""" Created on 20. aug. 2015 @author: pab """ from __future__ import division from collections import namedtuple import warnings import numdifftools as nd import numdifftools.nd_algopy as nda from numdifftools.extrapolation import dea3 from numdifftools.limits import Limit import numpy as np from numpy import linalg from numpy.polynomial.chebyshev import chebval, Chebyshev from numpy.polynomial import polynomial from wafo.misc import piecewise, findcross, ecross _FINFO = np.finfo(float) EPS = _FINFO(float).eps _EPS = EPS _TINY = _FINFO.tiny _HUGE = _FINFO.max def _assert(cond, msg): if not cond: raise ValueError(msg) def _assert_warn(cond, msg): if not cond: warnings.warn(msg) class PolyBasis(object): @staticmethod def _derivative(c, m): return polynomial.polyder(c, m) @staticmethod def eval(t, c): return polynomial.polyval(t, c) @staticmethod def _coefficients(k): c = np.zeros(k + 1) c[k] = 1 return c def derivative(self, t, k, n=1): c = self._coefficients(k) d_c = self._derivative(c, m=n) return self.eval(t, d_c) def __call__(self, t, k): return t**k poly_basis = PolyBasis() class ChebyshevBasis(PolyBasis): @staticmethod def _derivative(c, m): cheb = Chebyshev(c) dcheb = cheb.deriv(m=m) return dcheb.coef @staticmethod def eval(t, c): return chebval(t, c) def __call__(self, t, k): c = self._coefficients(k) return self.eval(t, c) chebyshev_basis = ChebyshevBasis() def richardson(q_val, k): # license BSD # Richardson extrapolation with parameter estimation c = np.real((q_val[k - 1] - q_val[k - 2]) / (q_val[k] - q_val[k - 1])) - 1. # The lower bound 0.07 admits the singularity x.^-0.9 c = max(c, 0.07) return q_val[k] + (q_val[k] - q_val[k - 1]) / c def evans_webster_weights(omega, g, d_g, x, basis, *args, **kwds): def psi(t, k): return d_g(t, *args, **kwds) * basis(t, k) j_w = 1j * omega n = len(x) a_matrix = np.zeros((n, n), dtype=complex) rhs = np.zeros((n,), dtype=complex) dbasis = basis.derivative lim_g = Limit(g) b_1 = np.exp(j_w*lim_g(1, *args, **kwds)) if np.isnan(b_1): b_1 = 0.0 a_1 = np.exp(j_w*lim_g(-1, *args, **kwds)) if np.isnan(a_1): a_1 = 0.0 lim_psi = Limit(psi) for k in range(n): rhs[k] = basis(1, k) * b_1 - basis(-1, k) * a_1 a_matrix[k] = (dbasis(x, k, n=1) + j_w * lim_psi(x, k)) solution = linalg.lstsq(a_matrix, rhs) return solution[0] def osc_weights(omega, g, d_g, x, basis, a_b, *args, **kwds): def _g(t): return g(scale * t + offset, *args, **kwds) def _d_g(t): return scale * d_g(scale * t + offset, *args, **kwds) w = [] for a, b in zip(a_b[::2], a_b[1::2]): scale = (b - a) / 2 offset = (a + b) / 2 w.append(evans_webster_weights(omega, _g, _d_g, x, basis)) return np.asarray(w).ravel() class _Integrator(object): info = namedtuple('info', ['error_estimate', 'n']) def __init__(self, f, g, dg=None, a=-1, b=1, basis=chebyshev_basis, s=1, precision=10, endpoints=True, full_output=False): self.f = f self.g = g self.dg = nd.Derivative(g) if dg is None else dg self.basis = basis self.a = a self.b = b self.s = s self.endpoints = endpoints self.precision = precision self.full_output = full_output class QuadOsc(_Integrator): def __init__(self, f, g, dg=None, a=-1, b=1, basis=chebyshev_basis, s=15, precision=10, endpoints=False, full_output=False, maxiter=17): self.maxiter = maxiter super(QuadOsc, self).__init__(f, g, dg=dg, a=a, b=b, basis=basis, s=s, precision=precision, endpoints=endpoints, full_output=full_output) @staticmethod def _change_interval_to_0_1(f, g, d_g, a, _b): def f_01(t, *args, **kwds): den = 1-t return f(a + t / den, *args, **kwds) / den ** 2 def g_01(t, *args, **kwds): return g(a + t / (1 - t), *args, **kwds) def d_g_01(t, *args, **kwds): den = 1-t return d_g(a + t / den, *args, **kwds) / den ** 2 return f_01, g_01, d_g_01, 0., 1. @staticmethod def _change_interval_to_m1_0(f, g, d_g, _a, b): def f_m10(t, *args, **kwds): den = 1 + t return f(b + t / den, *args, **kwds) / den ** 2 def g_m10(t, *args, **kwds): return g(b + t / (1 + t), *args, **kwds) def d_g_m10(t, *args, **kwds): den = 1 + t return d_g(b + t / den, *args, **kwds) / den ** 2 return f_m10, g_m10, d_g_m10, -1.0, 0.0 @staticmethod def _change_interval_to_m1_1(f, g, d_g, _a, _b): def f_m11(t, *args, **kwds): den = (1 - t**2) return f(t / den, *args, **kwds) * (1+t**2) / den ** 2 def g_m11(t, *args, **kwds): den = (1 - t**2) return g(t / den, *args, **kwds) def d_g_m11(t, *args, **kwds): den = (1 - t**2) return d_g(t / den, *args, **kwds) * (1+t**2) / den ** 2 return f_m11, g_m11, d_g_m11, -1., 1. def _get_functions(self): a, b = self.a, self.b reverse = np.real(a) > np.real(b) if reverse: a, b = b, a f, g, dg = self.f, self.g, self.dg if a == b: pass elif np.isinf(a) | np.isinf(b): # Check real limits if ~np.isreal(a) | ~np.isreal(b) | np.isnan(a) | np.isnan(b): raise ValueError('Infinite intervals must be real.') # Change of variable if np.isfinite(a) & np.isinf(b): f, g, dg, a, b = self._change_interval_to_0_1(f, g, dg, a, b) elif np.isinf(a) & np.isfinite(b): f, g, dg, a, b = self._change_interval_to_m1_0(f, g, dg, a, b) else: # -inf to inf f, g, dg, a, b = self._change_interval_to_m1_1(f, g, dg, a, b) return f, g, dg, a, b, reverse def __call__(self, omega, *args, **kwds): f, g, dg, a, b, reverse = self._get_functions() val, err = self._quad_osc(f, g, dg, a, b, omega, *args, **kwds) if reverse: val = -val if self.full_output: return val, err return val @staticmethod def _get_best_estimate(k, q_0, q_1, q_2): if k >= 5: q_v = np.hstack((q_0[k], q_1[k], q_2[k])) q_w = np.hstack((q_0[k - 1], q_1[k - 1], q_2[k - 1])) elif k >= 3: q_v = np.hstack((q_0[k], q_1[k])) q_w = np.hstack((q_0[k - 1], q_1[k - 1])) else: q_v = np.atleast_1d(q_0[k]) q_w = q_0[k - 1] errors = np.atleast_1d(abs(q_v - q_w)) j = np.nanargmin(errors) return q_v[j], errors[j] def _extrapolate(self, k, q_0, q_1, q_2): if k >= 4: q_1[k] = dea3(q_0[k - 2], q_0[k - 1], q_0[k])[0] q_2[k] = dea3(q_1[k - 2], q_1[k - 1], q_1[k])[0] elif k >= 2: q_1[k] = dea3(q_0[k - 2], q_0[k - 1], q_0[k])[0] # # Richardson extrapolation # if k >= 4: # q_1[k] = richardson(q_0, k) # q_2[k] = richardson(q_1, k) # elif k >= 2: # q_1[k] = richardson(q_0, k) q, err = self._get_best_estimate(k, q_0, q_1, q_2) return q, err def _quad_osc(self, f, g, dg, a, b, omega, *args, **kwds): if a == b: q_val = b - a err = np.abs(b - a) return q_val, err abseps = 10**-self.precision max_iter = self.maxiter basis = self.basis if self.endpoints: x_n = chebyshev_extrema(self.s) else: x_n = chebyshev_roots(self.s) # x_n = tanh_sinh_open_nodes(self.s) # One interval hh = (b - a) / 2 x = (a + b) / 2 + hh * x_n # Nodes dtype = complex val0 = np.zeros((max_iter, 1), dtype=dtype) # Quadrature val1 = np.zeros((max_iter, 1), dtype=dtype) # First extrapolation val2 = np.zeros((max_iter, 1), dtype=dtype) # Second extrapolation lim_f = Limit(f) a_b = np.hstack([a, b]) wq = osc_weights(omega, g, dg, x_n, basis, a_b, *args, **kwds) val0[0] = hh * np.sum(wq * lim_f(x, *args, **kwds)) # Successive bisection of intervals nq = len(x_n) n = nq for k in range(1, max_iter): n += nq * 2**k hh = hh / 2 x = np.hstack([x + a, x + b]) / 2 a_b = np.hstack([a_b + a, a_b + b]) / 2 wq = osc_weights(omega, g, dg, x_n, basis, a_b, *args, **kwds) val0[k] = hh * np.sum(wq * lim_f(x, *args, **kwds)) q_val, err = self._extrapolate(k, val0, val1, val2) converged = (err <= abseps) | ~np.isfinite(q_val) if converged: break _assert_warn(converged, 'Max number of iterations reached ' 'without convergence.') _assert_warn(np.isfinite(q_val), 'Integral approximation is Infinite or NaN.') # The error estimate should not be zero err += 2 * np.finfo(q_val).eps return q_val, self.info(err, n) def adaptive_levin_points(m, delta): m_1 = m - 1 prm = 0.5 while prm * m_1 / delta >= 1: delta = 2 * delta k = np.arange(m) x = piecewise([k < prm * m_1, k == np.ceil(prm * m_1)], [-1 + k / delta, 0 * k, 1 - (m_1 - k) / delta]) return x def open_levin_points(m, delta): return adaptive_levin_points(m+2, delta)[1:-1] def chebyshev_extrema(m, delta=None): k = np.arange(m) x = np.cos(k * np.pi / (m-1)) return x def tanh_sinh_nodes(m, delta=None, tol=_EPS): tmax = np.arcsinh(np.arctanh(1-_EPS)*2/np.pi) # tmax = 3.18 m_1 = int(np.floor(-np.log2(tmax/max(m-1, 1)))) - 1 h = 2.0**-m_1 t = np.arange((m+1)//2+1)*h x = np.tanh(np.pi/2*np.sinh(t)) k = np.flatnonzero(np.abs(x - 1) <= 10*tol) y = x[:k[0]+1] if len(k) else x return np.hstack((-y[:0:-1], y)) def tanh_sinh_open_nodes(m, delta=None, tol=_EPS): return tanh_sinh_nodes(m+1, delta, tol)[1:-1] def chebyshev_roots(m, delta=None): k = np.arange(1, 2*m, 2) * 0.5 x = np.cos(k * np.pi / m) return x class AdaptiveLevin(_Integrator): """Return integral for the Levin-type and adaptive Levin-type methods""" @staticmethod def _a_levin(omega, f, g, d_g, x, s, basis, *args, **kwds): def psi(t, k): return d_g(t, *args, **kwds) * basis(t, k) j_w = 1j * omega nu = np.ones((len(x),), dtype=int) nu[0] = nu[-1] = s S = np.cumsum(np.hstack((nu, 0))) S[-1] = 0 n = int(S[-2]) a_matrix = np.zeros((n, n), dtype=complex) rhs = np.zeros((n,)) dff = Limit(nda.Derivative(f)) d_psi = Limit(nda.Derivative(psi)) dbasis = basis.derivative for r, t in enumerate(x): for j in range(S[r - 1], S[r]): order = ((j - S[r - 1]) % nu[r]) # derivative order dff.fun.n = order rhs[j] = dff(t, *args, **kwds) d_psi.fun.n = order for k in range(n): a_matrix[j, k] = (dbasis(t, k, n=order+1) + j_w * d_psi(t, k)) k1 = np.flatnonzero(1-np.isfinite(rhs)) if k1.size > 0: # Remove singularities warnings.warn('Singularities detected! ') a_matrix[k1] = 0 rhs[k1] = 0 solution = linalg.lstsq(a_matrix, rhs) v = basis.eval([-1, 1], solution[0]) lim_g = Limit(g) g_b = np.exp(j_w * lim_g(1, *args, **kwds)) if np.isnan(g_b): g_b = 0 g_a = np.exp(j_w * lim_g(-1, *args, **kwds)) if np.isnan(g_a): g_a = 0 return v[1] * g_b - v[0] * g_a def _get_integration_limits(self, omega, args, kwds): a, b = self.a, self.b M = 30 ab = [a] scale = (b - a) / 2 n = 30 x = np.linspace(a, b, n + 1) dg_x = np.asarray([scale * omega * self.dg(xi, *args, **kwds) for xi in x]) i10 = findcross(dg_x, M) i1 = findcross(dg_x, 1) i0 = findcross(dg_x, 0) im1 = findcross(dg_x, -1) im10 = findcross(dg_x, -M) x10 = ecross(x, dg_x, i10, M) if len(i10) else () x1 = ecross(x, dg_x, i1, 1) if len(i1) else () x0 = ecross(x, dg_x, i0, 0) if len(i0) else () xm1 = ecross(x, dg_x, im1, -1) if len(im1) else () xm10 = ecross(x, dg_x, im10, -M) if len(im10) else () for i in np.unique(np.hstack((x10, x1, x0, xm1, xm10))): if x[0] < i < x[n]: ab.append(i) ab.append(b) return ab def __call__(self, omega, *args, **kwds): ab = self._get_integration_limits(omega, args, kwds) s = self.s val = 0 n = 0 err = 0 for ai, bi in zip(ab[:-1], ab[1:]): vali, infoi = self._QaL(s, ai, bi, omega, *args, **kwds) val += vali err += infoi.error_estimate n += infoi.n if self.full_output: info = self.info(err, n) return val, info return val @staticmethod def _get_num_points(s, prec, betam): return 1 if s > 1 else int(prec / max(np.log10(betam + 1), 1) + 1) def _QaL(self, s, a, b, omega, *args, **kwds): """if s>1,the integral is computed by Q_s^L""" scale = (b - a) / 2 offset = (a + b) / 2 prec = self.precision # desired precision def ff(t, *args, **kwds): return scale * self.f(scale * t + offset, *args, **kwds) def gg(t, *args, **kwds): return self.g(scale * t + offset, *args, **kwds) def dgg(t, *args, **kwds): return scale * self.dg(scale * t + offset, *args, **kwds) dg_a = abs(omega * dgg(-1, *args, **kwds)) dg_b = abs(omega * dgg(1, *args, **kwds)) g_a = abs(omega * gg(-1, *args, **kwds)) g_b = abs(omega * gg(1, *args, **kwds)) delta, alpha = min(dg_a, dg_b), min(g_a, g_b) betam = delta # * scale if self.endpoints: if delta < 10 or alpha <= 10 or s > 1: points = chebyshev_extrema else: points = adaptive_levin_points elif delta < 10 or alpha <= 10 or s > 1: points = chebyshev_roots else: points = open_levin_points # tanh_sinh_open_nodes m = self._get_num_points(s, prec, betam) abseps = 10*10.0**-prec num_collocation_point_list = m*2**np.arange(1, 5) + 1 basis = self.basis q_val = 1e+300 num_function_evaluations = 0 n = 0 for num_collocation_points in num_collocation_point_list: n_old = n q_old = q_val x = points(num_collocation_points, betam) n = len(x) if n > n_old: q_val = self._a_levin(omega, ff, gg, dgg, x, s, basis, *args, **kwds) num_function_evaluations += n err = np.abs(q_val-q_old) if err <= abseps: break info = self.info(err, num_function_evaluations) return q_val, info class EvansWebster(AdaptiveLevin): """Return integral for the Evans Webster method""" def __init__(self, f, g, dg=None, a=-1, b=1, basis=chebyshev_basis, s=8, precision=10, endpoints=False, full_output=False): super(EvansWebster, self).__init__(f, g, dg=dg, a=a, b=b, basis=basis, s=s, precision=precision, endpoints=endpoints, full_output=full_output) def _a_levin(self, omega, ff, gg, dgg, x, s, basis, *args, **kwds): w = evans_webster_weights(omega, gg, dgg, x, basis, *args, **kwds) f = Limit(ff)(x, *args, **kwds) return np.sum(f*w) def _get_num_points(self, s, prec, betam): return 8 if s > 1 else int(prec / max(np.log10(betam + 1), 1) + 1) if __name__ == '__main__': tanh_sinh_nodes(16)