+
+

data/ext/alglib/stest.h

@@ -0,0 +1,94 @@
+/*************************************************************************
+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 _stest_h
+#define _stest_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+#include "ibetaf.h"
+#include "nearunityunit.h"
+#include "binomialdistr.h"
+
+
+/*************************************************************************
+Sign test
+
+This test checks three hypotheses about the median of  the  given  sample.
+The following tests are performed:
+    * two-tailed test (null hypothesis - the median is equal to the  given
+      value)
+    * left-tailed test (null hypothesis - the median is  greater  than  or
+      equal to the given value)
+    * right-tailed test (null hypothesis - the  median  is  less  than  or
+      equal to the given value)
+
+Requirements:
+    * the scale of measurement should be ordinal, interval or ratio  (i.e.
+      the test could not be applied to nominal variables).
+
+The test is non-parametric and doesn't require distribution X to be normal
+
+Input parameters:
+    X       -   sample. Array whose index goes from 0 to N-1.
+    N       -   size of the sample.
+    Median  -   assumed median value.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+While   calculating   p-values   high-precision   binomial    distribution
+approximation is used, so significance levels have about 15 exact digits.
+
+  -- ALGLIB --
+     Copyright 08.09.2006 by Bochkanov Sergey
+*************************************************************************/
+void onesamplesigntest(const ap::real_1d_array& x,
+     int n,
+     double median,
+     double& bothtails,
+     double& lefttail,
+     double& righttail);
+
+
+#endif

data/ext/alglib/studenttdistr.cpp

@@ -0,0 +1,222 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 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 "studenttdistr.h"
+
+/*************************************************************************
+Student's t distribution
+
+Computes the integral from minus infinity to t of the Student
+t distribution with integer k > 0 degrees of freedom:
+
+                                     t
+                                     -
+                                    | |
+             -                      |         2   -(k+1)/2
+            | ( (k+1)/2 )           |  (     x   )
+      ----------------------        |  ( 1 + --- )        dx
+                    -               |  (      k  )
+      sqrt( k pi ) | ( k/2 )        |
+                                  | |
+                                   -
+                                  -inf.
+
+Relation to incomplete beta integral:
+
+       1 - stdtr(k,t) = 0.5 * incbet( k/2, 1/2, z )
+where
+       z = k/(k + t**2).
+
+For t < -2, this is the method of computation.  For higher t,
+a direct method is derived from integration by parts.
+Since the function is symmetric about t=0, the area under the
+right tail of the density is found by calling the function
+with -t instead of t.
+
+ACCURACY:
+
+Tested at random 1 <= k <= 25.  The "domain" refers to t.
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE     -100,-2      50000       5.9e-15     1.4e-15
+   IEEE     -2,100      500000       2.7e-15     4.9e-17
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double studenttdistribution(int k, double t)
+{
+    double result;
+    double x;
+    double rk;
+    double z;
+    double f;
+    double tz;
+    double p;
+    double xsqk;
+    int j;
+
+    ap::ap_error::make_assertion(k>0, "Domain error in StudentTDistribution");
+    if( t==0 )
+    {
+        result = 0.5;
+        return result;
+    }
+    if( t<-2.0 )
+    {
+        rk = k;
+        z = rk/(rk+t*t);
+        result = 0.5*incompletebeta(0.5*rk, 0.5, z);
+        return result;
+    }
+    if( t<0 )
+    {
+        x = -t;
+    }
+    else
+    {
+        x = t;
+    }
+    rk = k;
+    z = 1.0+x*x/rk;
+    if( k%2!=0 )
+    {
+        xsqk = x/sqrt(rk);
+        p = atan(xsqk);
+        if( k>1 )
+        {
+            f = 1.0;
+            tz = 1.0;
+            j = 3;
+            while(j<=k-2&&tz/f>ap::machineepsilon)
+            {
+                tz = tz*((j-1)/(z*j));
+                f = f+tz;
+                j = j+2;
+            }
+            p = p+f*xsqk/z;
+        }
+        p = p*2.0/ap::pi();
+    }
+    else
+    {
+        f = 1.0;
+        tz = 1.0;
+        j = 2;
+        while(j<=k-2&&tz/f>ap::machineepsilon)
+        {
+            tz = tz*((j-1)/(z*j));
+            f = f+tz;
+            j = j+2;
+        }
+        p = f*x/sqrt(z*rk);
+    }
+    if( t<0 )
+    {
+        p = -p;
+    }
+    result = 0.5+0.5*p;
+    return result;
+}
+
+
+/*************************************************************************
+Functional inverse of Student's t distribution
+
+Given probability p, finds the argument t such that stdtr(k,t)
+is equal to p.
+
+ACCURACY:
+
+Tested at random 1 <= k <= 100.  The "domain" refers to p:
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE    .001,.999     25000       5.7e-15     8.0e-16
+   IEEE    10^-6,.001    25000       2.0e-12     2.9e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invstudenttdistribution(int k, double p)
+{
+    double result;
+    double t;
+    double rk;
+    double z;
+    int rflg;
+
+    ap::ap_error::make_assertion(k>0&&p>0&&p<1, "Domain error in InvStudentTDistribution");
+    rk = k;
+    if( p>0.25&&p<0.75 )
+    {
+        if( p==0.5 )
+        {
+            result = 0;
+            return result;
+        }
+        z = 1.0-2.0*p;
+        z = invincompletebeta(0.5, 0.5*rk, fabs(z));
+        t = sqrt(rk*z/(1.0-z));
+        if( p<0.5 )
+        {
+            t = -t;
+        }
+        result = t;
+        return result;
+    }
+    rflg = -1;
+    if( p>=0.5 )
+    {
+        p = 1.0-p;
+        rflg = 1;
+    }
+    z = invincompletebeta(0.5*rk, 0.5, 2.0*p);
+    if( ap::maxrealnumber*z<rk )
+    {
+        result = rflg*ap::maxrealnumber;
+        return result;
+    }
+    t = sqrt(rk/z-rk);
+    result = rflg*t;
+    return result;
+}
+
+
+