864 lines
33 KiB
C
864 lines
33 KiB
C
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/*************************************************************************
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ALGLIB 3.16.0 (source code generated 2019-12-19)
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Copyright (c) Sergey Bochkanov (ALGLIB project).
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>>> SOURCE LICENSE >>>
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This program is free software; you can redistribute it and/or modify
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it under the terms of the GNU General Public License as published by
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the Free Software Foundation (www.fsf.org); either version 2 of the
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License, or (at your option) any later version.
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This program is distributed in the hope that it will be useful,
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but WITHOUT ANY WARRANTY; without even the implied warranty of
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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GNU General Public License for more details.
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A copy of the GNU General Public License is available at
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http://www.fsf.org/licensing/licenses
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>>> END OF LICENSE >>>
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*************************************************************************/
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#ifndef _integration_pkg_h
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#define _integration_pkg_h
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#include "ap.h"
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#include "alglibinternal.h"
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#include "alglibmisc.h"
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#include "linalg.h"
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#include "specialfunctions.h"
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/////////////////////////////////////////////////////////////////////////
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//
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// THIS SECTION CONTAINS COMPUTATIONAL CORE DECLARATIONS (DATATYPES)
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//
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/////////////////////////////////////////////////////////////////////////
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namespace alglib_impl
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{
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#if defined(AE_COMPILE_GQ) || !defined(AE_PARTIAL_BUILD)
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#endif
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#if defined(AE_COMPILE_GKQ) || !defined(AE_PARTIAL_BUILD)
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#endif
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#if defined(AE_COMPILE_AUTOGK) || !defined(AE_PARTIAL_BUILD)
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typedef struct
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{
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ae_int_t terminationtype;
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ae_int_t nfev;
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ae_int_t nintervals;
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} autogkreport;
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typedef struct
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{
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double a;
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double b;
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double eps;
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double xwidth;
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double x;
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double f;
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ae_int_t info;
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double r;
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ae_matrix heap;
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ae_int_t heapsize;
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ae_int_t heapwidth;
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ae_int_t heapused;
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double sumerr;
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double sumabs;
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ae_vector qn;
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ae_vector wg;
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ae_vector wk;
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ae_vector wr;
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ae_int_t n;
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rcommstate rstate;
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} autogkinternalstate;
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typedef struct
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{
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double a;
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double b;
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double alpha;
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double beta;
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double xwidth;
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double x;
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double xminusa;
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double bminusx;
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ae_bool needf;
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double f;
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ae_int_t wrappermode;
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autogkinternalstate internalstate;
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rcommstate rstate;
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double v;
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ae_int_t terminationtype;
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ae_int_t nfev;
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ae_int_t nintervals;
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} autogkstate;
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#endif
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}
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/////////////////////////////////////////////////////////////////////////
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//
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// THIS SECTION CONTAINS C++ INTERFACE
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//
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/////////////////////////////////////////////////////////////////////////
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namespace alglib
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{
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#if defined(AE_COMPILE_GQ) || !defined(AE_PARTIAL_BUILD)
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#endif
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#if defined(AE_COMPILE_GKQ) || !defined(AE_PARTIAL_BUILD)
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#endif
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#if defined(AE_COMPILE_AUTOGK) || !defined(AE_PARTIAL_BUILD)
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/*************************************************************************
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Integration report:
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* TerminationType = completetion code:
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* -5 non-convergence of Gauss-Kronrod nodes
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calculation subroutine.
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* -1 incorrect parameters were specified
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* 1 OK
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* Rep.NFEV countains number of function calculations
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* Rep.NIntervals contains number of intervals [a,b]
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was partitioned into.
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*************************************************************************/
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class _autogkreport_owner
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{
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public:
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_autogkreport_owner();
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_autogkreport_owner(const _autogkreport_owner &rhs);
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_autogkreport_owner& operator=(const _autogkreport_owner &rhs);
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virtual ~_autogkreport_owner();
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alglib_impl::autogkreport* c_ptr();
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alglib_impl::autogkreport* c_ptr() const;
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protected:
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alglib_impl::autogkreport *p_struct;
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};
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class autogkreport : public _autogkreport_owner
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{
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public:
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autogkreport();
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autogkreport(const autogkreport &rhs);
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autogkreport& operator=(const autogkreport &rhs);
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virtual ~autogkreport();
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ae_int_t &terminationtype;
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ae_int_t &nfev;
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ae_int_t &nintervals;
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};
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/*************************************************************************
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This structure stores state of the integration algorithm.
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Although this class has public fields, they are not intended for external
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use. You should use ALGLIB functions to work with this class:
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* autogksmooth()/AutoGKSmoothW()/... to create objects
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* autogkintegrate() to begin integration
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* autogkresults() to get results
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*************************************************************************/
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class _autogkstate_owner
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{
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public:
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_autogkstate_owner();
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_autogkstate_owner(const _autogkstate_owner &rhs);
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_autogkstate_owner& operator=(const _autogkstate_owner &rhs);
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virtual ~_autogkstate_owner();
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alglib_impl::autogkstate* c_ptr();
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alglib_impl::autogkstate* c_ptr() const;
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protected:
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alglib_impl::autogkstate *p_struct;
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};
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class autogkstate : public _autogkstate_owner
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{
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public:
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autogkstate();
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autogkstate(const autogkstate &rhs);
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autogkstate& operator=(const autogkstate &rhs);
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virtual ~autogkstate();
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ae_bool &needf;
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double &x;
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double &xminusa;
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double &bminusx;
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double &f;
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};
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#endif
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#if defined(AE_COMPILE_GQ) || !defined(AE_PARTIAL_BUILD)
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/*************************************************************************
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Computation of nodes and weights for a Gauss quadrature formula
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The algorithm generates the N-point Gauss quadrature formula with weight
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function given by coefficients alpha and beta of a recurrence relation
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which generates a system of orthogonal polynomials:
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P-1(x) = 0
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P0(x) = 1
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Pn+1(x) = (x-alpha(n))*Pn(x) - beta(n)*Pn-1(x)
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and zeroth moment Mu0
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Mu0 = integral(W(x)dx,a,b)
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INPUT PARAMETERS:
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Alpha - array[0..N-1], alpha coefficients
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Beta - array[0..N-1], beta coefficients
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Zero-indexed element is not used and may be arbitrary.
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Beta[I]>0.
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Mu0 - zeroth moment of the weight function.
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N - number of nodes of the quadrature formula, N>=1
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OUTPUT PARAMETERS:
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Info - error code:
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* -3 internal eigenproblem solver hasn't converged
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* -2 Beta[i]<=0
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* -1 incorrect N was passed
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* 1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 2005-2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgeneraterec(const real_1d_array &alpha, const real_1d_array &beta, const double mu0, const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Computation of nodes and weights for a Gauss-Lobatto quadrature formula
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The algorithm generates the N-point Gauss-Lobatto quadrature formula with
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weight function given by coefficients alpha and beta of a recurrence which
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generates a system of orthogonal polynomials.
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P-1(x) = 0
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P0(x) = 1
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Pn+1(x) = (x-alpha(n))*Pn(x) - beta(n)*Pn-1(x)
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and zeroth moment Mu0
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Mu0 = integral(W(x)dx,a,b)
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INPUT PARAMETERS:
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Alpha - array[0..N-2], alpha coefficients
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Beta - array[0..N-2], beta coefficients.
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Zero-indexed element is not used, may be arbitrary.
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Beta[I]>0
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Mu0 - zeroth moment of the weighting function.
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A - left boundary of the integration interval.
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B - right boundary of the integration interval.
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N - number of nodes of the quadrature formula, N>=3
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(including the left and right boundary nodes).
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OUTPUT PARAMETERS:
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Info - error code:
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* -3 internal eigenproblem solver hasn't converged
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* -2 Beta[i]<=0
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* -1 incorrect N was passed
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* 1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 2005-2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategausslobattorec(const real_1d_array &alpha, const real_1d_array &beta, const double mu0, const double a, const double b, const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Computation of nodes and weights for a Gauss-Radau quadrature formula
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The algorithm generates the N-point Gauss-Radau quadrature formula with
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weight function given by the coefficients alpha and beta of a recurrence
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which generates a system of orthogonal polynomials.
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P-1(x) = 0
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P0(x) = 1
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Pn+1(x) = (x-alpha(n))*Pn(x) - beta(n)*Pn-1(x)
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and zeroth moment Mu0
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Mu0 = integral(W(x)dx,a,b)
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INPUT PARAMETERS:
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Alpha - array[0..N-2], alpha coefficients.
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Beta - array[0..N-1], beta coefficients
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Zero-indexed element is not used.
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Beta[I]>0
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Mu0 - zeroth moment of the weighting function.
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A - left boundary of the integration interval.
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N - number of nodes of the quadrature formula, N>=2
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(including the left boundary node).
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OUTPUT PARAMETERS:
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Info - error code:
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* -3 internal eigenproblem solver hasn't converged
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* -2 Beta[i]<=0
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* -1 incorrect N was passed
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* 1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 2005-2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategaussradaurec(const real_1d_array &alpha, const real_1d_array &beta, const double mu0, const double a, const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Returns nodes/weights for Gauss-Legendre quadrature on [-1,1] with N
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nodes.
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INPUT PARAMETERS:
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N - number of nodes, >=1
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OUTPUT PARAMETERS:
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Info - error code:
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* -4 an error was detected when calculating
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weights/nodes. N is too large to obtain
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weights/nodes with high enough accuracy.
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Try to use multiple precision version.
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* -3 internal eigenproblem solver hasn't converged
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* -1 incorrect N was passed
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* +1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 12.05.2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategausslegendre(const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Returns nodes/weights for Gauss-Jacobi quadrature on [-1,1] with weight
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function W(x)=Power(1-x,Alpha)*Power(1+x,Beta).
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INPUT PARAMETERS:
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N - number of nodes, >=1
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Alpha - power-law coefficient, Alpha>-1
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Beta - power-law coefficient, Beta>-1
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OUTPUT PARAMETERS:
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Info - error code:
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* -4 an error was detected when calculating
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weights/nodes. Alpha or Beta are too close
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to -1 to obtain weights/nodes with high enough
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accuracy, or, may be, N is too large. Try to
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use multiple precision version.
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* -3 internal eigenproblem solver hasn't converged
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* -1 incorrect N/Alpha/Beta was passed
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* +1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 12.05.2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategaussjacobi(const ae_int_t n, const double alpha, const double beta, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Returns nodes/weights for Gauss-Laguerre quadrature on [0,+inf) with
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weight function W(x)=Power(x,Alpha)*Exp(-x)
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INPUT PARAMETERS:
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N - number of nodes, >=1
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Alpha - power-law coefficient, Alpha>-1
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OUTPUT PARAMETERS:
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Info - error code:
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* -4 an error was detected when calculating
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weights/nodes. Alpha is too close to -1 to
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obtain weights/nodes with high enough accuracy
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or, may be, N is too large. Try to use
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multiple precision version.
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* -3 internal eigenproblem solver hasn't converged
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* -1 incorrect N/Alpha was passed
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* +1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 12.05.2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategausslaguerre(const ae_int_t n, const double alpha, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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/*************************************************************************
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Returns nodes/weights for Gauss-Hermite quadrature on (-inf,+inf) with
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weight function W(x)=Exp(-x*x)
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INPUT PARAMETERS:
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N - number of nodes, >=1
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OUTPUT PARAMETERS:
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Info - error code:
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* -4 an error was detected when calculating
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weights/nodes. May be, N is too large. Try to
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use multiple precision version.
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* -3 internal eigenproblem solver hasn't converged
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* -1 incorrect N/Alpha was passed
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* +1 OK
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X - array[0..N-1] - array of quadrature nodes,
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in ascending order.
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W - array[0..N-1] - array of quadrature weights.
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-- ALGLIB --
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Copyright 12.05.2009 by Bochkanov Sergey
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*************************************************************************/
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void gqgenerategausshermite(const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &w, const xparams _xparams = alglib::xdefault);
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#endif
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#if defined(AE_COMPILE_GKQ) || !defined(AE_PARTIAL_BUILD)
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/*************************************************************************
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Computation of nodes and weights of a Gauss-Kronrod quadrature formula
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The algorithm generates the N-point Gauss-Kronrod quadrature formula with
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weight function given by coefficients alpha and beta of a recurrence
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relation which generates a system of orthogonal polynomials:
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P-1(x) = 0
|
||
|
P0(x) = 1
|
||
|
Pn+1(x) = (x-alpha(n))*Pn(x) - beta(n)*Pn-1(x)
|
||
|
|
||
|
and zero moment Mu0
|
||
|
|
||
|
Mu0 = integral(W(x)dx,a,b)
|
||
|
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
Alpha - alpha coefficients, array[0..floor(3*K/2)].
|
||
|
Beta - beta coefficients, array[0..ceil(3*K/2)].
|
||
|
Beta[0] is not used and may be arbitrary.
|
||
|
Beta[I]>0.
|
||
|
Mu0 - zeroth moment of the weight function.
|
||
|
N - number of nodes of the Gauss-Kronrod quadrature formula,
|
||
|
N >= 3,
|
||
|
N = 2*K+1.
|
||
|
|
||
|
OUTPUT PARAMETERS:
|
||
|
Info - error code:
|
||
|
* -5 no real and positive Gauss-Kronrod formula can
|
||
|
be created for such a weight function with a
|
||
|
given number of nodes.
|
||
|
* -4 N is too large, task may be ill conditioned -
|
||
|
x[i]=x[i+1] found.
|
||
|
* -3 internal eigenproblem solver hasn't converged
|
||
|
* -2 Beta[i]<=0
|
||
|
* -1 incorrect N was passed
|
||
|
* +1 OK
|
||
|
X - array[0..N-1] - array of quadrature nodes,
|
||
|
in ascending order.
|
||
|
WKronrod - array[0..N-1] - Kronrod weights
|
||
|
WGauss - array[0..N-1] - Gauss weights (interleaved with zeros
|
||
|
corresponding to extended Kronrod nodes).
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 08.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void gkqgeneraterec(const real_1d_array &alpha, const real_1d_array &beta, const double mu0, const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &wkronrod, real_1d_array &wgauss, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Returns Gauss and Gauss-Kronrod nodes/weights for Gauss-Legendre
|
||
|
quadrature with N points.
|
||
|
|
||
|
GKQLegendreCalc (calculation) or GKQLegendreTbl (precomputed table) is
|
||
|
used depending on machine precision and number of nodes.
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
N - number of Kronrod nodes, must be odd number, >=3.
|
||
|
|
||
|
OUTPUT PARAMETERS:
|
||
|
Info - error code:
|
||
|
* -4 an error was detected when calculating
|
||
|
weights/nodes. N is too large to obtain
|
||
|
weights/nodes with high enough accuracy.
|
||
|
Try to use multiple precision version.
|
||
|
* -3 internal eigenproblem solver hasn't converged
|
||
|
* -1 incorrect N was passed
|
||
|
* +1 OK
|
||
|
X - array[0..N-1] - array of quadrature nodes, ordered in
|
||
|
ascending order.
|
||
|
WKronrod - array[0..N-1] - Kronrod weights
|
||
|
WGauss - array[0..N-1] - Gauss weights (interleaved with zeros
|
||
|
corresponding to extended Kronrod nodes).
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 12.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void gkqgenerategausslegendre(const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &wkronrod, real_1d_array &wgauss, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Returns Gauss and Gauss-Kronrod nodes/weights for Gauss-Jacobi
|
||
|
quadrature on [-1,1] with weight function
|
||
|
|
||
|
W(x)=Power(1-x,Alpha)*Power(1+x,Beta).
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
N - number of Kronrod nodes, must be odd number, >=3.
|
||
|
Alpha - power-law coefficient, Alpha>-1
|
||
|
Beta - power-law coefficient, Beta>-1
|
||
|
|
||
|
OUTPUT PARAMETERS:
|
||
|
Info - error code:
|
||
|
* -5 no real and positive Gauss-Kronrod formula can
|
||
|
be created for such a weight function with a
|
||
|
given number of nodes.
|
||
|
* -4 an error was detected when calculating
|
||
|
weights/nodes. Alpha or Beta are too close
|
||
|
to -1 to obtain weights/nodes with high enough
|
||
|
accuracy, or, may be, N is too large. Try to
|
||
|
use multiple precision version.
|
||
|
* -3 internal eigenproblem solver hasn't converged
|
||
|
* -1 incorrect N was passed
|
||
|
* +1 OK
|
||
|
* +2 OK, but quadrature rule have exterior nodes,
|
||
|
x[0]<-1 or x[n-1]>+1
|
||
|
X - array[0..N-1] - array of quadrature nodes, ordered in
|
||
|
ascending order.
|
||
|
WKronrod - array[0..N-1] - Kronrod weights
|
||
|
WGauss - array[0..N-1] - Gauss weights (interleaved with zeros
|
||
|
corresponding to extended Kronrod nodes).
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 12.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void gkqgenerategaussjacobi(const ae_int_t n, const double alpha, const double beta, ae_int_t &info, real_1d_array &x, real_1d_array &wkronrod, real_1d_array &wgauss, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Returns Gauss and Gauss-Kronrod nodes for quadrature with N points.
|
||
|
|
||
|
Reduction to tridiagonal eigenproblem is used.
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
N - number of Kronrod nodes, must be odd number, >=3.
|
||
|
|
||
|
OUTPUT PARAMETERS:
|
||
|
Info - error code:
|
||
|
* -4 an error was detected when calculating
|
||
|
weights/nodes. N is too large to obtain
|
||
|
weights/nodes with high enough accuracy.
|
||
|
Try to use multiple precision version.
|
||
|
* -3 internal eigenproblem solver hasn't converged
|
||
|
* -1 incorrect N was passed
|
||
|
* +1 OK
|
||
|
X - array[0..N-1] - array of quadrature nodes, ordered in
|
||
|
ascending order.
|
||
|
WKronrod - array[0..N-1] - Kronrod weights
|
||
|
WGauss - array[0..N-1] - Gauss weights (interleaved with zeros
|
||
|
corresponding to extended Kronrod nodes).
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 12.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void gkqlegendrecalc(const ae_int_t n, ae_int_t &info, real_1d_array &x, real_1d_array &wkronrod, real_1d_array &wgauss, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Returns Gauss and Gauss-Kronrod nodes for quadrature with N points using
|
||
|
pre-calculated table. Nodes/weights were computed with accuracy up to
|
||
|
1.0E-32 (if MPFR version of ALGLIB is used). In standard double precision
|
||
|
accuracy reduces to something about 2.0E-16 (depending on your compiler's
|
||
|
handling of long floating point constants).
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
N - number of Kronrod nodes.
|
||
|
N can be 15, 21, 31, 41, 51, 61.
|
||
|
|
||
|
OUTPUT PARAMETERS:
|
||
|
X - array[0..N-1] - array of quadrature nodes, ordered in
|
||
|
ascending order.
|
||
|
WKronrod - array[0..N-1] - Kronrod weights
|
||
|
WGauss - array[0..N-1] - Gauss weights (interleaved with zeros
|
||
|
corresponding to extended Kronrod nodes).
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 12.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void gkqlegendretbl(const ae_int_t n, real_1d_array &x, real_1d_array &wkronrod, real_1d_array &wgauss, double &eps, const xparams _xparams = alglib::xdefault);
|
||
|
#endif
|
||
|
|
||
|
#if defined(AE_COMPILE_AUTOGK) || !defined(AE_PARTIAL_BUILD)
|
||
|
/*************************************************************************
|
||
|
Integration of a smooth function F(x) on a finite interval [a,b].
|
||
|
|
||
|
Fast-convergent algorithm based on a Gauss-Kronrod formula is used. Result
|
||
|
is calculated with accuracy close to the machine precision.
|
||
|
|
||
|
Algorithm works well only with smooth integrands. It may be used with
|
||
|
continuous non-smooth integrands, but with less performance.
|
||
|
|
||
|
It should never be used with integrands which have integrable singularities
|
||
|
at lower or upper limits - algorithm may crash. Use AutoGKSingular in such
|
||
|
cases.
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
A, B - interval boundaries (A<B, A=B or A>B)
|
||
|
|
||
|
OUTPUT PARAMETERS
|
||
|
State - structure which stores algorithm state
|
||
|
|
||
|
SEE ALSO
|
||
|
AutoGKSmoothW, AutoGKSingular, AutoGKResults.
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 06.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void autogksmooth(const double a, const double b, autogkstate &state, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Integration of a smooth function F(x) on a finite interval [a,b].
|
||
|
|
||
|
This subroutine is same as AutoGKSmooth(), but it guarantees that interval
|
||
|
[a,b] is partitioned into subintervals which have width at most XWidth.
|
||
|
|
||
|
Subroutine can be used when integrating nearly-constant function with
|
||
|
narrow "bumps" (about XWidth wide). If "bumps" are too narrow, AutoGKSmooth
|
||
|
subroutine can overlook them.
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
A, B - interval boundaries (A<B, A=B or A>B)
|
||
|
|
||
|
OUTPUT PARAMETERS
|
||
|
State - structure which stores algorithm state
|
||
|
|
||
|
SEE ALSO
|
||
|
AutoGKSmooth, AutoGKSingular, AutoGKResults.
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 06.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void autogksmoothw(const double a, const double b, const double xwidth, autogkstate &state, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Integration on a finite interval [A,B].
|
||
|
Integrand have integrable singularities at A/B.
|
||
|
|
||
|
F(X) must diverge as "(x-A)^alpha" at A, as "(B-x)^beta" at B, with known
|
||
|
alpha/beta (alpha>-1, beta>-1). If alpha/beta are not known, estimates
|
||
|
from below can be used (but these estimates should be greater than -1 too).
|
||
|
|
||
|
One of alpha/beta variables (or even both alpha/beta) may be equal to 0,
|
||
|
which means than function F(x) is non-singular at A/B. Anyway (singular at
|
||
|
bounds or not), function F(x) is supposed to be continuous on (A,B).
|
||
|
|
||
|
Fast-convergent algorithm based on a Gauss-Kronrod formula is used. Result
|
||
|
is calculated with accuracy close to the machine precision.
|
||
|
|
||
|
INPUT PARAMETERS:
|
||
|
A, B - interval boundaries (A<B, A=B or A>B)
|
||
|
Alpha - power-law coefficient of the F(x) at A,
|
||
|
Alpha>-1
|
||
|
Beta - power-law coefficient of the F(x) at B,
|
||
|
Beta>-1
|
||
|
|
||
|
OUTPUT PARAMETERS
|
||
|
State - structure which stores algorithm state
|
||
|
|
||
|
SEE ALSO
|
||
|
AutoGKSmooth, AutoGKSmoothW, AutoGKResults.
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 06.05.2009 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void autogksingular(const double a, const double b, const double alpha, const double beta, autogkstate &state, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
This function provides reverse communication interface
|
||
|
Reverse communication interface is not documented or recommended to use.
|
||
|
See below for functions which provide better documented API
|
||
|
*************************************************************************/
|
||
|
bool autogkiteration(const autogkstate &state, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
This function is used to launcn iterations of the 1-dimensional integrator
|
||
|
|
||
|
It accepts following parameters:
|
||
|
func - callback which calculates f(x) for given x
|
||
|
ptr - optional pointer which is passed to func; can be NULL
|
||
|
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 07.05.2009 by Bochkanov Sergey
|
||
|
|
||
|
*************************************************************************/
|
||
|
void autogkintegrate(autogkstate &state,
|
||
|
void (*func)(double x, double xminusa, double bminusx, double &y, void *ptr),
|
||
|
void *ptr = NULL, const xparams _xparams = alglib::xdefault);
|
||
|
|
||
|
|
||
|
/*************************************************************************
|
||
|
Adaptive integration results
|
||
|
|
||
|
Called after AutoGKIteration returned False.
|
||
|
|
||
|
Input parameters:
|
||
|
State - algorithm state (used by AutoGKIteration).
|
||
|
|
||
|
Output parameters:
|
||
|
V - integral(f(x)dx,a,b)
|
||
|
Rep - optimization report (see AutoGKReport description)
|
||
|
|
||
|
-- ALGLIB --
|
||
|
Copyright 14.11.2007 by Bochkanov Sergey
|
||
|
*************************************************************************/
|
||
|
void autogkresults(const autogkstate &state, double &v, autogkreport &rep, const xparams _xparams = alglib::xdefault);
|
||
|
#endif
|
||
|
}
|
||
|
|
||
|
/////////////////////////////////////////////////////////////////////////
|
||
|
//
|
||
|
// THIS SECTION CONTAINS COMPUTATIONAL CORE DECLARATIONS (FUNCTIONS)
|
||
|
//
|
||
|
/////////////////////////////////////////////////////////////////////////
|
||
|
namespace alglib_impl
|
||
|
{
|
||
|
#if defined(AE_COMPILE_GQ) || !defined(AE_PARTIAL_BUILD)
|
||
|
void gqgeneraterec(/* Real */ ae_vector* alpha,
|
||
|
/* Real */ ae_vector* beta,
|
||
|
double mu0,
|
||
|
ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategausslobattorec(/* Real */ ae_vector* alpha,
|
||
|
/* Real */ ae_vector* beta,
|
||
|
double mu0,
|
||
|
double a,
|
||
|
double b,
|
||
|
ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategaussradaurec(/* Real */ ae_vector* alpha,
|
||
|
/* Real */ ae_vector* beta,
|
||
|
double mu0,
|
||
|
double a,
|
||
|
ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategausslegendre(ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategaussjacobi(ae_int_t n,
|
||
|
double alpha,
|
||
|
double beta,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategausslaguerre(ae_int_t n,
|
||
|
double alpha,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
void gqgenerategausshermite(ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* w,
|
||
|
ae_state *_state);
|
||
|
#endif
|
||
|
#if defined(AE_COMPILE_GKQ) || !defined(AE_PARTIAL_BUILD)
|
||
|
void gkqgeneraterec(/* Real */ ae_vector* alpha,
|
||
|
/* Real */ ae_vector* beta,
|
||
|
double mu0,
|
||
|
ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* wkronrod,
|
||
|
/* Real */ ae_vector* wgauss,
|
||
|
ae_state *_state);
|
||
|
void gkqgenerategausslegendre(ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* wkronrod,
|
||
|
/* Real */ ae_vector* wgauss,
|
||
|
ae_state *_state);
|
||
|
void gkqgenerategaussjacobi(ae_int_t n,
|
||
|
double alpha,
|
||
|
double beta,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* wkronrod,
|
||
|
/* Real */ ae_vector* wgauss,
|
||
|
ae_state *_state);
|
||
|
void gkqlegendrecalc(ae_int_t n,
|
||
|
ae_int_t* info,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* wkronrod,
|
||
|
/* Real */ ae_vector* wgauss,
|
||
|
ae_state *_state);
|
||
|
void gkqlegendretbl(ae_int_t n,
|
||
|
/* Real */ ae_vector* x,
|
||
|
/* Real */ ae_vector* wkronrod,
|
||
|
/* Real */ ae_vector* wgauss,
|
||
|
double* eps,
|
||
|
ae_state *_state);
|
||
|
#endif
|
||
|
#if defined(AE_COMPILE_AUTOGK) || !defined(AE_PARTIAL_BUILD)
|
||
|
void autogksmooth(double a,
|
||
|
double b,
|
||
|
autogkstate* state,
|
||
|
ae_state *_state);
|
||
|
void autogksmoothw(double a,
|
||
|
double b,
|
||
|
double xwidth,
|
||
|
autogkstate* state,
|
||
|
ae_state *_state);
|
||
|
void autogksingular(double a,
|
||
|
double b,
|
||
|
double alpha,
|
||
|
double beta,
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autogkstate* state,
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ae_state *_state);
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ae_bool autogkiteration(autogkstate* state, ae_state *_state);
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void autogkresults(autogkstate* state,
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double* v,
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autogkreport* rep,
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|
ae_state *_state);
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void _autogkreport_init(void* _p, ae_state *_state, ae_bool make_automatic);
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void _autogkreport_init_copy(void* _dst, void* _src, ae_state *_state, ae_bool make_automatic);
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void _autogkreport_clear(void* _p);
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void _autogkreport_destroy(void* _p);
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void _autogkinternalstate_init(void* _p, ae_state *_state, ae_bool make_automatic);
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void _autogkinternalstate_init_copy(void* _dst, void* _src, ae_state *_state, ae_bool make_automatic);
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|
void _autogkinternalstate_clear(void* _p);
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|
void _autogkinternalstate_destroy(void* _p);
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|
void _autogkstate_init(void* _p, ae_state *_state, ae_bool make_automatic);
|
||
|
void _autogkstate_init_copy(void* _dst, void* _src, ae_state *_state, ae_bool make_automatic);
|
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|
void _autogkstate_clear(void* _p);
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||
|
void _autogkstate_destroy(void* _p);
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|
#endif
|
||
|
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}
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#endif
|
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