Class: Integration

Inherits:
Object
  • Object
show all
Defined in:
lib/integration.rb

Overview

Diverse integration methods Use Integration.integrate as wrapper to direct access to methods

Method API

Constant Summary collapse

VERSION = 
'0.2.0'
MInfinity =

Minus Infinity

:minfinity
Infinity =

Infinity

:infinity
RUBY_METHOD =

Methods available on pure ruby

[:rectangle,:trapezoid,:simpson, :adaptive_quadrature , :gauss, :romberg, :monte_carlo, :gauss_kronrod, :simpson3by8, :boole, :open_trapezoid, :milne]
GSL_METHOD =

Methods available with Ruby/GSL library

[:qng, :qag]

Class Method Summary collapse

Class Method Details

.adaptive_quadrature(a, b, tolerance) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 130

def adaptive_quadrature(a, b, tolerance)  
  h = (b.to_f - a) / 2
  fa = yield(a)
  fc = yield(a + h)
  fb = yield(b)
  s = h * (fa + (4 * fc) + fb) / 3
  helper = Proc.new { |a, b, fa, fb, fc, h, s, level|
    if level < 1/tolerance.to_f
      fd = yield(a + (h / 2))
      fe = yield(a + (3 * (h / 2)))
      s1 = h * (fa + (4.0 * fd) + fc) / 6
      s2 = h * (fc + (4.0 * fe) + fb) / 6
      if ((s1 + s2) - s).abs <= tolerance
        s1 + s2
      else
        helper.call(a, a + h, fa, fc, fd, h / 2, s1, level + 1) +
        helper.call(a + h, b, fc, fb, fe, h / 2, s2, level + 1)
      end
    else
      raise "Integral did not converge"
    end
  }
  return helper.call(a, b, fa, fb, fc, h, s, 1)
end

.boole(t1, t2, n, &f) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 102

def boole(t1, t2, n, &f)
  d = (t2-t1) / n.to_f 
  ac = 0
  (0..n-1).each do |i|
    ac+=(d/90.0)*(7*f[t1+i*d]+32*f[t1+i*d+d/4]+12*f[t1+i*d+d/2]+32*f[t1+i*d+3*d/4]+7*f[t1+(i+1)*d])
  end
  ac
end

.create_has_library(library) ⇒ Object

Create a method ‘has_<library>’ on Module which require a library and return true or false according to success of failure



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# File 'lib/integration.rb', line 43

def create_has_library(library) #:nodoc:
  define_singleton_method("has_#{library}?") do
    cv="@@#{library}"
    if !class_variable_defined? cv
      begin 
        require library.to_s
        class_variable_set(cv, true)
      rescue LoadError
        class_variable_set(cv, false)
      end
    end
    class_variable_get(cv)
  end
end

.gauss(t1, t2, n) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 155

def gauss(t1, t2, n)
  case n
    when 1
      z = [0.0]
      w = [2.0]
    when 2
      z = [-0.57735026919, 0.57735026919]
      w = [1.0, 1.0]
    when 3
      z = [-0.774596669241, 0.0, 0.774596669241]
      w = [0.555555555556, 0.888888888889, 0.555555555556]
    when 4
      z = [-0.861136311594, -0.339981043585, 0.339981043585, 0.861136311594]
      w = [0.347854845137, 0.652145154863, 0.652145154863, 0.347854845137]
    when 5
      z = [-0.906179845939, -0.538469310106, 0.0, 0.538469310106, 0.906179845939]
      w = [0.236926885056, 0.478628670499, 0.568888888889, 0.478628670499, 0.236926885056]
    when 6
      z = [-0.932469514203, -0.661209386466, -0.238619186083, 0.238619186083, 0.661209386466, 0.932469514203]
      w = [0.171324492379, 0.360761573048, 0.467913934573, 0.467913934573, 0.360761573048, 0.171324492379]
    when 7
      z = [-0.949107912343, -0.741531185599, -0.405845151377, 0.0, 0.405845151377, 0.741531185599, 0.949107912343]
      w = [0.129484966169, 0.279705391489, 0.381830050505, 0.417959183673, 0.381830050505, 0.279705391489, 0.129484966169]
    when 8
      z = [-0.960289856498, -0.796666477414, -0.525532409916, -0.183434642496, 0.183434642496, 0.525532409916, 0.796666477414, 0.960289856498]
      w = [0.10122853629, 0.222381034453, 0.313706645878, 0.362683783378, 0.362683783378, 0.313706645878, 0.222381034453, 0.10122853629]
    when 9
      z = [-0.968160239508, -0.836031107327, -0.613371432701, -0.324253423404, 0.0, 0.324253423404, 0.613371432701, 0.836031107327, 0.968160239508]
      w = [0.0812743883616, 0.180648160695, 0.260610696403, 0.31234707704, 0.330239355001, 0.31234707704, 0.260610696403, 0.180648160695, 0.0812743883616]
    when 10
      z = [-0.973906528517, -0.865063366689, -0.679409568299, -0.433395394129, -0.148874338982, 0.148874338982, 0.433395394129, 0.679409568299, 0.865063366689, 0.973906528517]
      w = [0.0666713443087, 0.149451349151, 0.219086362516, 0.26926671931, 0.295524224715, 0.295524224715, 0.26926671931, 0.219086362516, 0.149451349151, 0.0666713443087]
    else
      raise "Invalid number of spaced abscissas #{n}, should be 1-10"
  end
  
  sum = 0
  (0...n).each do |i|
    t = ((t1.to_f + t2) / 2.0) + (((t2 - t1) / 2.0) * z[i])        
    sum += w[i] * yield(t)
  end
  return ((t2 - t1) / 2.0) * sum
end

.gauss_kronrod(t1, t2, n, points) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 199

def gauss_kronrod(t1,t2,n,points)
  #g7k15
  case points
    when 15
      z = [-0.9914553711208126, -0.9491079123427585, -0.8648644233597691, -0.7415311855993945, -0.5860872354676911, -0.4058451513773972, -0.20778495500789848, 0.0, 0.20778495500789848, 0.4058451513773972, 0.5860872354676911, 0.7415311855993945, 0.8648644233597691, 0.9491079123427585, 0.9914553711208126]
      w = [0.022935322010529224, 0.06309209262997856, 0.10479001032225019, 0.14065325971552592, 0.1690047266392679, 0.19035057806478542, 0.20443294007529889, 0.20948214108472782, 0.20443294007529889, 0.19035057806478542, 0.1690047266392679, 0.14065325971552592, 0.10479001032225019, 0.06309209262997856, 0.022935322010529224]
    when 21
      #g10k21
      z = [-0.9956571630258081, -0.9739065285171717, -0.9301574913557082, -0.8650633666889845, -0.7808177265864169, -0.6794095682990244, -0.5627571346686047, -0.4333953941292472, -0.2943928627014602, -0.14887433898163122, 0.0, 0.14887433898163122, 0.2943928627014602, 0.4333953941292472, 0.5627571346686047, 0.6794095682990244, 0.7808177265864169, 0.8650633666889845, 0.9301574913557082, 0.9739065285171717, 0.9956571630258081]
      w = [0.011694638867371874, 0.032558162307964725, 0.054755896574351995, 0.07503967481091996, 0.0931254545836976, 0.10938715880229764, 0.12349197626206584, 0.13470921731147334, 0.14277593857706009, 0.14773910490133849, 0.1494455540029169, 0.14773910490133849, 0.14277593857706009, 0.13470921731147334, 0.12349197626206584, 0.10938715880229764, 0.0931254545836976, 0.07503967481091996, 0.054755896574351995, 0.032558162307964725, 0.011694638867371874]
    when 31
      #g15k31
      z = [-0.9980022986933971, -0.9879925180204854, -0.9677390756791391, -0.937273392400706, -0.8972645323440819, -0.8482065834104272, -0.790418501442466, -0.7244177313601701, -0.650996741297417, -0.5709721726085388, -0.4850818636402397, -0.3941513470775634, -0.29918000715316884, -0.20119409399743451, -0.1011420669187175, 0.0, 0.1011420669187175, 0.20119409399743451, 0.29918000715316884, 0.3941513470775634, 0.4850818636402397, 0.5709721726085388, 0.650996741297417, 0.7244177313601701, 0.790418501442466, 0.8482065834104272, 0.8972645323440819, 0.937273392400706, 0.9677390756791391, 0.9879925180204854, 0.9980022986933971]
      w = [0.005377479872923349, 0.015007947329316122, 0.02546084732671532, 0.03534636079137585, 0.04458975132476488, 0.05348152469092809, 0.06200956780067064, 0.06985412131872826, 0.07684968075772038, 0.08308050282313302, 0.08856444305621176, 0.09312659817082532, 0.09664272698362368, 0.09917359872179196, 0.10076984552387559, 0.10133000701479154, 0.10076984552387559, 0.09917359872179196, 0.09664272698362368, 0.09312659817082532, 0.08856444305621176, 0.08308050282313302, 0.07684968075772038, 0.06985412131872826, 0.06200956780067064, 0.05348152469092809, 0.04458975132476488, 0.03534636079137585, 0.02546084732671532, 0.015007947329316122, 0.005377479872923349]
    when 41
      #g20k41
      z = [-0.9988590315882777, -0.9931285991850949, -0.9815078774502503, -0.9639719272779138, -0.9408226338317548, -0.912234428251326, -0.878276811252282, -0.8391169718222188, -0.7950414288375512, -0.7463319064601508, -0.6932376563347514, -0.636053680726515, -0.5751404468197103, -0.5108670019508271, -0.4435931752387251, -0.37370608871541955, -0.301627868114913, -0.22778585114164507, -0.15260546524092267, -0.07652652113349734, 0.0, 0.07652652113349734, 0.15260546524092267, 0.22778585114164507, 0.301627868114913, 0.37370608871541955, 0.4435931752387251, 0.5108670019508271, 0.5751404468197103, 0.636053680726515, 0.6932376563347514, 0.7463319064601508, 0.7950414288375512, 0.8391169718222188, 0.878276811252282, 0.912234428251326, 0.9408226338317548, 0.9639719272779138, 0.9815078774502503, 0.9931285991850949, 0.9988590315882777]
      w = [0.0030735837185205317, 0.008600269855642943, 0.014626169256971253, 0.020388373461266523, 0.02588213360495116, 0.0312873067770328, 0.036600169758200796, 0.041668873327973685, 0.04643482186749767, 0.05094457392372869, 0.05519510534828599, 0.05911140088063957, 0.06265323755478117, 0.06583459713361842, 0.06864867292852161, 0.07105442355344407, 0.07303069033278667, 0.07458287540049918, 0.07570449768455667, 0.07637786767208074, 0.07660071191799965, 0.07637786767208074, 0.07570449768455667, 0.07458287540049918, 0.07303069033278667, 0.07105442355344407, 0.06864867292852161, 0.06583459713361842, 0.06265323755478117, 0.05911140088063957, 0.05519510534828599, 0.05094457392372869, 0.04643482186749767, 0.041668873327973685, 0.036600169758200796, 0.0312873067770328, 0.02588213360495116, 0.020388373461266523, 0.014626169256971253, 0.008600269855642943, 0.0030735837185205317]
    when 61
      #g30k61
      z = [-0.9994844100504906, -0.9968934840746495, -0.9916309968704046, -0.9836681232797472, -0.9731163225011262, -0.9600218649683075, -0.94437444474856, -0.9262000474292743, -0.9055733076999078, -0.8825605357920527, -0.8572052335460612, -0.8295657623827684, -0.799727835821839, -0.7677774321048262, -0.7337900624532268, -0.6978504947933158, -0.6600610641266269, -0.6205261829892429, -0.5793452358263617, -0.5366241481420199, -0.49248046786177857, -0.44703376953808915, -0.4004012548303944, -0.3527047255308781, -0.30407320227362505, -0.25463692616788985, -0.20452511668230988, -0.15386991360858354, -0.10280693796673702, -0.0514718425553177, 0.0, 0.0514718425553177, 0.10280693796673702, 0.15386991360858354, 0.20452511668230988, 0.25463692616788985, 0.30407320227362505, 0.3527047255308781, 0.4004012548303944, 0.44703376953808915, 0.49248046786177857, 0.5366241481420199, 0.5793452358263617, 0.6205261829892429, 0.6600610641266269, 0.6978504947933158, 0.7337900624532268, 0.7677774321048262, 0.799727835821839, 0.8295657623827684, 0.8572052335460612, 0.8825605357920527, 0.9055733076999078, 0.9262000474292743, 0.94437444474856, 0.9600218649683075, 0.9731163225011262, 0.9836681232797472, 0.9916309968704046, 0.9968934840746495, 0.9994844100504906]
      w = [0.0013890136986770077, 0.003890461127099884, 0.0066307039159312926, 0.009273279659517764, 0.011823015253496341, 0.014369729507045804, 0.01692088918905327, 0.019414141193942382, 0.021828035821609193, 0.0241911620780806, 0.0265099548823331, 0.02875404876504129, 0.030907257562387762, 0.03298144705748372, 0.034979338028060025, 0.03688236465182123, 0.038678945624727595, 0.040374538951535956, 0.041969810215164244, 0.04345253970135607, 0.04481480013316266, 0.04605923827100699, 0.04718554656929915, 0.04818586175708713, 0.04905543455502978, 0.04979568342707421, 0.05040592140278235, 0.05088179589874961, 0.051221547849258774, 0.05142612853745902, 0.05149472942945157, 0.05142612853745902, 0.051221547849258774, 0.05088179589874961, 0.05040592140278235, 0.04979568342707421, 0.04905543455502978, 0.04818586175708713, 0.04718554656929915, 0.04605923827100699, 0.04481480013316266, 0.04345253970135607, 0.041969810215164244, 0.040374538951535956, 0.038678945624727595, 0.03688236465182123, 0.034979338028060025, 0.03298144705748372, 0.030907257562387762, 0.02875404876504129, 0.0265099548823331, 0.0241911620780806, 0.021828035821609193, 0.019414141193942382, 0.01692088918905327, 0.014369729507045804, 0.011823015253496341, 0.009273279659517764, 0.0066307039159312926, 0.003890461127099884, 0.0013890136986770077]
    else # using 15 point quadrature
      n = 15
      z = [-0.9914553711208126, -0.9491079123427585, -0.8648644233597691, -0.7415311855993945, -0.5860872354676911, -0.4058451513773972, -0.20778495500789848, 0.0, 0.20778495500789848, 0.4058451513773972, 0.5860872354676911, 0.7415311855993945, 0.8648644233597691, 0.9491079123427585, 0.9914553711208126]
      w = [0.022935322010529224, 0.06309209262997856, 0.10479001032225019, 0.14065325971552592, 0.1690047266392679, 0.19035057806478542, 0.20443294007529889, 0.20948214108472782, 0.20443294007529889, 0.19035057806478542, 0.1690047266392679, 0.14065325971552592, 0.10479001032225019, 0.06309209262997856, 0.022935322010529224]
  end
  sum = 0
  (0...n).each do |i|
    t = ((t1.to_f + t2) / 2.0) + (((t2 - t1) / 2.0) * z[i])
    sum += w[i] * yield(t)
  end
  return ((t2 - t1) / 2.0) * sum
end

.integrate(t1, t2, options = Hash.new, &f) ⇒ Object

Get the integral for a function f, with bounds t1 and t2 given a hash of options. If Ruby/GSL is available, you could use Integration::Minfinity and Integration::Infinity as bounds. Method Options are

:tolerance

Maximum difference between real and calculated integral. Default: 1e-10

:initial_step

Initial number of subdivitions

:step

Subdivitions increment on each iteration

:method

Integration method.

Methods are

:rectangle

for [:initial_step+:step*iteration] quadrilateral subdivisions

:trapezoid

for [:initial_step+:step*iteration] trapezoid-al subdivisions

:simpson

for [:initial_step+:step*iteration] parabolic subdivisions

:adaptive_quadrature

for recursive appoximations until error [tolerance]

:gauss
:initial_step+:step*iteration

weighted subdivisons using translated -1 -> +1 endpoints

:romberg

extrapolation of recursion approximation until error < [tolerance]

:monte_carlo

make [:initial_step+:step*iteration] random samples, and check for above/below curve

:qng

GSL QNG non-adaptive Gauss-Kronrod integration

:qag

GSL QAG adaptive integration, with support for infinite bounds



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# File 'lib/integration.rb', line 299

def integrate(t1,t2,options=Hash.new, &f)
  inf_bounds=(is_infinite?(t1) or is_infinite?(t2))
  raise "No function passed" unless block_given?
  raise "Non-numeric bounds" unless ((t1.is_a? Numeric) and (t2.is_a? Numeric)) or inf_bounds
  if(inf_bounds)
    lower_bound=t1
    upper_bound=t2
    options[:method]=:qag if options[:method].nil?
  else 
    lower_bound = [t1, t2].min
    upper_bound = [t1, t2].max
  end
  def_method=(has_gsl?) ? :qag : :simpson
  default_opts={:tolerance=>1e-10, :initial_step=>16, :step=>16, :method=>def_method}
  options=default_opts.merge(options)
  if RUBY_METHOD.include? options[:method]
    raise "Ruby methods doesn't support infinity bounds" if inf_bounds
    integrate_ruby(lower_bound,upper_bound,options,&f)
  elsif GSL_METHOD.include? options[:method]
    integrate_gsl(lower_bound,upper_bound,options,&f)
  else
    raise "Unknown integration method \"#{options[:method]}\""
  end
end

.integrate_gsl(lower_bound, upper_bound, options, &f) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 324

def integrate_gsl(lower_bound,upper_bound,options,&f) 
  
  f = GSL::Function.alloc(&f)
  method=options[:method]
  tolerance=options[:tolerance]
 
  if(method==:qag)
    w = GSL::Integration::Workspace.alloc()
    if(is_infinite?(lower_bound) and  is_infinite?(upper_bound))        
      #puts "ambos"
      val=f.qagi([tolerance,0.0], 1000, w)  
    elsif is_infinite?(lower_bound)
      #puts "inferior #{upper_bound}"
      val=f.qagil(upper_bound, [tolerance, 0], w) 
    elsif is_infinite?(upper_bound)
      #puts "superior"
      val=f.qagiu(lower_bound, [tolerance, 0], w)
    else
      
      val=f.qag([lower_bound,upper_bound],[tolerance,0.0], GSL::Integration::GAUSS61, w)
    end
  elsif(method==:qng)
    val=f.qng([lower_bound, upper_bound], [tolerance, 0.0]) 
  else
    raise "Unknown integration method \"#{method}\""
  end
  val[0]
end

.integrate_ruby(lower_bound, upper_bound, options, &f) ⇒ Object 



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# File 'lib/integration.rb', line 352

def integrate_ruby(lower_bound,upper_bound,options,&f)
  method=options[:method]
  tolerance=options[:tolerance]
  initial_step=options[:initial_step]
  step=options[:step]
  points = options[:points]
  begin
    method_obj = Integration.method(method.to_s.downcase)
  rescue
    raise "Unknown integration method \"#{method}\""
  end
  current_step=initial_step

  if(method==:adaptive_quadrature or method==:romberg or method==:gauss or method== :gauss_kronrod)
    if(method==:gauss )
      initial_step=10 if initial_step>10
      tolerance = initial_step
      method_obj.call(lower_bound, upper_bound, tolerance, &f)
    elsif (method==:gauss_kronrod)
      initial_step=10 if initial_step>10
      tolerance=initial_step
      points = points if points != nil
      method_obj.call(lower_bound, upper_bound, tolerance, points, &f)
    else
      method_obj.call(lower_bound, upper_bound, tolerance, &f)
    end
  else
    #puts "iniciando"
    value=method_obj.call(lower_bound, upper_bound, current_step, &f)
    previous=value+(tolerance*2)
    diffs=[]
    while((previous-value).abs > tolerance) do
      #puts("Valor:#{value}, paso:#{current_step}")
      #puts(current_step)
      diffs.push((previous-value).abs)
      #diffs.push value
      current_step+=step
      previous=value
      #puts "Llamando al metodo"
      
      value=method_obj.call(lower_bound, upper_bound, current_step, &f)
    end
    #p diffs
    
    value
  end
end

.is_infinite?(v) ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/integration.rb', line 272

def is_infinite?(v)
  v==Infinity or v==MInfinity
end

.milne(t1, t2, n, &f) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 121

def milne(t1, t2, n, &f)
  d = (t2-t1) / n.to_f 
  ac = 0
  (0..n-1).each do |i|
    ac+=(d/3.0)*(2*f[t1+i*d+d/4]-f[t1+i*d+d/2]+2*f[t1+i*d+3*d/4])
  end
  ac
end

.monte_carlo(t1, t2, n) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 256

def monte_carlo(t1, t2, n)
  width = (t2 - t1).to_f
  height = nil
  vals = []
  n.times do
    t = t1 + (rand() * width)
    ft = yield(t)
    height = ft if height.nil? || ft > height
    vals << ft
  end
  area_ratio = 0
  vals.each do |ft|
    area_ratio += (ft / height.to_f) / n.to_f
  end
  return (width * height) * area_ratio
end

.open_trapezoid(t1, t2, n, &f) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 112

def open_trapezoid(t1, t2, n, &f)
  d = (t2-t1) / n.to_f 
  ac = 0
  (0..n-1).each do |i|
    ac+=(d/2.0)*(f[t1+i*d+d/3]+f[t1+i*d+2*d/3])
  end
  ac
end

.rectangle(t1, t2, n, &f) ⇒ Object Also known as: midpoint

Rectangle method n implies number of subdivisions Source:

* Ayres : Outline of calculus



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# File 'lib/integration.rb', line 61

def rectangle(t1, t2, n, &f)
  d=(t2-t1) / n.to_f
  n.times.inject(0) {|ac,i| 
    ac+f[t1+d*(i+0.5)]
  }*d
end

.romberg(a, b, tolerance, max_iter = 20) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 234

def romberg(a, b, tolerance,max_iter=20)
  # NOTE one-based arrays are used for convenience
  h = b.to_f - a
  m = 1
  close = 1
  r = [[(h / 2) * (yield(a) + yield(b))]]
  j = 0
  hn=lambda {|n| h/(2**n)}
  while j <= max_iter && tolerance < close
    j+=1
    r.push((j+1).times.map{[]})
    ul=2**(j-1)
    r[j][0]=r[j-1][0] / 2.0 + hn[j] * (1..ul).inject(0) {|ac,k| ac+yield(a + (2*k-1)* hn[j])}
    (1..j).each do |k|
      r[j][k] = ( (4**k) * r[j][k-1] - r[j-1][k-1]) / ((4**k)-1)
    end
    close = (r[j][j] - r[j-1][j-1])
  end
  r[j][j]
end

.simpson(t1, t2, n, &f) ⇒ Object

Simpson’s rule n implies number of subdivisions Source:

* Ayres : Outline of calculus



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# File 'lib/integration.rb', line 83

def simpson(t1, t2, n, &f)
  n += 1 unless n % 2 == 0
  d=(t2-t1) / n.to_f      
  out= (d / 3.0)*(f[t1.to_f].to_f+
  ((1..(n-1)).inject(0) {|ac,i|
    ac+((i%2==0) ? 2 : 4)*f[t1+d*i]  
  })+f[t2.to_f].to_f)
  out
end

.simpson3by8(t1, t2, n, &f) ⇒ Object

TODO: Document method



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# File 'lib/integration.rb', line 93

def simpson3by8(t1, t2, n, &f)
  d = (t2-t1) / n.to_f 
  ac = 0
  (0..n-1).each do |i|
    ac+=(d/8.0)*(f[t1+i*d]+3*f[t1+i*d+d/3]+3*f[t1+i*d+2*d/3]+f[t1+(i+1)*d])
  end
  ac
end

.trapezoid(t1, t2, n, &f) ⇒ Object

Trapezoid method n implies number of subdivisions Source:

* Ayres : Outline of calculus



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# File 'lib/integration.rb', line 72

def trapezoid(t1, t2, n, &f)
  d=(t2-t1) / n.to_f
  (d/2.0)*(f[t1]+
  2*(1..(n-1)).inject(0){|ac,i| 
  ac+f[t1+d*i]
  }+f[t2])
end