# Copyright 2017, 2018 Christoph Groth (CEA). # # This file is part of Vquad. It is subject to the license terms in the file # LICENSE.rst found in the top-level directory of this distribution. import bisect import numpy as np from scipy.linalg import norm from . import tables as tbls eps = np.spacing(1) # If the relative difference between two consecutive approximations is # lower than this value, the error estimate is considered reliable. # See section 6.2 of Pedro Gonnet's thesis. hint = 0.1 # Smallest acceptable relative difference of points in a rule. This was chosen # such that no artifacts are apparent in plots of (i, log(a_i)), where a_i is # the sequence of estimates of the integral value of an interval and all its # ancestors.. min_sep = 16 * eps min_level = 1 max_level = 4 ndiv_max = 20 _sqrt_one_half = np.sqrt(0.5) def _eval_legendre(c, x): """Evaluate _orthonormal_ Legendre polynomial. This uses the three-term recurrence relation from page 63 of Perdo Gonnet's thesis. """ if len(c) <= 1: c0 = c[0] c1 = 0 else: n = len(c) c0 = c[-2] # = c[k + 0] c1 = c[-1] # = c[k + 1] for k in range(len(c) - 2, 0, -1): a = (2*k + 3) / (k + 1)**2 tmp = c0 c0 = c[k - 1] - c1 * np.sqrt(a * k**2 / (2*k - 1)) c1 = tmp + c1 * x * np.sqrt(a * (2*k + 1)) return np.sqrt(1/2) * c0 + np.sqrt(3/2) * c1 * x def _calc_coeffs(vals, level): nans = np.flatnonzero(~np.isfinite(vals)) if nans.size: # Replace vals by a copy and zero-out non-finite elements. vals = vals.copy() vals[nans] = 0 # Prepare things for the loop further down. b = tbls.newton_coeffs[level].copy() m = len(b) - 2 # = len(tbls.nodes[level]) - 1 coeffs = tbls.inv_Vs[level] @ vals # This is a variant of Algorithm 7 from the thesis of Pedro Gonnet where no # linear system has to be solved explicitly. Instead, Algorithm 5 is used. for i in nans: b[m + 1] /= tbls.alpha[m] x = tbls.nodes[level][i] b[m] = (b[m] + x * b[m + 1]) / tbls.alpha[m - 1] for j in range(m - 1, 0, -1): b[j] = ((b[j] + x * b[j + 1] - tbls.gamma[j + 1] * b[j + 2]) / tbls.alpha[j - 1]) b = b[1:] coeffs[:m] -= coeffs[m] / b[m] * b[:m] coeffs[m] = 0 m -= 1 return coeffs class DivergentIntegralError(ValueError): def __init__(self, msg, igral, err): self.igral = igral self.err = err super().__init__(msg) class _Terminator: __slots__ = ['prev', 'next'] class _Interval: __slots__ = ['a', 'b', 'coeffs', 'vals', 'igral', 'err', 'level', 'depth', 'ndiv', 'c00', 'unreliable_err', 'prev', 'next'] def __init__(self, a, b, level, depth): self.a = a self.b = b self.level = level self.depth = depth def points(self): a = self.a b = self.b return (a + b) / 2 + (b - a) * tbls.nodes[self.level] / 2 def interpolate(self, vals, coeffs_old=None): self.vals = vals self.coeffs = coeffs = _calc_coeffs(self.vals, self.level) if self.level == min_level: self.c00 = coeffs[0] if coeffs_old is None: coeffs_diff = norm(coeffs) else: coeffs_diff = np.zeros(max(len(coeffs_old), len(coeffs))) coeffs_diff[:len(coeffs_old)] = coeffs_old coeffs_diff[:len(coeffs)] -= coeffs coeffs_diff = norm(coeffs_diff) w = self.b - self.a self.igral = w * coeffs[0] * _sqrt_one_half self.err = w * coeffs_diff self.unreliable_err = coeffs_diff > hint * norm(coeffs) def __lt__(self, other): return self.err < other.err def __call__(self, x): a = self.a b = self.b x = (2 * x - (a + b)) / (b - a) return _eval_legendre(self.coeffs, x) def split(self): """Split this interval in the center into two children. This is a coroutine that initially yields an array of x values of points to be evaluated. Once the corresponding values have been sent back a tuple containing the child intervals is yielded and execution ends. """ m = (self.a + self.b) / 2 f_center = self.vals[(len(self.vals) - 1) // 2] depth = self.depth + 1 children = [_Interval(self.a, m, min_level, depth), _Interval(m, self.b, min_level, depth)] points = np.concatenate([child.points()[1:-1] for child in children]) valss = np.empty((2, tbls.sizes[min_level])) valss[:, 0] = self.vals[0], f_center valss[:, -1] = f_center, self.vals[-1] valss[:, 1:-1] = (yield points).reshape((2, -1)) for child, vals, T in zip(children, valss, tbls.Ts): child.interpolate(vals, T[:, :self.coeffs.shape[0]] @ self.coeffs) child.ndiv = (self.ndiv + (self.c00 and child.c00 / self.c00 > 2)) if child.ndiv > ndiv_max and 2*child.ndiv > child.depth: msg = ('Possibly divergent integral in the interval ' '[{}, {}]! (h={})') raise DivergentIntegralError( msg.format(child.a, child.b, child.b - child.a), child.igral * np.inf, None) yield children def refine(self): """Increase degree of interval. This is a coroutine that initially yields an array of x values of points to be evaluated. Once the corresponding values have been sent back, a bool is yielded and execution ends. It is "true" if further refinements/splits of the interval seem promising, and "false" otherwise. This is the case when neigboring points can be resolved only barely by floating point numbers, or when the estimated relative error is already at the limit of numerical accuracy and cannot be reduced further. """ self.level += 1 points = self.points() vals = np.empty(points.shape) vals[0::2] = self.vals vals[1::2] = (yield points[1::2]) self.interpolate(vals, self.coeffs) yield (points[1] - points[0] > points[0] * min_sep and points[-1] - points[-2] > points[-2] * min_sep and self.err > (abs(self.igral) * eps * tbls.V_cond_nums[self.level])) class Vquad: """Evaluate an integral using adaptive quadrature. The algorithm uses Clenshaw-Curtis quadrature rules of increasing degree in each interval. The error estimate is sqrt(integrate((f0(x) - f1(x))**2)), where f0 and f1 are two successive interpolations of the integrand. To fall below the desired total error, intervals are worked on ranked by their own absolute error: either the degree of the rule is increased or the interval is split if either the function does not appear to be smooth or a rule of maximum degree has been reached. Reference: "Increasing the Reliability of Adaptive Quadrature Using Explicit Interpolants", P. Gonnet, ACM Transactions on Mathematical Software, 37 (3), art. no. 26, 2008. """ def __init__(self, f, a, b, level=max_level - 1): ival = _Interval(a, b, level, 1) vals = f(ival.points()) ival.interpolate(vals) ival.c00 = 0.0 # Will go away. ival.ndiv = 0 self.ivals = [ival] # Active intervals self.f = f self.igral_excess = 0 self.err_excess = 0 # Initialize linked list. ival.prev = self.begin = _Terminator() self.begin.next = ival ival.next = self.end = _Terminator() self.end.prev = ival def improve(self): ival = self.ivals[-1] if ival.level == max_level: split = True else: refine = ival.refine() if not refine.send(self.f(next(refine))): # Remove the interval but remember the excess integral and # error. self.err_excess += ival.err self.igral_excess += ival.igral self.ivals.pop() return split = ival.unreliable_err if split: # Replace current interval by its children. self.ivals.pop() split = ival.split() child0, child1 = split.send(self.f(next(split))) bisect.insort(self.ivals, child0) bisect.insort(self.ivals, child1) # Maintain linked list. ival.prev.next = child0 ival.next.prev = child1 child0.prev = ival.prev child0.next = child1 child1.prev = child0 child1.next = ival.next else: # The error estimate of the current interval has changed. bisect.insort(self.ivals, self.ivals.pop()) def totals(self): igral = self.igral_excess err = self.err_excess for ival in self.ivals: igral += ival.igral err += ival.err return igral, err def improve_until(self, rtol=0, atol=0): if rtol < 0 or atol < 0: raise ValueError("Tolerances must be positive.") if rtol == 0 and atol == 0: raise ValueError("Either rtol or atol must be nonzero.") while True: self.improve() igral, err = self.totals() tol = max(atol, abs(igral) * rtol) if (err == 0 or err < tol or self.err_excess > tol > err - self.err_excess or not self.ivals): return igral, err def __call__(self, xs): xs = np.asarray(xs) shape = xs.shape if xs.size == 0: return np.empty(shape) xs = xs.flatten() # Sort xs, but remember inverse permutation. perm = np.argsort(xs) xs = xs[perm] inv_perm = np.empty(len(perm), int) inv_perm[perm] = np.arange(len(perm)) # Evaluate points interval by interval. results = [] ival = self.begin.next end = self.end if xs[0] < ival.a or xs[-1] > end.prev.b: raise ValueError("Point lies outside of integration interval.") i = 0 while ival is not end: j = bisect.bisect(xs, ival.b, i) if j != i: results.append(ival(xs[i:j])) i = j ival = ival.next return np.concatenate(results)[inv_perm].reshape(shape) def vquad(f, a, b, rtol=0, atol=0): igrator = Vquad(f, a, b) return igrator.improve_until(rtol, atol)