integration 0.1.1 → 0.1.2
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- checksums.yaml +4 -4
- data/.gitignore +1 -0
- data/.travis.yml +6 -5
- data/README.md +67 -53
- data/Rakefile +5 -25
- data/integration.gemspec +4 -5
- data/lib/integration.rb +233 -58
- data/lib/integration/version.rb +3 -0
- data/lib/opencl/Makefile +29 -0
- data/lib/opencl/integration_host.c +151 -0
- data/lib/opencl/opencl_minimization.rb +251 -0
- data/lib/opencl/unidimensional_kernel.cl +47 -0
- metadata +7 -7
- data/.autotest +0 -23
- data/.rspec +0 -2
- data/Gemfile.lock +0 -38
- data/Manifest.txt +0 -9
- data/lib/symbolic.rb +0 -55
checksums.yaml
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SHA1:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 437b8e5c01a17b8168d503e3053429e5df10238c
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data.tar.gz: 4b8fde1abeece2e42932cda9fa06779ee08ea274
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SHA512:
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metadata.gz:
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metadata.gz: 10f8aa27944b66c5e0817f3e6f9b18fc948be1539aef46931ac1ea803c869f243bb91b097a0edd6433cdafdce5728dc6dca9a32109ed6208cba1b65c6b66b47d
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data.tar.gz: 92b5bcc05f2438e3d4c301119d984e82074353ca6e03975eaf972bc39669584e07a038479f9f38fc8a1370708b82d23cec228bb686333343a3c5726c750df871
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data/.gitignore
CHANGED
data/.travis.yml
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language: ruby
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rvm:
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- 1.9.3
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- 2.0
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- 2.1
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- 2.2
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# - jruby-19mode # JRuby in 1.9 mode -> Problems with bigint
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# - rbx-19mode
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# script: bundle exec rspec spec
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script:
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bundle exec
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bundle exec rake spec
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before_install:
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- sudo apt-get update -qq
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- sudo apt-get install -y libgsl0-dev
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data/README.md
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#
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# Integration
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[![Build Status](https://travis-ci.org/SciRuby/integration.svg?branch=master)](https://travis-ci.org/SciRuby/integration)
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[![Code Climate](https://codeclimate.com/github/SciRuby/integration/badges/gpa.svg)](https://codeclimate.com/github/SciRuby/integration)
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Numerical integration for Ruby, with a simple interface. Several different integration methods are implemented.
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## Installation
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```bash
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$ gem install integration
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```
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You can install GSL (please use your package manager) for better performance and support for infinite bounds. After successfully installing the library:
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```bash
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$ gem install rb-gsl
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```
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## Documentation
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You can see the latest documentation for Integration at Rubydoc: [rubydoc.info/github/sciruby/integration](http://www.rubydoc.info/github/sciruby/integration).
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## Features
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* Use only one method: Integration.integrate
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* Rectangular, Trapezoidal, Simpson, Adaptive quadrature, Monte Carlo and Romberg integration methods available on pure Ruby.
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* If available, uses Ruby/GSL QNG non-adaptive Gauss-Kronrod integration and QAG adaptive integration, with support for Infinity+ and Infinity-
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##
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Except as contained in this notice, the name of the Beng shall not
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be used in advertising or otherwise to promote the sale, use or other dealings
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in this Software without prior written authorization from Beng.
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* Rectangular, Trapezoidal, Simpson, Adaptive quadrature, Monte Carlo and Romberg integration methods available on pure Ruby.
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* If available, uses Ruby/GSL QNG non-adaptive Gauss-Kronrod integration and QAG adaptive integration, with support for Infinity+ and Infinity-
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## Examples
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```ruby
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# Integrate x^2 in [1, 2] using Simpson's rule.
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Integration.integrate(1, 2, tolerance: 1e-10, method: :simpson) do |x|
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x**2
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end
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# => 2.333333
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# Support for infinity bounds with GSL QAG adaptative integration.
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normal_pdf = lambda do |x|
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(1 / Math.sqrt(2 * Math::PI)) * Math.exp(-0.5 * (x**2))
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end
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Integration.integrate(Integration::MInfinity, 0, tolerance: 1e-10, &normal_pdf) # => 0.5
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Integration.integrate(0, Integration::Infinity , tolerance: 1e-10, &normal_pdf) # => 0.5
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```
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## License
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Copyright (c) 2005 Beng
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2011-2015 clbustos
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Permission is hereby granted, free of charge, to any person obtaining a
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copy of this software and associated documentation files (the "Software"),
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to deal in the Software without restriction, including without limitation
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the rights to use, copy, modify, merge, publish, distribute, sublicense,
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and/or sell copies of the Software, and to permit persons to whom the
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Software is furnished to do so, subject to the following conditions:
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The above copyright notice and this permission notice shall be included in
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all copies or substantial portions of the Software.
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL
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THE DEVELOPERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF
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OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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SOFTWARE.
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Except as contained in this notice, the name of the Beng shall not
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be used in advertising or otherwise to promote the sale, use or other dealings
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in this Software without prior written authorization from Beng.
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data/Rakefile
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$:.unshift(File.expand_path(File.dirname(__FILE__)+"/lib/"))
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require 'rubygems'
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require 'integration'
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require 'bundler'
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Bundler::GemHelper.install_tasks
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gemspec = eval(IO.read("integration.gemspec"))
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$LOAD_PATH.unshift File.expand_path('../lib', __FILE__)
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require 'integration/version'
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require 'bundler'
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require 'bundler/gem_tasks'
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require 'rspec/core/rake_task'
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begin
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Bundler.setup(:default, :development)
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exit e.status_code
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end
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require "rubygems/package_task"
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Gem::PackageTask.new(gemspec).define
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desc "install the gem locally"
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task :install => [:package] do
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sh %{gem install pkg/integration-#{Integration::VERSION}.gem}
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end
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require 'rspec/core/rake_task'
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require 'rspec/core'
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require 'rspec/core/rake_task'
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RSpec::Core::RakeTask.new(:spec) do |spec|
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spec.pattern = FileList['spec/**/*_spec.rb']
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end
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desc "Open an irb session preloaded with integration"
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task :console do
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sh "irb -rubygems -I lib -r integration.rb"
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end
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task :default => :spec
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# vim: syntax=ruby
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data/integration.gemspec
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lib = File.expand_path('../lib/', __FILE__)
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$:.unshift lib unless $:.include?(lib)
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$LOAD_PATH.unshift File.expand_path('../lib', __FILE__)
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require 'integration/version'
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Gem::Specification.new do |s|
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s.name = "integration"
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s.version =
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s.version = Integration::VERSION
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s.authors = ["Claudio Bustos","Ben Gimpert"]
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s.description = "Numerical integration for Ruby, with a simple interface"
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s.email = ["clbustos@gmail.com", "No Email"]
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s.files = `git ls-files`.split("\n")
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s.test_files = `git ls-files -- {test,spec,features,benchmark}/*`.split("\n")
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s.test_files = `git ls-files -- {test,spec,features,benchmark}/*`.split("\n")
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s.executables = `git ls-files -- bin/*`.split("\n").map{ |f| File.basename(f) }
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s.require_paths = ["lib"]
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s.summary = "A suite for integration in Ruby"
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data/lib/integration.rb
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# the rights to use, copy, modify, merge, publish, distribute, sublicense,
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# and/or sell copies of the Software, and to permit persons to whom the
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# Software is furnished to do so, subject to the following conditions:
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#
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#
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# The above copyright notice and this permission notice shall be included in
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# all copies or substantial portions of the Software.
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#
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL
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# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF
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# OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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#
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#
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# Except as contained in this notice, the name of the Beng shall not
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# be used in advertising or otherwise to promote the sale, use or other dealings
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# in this Software without prior written authorization from Beng.
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# Diverse integration methods
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# Use Integration.integrate as wrapper to direct access to methods
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#
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# Method API
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#
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# Method API
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#
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class Integration
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VERSION = '0.2.0'
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# Minus Infinity
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MInfinity=:minfinity
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# Infinity
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Infinity=:infinity
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class << self
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-
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# Create a method 'has_<library>' on Module
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# which require a library and return true or false
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# according to success of failure
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# according to success of failure
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def create_has_library(library) #:nodoc:
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define_singleton_method("has_#{library}?") do
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cv="@@#{library}"
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if !class_variable_defined? cv
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begin
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begin
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require library.to_s
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class_variable_set(cv, true)
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rescue LoadError
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# * Ayres : Outline of calculus
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def rectangle(t1, t2, n, &f)
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d=(t2-t1) / n.to_f
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n.times.inject(0) {|ac,i|
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n.times.inject(0) {|ac,i|
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ac+f[t1+d*(i+0.5)]
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}*d
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end
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def trapezoid(t1, t2, n, &f)
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d=(t2-t1) / n.to_f
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(d/2.0)*(f[t1]+
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2*(1..(n-1)).inject(0){|ac,i|
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2*(1..(n-1)).inject(0){|ac,i|
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ac+f[t1+d*i]
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}+f[t2])
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end
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+
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# Simpson's rule
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# +n+ implies number of subdivisions
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# Source:
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# * Ayres : Outline of calculus
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def simpson(t1, t2, n, &f)
|
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n += 1 unless n % 2 == 0
|
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-
d=(t2-t1) / n.to_f
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+
d=(t2-t1) / n.to_f
|
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out= (d / 3.0)*(f[t1.to_f].to_f+
|
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((1..(n-1)).inject(0) {|ac,i|
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88
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-
ac+((i%2==0) ? 2 : 4)*f[t1+d*i]
|
88
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+
ac+((i%2==0) ? 2 : 4)*f[t1+d*i]
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89
89
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})+f[t2.to_f].to_f)
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out
|
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91
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end
|
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-
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+
|
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# Simpson's 3/8 Rule
|
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# +n+ implies number of subdivisions
|
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# Source:
|
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# * Burden, Richard L. and Faires, J. Douglas (2000): Numerical Analysis (7th ed.). Brooks/Cole
|
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97
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def simpson3by8(t1, t2, n, &f)
|
94
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-
d = (t2-t1) / n.to_f
|
98
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+
d = (t2-t1) / n.to_f
|
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99
|
ac = 0
|
96
100
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(0..n-1).each do |i|
|
97
101
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ac+=(d/8.0)*(f[t1+i*d]+3*f[t1+i*d+d/3]+3*f[t1+i*d+2*d/3]+f[t1+(i+1)*d])
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102
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end
|
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103
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ac
|
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104
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end
|
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-
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105
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+
|
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# Boole's Rule
|
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# +n+ implies number of subdivisions
|
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# Source:
|
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# Weisstein, Eric W. "Boole's Rule." From MathWorld—A Wolfram Web Resource
|
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110
|
def boole(t1, t2, n, &f)
|
103
|
-
d = (t2-t1) / n.to_f
|
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+
d = (t2-t1) / n.to_f
|
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112
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ac = 0
|
105
113
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(0..n-1).each do |i|
|
106
114
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ac+=(d/90.0)*(7*f[t1+i*d]+32*f[t1+i*d+d/4]+12*f[t1+i*d+d/2]+32*f[t1+i*d+3*d/4]+7*f[t1+(i+1)*d])
|
@@ -108,26 +116,38 @@ class Integration
|
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108
116
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ac
|
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end
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118
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-
#
|
119
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+
# Open Trapezoid method
|
120
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+
# +n+ implies number of subdivisions
|
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|
+
# Values computed at mid point and end point instead of starting points
|
112
122
|
def open_trapezoid(t1, t2, n, &f)
|
113
|
-
d = (t2-t1) / n.to_f
|
123
|
+
d = (t2-t1) / n.to_f
|
114
124
|
ac = 0
|
115
125
|
(0..n-1).each do |i|
|
116
126
|
ac+=(d/2.0)*(f[t1+i*d+d/3]+f[t1+i*d+2*d/3])
|
117
127
|
end
|
118
128
|
ac
|
119
129
|
end
|
120
|
-
|
130
|
+
|
131
|
+
# Milne's Method
|
132
|
+
# +n+ implies number of subdivisions
|
133
|
+
# Source:
|
134
|
+
# Abramowitz, M. and Stegun, I. A. (Eds.).
|
135
|
+
# Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables,
|
136
|
+
# 9th printing. New York: Dover, pp. 896-897, 1972.
|
121
137
|
def milne(t1, t2, n, &f)
|
122
|
-
d = (t2-t1) / n.to_f
|
138
|
+
d = (t2-t1) / n.to_f
|
123
139
|
ac = 0
|
124
140
|
(0..n-1).each do |i|
|
125
141
|
ac+=(d/3.0)*(2*f[t1+i*d+d/4]-f[t1+i*d+d/2]+2*f[t1+i*d+3*d/4])
|
126
142
|
end
|
127
143
|
ac
|
128
144
|
end
|
129
|
-
|
130
|
-
|
145
|
+
|
146
|
+
# Adaptive Quadrature
|
147
|
+
# Calls the Simpson's rule recursively on subintervals
|
148
|
+
# in case the error exceeds the desired tolerance
|
149
|
+
# +tolerance+ is the desired tolerance of error
|
150
|
+
def adaptive_quadrature(a, b, tolerance)
|
131
151
|
h = (b.to_f - a) / 2
|
132
152
|
fa = yield(a)
|
133
153
|
fc = yield(a + h)
|
@@ -151,7 +171,9 @@ class Integration
|
|
151
171
|
}
|
152
172
|
return helper.call(a, b, fa, fb, fc, h, s, 1)
|
153
173
|
end
|
154
|
-
|
174
|
+
|
175
|
+
# Gaussian Quadrature
|
176
|
+
# n-point Gaussian quadrature rule gives an exact result for polynomials of degree 2n − 1 or less
|
155
177
|
def gauss(t1, t2, n)
|
156
178
|
case n
|
157
179
|
when 1
|
@@ -187,50 +209,195 @@ class Integration
|
|
187
209
|
else
|
188
210
|
raise "Invalid number of spaced abscissas #{n}, should be 1-10"
|
189
211
|
end
|
190
|
-
|
212
|
+
|
191
213
|
sum = 0
|
192
214
|
(0...n).each do |i|
|
193
|
-
t = ((t1.to_f + t2) / 2.0) + (((t2 - t1) / 2.0) * z[i])
|
215
|
+
t = ((t1.to_f + t2) / 2.0) + (((t2 - t1) / 2.0) * z[i])
|
194
216
|
sum += w[i] * yield(t)
|
195
217
|
end
|
196
218
|
return ((t2 - t1) / 2.0) * sum
|
197
219
|
end
|
198
|
-
|
220
|
+
|
221
|
+
# Gauss Kronrod Rule:
|
222
|
+
# Provides a 3n+1 order estimate while re-using the function values of a lower-order(n order) estimate
|
223
|
+
# Source:
|
224
|
+
# "Gauss–Kronrod quadrature formula", Encyclopedia of Mathematics, Springer, ISBN 978-1-55608-010-4
|
199
225
|
def gauss_kronrod(t1,t2,n,points)
|
200
226
|
#g7k15
|
201
227
|
case points
|
202
228
|
when 15
|
203
|
-
|
204
|
-
|
229
|
+
|
230
|
+
z = [-0.9914553711208126, -0.9491079123427585, -0.8648644233597691,
|
231
|
+
-0.7415311855993945, -0.5860872354676911, -0.4058451513773972,
|
232
|
+
-0.20778495500789848, 0.0, 0.20778495500789848,
|
233
|
+
0.4058451513773972, 0.5860872354676911, 0.7415311855993945,
|
234
|
+
0.8648644233597691, 0.9491079123427585, 0.9914553711208126]
|
235
|
+
|
236
|
+
w = [0.022935322010529224, 0.06309209262997856, 0.10479001032225019,
|
237
|
+
0.14065325971552592, 0.1690047266392679, 0.19035057806478542,
|
238
|
+
0.20443294007529889, 0.20948214108472782, 0.20443294007529889,
|
239
|
+
0.19035057806478542, 0.1690047266392679, 0.14065325971552592,
|
240
|
+
0.10479001032225019, 0.06309209262997856, 0.022935322010529224]
|
241
|
+
|
205
242
|
when 21
|
206
243
|
#g10k21
|
207
|
-
|
208
|
-
|
244
|
+
|
245
|
+
z = [-0.9956571630258081, -0.9739065285171717, -0.9301574913557082,
|
246
|
+
-0.8650633666889845, -0.7808177265864169, -0.6794095682990244,
|
247
|
+
-0.5627571346686047, -0.4333953941292472, -0.2943928627014602,
|
248
|
+
-0.14887433898163122, 0.0, 0.14887433898163122,
|
249
|
+
0.2943928627014602, 0.4333953941292472, 0.5627571346686047,
|
250
|
+
0.6794095682990244, 0.7808177265864169, 0.8650633666889845,
|
251
|
+
0.9301574913557082, 0.9739065285171717, 0.9956571630258081]
|
252
|
+
|
253
|
+
w = [0.011694638867371874, 0.032558162307964725,
|
254
|
+
0.054755896574351995, 0.07503967481091996, 0.0931254545836976,
|
255
|
+
0.10938715880229764, 0.12349197626206584, 0.13470921731147334,
|
256
|
+
0.14277593857706009, 0.14773910490133849, 0.1494455540029169,
|
257
|
+
0.14773910490133849, 0.14277593857706009, 0.13470921731147334,
|
258
|
+
0.12349197626206584, 0.10938715880229764, 0.0931254545836976,
|
259
|
+
0.07503967481091996, 0.054755896574351995, 0.032558162307964725,
|
260
|
+
0.011694638867371874]
|
261
|
+
|
209
262
|
when 31
|
210
263
|
#g15k31
|
211
|
-
|
212
|
-
|
264
|
+
|
265
|
+
z = [-0.9980022986933971, -0.9879925180204854, -0.9677390756791391,
|
266
|
+
-0.937273392400706, -0.8972645323440819, -0.8482065834104272,
|
267
|
+
-0.790418501442466, -0.7244177313601701, -0.650996741297417,
|
268
|
+
-0.5709721726085388, -0.4850818636402397, -0.3941513470775634,
|
269
|
+
-0.29918000715316884, -0.20119409399743451, -0.1011420669187175,
|
270
|
+
0.0, 0.1011420669187175, 0.20119409399743451,
|
271
|
+
0.29918000715316884, 0.3941513470775634, 0.4850818636402397,
|
272
|
+
0.5709721726085388, 0.650996741297417, 0.7244177313601701,
|
273
|
+
0.790418501442466, 0.8482065834104272, 0.8972645323440819,
|
274
|
+
0.937273392400706, 0.9677390756791391, 0.9879925180204854,
|
275
|
+
0.9980022986933971]
|
276
|
+
|
277
|
+
w = [0.005377479872923349, 0.015007947329316122, 0.02546084732671532,
|
278
|
+
0.03534636079137585, 0.04458975132476488, 0.05348152469092809,
|
279
|
+
0.06200956780067064, 0.06985412131872826, 0.07684968075772038,
|
280
|
+
0.08308050282313302, 0.08856444305621176, 0.09312659817082532,
|
281
|
+
0.09664272698362368, 0.09917359872179196, 0.10076984552387559,
|
282
|
+
0.10133000701479154, 0.10076984552387559, 0.09917359872179196,
|
283
|
+
0.09664272698362368, 0.09312659817082532, 0.08856444305621176,
|
284
|
+
0.08308050282313302, 0.07684968075772038, 0.06985412131872826,
|
285
|
+
0.06200956780067064, 0.05348152469092809, 0.04458975132476488,
|
286
|
+
0.03534636079137585, 0.02546084732671532, 0.015007947329316122,
|
287
|
+
0.005377479872923349]
|
288
|
+
|
213
289
|
when 41
|
214
290
|
#g20k41
|
215
|
-
|
216
|
-
|
291
|
+
|
292
|
+
z = [-0.9988590315882777, -0.9931285991850949, -0.9815078774502503,
|
293
|
+
-0.9639719272779138, -0.9408226338317548, -0.912234428251326,
|
294
|
+
-0.878276811252282, -0.8391169718222188, -0.7950414288375512,
|
295
|
+
-0.7463319064601508, -0.6932376563347514, -0.636053680726515,
|
296
|
+
-0.5751404468197103, -0.5108670019508271, -0.4435931752387251,
|
297
|
+
-0.37370608871541955, -0.301627868114913, -0.22778585114164507,
|
298
|
+
-0.15260546524092267, -0.07652652113349734, 0.0,
|
299
|
+
0.07652652113349734, 0.15260546524092267, 0.22778585114164507,
|
300
|
+
0.301627868114913, 0.37370608871541955, 0.4435931752387251,
|
301
|
+
0.5108670019508271, 0.5751404468197103, 0.636053680726515,
|
302
|
+
0.6932376563347514, 0.7463319064601508, 0.7950414288375512,
|
303
|
+
0.8391169718222188, 0.878276811252282, 0.912234428251326,
|
304
|
+
0.9408226338317548, 0.9639719272779138, 0.9815078774502503,
|
305
|
+
0.9931285991850949, 0.9988590315882777]
|
306
|
+
|
307
|
+
w = [0.0030735837185205317, 0.008600269855642943,
|
308
|
+
0.014626169256971253, 0.020388373461266523, 0.02588213360495116,
|
309
|
+
0.0312873067770328, 0.036600169758200796, 0.041668873327973685,
|
310
|
+
0.04643482186749767, 0.05094457392372869, 0.05519510534828599,
|
311
|
+
0.05911140088063957, 0.06265323755478117, 0.06583459713361842,
|
312
|
+
0.06864867292852161, 0.07105442355344407, 0.07303069033278667,
|
313
|
+
0.07458287540049918, 0.07570449768455667, 0.07637786767208074,
|
314
|
+
0.07660071191799965, 0.07637786767208074, 0.07570449768455667,
|
315
|
+
0.07458287540049918, 0.07303069033278667, 0.07105442355344407,
|
316
|
+
0.06864867292852161, 0.06583459713361842, 0.06265323755478117,
|
317
|
+
0.05911140088063957, 0.05519510534828599, 0.05094457392372869,
|
318
|
+
0.04643482186749767, 0.041668873327973685, 0.036600169758200796,
|
319
|
+
0.0312873067770328, 0.02588213360495116, 0.020388373461266523,
|
320
|
+
0.014626169256971253, 0.008600269855642943,
|
321
|
+
0.0030735837185205317]
|
322
|
+
|
217
323
|
when 61
|
218
324
|
#g30k61
|
219
|
-
|
220
|
-
|
325
|
+
|
326
|
+
z = [-0.9994844100504906, -0.9968934840746495, -0.9916309968704046,
|
327
|
+
-0.9836681232797472, -0.9731163225011262, -0.9600218649683075,
|
328
|
+
-0.94437444474856, -0.9262000474292743, -0.9055733076999078,
|
329
|
+
-0.8825605357920527, -0.8572052335460612, -0.8295657623827684,
|
330
|
+
-0.799727835821839, -0.7677774321048262, -0.7337900624532268,
|
331
|
+
-0.6978504947933158, -0.6600610641266269, -0.6205261829892429,
|
332
|
+
-0.5793452358263617, -0.5366241481420199, -0.49248046786177857,
|
333
|
+
-0.44703376953808915, -0.4004012548303944, -0.3527047255308781,
|
334
|
+
-0.30407320227362505, -0.25463692616788985,
|
335
|
+
-0.20452511668230988, -0.15386991360858354,
|
336
|
+
-0.10280693796673702, -0.0514718425553177, 0.0,
|
337
|
+
0.0514718425553177, 0.10280693796673702, 0.15386991360858354,
|
338
|
+
0.20452511668230988, 0.25463692616788985, 0.30407320227362505,
|
339
|
+
0.3527047255308781, 0.4004012548303944, 0.44703376953808915,
|
340
|
+
0.49248046786177857, 0.5366241481420199, 0.5793452358263617,
|
341
|
+
0.6205261829892429, 0.6600610641266269, 0.6978504947933158,
|
342
|
+
0.7337900624532268, 0.7677774321048262, 0.799727835821839,
|
343
|
+
0.8295657623827684, 0.8572052335460612, 0.8825605357920527,
|
344
|
+
0.9055733076999078, 0.9262000474292743, 0.94437444474856,
|
345
|
+
0.9600218649683075, 0.9731163225011262, 0.9836681232797472,
|
346
|
+
0.9916309968704046, 0.9968934840746495, 0.9994844100504906]
|
347
|
+
|
348
|
+
w = [0.0013890136986770077, 0.003890461127099884,
|
349
|
+
0.0066307039159312926, 0.009273279659517764,
|
350
|
+
0.011823015253496341, 0.014369729507045804, 0.01692088918905327,
|
351
|
+
0.019414141193942382, 0.021828035821609193, 0.0241911620780806,
|
352
|
+
0.0265099548823331, 0.02875404876504129, 0.030907257562387762,
|
353
|
+
0.03298144705748372, 0.034979338028060025, 0.03688236465182123,
|
354
|
+
0.038678945624727595, 0.040374538951535956,
|
355
|
+
0.041969810215164244, 0.04345253970135607, 0.04481480013316266,
|
356
|
+
0.04605923827100699, 0.04718554656929915, 0.04818586175708713,
|
357
|
+
0.04905543455502978, 0.04979568342707421, 0.05040592140278235,
|
358
|
+
0.05088179589874961, 0.051221547849258774, 0.05142612853745902,
|
359
|
+
0.05149472942945157, 0.05142612853745902, 0.051221547849258774,
|
360
|
+
0.05088179589874961, 0.05040592140278235, 0.04979568342707421,
|
361
|
+
0.04905543455502978, 0.04818586175708713, 0.04718554656929915,
|
362
|
+
0.04605923827100699, 0.04481480013316266, 0.04345253970135607,
|
363
|
+
0.041969810215164244, 0.040374538951535956,
|
364
|
+
0.038678945624727595, 0.03688236465182123, 0.034979338028060025,
|
365
|
+
0.03298144705748372, 0.030907257562387762, 0.02875404876504129,
|
366
|
+
0.0265099548823331, 0.0241911620780806, 0.021828035821609193,
|
367
|
+
0.019414141193942382, 0.01692088918905327, 0.014369729507045804,
|
368
|
+
0.011823015253496341, 0.009273279659517764,
|
369
|
+
0.0066307039159312926, 0.003890461127099884,
|
370
|
+
0.0013890136986770077]
|
371
|
+
|
221
372
|
else # using 15 point quadrature
|
373
|
+
|
222
374
|
n = 15
|
223
|
-
|
224
|
-
|
375
|
+
|
376
|
+
z = [-0.9914553711208126, -0.9491079123427585, -0.8648644233597691,
|
377
|
+
-0.7415311855993945, -0.5860872354676911, -0.4058451513773972,
|
378
|
+
-0.20778495500789848, 0.0, 0.20778495500789848,
|
379
|
+
0.4058451513773972, 0.5860872354676911, 0.7415311855993945,
|
380
|
+
0.8648644233597691, 0.9491079123427585, 0.9914553711208126]
|
381
|
+
|
382
|
+
w = [0.022935322010529224, 0.06309209262997856, 0.10479001032225019,
|
383
|
+
0.14065325971552592, 0.1690047266392679, 0.19035057806478542,
|
384
|
+
0.20443294007529889, 0.20948214108472782, 0.20443294007529889,
|
385
|
+
0.19035057806478542, 0.1690047266392679, 0.14065325971552592,
|
386
|
+
0.10479001032225019, 0.06309209262997856, 0.022935322010529224]
|
387
|
+
|
225
388
|
end
|
389
|
+
|
226
390
|
sum = 0
|
227
391
|
(0...n).each do |i|
|
228
392
|
t = ((t1.to_f + t2) / 2.0) + (((t2 - t1) / 2.0) * z[i])
|
229
393
|
sum += w[i] * yield(t)
|
230
394
|
end
|
231
|
-
|
395
|
+
|
396
|
+
((t2 - t1) / 2.0) * sum
|
232
397
|
end
|
233
|
-
|
398
|
+
|
399
|
+
# Romberg Method:
|
400
|
+
# It is obtained by applying extrapolation techniques repeatedly on the trapezoidal rule
|
234
401
|
def romberg(a, b, tolerance,max_iter=20)
|
235
402
|
# NOTE one-based arrays are used for convenience
|
236
403
|
h = b.to_f - a
|
@@ -251,8 +418,10 @@ class Integration
|
|
251
418
|
end
|
252
419
|
r[j][j]
|
253
420
|
end
|
254
|
-
|
255
|
-
#
|
421
|
+
|
422
|
+
# Monte Carlo:
|
423
|
+
# Uses a non deterministic(probabilistic) approach for calculation of definite integrals
|
424
|
+
# Estimates the integral by randomly choosing points in a set and then calculating the number of points that fall in the desired area
|
256
425
|
def monte_carlo(t1, t2, n)
|
257
426
|
width = (t2 - t1).to_f
|
258
427
|
height = nil
|
@@ -269,15 +438,19 @@ class Integration
|
|
269
438
|
end
|
270
439
|
return (width * height) * area_ratio
|
271
440
|
end
|
441
|
+
|
272
442
|
def is_infinite?(v)
|
273
|
-
v==Infinity
|
443
|
+
v == Infinity || v == MInfinity
|
274
444
|
end
|
445
|
+
|
275
446
|
# Methods available on pure ruby
|
276
447
|
RUBY_METHOD=[:rectangle,:trapezoid,:simpson, :adaptive_quadrature , :gauss, :romberg, :monte_carlo, :gauss_kronrod, :simpson3by8, :boole, :open_trapezoid, :milne]
|
448
|
+
|
277
449
|
# Methods available with Ruby/GSL library
|
278
450
|
GSL_METHOD=[:qng, :qag]
|
451
|
+
|
279
452
|
# Get the integral for a function +f+, with bounds +t1+ and
|
280
|
-
# +t2+ given a hash of +options+.
|
453
|
+
# +t2+ given a hash of +options+.
|
281
454
|
# If Ruby/GSL is available, you could use +Integration::Minfinity+
|
282
455
|
# and +Integration::Infinity+ as bounds. Method
|
283
456
|
# Options are
|
@@ -285,7 +458,7 @@ class Integration
|
|
285
458
|
# Default: 1e-10
|
286
459
|
# [:initial_step] Initial number of subdivitions
|
287
460
|
# [:step] Subdivitions increment on each iteration
|
288
|
-
# [:method] Integration method.
|
461
|
+
# [:method] Integration method.
|
289
462
|
# Methods are
|
290
463
|
# [:rectangle] for [:initial_step+:step*iteration] quadrilateral subdivisions
|
291
464
|
# [:trapezoid] for [:initial_step+:step*iteration] trapezoid-al subdivisions
|
@@ -304,7 +477,7 @@ class Integration
|
|
304
477
|
lower_bound=t1
|
305
478
|
upper_bound=t2
|
306
479
|
options[:method]=:qag if options[:method].nil?
|
307
|
-
else
|
480
|
+
else
|
308
481
|
lower_bound = [t1, t2].min
|
309
482
|
upper_bound = [t1, t2].max
|
310
483
|
end
|
@@ -320,35 +493,37 @@ class Integration
|
|
320
493
|
raise "Unknown integration method \"#{options[:method]}\""
|
321
494
|
end
|
322
495
|
end
|
496
|
+
|
323
497
|
# TODO: Document method
|
324
|
-
def integrate_gsl(lower_bound,upper_bound,options,&f)
|
325
|
-
|
498
|
+
def integrate_gsl(lower_bound,upper_bound,options,&f)
|
499
|
+
|
326
500
|
f = GSL::Function.alloc(&f)
|
327
501
|
method=options[:method]
|
328
502
|
tolerance=options[:tolerance]
|
329
|
-
|
503
|
+
|
330
504
|
if(method==:qag)
|
331
505
|
w = GSL::Integration::Workspace.alloc()
|
332
|
-
if(is_infinite?(lower_bound) and is_infinite?(upper_bound))
|
506
|
+
if(is_infinite?(lower_bound) and is_infinite?(upper_bound))
|
333
507
|
#puts "ambos"
|
334
|
-
val=f.qagi([tolerance,0.0], 1000, w)
|
508
|
+
val=f.qagi([tolerance,0.0], 1000, w)
|
335
509
|
elsif is_infinite?(lower_bound)
|
336
510
|
#puts "inferior #{upper_bound}"
|
337
|
-
val=f.qagil(upper_bound, [tolerance, 0], w)
|
511
|
+
val=f.qagil(upper_bound, [tolerance, 0], w)
|
338
512
|
elsif is_infinite?(upper_bound)
|
339
513
|
#puts "superior"
|
340
514
|
val=f.qagiu(lower_bound, [tolerance, 0], w)
|
341
515
|
else
|
342
|
-
|
516
|
+
|
343
517
|
val=f.qag([lower_bound,upper_bound],[tolerance,0.0], GSL::Integration::GAUSS61, w)
|
344
518
|
end
|
345
519
|
elsif(method==:qng)
|
346
|
-
val=f.qng([lower_bound, upper_bound], [tolerance, 0.0])
|
520
|
+
val=f.qng([lower_bound, upper_bound], [tolerance, 0.0])
|
347
521
|
else
|
348
522
|
raise "Unknown integration method \"#{method}\""
|
349
523
|
end
|
350
524
|
val[0]
|
351
525
|
end
|
526
|
+
|
352
527
|
def integrate_ruby(lower_bound,upper_bound,options,&f)
|
353
528
|
method=options[:method]
|
354
529
|
tolerance=options[:tolerance]
|
@@ -388,14 +563,14 @@ class Integration
|
|
388
563
|
current_step+=step
|
389
564
|
previous=value
|
390
565
|
#puts "Llamando al metodo"
|
391
|
-
|
566
|
+
|
392
567
|
value=method_obj.call(lower_bound, upper_bound, current_step, &f)
|
393
568
|
end
|
394
|
-
|
395
|
-
|
569
|
+
|
396
570
|
value
|
397
571
|
end
|
398
572
|
end
|
399
573
|
end
|
574
|
+
|
400
575
|
create_has_library :gsl
|
401
576
|
end
|