romberg_integral 0.1.1

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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/

data/.travis.yml

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+sudo: false
+language: ruby
+rvm:
+  - 2.3.0
+before_install: gem install bundler -v 1.15.4

data/Gemfile

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+source "https://rubygems.org"
+
+git_source(:github) {|repo_name| "https://github.com/#{repo_name}" }
+
+# Specify your gem's dependencies in romberg_integral.gemspec
+gemspec

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2017 Eric Boesch
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# Romberg Integral
+
+A pure Ruby implementation of Romberg numerical integration in one
+variable.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'romberg_integral'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install romberg_integral
+
+## Usage
+
+    require "romberg_integral"
+
+    # Numerically integrate 1/x between 1 and 10
+    ri = RombergIntegral.new
+
+    # If you wish to change the error thresholds from their default values:
+    ri.max_call_cnt = 1025
+    ri.min_call_cnt = 9
+    ri.relative_error = 1e-9
+    ri.absolute_error = 1e-40
+
+    estimate = ri.integral(1, 10) { |x| 1.0/x }
+    actual = Math.log 10
+    error = (actual - estimate.value).abs
+    puts (estimate.aborted ? "Failed": "Success")
+    puts "True error = #{error} after #{estimate.call_cnt} calls."
+    puts estimate
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake test` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/ericboesch/romberg_integral.
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](http://opensource.org/licenses/MIT).

data/Rakefile

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+require "bundler/gem_tasks"
+require "rake/testtask"
+
+Rake::TestTask.new(:test) do |t|
+  t.libs << "test"
+  t.libs << "lib"
+  t.test_files = FileList["test/**/*_test.rb"]
+end
+
+task :default => :test

data/bin/console

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+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "romberg_integral"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start(__FILE__)

data/bin/setup

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+#!/usr/bin/env bash
+set -euo pipefail
+IFS=$'\n\t'
+set -vx
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/lib/romberg_integral.rb

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+require "romberg_integral/version"
+
+# Class to numerically estimate the integral of a function using
+# Romberg integration, a faster relative of Simpson's method.
+#
+# == About the algorithm
+#
+# Romberg integration uses progressively higher-degree polynomial
+# approximations each time you double the number of sample points. For
+# example, it uses a 2nd-degree polynomial approximation (as Simpson's
+# method does) after one split (<tt>2**1 + 1</tt> sample points), and
+# it uses a 10th-degree polynomial approximation after five splits
+# (<tt>2**5 + 1</tt> sample points). Typically, this will greatly
+# improve accuracy (compared to simpler methods) for smooth functions,
+# while not making much difference for badly behaved ones.
+class RombergIntegral
+  # Acceptable absolute error.
+  #
+  # Each stage of Romberg integration nearly doubles the
+  # total number of function calls: specifically, the total calls made
+  # by the end of stage _n_ equals <tt>2**n+1</tt>. So, for example,
+  # the stage 1 estimate uses 3 function calls total, and stage 2
+  # adds 2 more function calls for a total of 5.
+  #
+  # The absolute error estimate after stage +n+ equals
+  #
+  #     Math.abs(stage_n_estimate - stage_n_minus_1_estimate)
+  #
+  # If the total number of function calls made so far is greater than
+  # or equal to {#min_call_cnt} and the absolute error estimate is no
+  # greater than {#relative_error}, then {#integral} returns.
+  #
+  # Default value is 10**-20.
+  # @return [Numeric]
+  attr_accessor :absolute_error
+
+  # Acceptable relative error.
+  #
+  # The relative error is defined as
+  #
+  #     absolute_error_estimate / integral_estimate
+  #
+  # If the total number of function calls made so far is greater than
+  # or equal to {#min_call_cnt} and the relative error estimate is no
+  # greater than this value, then {#integral} returns.
+  #
+  # Default value is 10**-10.
+  # @return [Numeric]
+  attr_accessor :relative_error
+
+  # Minimum number of function calls that {#integral} must make before
+  # returning due to having met the absolute or relative error
+  # threshold.
+  #
+  # Default value is 33.
+  # @return [Integer]
+  attr_accessor :min_call_cnt
+
+  # {#integral} must exit after calling the block this many times. This
+  # number is rounded up to the next value of the form <tt>2**n +
+  # 1</tt> which is also greater than or equal to {#min_call_cnt}. For
+  # example, a value of 50 is treated like <tt>65 = 2**6 + 1</tt>.
+  #
+  # Default value is 65537.
+  # @return [Integer]
+  attr_accessor :max_call_cnt
+
+  def initialize
+    @relative_error = 1e-10
+    @absolute_error = 1e-20
+    @max_call_cnt = 65537
+    @min_call_cnt = 33
+  end
+
+  # Estimate the integral between +x1+ and +x2+ of the block.
+  #
+  # @param x1 [Numeric] lower bound of integration. Must be finite.
+  # @param x2 [Numeric] upper bound of integration. Must be finite.
+  # @yield [x] +f(x)+, the function to be integrated.
+  #
+  # @return [RombergIntegral::Estimate]
+  def integral(x1, x2, &f)
+    x1, x2 = [x2, x1] if x1 > x2
+
+    # total is used to compute the trapezoid approximations.  It is more or
+    # less a total of all f() values computed so far.  The trapezoid
+    # method assigns half as much weight to f(x2) and f(x1) as it does to
+    # all other f() values, so f(x2) and f(x1) are divided by two here.
+    total = (yield(x1) + yield(x2))/2.0
+    call_cnt = 2
+    step_len = (x2 - x1).to_f
+
+    estimate = total * step_len # 0th trapezoid approximation.
+    row = [estimate]
+    split = 1
+    steps = 2
+    aborted = false
+    abs_error = nil
+
+    loop do
+      # Don't let step_len drop below the limits of numeric precision.
+      # (This should prevent infinite loops, but not loss of accuracy.)
+      if x1 + step_len/steps == x1 || x2 - step_len/steps == x2
+        aborted = true
+        break
+      end
+
+      # Compute the (split)th trapezoid approximation.
+      x = x1 + step_len/2
+      while x < x2
+        total += yield(x)
+        call_cnt += 1
+        x += step_len
+      end
+      row.unshift total * step_len / 2
+
+      # Compute the more refined approximations, based on the (split)th
+      # trapezoid approximation and the various (split-1)th refined
+      # approximations stored in @row.
+      pow4 = 4.0
+      1.upto(split) do |td|
+        row[td] = row[td-1] + (row[td-1]-row[td])/(pow4 - 1)
+        pow4 *= 4
+      end
+
+      # row[0] now contains the (split)th trapezoid approximation,
+      # row[1] now contains the (split)th Simpson approximation, and
+      # so on up to row[split] which contains the (split)th Romberg
+      # approximation.
+
+      # Is this estimate accurate enough?
+      old_estimate = estimate
+      estimate = row[-1]
+      abs_error = (estimate - old_estimate).abs
+      if call_cnt >= min_call_cnt
+        break if abs_error <= absolute_error ||
+                 abs_error <= relative_error * estimate.abs
+        if call_cnt >= max_call_cnt
+          aborted = true
+          break
+        end
+      end
+      split += 1
+      step_len /=2
+      steps *= 2
+    end
+
+    Estimate.new(estimate, aborted, call_cnt, abs_error)
+  end
+
+  # Structure to hold information returned by {RombergIntegral#integral}
+  #
+  # @attr [Boolean] aborted True if call exited before reaching either
+  #     the relative or absolute error thresholds. This could be
+  #     because {RombergIntegral#max_call_cnt} was reached or because
+  #     loss of precision was detected.
+  #
+  # @attr [Integer] call_cnt Number of function calls made during the
+  #     estimation process.
+  # @attr [Float] value The estimated value
+  # @attr [Float] absolute_error Estimated limit on the error in {#value}
+  Estimate = Struct.new(:value, :aborted, :call_cnt, :absolute_error) do
+    # @return [Float, nil] Absolute error estimate divided by
+    #   estimate, or nil if estimate is zero.
+    def relative_error
+      value.zero? ? nil : (absolute_error / value).abs
+    end
+
+    def to_f
+      value
+    end
+
+    def to_s
+      "Estimate[#{value} +/- #{absolute_error}, call_cnt=#{call_cnt}, " \
+      "aborted=#{aborted}]"
+    end
+  end
+end

data/lib/romberg_integral/version.rb

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+class RombergIntegral
+  VERSION = "0.1.1"
+end

data/romberg_integral.gemspec

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+# coding: utf-8
+lib = File.expand_path("../lib", __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require "romberg_integral/version"
+
+Gem::Specification.new do |spec|
+  spec.name          = "romberg_integral"
+  spec.version       = RombergIntegral::VERSION
+  spec.authors       = ["Eric Boesch"]
+  spec.email         = ["ericboesch@gmail.com"]
+
+  spec.summary       = %q{Romberg numerical integration class.}
+  spec.homepage      = "https://github.com/ericboesch/romberg_integral"
+  spec.license       = "MIT"
+  spec.files         = `git ls-files -z`.split("\x0").reject do |f|
+    f.match(%r{^(test|spec|features)/})
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.15"
+  spec.add_development_dependency "rake", "~> 10.0"
+  spec.add_development_dependency "minitest", "~> 5.0"
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: romberg_integral
+version: !ruby/object:Gem::Version
+  version: 0.1.1
+platform: ruby
+authors:
+- Eric Boesch
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2017-10-31 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.15'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.15'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.0'
+description: 
+email:
+- ericboesch@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".travis.yml"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- lib/romberg_integral.rb
+- lib/romberg_integral/version.rb
+- romberg_integral.gemspec
+homepage: https://github.com/ericboesch/romberg_integral
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.5.1
+signing_key: 
+specification_version: 4
+summary: Romberg numerical integration class.
+test_files: []