File: quadrature.py

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# Author: Travis Oliphant

__all__ = ['fixed_quad','quadrature','romberg','trapz','simps','romb','cumtrapz']

from scipy.special.orthogonal import p_roots
from scipy_base import sum, array, ones, add, diff, isinf, isscalar, \
     asarray, real

def fixed_quad(func,a,b,args=(),n=5):
    """Compute a definite integral using fixed-order Gaussian quadrature.

  Description:

    Integrate func from a to b using Gaussian quadrature of order n.

  Inputs:

    func -- a Python function or method to integrate
            (must accept vector inputs)
    a -- lower limit of integration
    b -- upper limit of integration
    args -- extra arguments to pass to function.
    n -- order of quadrature integration.

  Outputs: (val, None)

    val -- Gaussian quadrature approximation to the integral.
    
    """
    [x,w] = p_roots(n)
    x = real(x)
    ainf, binf = map(isinf,(a,b))    
    if ainf or binf:
        raise ValueError, "Gaussian quadrature is only available for finite limits."
    y = (b-a)*(x+1)/2.0 + a
    return (b-a)/2.0*sum(w*func(y,*args)), None

def vec_func(x,func,*args):
    try:
        return asarray([func(xx,*args) for xx in x])
    except TypeError:
        return func(x,*args)
    
def quadrature(func,a,b,args=(),tol=1.49e-8,maxiter=50):
    """Compute a definite integral using fixed-tolerance Gaussian quadrature.

  Description:

    Integrate func from a to b using Gaussian quadrature 
    with absolute tolerance tol.

  Inputs:

    func -- a Python function or method to integrate.
    a -- lower limit of integration.
    b -- upper limit of integration.
    args -- extra arguments to pass to function.
    tol -- iteration stops when error between last two iterates is less than
           tolerance.
    maxiter -- maximum number of iterations.

  Outputs: (val, err)

    val -- Gaussian quadrature approximation (within tolerance) to integral.
    err -- Difference between last two estimates of the integral.

    """
    err = 100.0
    val = err
    n = 1
    while (err > tol) and (n < maxiter):
        newval = fixed_quad(vec_func,a,b,(func,)+args,n)[0]
        err = abs(newval-val)
        val = newval
        n = n + 1
    if (n==maxiter):
        print "maxiter (%d) exceeded. Latest difference = %e" % (n,err)
    else:
        print "Took %d points." % n
    return val, err



def trapz(y, x=None, dx=1.0, axis=-1):
    """Integrate y(x) using samples along the given axis and the composite
    trapezoidal rule.  If x is None, spacing given by dx is assumed.
    """
    y = asarray(y)
    if x is None:
        d = dx
    else:
        d = diff(x,axis=axis)
    nd = len(y.shape)
    slice1 = [slice(None)]*nd
    slice2 = [slice(None)]*nd
    slice1[axis] = slice(1,None)
    slice2[axis] = slice(None,-1)
    return add.reduce(d * (y[slice1]+y[slice2])/2.0,axis)

def cumtrapz(y, x=None, dx=1.0, axis=-1):
    """Cumulatively integrate y(x) using samples along the given axis
    and the composite trapezoidal rule.  If x is None, spacing given by dx
    is assumed.
    """
    y = asarray(y)
    if x is None:
        d = dx
    else:
        d = diff(x,axis=axis)
    nd = len(y.shape)
    slice1 = [slice(None)]*nd
    slice2 = [slice(None)]*nd
    slice1[axis] = slice(1,None)
    slice2[axis] = slice(None,-1)
    return add.accumulate(d * (y[slice1]+y[slice2])/2.0,axis)

def _basic_simps(y,start,stop,x,dx,axis):
    nd = len(y.shape)
    slice0 = [slice(None)]*nd
    slice1 = [slice(None)]*nd
    slice2 = [slice(None)]*nd
    if start is None:
        start = 0
    step = 2
    slice0[axis] = slice(start,stop,step)
    slice1[axis] = slice(start+1,stop+1,step)
    slice2[axis] = slice(start+2,stop+2,step)

    if x is None:  # Even spaced Simpson's rule.
        result = add.reduce(dx/3.0* (y[slice0]+4*y[slice1]+y[slice2]),
                                    axis)
    else:
        # Account for possibly different spacings.
        #    Simpson's rule changes a bit.
        h = diff(x,axis=axis)
        sl0 = [slice(None)]*nd
        sl1 = [slice(None)]*nd
        sl0[axis] = slice(start,stop,step)
        sl1[axis] = slice(start+1,stop+1,step)
        h0 = h[sl0]
        h1 = h[sl1]
        hsum = h0 + h1
        hprod = h0 * h1
        h0divh1 = h0 / h1
        result = add.reduce(hsum/6.0*(y[slice0]*(2-1.0/h0divh1) + \
                                              y[slice1]*hsum*hsum/hprod + \
                                              y[slice2]*(2-h0divh1)),axis)
    return result


def simps(y, x=None, dx=1, axis=-1, even='avg'):
    """Integrate y(x) using samples along the given axis and the composite
    Simpson's rule.  If x is None, spacing of dx is assumed.
    
    If there are an even number of samples, N, then there are an odd
    number of intervals (N-1), but Simpson's rule requires an even number
    of intervals.  The parameter 'even' controls how this is handled as
    follows:

    even='avg': Average two results: 1) use the first N-2 intervals with
                a trapezoidal rule on the last interval and 2) use the last
                N-2 intervals with a trapezoidal rule on the first interval

    even='first': Use Simpson's rule for the first N-2 intervals with
                  a trapezoidal rule on the last interval.

    even='last': Use Simpson's rule for the last N-2 intervals with a
                 trapezoidal rule on the first interval.

    For an odd number of samples that are equally spaced the result is
        exact if the function is a polynomial of order 3 or less.  If
        the samples are not equally spaced, then the result is exact only
        if the function is a polynomial of order 2 or less.
    """
    y = asarray(y)
    nd = len(y.shape)
    N = y.shape[axis]
    last_dx = dx
    first_dx = dx
    returnshape = 0
    if not x is None:
        x = asarray(x)
        if len(x.shape) == 1:
            shapex = ones(nd)
            shapex[axis] = x.shape[0]
            saveshape = x.shape
            returnshape = 1
            x.shape = tuple(shapex)
        elif len(x.shape) != len(y.shape):
            raise ValueError, "If given, shape of x must be 1-d or the same as y."
        if x.shape[axis] != N:
            raise ValueError, "If given, length of x along axis must be the same as y."
    if N % 2 == 0:
        val = 0.0
        result = 0.0
        slice1 = [slice(None)]*nd
        slice2 = [slice(None)]*nd
        if not even in ['avg', 'last', 'first']:
            raise ValueError, \
                  "Parameter 'even' must be 'avg', 'last', or 'first'."
        # Compute using Simpson's rule on first intervals
        if even in ['avg', 'first']:
            slice1[axis] = -1
            slice2[axis] = -2
            if not x is None:
                last_dx = x[slice1] - x[slice2]
            val += 0.5*last_dx*(y[slice1]+y[slice2])
            result = _basic_simps(y,0,N-3,x,dx,axis)
        # Compute using Simpson's rule on last set of intervals
        if even in ['avg', 'last']:
            slice1[axis] = 0
            slice2[axis] = 1
            if not x is None:
                first_dx = x[slice2] - x[slice1]
            val += 0.5*first_dx*(y[slice2]+y[slice1])
            result += _basic_simps(y,1,N-2,x,dx,axis)
        if even == 'avg':
            val /= 2.0
            result /= 2.0
        result = result + val
    else:
        result = _basic_simps(y,0,N-2,x,dx,axis)
    if returnshape:
        x.shape = saveshape
    return result

def romb(y, dx=1.0, axis=-1, show=0):
    """Uses Romberg integration to integrate y(x) using N samples
    along the given axis which are assumed equally spaced with distance dx.
    The number of samples must be 1 + a non-negative power of two: N=2**k + 1
    """
    y = asarray(y)
    nd = len(y.shape)
    Nsamps = y.shape[axis]
    Ninterv = Nsamps-1
    n = 1
    k = 0
    while n < Ninterv:
        n <<= 1
        k += 1
    if n != Ninterv:
        raise ValueError, \
              "Number of samples must be one plus a non-negative power of 2."

    R = {}
    slice0 = [slice(None)]*nd
    slice0[axis] = 0
    slicem1 = [slice(None)]*nd
    slicem1[axis] = -1
    h = Ninterv*asarray(dx)*1.0
    R[(1,1)] = (y[slice0] + y[slicem1])/2.0*h
    slice_R = [slice(None)]*nd
    start = stop = step = Ninterv
    for i in range(2,k+1):
        start >>= 1
        slice_R[axis] = slice(start,stop,step)
        step >>= 1
        R[(i,1)] = 0.5*(R[(i-1,1)] + h*add.reduce(y[slice_R],axis))
        for j in range(2,i+1):
            R[(i,j)] = R[(i,j-1)] + \
                       (R[(i,j-1)]-R[(i-1,j-1)]) / ((1 << (2*(j-1)))-1)
        h = h / 2.0

    if show:
        if not isscalar(R[(1,1)]):
            print "*** Printing table only supported for integrals" + \
                  " of a single data set."
        else:
            try:
                precis=show[0]
            except (TypeError, IndexError):
                precis=5
            try:
                width=show[1]
            except (TypeError, IndexError):
                width=8
            formstr = "%" + str(width) + '.' + str(precis)+'f'
            
            print "\n       Richardson Extrapolation Table for Romberg Integration       "
            print "===================================================================="
            for i in range(1,k+1):
                for j in range(1,i+1):
                    print formstr % R[(i,j)],
                print
            print "====================================================================\n"

    return R[(k,k)]



# Romberg quadratures for numeric integration.
#
# Written by Scott M. Ransom <ransom@cfa.harvard.edu>
# last revision: 14 Nov 98
#
# Cosmetic changes by Konrad Hinsen <hinsen@cnrs-orleans.fr>
# last revision: 1999-7-21
#
# Adapted to scipy by Travis Oliphant <oliphant.travis@ieee.org>
# last revision: Dec 2001

def _difftrap(function, interval, numtraps):
    # Perform part of the trapezoidal rule to integrate a function.
    # Assume that we had called difftrap with all lower powers-of-2
    # starting with 1.  Calling difftrap only returns the summation
    # of the new ordinates.  It does _not_ multiply by the width
    # of the trapezoids.  This must be performed by the caller.
    #     'function' is the function to evaluate.
    #     'interval' is a sequence with lower and upper limits
    #                of integration.
    #     'numtraps' is the number of trapezoids to use (must be a
    #                power-of-2).
    if numtraps<=0:
        print "numtraps must be > 0 in difftrap()."
        return
    elif numtraps==1:
        return 0.5*(function(interval[0])+function(interval[1]))
    else:
        numtosum = numtraps/2
        h = float(interval[1]-interval[0])/numtosum
        lox = interval[0] + 0.5 * h;
        sum = 0.0
        for i in range(0, numtosum):
            sum = sum + function(lox + i*h)
        return sum

def _romberg_diff(b, c, k):
    # Compute the differences for the Romberg quadrature corrections.
    # See Forman Acton's "Real Computing Made Real," p 143.
    tmp = 4.0**k
    return (tmp * c - b)/(tmp - 1.0)

def _printresmat(function, interval, resmat):
    # Print the Romberg result matrix.
    i = j = 0
    print 'Romberg integration of', `function`,
    print 'from', interval
    print ''
    print '%6s %9s %9s' % ('Steps', 'StepSize', 'Results')
    for i in range(len(resmat)):
        print '%6d %9f' % (2**i, (interval[1]-interval[0])/(i+1.0)),
        for j in range(i+1):
            print '%9f' % (resmat[i][j]),
        print ''
    print ''
    print 'The final result is', resmat[i][j],
    print 'after', 2**(len(resmat)-1)+1, 'function evaluations.'

def romberg(function, a, b, tol=1.48E-8, show=0, divmax=10):
    """Romberg integration of a callable function or method.

    Returns the integral of |function| (a function of one variable)
    over |interval| (a sequence of length two containing the lower and
    upper limit of the integration interval), calculated using
    Romberg integration up to the specified |accuracy|. If |show| is 1,
    the triangular array of the intermediate results will be printed.
    """
    if isinf(a) or isinf(b):
        raise ValueError, "Romberg integration only available for finite limits."
    i = n = 1
    interval = [a,b]
    intrange = b-a
    ordsum = _difftrap(function, interval, n)
    result = intrange * ordsum
    resmat = [[result]]
    lastresult = result + tol * 2.0
    while (abs(result - lastresult) > tol) and (i <= divmax):
        n = n * 2
        ordsum = ordsum + _difftrap(function, interval, n)
        resmat.append([])
        resmat[i].append(intrange * ordsum / n)
        for k in range(i):
            resmat[i].append(_romberg_diff(resmat[i-1][k],
                                          resmat[i][k], k+1))
        result = resmat[i][i]
        lastresult = resmat[i-1][i-1]
        i = i + 1
    if show: _printresmat(function, interval, resmat)
    return result