1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
|
#include <stdio.h>
#include <stdlib.h>
#include <gsl/gsl_math.h>
#include <gsl/gsl_filter.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>
#include <gsl/gsl_vector.h>
int
main(void)
{
const size_t N = 500; /* length of time series */
const size_t K = 51; /* window size */
const double alpha[3] = { 0.5, 3.0, 10.0 }; /* alpha values */
gsl_vector *x = gsl_vector_alloc(N); /* input vector */
gsl_vector *y1 = gsl_vector_alloc(N); /* filtered output vector for alpha1 */
gsl_vector *y2 = gsl_vector_alloc(N); /* filtered output vector for alpha2 */
gsl_vector *y3 = gsl_vector_alloc(N); /* filtered output vector for alpha3 */
gsl_vector *k1 = gsl_vector_alloc(K); /* Gaussian kernel for alpha1 */
gsl_vector *k2 = gsl_vector_alloc(K); /* Gaussian kernel for alpha2 */
gsl_vector *k3 = gsl_vector_alloc(K); /* Gaussian kernel for alpha3 */
gsl_rng *r = gsl_rng_alloc(gsl_rng_default);
gsl_filter_gaussian_workspace *gauss_p = gsl_filter_gaussian_alloc(K);
size_t i;
double sum = 0.0;
/* generate input signal */
for (i = 0; i < N; ++i)
{
double ui = gsl_ran_gaussian(r, 1.0);
sum += ui;
gsl_vector_set(x, i, sum);
}
/* compute kernels without normalization */
gsl_filter_gaussian_kernel(alpha[0], 0, 0, k1);
gsl_filter_gaussian_kernel(alpha[1], 0, 0, k2);
gsl_filter_gaussian_kernel(alpha[2], 0, 0, k3);
/* apply filters */
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[0], 0, x, y1, gauss_p);
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[1], 0, x, y2, gauss_p);
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[2], 0, x, y3, gauss_p);
/* print kernels */
for (i = 0; i < K; ++i)
{
double k1i = gsl_vector_get(k1, i);
double k2i = gsl_vector_get(k2, i);
double k3i = gsl_vector_get(k3, i);
printf("%e %e %e\n", k1i, k2i, k3i);
}
printf("\n\n");
/* print filter results */
for (i = 0; i < N; ++i)
{
double xi = gsl_vector_get(x, i);
double y1i = gsl_vector_get(y1, i);
double y2i = gsl_vector_get(y2, i);
double y3i = gsl_vector_get(y3, i);
printf("%.12e %.12e %.12e %.12e\n", xi, y1i, y2i, y3i);
}
gsl_vector_free(x);
gsl_vector_free(y1);
gsl_vector_free(y2);
gsl_vector_free(y3);
gsl_vector_free(k1);
gsl_vector_free(k2);
gsl_vector_free(k3);
gsl_rng_free(r);
gsl_filter_gaussian_free(gauss_p);
return 0;
}
|
