Package org.apache.commons.math3.analysis.integration

Examples of org.apache.commons.math3.analysis.integration.BaseAbstractUnivariateIntegrator


                return false;
            }
            final int    n = FastMath.max(1, (int) FastMath.ceil(FastMath.abs(dt) / maxCheckInterval));
            final double h = dt / n;

            final UnivariateFunction f = new UnivariateFunction() {
                public double value(final double t) throws LocalMaxCountExceededException {
                    try {
                        interpolator.setInterpolatedTime(t);
                        return handler.g(t, getCompleteState(interpolator));
                    } catch (MaxCountExceededException mcee) {
                        throw new LocalMaxCountExceededException(mcee);
                    }
                }
            };

            double ta = t0;
            double ga = g0;
            for (int i = 0; i < n; ++i) {

                // evaluate handler value at the end of the substep
                final double tb = t0 + (i + 1) * h;
                interpolator.setInterpolatedTime(tb);
                final double gb = handler.g(tb, getCompleteState(interpolator));

                // check events occurrence
                if (g0Positive ^ (gb >= 0)) {
                    // there is a sign change: an event is expected during this step

                    // variation direction, with respect to the integration direction
                    increasing = gb >= ga;

                    // find the event time making sure we select a solution just at or past the exact root
                    final double root;
                    if (solver instanceof BracketedUnivariateSolver<?>) {
                        @SuppressWarnings("unchecked")
                        BracketedUnivariateSolver<UnivariateFunction> bracketing =
                                (BracketedUnivariateSolver<UnivariateFunction>) solver;
                        root = forward ?
                               bracketing.solve(maxIterationCount, f, ta, tb, AllowedSolution.RIGHT_SIDE) :
                               bracketing.solve(maxIterationCount, f, tb, ta, AllowedSolution.LEFT_SIDE);
                    } else {
                        final double baseRoot = forward ?
                                                solver.solve(maxIterationCount, f, ta, tb) :
                                                solver.solve(maxIterationCount, f, tb, ta);
                        final int remainingEval = maxIterationCount - solver.getEvaluations();
                        BracketedUnivariateSolver<UnivariateFunction> bracketing =
                                new PegasusSolver(solver.getRelativeAccuracy(), solver.getAbsoluteAccuracy());
                        root = forward ?
                               UnivariateSolverUtils.forceSide(remainingEval, f, bracketing,
                                                                   baseRoot, ta, tb, AllowedSolution.RIGHT_SIDE) :
                               UnivariateSolverUtils.forceSide(remainingEval, f, bracketing,
                                                                   baseRoot, tb, ta, AllowedSolution.LEFT_SIDE);
                    }

                    if ((!Double.isNaN(previousEventTime)) &&
                        (FastMath.abs(root - ta) <= convergence) &&
                        (FastMath.abs(root - previousEventTime) <= convergence)) {
                        // we have either found nothing or found (again ?) a past event,
                        // retry the substep excluding this value, and taking care to have the
                        // required sign in case the g function is noisy around its zero and
                        // crosses the axis several times
                        do {
                            ta = forward ? ta + convergence : ta - convergence;
                            ga = f.value(ta);
                        } while ((g0Positive ^ (ga >= 0)) && (forward ^ (ta >= tb)));
                        --i;
                    } else if (Double.isNaN(previousEventTime) ||
                               (FastMath.abs(previousEventTime - root) > convergence)) {
                        pendingEventTime = root;
View Full Code Here


     * are discarded.
     */
    @Test
    public void testDensityIntegrals() {
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final ArrayList<Double> integrationTestPoints = new ArrayList<Double>();
        for (int i = 0; i < cumulativeTestPoints.length; i++) {
            if (Double.isNaN(cumulativeTestValues[i]) ||
                    cumulativeTestValues[i] < 1.0e-5 ||
                    cumulativeTestValues[i] > 1 - 1.0e-5) {
                continue; // exclude integrals outside domain.
            }
            integrationTestPoints.add(cumulativeTestPoints[i]);
        }
        Collections.sort(integrationTestPoints);
        for (int i = 1; i < integrationTestPoints.size(); i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability// FIXME @4.0 when rename happens
                            integrationTestPoints.get(0), integrationTestPoints.get(i)),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, integrationTestPoints.get(0),
                                    integrationTestPoints.get(i)), tol);
        }
    }
View Full Code Here

    @Override
    @Test
    public void testDensityIntegrals() {
        final RealDistribution distribution = makeDistribution();
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final double[] lower = {0, 5, 1000, 5001, 9995};
        final double[] upper = {5, 12, 1030, 5010, 10000};
        for (int i = 1; i < 5; i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability(
                            lower[i], upper[i]),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, lower[i], upper[i]), tol);
        }
    }
View Full Code Here

     * are discarded.
     */
    @Test
    public void testDensityIntegrals() {
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final ArrayList<Double> integrationTestPoints = new ArrayList<Double>();
        for (int i = 0; i < cumulativeTestPoints.length; i++) {
            if (Double.isNaN(cumulativeTestValues[i]) ||
                    cumulativeTestValues[i] < 1.0e-5 ||
                    cumulativeTestValues[i] > 1 - 1.0e-5) {
                continue; // exclude integrals outside domain.
            }
            integrationTestPoints.add(cumulativeTestPoints[i]);
        }
        Collections.sort(integrationTestPoints);
        for (int i = 1; i < integrationTestPoints.size(); i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability// FIXME @4.0 when rename happens
                            integrationTestPoints.get(0), integrationTestPoints.get(i)),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, integrationTestPoints.get(0),
                                    integrationTestPoints.get(i)), tol);
        }
    }
View Full Code Here

    @Override
    @Test
    public void testDensityIntegrals() {
        final RealDistribution distribution = makeDistribution();
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final double[] lower = {0, 5, 1000, 5001, 9995};
        final double[] upper = {5, 12, 1030, 5010, 10000};
        for (int i = 1; i < 5; i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability(
                            lower[i], upper[i]),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, lower[i], upper[i]), tol);
        }
    }
View Full Code Here

     * are discarded.
     */
    @Test
    public void testDensityIntegrals() {
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final ArrayList<Double> integrationTestPoints = new ArrayList<Double>();
        for (int i = 0; i < cumulativeTestPoints.length; i++) {
            if (Double.isNaN(cumulativeTestValues[i]) ||
                    cumulativeTestValues[i] < 1.0e-5 ||
                    cumulativeTestValues[i] > 1 - 1.0e-5) {
                continue; // exclude integrals outside domain.
            }
            integrationTestPoints.add(cumulativeTestPoints[i]);
        }
        Collections.sort(integrationTestPoints);
        for (int i = 1; i < integrationTestPoints.size(); i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability// FIXME @4.0 when rename happens
                            integrationTestPoints.get(0), integrationTestPoints.get(i)),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, integrationTestPoints.get(0),
                                    integrationTestPoints.get(i)), tol);
        }
    }
View Full Code Here

    @Override
    @Test
    public void testDensityIntegrals() {
        final RealDistribution distribution = makeDistribution();
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final double[] lower = {0, 5, 1000, 5001, 9995};
        final double[] upper = {5, 12, 1030, 5010, 10000};
        for (int i = 1; i < 5; i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability(
                            lower[i], upper[i]),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, lower[i], upper[i]), tol);
        }
    }
View Full Code Here

     * are discarded.
     */
    @Test
    public void testDensityIntegrals() {
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final ArrayList<Double> integrationTestPoints = new ArrayList<Double>();
        for (int i = 0; i < cumulativeTestPoints.length; i++) {
            if (Double.isNaN(cumulativeTestValues[i]) ||
                    cumulativeTestValues[i] < 1.0e-5 ||
                    cumulativeTestValues[i] > 1 - 1.0e-5) {
                continue; // exclude integrals outside domain.
            }
            integrationTestPoints.add(cumulativeTestPoints[i]);
        }
        Collections.sort(integrationTestPoints);
        for (int i = 1; i < integrationTestPoints.size(); i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability// FIXME @4.0 when rename happens
                            integrationTestPoints.get(0), integrationTestPoints.get(i)),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, integrationTestPoints.get(0),
                                    integrationTestPoints.get(i)), tol);
        }
    }
View Full Code Here

    @Override
    @Test
    public void testDensityIntegrals() {
        final RealDistribution distribution = makeDistribution();
        final double tol = 1.0e-9;
        final BaseAbstractUnivariateIntegrator integrator =
            new IterativeLegendreGaussIntegrator(5, 1.0e-12, 1.0e-10);
        final UnivariateFunction d = new UnivariateFunction() {
            public double value(double x) {
                return distribution.density(x);
            }
        };
        final double[] lower = {0, 5, 1000, 5001, 9995};
        final double[] upper = {5, 12, 1030, 5010, 10000};
        for (int i = 1; i < 5; i++) {
            Assert.assertEquals(
                    distribution.cumulativeProbability(
                            lower[i], upper[i]),
                            integrator.integrate(
                                    1000000, // Triangle integrals are very slow to converge
                                    d, lower[i], upper[i]), tol);
        }
    }
View Full Code Here

                        final double baseRoot = forward ?
                                                solver.solve(maxIterationCount, f, ta, tb) :
                                                solver.solve(maxIterationCount, f, tb, ta);
                        final int remainingEval = maxIterationCount - solver.getEvaluations();
                        BracketedUnivariateSolver<UnivariateFunction> bracketing =
                                new PegasusSolver(solver.getRelativeAccuracy(), solver.getAbsoluteAccuracy());
                        root = forward ?
                               UnivariateSolverUtils.forceSide(remainingEval, f, bracketing,
                                                                   baseRoot, ta, tb, AllowedSolution.RIGHT_SIDE) :
                               UnivariateSolverUtils.forceSide(remainingEval, f, bracketing,
                                                                   baseRoot, tb, ta, AllowedSolution.LEFT_SIDE);
View Full Code Here

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