From a232a950cc15b2c6e3427b59d4f90006a70e04f6 Mon Sep 17 00:00:00 2001 From: Igor Pashev Date: Mon, 11 Feb 2013 14:59:17 +0400 Subject: Imported Upstream version 3.0+20111124 --- src/common/ChiSquare.c | 67 ++++ src/common/DoSample.c | 352 ++++++++++++++++++ src/common/Erf.c | 51 +++ src/common/Random.c | 345 ++++++++++++++++++ src/common/stddecl.h | 223 ++++++++++++ src/cuhre/Cuhre.c | 85 +++++ src/cuhre/Cuhre.tm | 251 +++++++++++++ src/cuhre/Integrate.c | 233 ++++++++++++ src/cuhre/Rule.c | 743 ++++++++++++++++++++++++++++++++++++++ src/cuhre/common.c | 25 ++ src/cuhre/decl.h | 67 ++++ src/divonne/Divonne.c | 157 ++++++++ src/divonne/Divonne.tm | 429 ++++++++++++++++++++++ src/divonne/Explore.c | 160 ++++++++ src/divonne/FindMinimum.c | 689 +++++++++++++++++++++++++++++++++++ src/divonne/Integrate.c | 452 +++++++++++++++++++++++ src/divonne/Iterate.c | 138 +++++++ src/divonne/KorobovCoeff.c | 881 +++++++++++++++++++++++++++++++++++++++++++++ src/divonne/Rule.c | 685 +++++++++++++++++++++++++++++++++++ src/divonne/Sample.c | 261 ++++++++++++++ src/divonne/Split.c | 311 ++++++++++++++++ src/divonne/common.c | 34 ++ src/divonne/decl.h | 127 +++++++ src/suave/Fluct.c | 68 ++++ src/suave/Grid.c | 137 +++++++ src/suave/Integrate.c | 278 ++++++++++++++ src/suave/Sample.c | 171 +++++++++ src/suave/Suave.c | 91 +++++ src/suave/Suave.tm | 290 +++++++++++++++ src/suave/common.c | 33 ++ src/suave/decl.h | 70 ++++ src/vegas/Grid.c | 99 +++++ src/vegas/Integrate.c | 239 ++++++++++++ src/vegas/Vegas.c | 105 ++++++ src/vegas/Vegas.tm | 292 +++++++++++++++ src/vegas/common.c | 31 ++ src/vegas/decl.h | 56 +++ 37 files changed, 8726 insertions(+) create mode 100644 src/common/ChiSquare.c create mode 100644 src/common/DoSample.c create mode 100644 src/common/Erf.c create mode 100644 src/common/Random.c create mode 100644 src/common/stddecl.h create mode 100644 src/cuhre/Cuhre.c create mode 100644 src/cuhre/Cuhre.tm create mode 100644 src/cuhre/Integrate.c create mode 100644 src/cuhre/Rule.c create mode 100644 src/cuhre/common.c create mode 100644 src/cuhre/decl.h create mode 100644 src/divonne/Divonne.c create mode 100644 src/divonne/Divonne.tm create mode 100644 src/divonne/Explore.c create mode 100644 src/divonne/FindMinimum.c create mode 100644 src/divonne/Integrate.c create mode 100644 src/divonne/Iterate.c create mode 100644 src/divonne/KorobovCoeff.c create mode 100644 src/divonne/Rule.c create mode 100644 src/divonne/Sample.c create mode 100644 src/divonne/Split.c create mode 100644 src/divonne/common.c create mode 100644 src/divonne/decl.h create mode 100644 src/suave/Fluct.c create mode 100644 src/suave/Grid.c create mode 100644 src/suave/Integrate.c create mode 100644 src/suave/Sample.c create mode 100644 src/suave/Suave.c create mode 100644 src/suave/Suave.tm create mode 100644 src/suave/common.c create mode 100644 src/suave/decl.h create mode 100644 src/vegas/Grid.c create mode 100644 src/vegas/Integrate.c create mode 100644 src/vegas/Vegas.c create mode 100644 src/vegas/Vegas.tm create mode 100644 src/vegas/common.c create mode 100644 src/vegas/decl.h (limited to 'src') diff --git a/src/common/ChiSquare.c b/src/common/ChiSquare.c new file mode 100644 index 0000000..baee413 --- /dev/null +++ b/src/common/ChiSquare.c @@ -0,0 +1,67 @@ +/* + ChiSquare.c + the chi-square cdf + after W.J. Kennedy and J.E. Gentle, + Statistical computing, p. 116 + last modified 9 Feb 05 th +*/ + +#ifdef HAVE_ERF +#define Erf erf +#else +#include "Erf.c" +#endif + +static inline real Normal(creal x) +{ + return .5*Erf(x/1.414213562373095048801689) + .5; +} + +/*********************************************************************/ + +static real ChiSquare(creal x, cint df) +{ + real y; + + if( df <= 0 ) return -999; + + if( x <= 0 ) return 0; + if( x > 1000*df ) return 1; + + if( df > 1000 ) { + if( x < 2 ) return 0; + y = 2./(9*df); + y = (pow(x/df, 1/3.) - (1 - y))/sqrt(y); + if( y > 5 ) return 1; + if( y < -18.8055 ) return 0; + return Normal(y); + } + + y = .5*x; + + if( df & 1 ) { + creal sqrty = sqrt(y); + real h = Erf(sqrty); + count i; + + if( df == 1 ) return h; + + y = sqrty*exp(-y)/.8862269254527579825931; + for( i = 3; i < df; i += 2 ) { + h -= y; + y *= x/i; + } + y = h - y; + } + else { + real term = exp(-y), sum = term; + count i; + + for( i = 1; i < df/2; ++i ) + sum += term *= y/i; + y = 1 - sum; + } + + return Max(0., y); +} + diff --git a/src/common/DoSample.c b/src/common/DoSample.c new file mode 100644 index 0000000..a637674 --- /dev/null +++ b/src/common/DoSample.c @@ -0,0 +1,352 @@ +/* + DoSample.c + the actual sampling routine, serial and parallel, + for the C versions of the Cuba routines + by Thomas Hahn + last modified 24 Nov 11 th +*/ + +#define MINSLICE 10 +#define MINCORES 1 +//#define MINCORES 2 + +#if defined(VEGAS) || defined(SUAVE) +#define VEG_ONLY(...) __VA_ARGS__ +#else +#define VEG_ONLY(...) +#endif + +#ifdef DIVONNE +#define DIV_ONLY(...) __VA_ARGS__ +#define LDX(ldx) ldx +#else +#define DIV_ONLY(...) +#define LDX(ldx) t->ndim +#endif + +typedef struct { + real *f; + number n; + VEG_ONLY(count iter;) + DIV_ONLY(number neval_opt, neval_cut; + count ldx, phase, iregion;) +#define NREGIONS ldx +#define NEVAL n +#define RETVAL phase +} Slice; + +/*********************************************************************/ + +#ifndef MSG_WAITALL +/* Windows */ +#define MSG_WAITALL 0 +#endif + +static inline int readsock(int fd, void *data, size_t n) +{ + ssize_t got; + size_t remain = n; + do got = recv(fd, data, remain, MSG_WAITALL); + while( got > 0 && (data += got, remain -= got) > 0 ); + return got; +} + +static inline int writesock(int fd, const void *data, size_t n) +{ + ssize_t got; + size_t remain = n; + do got = send(fd, data, remain, MSG_WAITALL); + while( got > 0 && (data += got, remain -= got) > 0 ); + return got; +} + +/*********************************************************************/ + +static inline bool SampleSerial(cThis *t, number n, creal *x, real *f + VEG_ONLY(, creal *w, ccount iter) + DIV_ONLY(, ccount ldx)) +{ + while( n-- ) { + if( t->integrand(&t->ndim, x, &t->ncomp, f, t->userdata + VEG_ONLY(, w++, &iter) + DIV_ONLY(, &t->phase)) == ABORT ) return true; + x += LDX(ldx); + f += t->ncomp; + } + return false; +} + +/*********************************************************************/ + +static void DoSample(This *t, number n, creal *x, real *f + VEG_ONLY(, creal *w, ccount iter) + DIV_ONLY(, ccount ldx)) +{ + char s[128]; + Slice slice; + int ncores; + + t->neval += n; + + ncores = IMin(t->ncores, n/MINSLICE); + + if( ncores < MINCORES ) { + if( VERBOSE > 2 ) { + sprintf(s, "sampling " NUMBER " points serially", n); + Print(s); + } + + if( SampleSerial(t, n, x, f + VEG_ONLY(, w, iter) + DIV_ONLY(, ldx)) ) longjmp(t->abort, -99); + } + else { + int core, abort; + + slice.n = (n + ncores - 1)/ncores; + + if( VERBOSE > 2 ) { + sprintf(s, "sampling " NUMBER " points each on %d cores", + slice.n, ncores); + Print(s); + } + + slice.f = f; + VEG_ONLY(slice.iter = iter;) + DIV_ONLY(slice.ldx = ldx;) + DIV_ONLY(slice.phase = t->phase;) + + for( core = 0; core < ncores; ++core ) { + cint fd = t->child[core]; + writesock(fd, &slice, sizeof slice); + VEG_ONLY(writesock(fd, w, slice.n*sizeof *w);) + writesock(fd, x, slice.n*LDX(ldx)*sizeof *x); + + VEG_ONLY(w += n;) + x += slice.n*LDX(ldx); + slice.f += slice.n*t->ncomp; + n -= slice.n; + slice.n = IMin(slice.n, n); + } + + abort = 0; + for( core = ncores; --core >= 0; ) { + cint fd = t->child[core]; + readsock(fd, &slice, sizeof slice); + if( slice.n == 0 ) abort = 1; + else readsock(fd, slice.f, slice.n*t->ncomp*sizeof *f); + } + if( abort ) longjmp(t->abort, -99); + } +} + +/*********************************************************************/ + +#ifdef DIVONNE +static inline int ReadyCore(cThis *t) +{ + int core; + fd_set ready; + + memcpy(&ready, &t->children, sizeof ready); + select(t->nchildren, &ready, NULL, NULL, NULL); + + for( core = 0; core < t->ncores; ++core ) + if( FD_ISSET(t->child[core], &ready) ) break; + + return core; +} + +/*********************************************************************/ + +static int ExploreParent(This *t, cint iregion) +{ + TYPEDEFREGION; + Region *region; + Slice slice; + int ireg = iregion, core = t->running; + + if( t->ncores < MINCORES ) return Explore(t, iregion); + + if( t->running >= ((iregion < 0) ? 1 : t->ncores) ) { + Totals totals[t->ncomp]; + count comp, succ; + cint fd = t->child[core = ReadyCore(t)]; + + --t->running; + readsock(fd, &slice, sizeof slice); +//DEBSLICE("parent read", fd, slice); + ireg = slice.iregion; + region = RegionPtr(ireg); + succ = ireg + region->next; + readsock(fd, region, sizeof(Region)); + if( --slice.NREGIONS > 0 ) { + region->next = t->nregions - ireg; + EnlargeRegions(t, slice.NREGIONS); + readsock(fd, RegionPtr(t->nregions), slice.NREGIONS*sizeof(Region)); + t->nregions += slice.NREGIONS; + RegionPtr(t->nregions-1)->next = succ - t->nregions + 1; + } + + readsock(fd, totals, sizeof totals); + for( comp = 0; comp < t->ncomp; ++comp ) + t->totals[comp].secondspread = + Max(t->totals[comp].secondspread, totals[comp].secondspread); + + t->neval += slice.NEVAL; + t->neval_opt += slice.neval_opt; + t->neval_cut += slice.neval_cut; + + if( slice.RETVAL == -1 ) return -1; + } + + if( iregion >= 0 ) { + region = RegionPtr(iregion); + cint fd = t->child[core]; + slice.n = 0; + slice.phase = t->phase; + slice.iregion = iregion; +//DEBSLICE(" parent write", fd, slice); + writesock(fd, &slice, sizeof slice); + writesock(fd, &t->samples[region->isamples], sizeof(Samples)); + writesock(fd, region, sizeof *region); + writesock(fd, t->totals, sizeof *t->totals); + region->depth = 0; + ++t->running; + } + + return ireg; +} +#endif + +/*********************************************************************/ + +static inline void DoChild(This *t, cint fd) +{ + Slice slice; + +#ifdef DIVONNE + TYPEDEFREGION; + Totals totals[t->ncomp]; + + t->totals = totals; + t->ncores = 0; /* no recursive forks */ + AllocRegions(t); + SamplesIni(&t->samples[0]); + t->samples[0].n = 0; + SamplesIni(&t->samples[1]); + t->samples[1].n = 0; + SamplesIni(&t->samples[2]); + t->samples[2].n = 0; +#endif + + while( readsock(fd, &slice, sizeof slice) ) { + number n = slice.n; + DIV_ONLY(t->phase = slice.phase;) +//DEBSLICE(" child read", fd, slice); + if( n > 0 ) { + VEG_ONLY(real w[n];) + real x[n*LDX(slice.ldx)]; + real f[n*t->ncomp]; + + VEG_ONLY(readsock(fd, w, sizeof w);) + readsock(fd, x, sizeof x); + + if( SampleSerial(t, n, x, f + VEG_ONLY(, w, slice.iter) + DIV_ONLY(, slice.ldx)) ) slice.n = 0; + writesock(fd, &slice, sizeof slice); + if( slice.n ) writesock(fd, f, sizeof f); + } +#ifdef DIVONNE + else { + Samples *samples, psamples; + + readsock(fd, &psamples, sizeof psamples); + readsock(fd, RegionPtr(0), sizeof(Region)); + readsock(fd, totals, sizeof totals); + t->nregions = 1; + t->neval = t->neval_opt = t->neval_cut = 0; + + samples = &t->samples[RegionPtr(0)->isamples]; + if( psamples.n != samples->n ) { + SamplesFree(samples); + *samples = psamples; + SamplesAlloc(t, samples); + } + + slice.RETVAL = Explore(t, 0); + slice.NREGIONS = t->nregions; + slice.NEVAL = t->neval; + slice.neval_opt = t->neval_opt; + slice.neval_cut = t->neval_cut; +//DEBSLICE("child write", fd, slice); + writesock(fd, &slice, sizeof slice); + writesock(fd, RegionPtr(0), t->nregions*sizeof(Region)); + writesock(fd, totals, sizeof totals); + } +#endif + } + + exit(0); +} + +/*********************************************************************/ + +static inline void ForkCores(This *t) +{ + int core; + cchar *env = getenv("CUBACORES"); + + t->ncores = env ? atoi(env) : sysconf(_SC_NPROCESSORS_ONLN); +#ifdef HAVE_GETLOADAVG + if( env == NULL || t->ncores < 0 ) { + double load = 0; + getloadavg(&load, 1); + t->ncores = abs(t->ncores) - floor(load); + } +#endif + +#ifdef DIVONNE + t->nchildren = t->running = 0; +#endif + + if( t->ncores < MINCORES ) return; + if( VERBOSE ) printf("using %d cores\n", t->ncores); + fflush(stdout); + + Alloc(t->child, t->ncores); + for( core = 0; core < t->ncores; ++core ) { + int fd[2]; + pid_t pid; + assert( + socketpair(AF_LOCAL, SOCK_STREAM, 0, fd) != -1 && + (pid = fork()) != -1 ); + if( pid == 0 ) { + close(fd[0]); + DoChild(t, fd[1]); + } + close(fd[1]); + t->child[core] = fd[0]; +#ifdef DIVONNE + FD_SET(fd[0], &t->children); + t->nchildren = IMax(t->nchildren, fd[0] + 1); +#endif + } +} + +/*********************************************************************/ + +static inline void WaitCores(cThis *t) +{ + if( t->ncores >= MINCORES ) { + int core; + pid_t pid; + for( core = 0; core < t->ncores; ++core ) + close(t->child[core]); + free(t->child); + for( core = 0; core < t->ncores; ++core ) + wait(&pid); + } +} + diff --git a/src/common/Erf.c b/src/common/Erf.c new file mode 100644 index 0000000..635b6e5 --- /dev/null +++ b/src/common/Erf.c @@ -0,0 +1,51 @@ +/* + Erf.c + Gaussian error function + = 2/Sqrt[Pi] Integrate[Exp[-t^2], {t, 0, x}] + Code from Takuya Ooura's gamerf2a.f + http://www.kurims.kyoto-u.ac.jp/~ooura/gamerf.html + last modified 8 Feb 05 th +*/ + + +static real Erfc(creal x) +{ + static creal c[] = { + 2.96316885199227378e-01, 6.12158644495538758e-02, + 1.81581125134637070e-01, 5.50942780056002085e-01, + 6.81866451424939493e-02, 1.53039662058770397e+00, + 1.56907543161966709e-02, 2.99957952311300634e+00, + 2.21290116681517573e-03, 4.95867777128246701e+00, + 1.91395813098742864e-04, 7.41471251099335407e+00, + 9.71013284010551623e-06, 1.04765104356545238e+01, + 1.66642447174307753e-07, 1.48455557345597957e+01, + 6.10399733098688199e+00, 1.26974899965115684e+01 }; + real y = x*x; + y = exp(-y)*x*( + c[0]/(y + c[1]) + c[2]/(y + c[3]) + + c[4]/(y + c[5]) + c[6]/(y + c[7]) + + c[8]/(y + c[9]) + c[10]/(y + c[11]) + + c[12]/(y + c[13]) + c[14]/(y + c[15]) ); + if( x < c[16] ) y += 2/(exp(c[17]*x) + 1); + return y; +} + + +static real Erf(creal x) +{ + static creal c[] = { + 1.12837916709551257e+00, + -3.76126389031833602e-01, + 1.12837916706621301e-01, + -2.68661698447642378e-02, + 5.22387877685618101e-03, + -8.49202435186918470e-04 }; + real y = fabs(x); + if( y > .125 ) { + y = 1 - Erfc(y); + return (x > 0) ? y : -y; + } + y *= y; + return x*(c[0] + y*(c[1] + y*(c[2] + + y*(c[3] + y*(c[4] + y*c[5]))))); +} diff --git a/src/common/Random.c b/src/common/Random.c new file mode 100644 index 0000000..66b180e --- /dev/null +++ b/src/common/Random.c @@ -0,0 +1,345 @@ +/* + Random.c + quasi- and pseudo-random-number generation + last modified 8 Jun 10 th +*/ + + +/* + PART 1: Sobol quasi-random-number generator + adapted from ACM TOMS algorithm 659 +*/ + +static void SobolGet(This *t, real *x) +{ + number seq = t->rng.sobol.seq++; + count zerobit = 0, dim; + + while( seq & 1 ) { + ++zerobit; + seq >>= 1; + } + + for( dim = 0; dim < t->ndim; ++dim ) { + t->rng.sobol.prev[dim] ^= t->rng.sobol.v[dim][zerobit]; + x[dim] = t->rng.sobol.prev[dim]*t->rng.sobol.norm; + } +} + + +static void SobolSkip(This *t, number n) +{ + while( n-- ) { + number seq = t->rng.sobol.seq++; + count zerobit = 0, dim; + + while( seq & 1 ) { + ++zerobit; + seq >>= 1; + } + + for( dim = 0; dim < t->ndim; ++dim ) + t->rng.sobol.prev[dim] ^= t->rng.sobol.v[dim][zerobit]; + } +} + + +static inline void SobolIni(This *t) +{ + static number ini[9*40] = { + 3, 1, 0, 0, 0, 0, 0, 0, 0, + 7, 1, 1, 0, 0, 0, 0, 0, 0, + 11, 1, 3, 7, 0, 0, 0, 0, 0, + 13, 1, 1, 5, 0, 0, 0, 0, 0, + 19, 1, 3, 1, 1, 0, 0, 0, 0, + 25, 1, 1, 3, 7, 0, 0, 0, 0, + 37, 1, 3, 3, 9, 9, 0, 0, 0, + 59, 1, 3, 7, 13, 3, 0, 0, 0, + 47, 1, 1, 5, 11, 27, 0, 0, 0, + 61, 1, 3, 5, 1, 15, 0, 0, 0, + 55, 1, 1, 7, 3, 29, 0, 0, 0, + 41, 1, 3, 7, 7, 21, 0, 0, 0, + 67, 1, 1, 1, 9, 23, 37, 0, 0, + 97, 1, 3, 3, 5, 19, 33, 0, 0, + 91, 1, 1, 3, 13, 11, 7, 0, 0, + 109, 1, 1, 7, 13, 25, 5, 0, 0, + 103, 1, 3, 5, 11, 7, 11, 0, 0, + 115, 1, 1, 1, 3, 13, 39, 0, 0, + 131, 1, 3, 1, 15, 17, 63, 13, 0, + 193, 1, 1, 5, 5, 1, 27, 33, 0, + 137, 1, 3, 3, 3, 25, 17, 115, 0, + 145, 1, 1, 3, 15, 29, 15, 41, 0, + 143, 1, 3, 1, 7, 3, 23, 79, 0, + 241, 1, 3, 7, 9, 31, 29, 17, 0, + 157, 1, 1, 5, 13, 11, 3, 29, 0, + 185, 1, 3, 1, 9, 5, 21, 119, 0, + 167, 1, 1, 3, 1, 23, 13, 75, 0, + 229, 1, 3, 3, 11, 27, 31, 73, 0, + 171, 1, 1, 7, 7, 19, 25, 105, 0, + 213, 1, 3, 5, 5, 21, 9, 7, 0, + 191, 1, 1, 1, 15, 5, 49, 59, 0, + 253, 1, 1, 1, 1, 1, 33, 65, 0, + 203, 1, 3, 5, 15, 17, 19, 21, 0, + 211, 1, 1, 7, 11, 13, 29, 3, 0, + 239, 1, 3, 7, 5, 7, 11, 113, 0, + 247, 1, 1, 5, 3, 15, 19, 61, 0, + 285, 1, 3, 1, 1, 9, 27, 89, 7, + 369, 1, 1, 3, 7, 31, 15, 45, 23, + 299, 1, 3, 3, 9, 9, 25, 107, 39 }; + + count dim, bit, nbits; + number max, *pini = ini; + cnumber nmax = 2*t->maxeval; + + for( nbits = 0, max = 1; max <= nmax; max <<= 1 ) ++nbits; + t->rng.sobol.norm = 1./max; + + for( bit = 0; bit < nbits; ++bit ) + t->rng.sobol.v[0][bit] = (max >>= 1); + + for( dim = 1; dim < t->ndim; ++dim ) { + number *pv = t->rng.sobol.v[dim], *pvv = pv; + number powers = *pini++, j; + int inibits = -1, bit; + for( j = powers; j; j >>= 1 ) ++inibits; + + memcpy(pv, pini, inibits*sizeof(*pini)); + pini += 8; + + for( bit = inibits; bit < nbits; ++bit ) { + number newv = *pvv, j = powers; + int b; + for( b = 0; b < inibits; ++b ) { + if( j & 1 ) newv ^= pvv[b] << (inibits - b); + j >>= 1; + } + pvv[inibits] = newv; + ++pvv; + } + + for( bit = 0; bit < nbits - 1; ++bit ) + pv[bit] <<= nbits - bit - 1; + } + + t->rng.sobol.seq = 0; + VecClear(t->rng.sobol.prev); + + t->rng.getrandom = SobolGet; + t->rng.skiprandom = SobolSkip; +} + + +/* + PART 2: Mersenne Twister pseudo-random-number generator + adapted from T. Nishimura's and M. Matsumoto's C code at + http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/emt.html +*/ + +/* 32 or 53 random bits */ +#define RANDOM_BITS 32 + + +static inline state_t Twist(state_t a, state_t b) +{ + state_t mixbits = (a & 0x80000000) | (b & 0x7fffffff); + state_t matrixA = (-(b & 1)) & 0x9908b0df; + return (mixbits >> 1) ^ matrixA; +} + + +static inline void MersenneReload(state_t *state) +{ + state_t *s = state; + int j; + + for( j = MERSENNE_N - MERSENNE_M + 1; --j; ++s ) + *s = s[MERSENNE_M] ^ Twist(s[0], s[1]); + for( j = MERSENNE_M; --j; ++s ) + *s = s[MERSENNE_M - MERSENNE_N] ^ Twist(s[0], s[1]); + *s = s[MERSENNE_M - MERSENNE_N] ^ Twist(s[0], state[0]); +} + + +static inline state_t MersenneInt(state_t s) +{ + s ^= s >> 11; + s ^= (s << 7) & 0x9d2c5680; + s ^= (s << 15) & 0xefc60000; + return s ^ (s >> 18); +} + + +static void MersenneGet(This *t, real *x) +{ + count next = t->rng.mersenne.next, dim; + + for( dim = 0; dim < t->ndim; ++dim ) { +#if RANDOM_BITS == 53 + state_t a, b; +#endif + + if( next >= MERSENNE_N ) { + MersenneReload(t->rng.mersenne.state); + next = 0; + } + +#if RANDOM_BITS == 53 + a = MersenneInt(t->rng.mersenne.state[next++]) >> 5; + b = MersenneInt(t->rng.mersenne.state[next++]) >> 6; + x[dim] = (67108864.*a + b)/9007199254740992.; +#else + x[dim] = MersenneInt(t->rng.mersenne.state[next++])/4294967296.; +#endif + } + + t->rng.mersenne.next = next; +} + + +static void MersenneSkip(This *t, number n) +{ +#if RANDOM_BITS == 53 + n = 2*n*t->ndim + t->rng.mersenne.next; +#else + n = n*t->ndim + t->rng.mersenne.next; +#endif + t->rng.mersenne.next = n % MERSENNE_N; + n /= MERSENNE_N; + while( n-- ) MersenneReload(t->rng.mersenne.state); +} + + +static inline void MersenneIni(This *t) +{ + state_t seed = t->seed; + state_t *next = t->rng.mersenne.state; + count j; + + for( j = 1; j <= MERSENNE_N; ++j ) { + *next++ = seed; + seed = 0x6c078965*(seed ^ (seed >> 30)) + j; + /* see Knuth TAOCP Vol 2, 3rd Ed, p. 106 for multiplier */ + } + + MersenneReload(t->rng.mersenne.state); + t->rng.mersenne.next = 0; + + t->rng.getrandom = MersenneGet; + t->rng.skiprandom = MersenneSkip; +} + + +/* + PART 3: Ranlux subtract-and-borrow random-number generator + proposed by Marsaglia and Zaman, implemented by F. James with + the name RCARRY in 1991, and later improved by Martin Luescher + in 1993 to produce "Luxury Pseudorandom Numbers". + Adapted from the CERNlib Fortran 77 code by F. James, 1993. + + The available luxury levels are: + + level 0 (p = 24): equivalent to the original RCARRY of Marsaglia + and Zaman, very long period, but fails many tests. + level 1 (p = 48): considerable improvement in quality over level 0, + now passes the gap test, but still fails spectral test. + level 2 (p = 97): passes all known tests, but theoretically still + defective. + level 3 (p = 223): DEFAULT VALUE. Any theoretically possible + correlations have very small chance of being observed. + level 4 (p = 389): highest possible luxury, all 24 bits chaotic. +*/ + + +static inline int RanluxInt(This *t, count n) +{ + int s = 0; + + while( n-- ) { + s = t->rng.ranlux.state[t->rng.ranlux.j24] - + t->rng.ranlux.state[t->rng.ranlux.i24] + t->rng.ranlux.carry; + s += (t->rng.ranlux.carry = NegQ(s)) & (1 << 24); + t->rng.ranlux.state[t->rng.ranlux.i24] = s; + --t->rng.ranlux.i24; + t->rng.ranlux.i24 += NegQ(t->rng.ranlux.i24) & 24; + --t->rng.ranlux.j24; + t->rng.ranlux.j24 += NegQ(t->rng.ranlux.j24) & 24; + } + + return s; +} + + +static void RanluxGet(This *t, real *x) +{ +/* The Generator proper: "Subtract-with-borrow", + as proposed by Marsaglia and Zaman, FSU, March 1989 */ + + count dim; + + for( dim = 0; dim < t->ndim; ++dim ) { + cint nskip = (--t->rng.ranlux.n24 >= 0) ? 0 : + (t->rng.ranlux.n24 = 24, t->rng.ranlux.nskip); + cint s = RanluxInt(t, 1 + nskip); + x[dim] = s*0x1p-24; +/* small numbers (with less than 12 significant bits) are "padded" */ + if( s < (1 << 12) ) + x[dim] += t->rng.ranlux.state[t->rng.ranlux.j24]*0x1p-48; + } +} + + +static void RanluxSkip(This *t, cnumber n) +{ + RanluxInt(t, n + t->rng.ranlux.nskip*(n/24)); + t->rng.ranlux.n24 = 24 - n % 24; +} + + +static inline void RanluxIni(This *t) +{ + cint skip[] = {24, 48, 97, 223, 389, + 223, 223, 223, 223, 223, 223, 223, 223, 223, 223, + 223, 223, 223, 223, 223, 223, 223, 223, 223, 223}; + state_t seed = t->seed; + state_t level = RNG; + count i; + + if( level < sizeof skip ) level = skip[level]; + t->rng.ranlux.nskip = level - 24; + + t->rng.ranlux.i24 = 23; + t->rng.ranlux.j24 = 9; + t->rng.ranlux.n24 = 24; + + for( i = 0; i < 24; ++i ) { + cint k = seed/53668; + seed = 40014*(seed - k*53668) - k*12211; + seed += NegQ(seed) & 2147483563; + t->rng.ranlux.state[i] = seed & ((1 << 24) - 1); + } + + t->rng.ranlux.carry = ~TrueQ(t->rng.ranlux.state[23]) & (1 << 24); + + t->rng.getrandom = RanluxGet; + t->rng.skiprandom = RanluxSkip; +} + + +/* + PART 4: User routines: + + - IniRandom sets up the random-number generator to produce a + sequence of at least n ndim-dimensional random vectors. + + - GetRandom retrieves one random vector. + + - SkipRandom skips over n random vectors. +*/ + +static inline void IniRandom(This *t) +{ + if( t->seed == 0 ) SobolIni(t); + else if( RNG == 0 ) MersenneIni(t); + else RanluxIni(t); +} + diff --git a/src/common/stddecl.h b/src/common/stddecl.h new file mode 100644 index 0000000..6bf3c27 --- /dev/null +++ b/src/common/stddecl.h @@ -0,0 +1,223 @@ +/* + stddecl.h + Type declarations common to all Cuba routines + last modified 28 Sep 11 th +*/ + + +#ifndef _stddecl_h_ +#define _stddecl_h_ + +#ifdef HAVE_CONFIG_H +#include "config.h" +#endif + +#include +#include +#include +#include +#include +#include +#include +#include +#include +#include +#include +#include +#include +#include + + +#ifndef NDIM +#define NDIM t->ndim +#endif +#ifndef NCOMP +#define NCOMP t->ncomp +#endif + + +#define VERBOSE (t->flags & 3) +#define LAST (t->flags & 4) +#define SHARPEDGES (t->flags & 8) +#define REGIONS (t->flags & 128) +#define RNG (t->flags >> 8) + +#define INFTY DBL_MAX + +#define NOTZERO 0x1p-104 + +#define ABORT -999 + +#define Elements(x) (sizeof(x)/sizeof(*x)) + +#define Copy(d, s, n) memcpy(d, s, (n)*sizeof(*(d))) + +#define VecCopy(d, s) Copy(d, s, t->ndim) + +#define ResCopy(d, s) Copy(d, s, t->ncomp) + +#define Clear(d, n) memset(d, 0, (n)*sizeof(*(d))) + +#define VecClear(d) Clear(d, t->ndim) + +#define ResClear(d) Clear(d, t->ncomp) + +#define Zap(d) memset(d, 0, sizeof(d)) + +#define MaxErr(avg) Max(t->epsrel*fabs(avg), t->epsabs) + +#ifdef __cplusplus +#define mallocset(p, n) (*(void **)&p = malloc(n)) +#define reallocset(p, n) (*(void **)&p = realloc(p, n)) +#else +#define mallocset(p, n) (p = malloc(n)) +#define reallocset(p, n) (p = realloc(p, n)) +#endif + +#define ChkAlloc(r) if( r == NULL ) { \ + fprintf(stderr, "Out of memory in " __FILE__ " line %d.\n", __LINE__); \ + exit(1); \ +} + +#define Alloc(p, n) MemAlloc(p, (n)*sizeof(*p)) +#define MemAlloc(p, n) ChkAlloc(mallocset(p, n)) +#define ReAlloc(p, n) ChkAlloc(reallocset(p, n)) + + +#ifdef __cplusplus +#define Extern extern "C" +#else +#define Extern extern +typedef enum { false, true } bool; +#endif + +typedef const char cchar; + +typedef const bool cbool; + +typedef const int cint; + +typedef const long clong; + +#define COUNT "%d" +typedef /*unsigned*/ int count; +typedef const count ccount; + +#ifdef LONGLONGINT +#define PREFIX(s) ll##s +#define NUMBER "%lld" +#define NUMBER7 "%7lld" +typedef long long int number; +#else +#define PREFIX(s) s +#define NUMBER "%d" +#define NUMBER7 "%7d" +typedef int number; +#endif +typedef const number cnumber; + +#define REAL "%g" +#define REALF "%f" +typedef /*long*/ double real; + /* Switching to long double is not as trivial as it + might seem here. sqrt, erf, exp, pow need to be + replaced by their long double versions (sqrtl, ...), + printf formats need to be updated similarly, and + ferrying long doubles to Mathematica is of course + quite another matter, too. */ + +typedef const real creal; + + +struct _this; + +typedef unsigned int state_t; + +#define SOBOL_MINDIM 1 +#define SOBOL_MAXDIM 40 + +/* length of state vector */ +#define MERSENNE_N 624 + +/* period parameter */ +#define MERSENNE_M 397 + +typedef struct { + void (*getrandom)(struct _this *t, real *x); + void (*skiprandom)(struct _this *t, cnumber n); + union { + struct { + real norm; + number v[SOBOL_MAXDIM][30], prev[SOBOL_MAXDIM]; + number seq; + } sobol; + struct { + state_t state[MERSENNE_N]; + count next; + } mersenne; + struct { + count n24, i24, j24, nskip; + int carry, state[24]; + } ranlux; + }; +} RNGState; + + +#if NOUNDERSCORE +#define SUFFIX(s) s +#else +#define SUFFIX(s) s##_ +#endif + +#define EXPORT(s) EXPORT_(PREFIX(s)) +#define EXPORT_(s) SUFFIX(s) + + +static inline real Sq(creal x) +{ + return x*x; +} + +static inline real Min(creal a, creal b) +{ + return (a < b) ? a : b; +} + +static inline real Max(creal a, creal b) +{ + return (a > b) ? a : b; +} + +static inline real Weight(creal sum, creal sqsum, cnumber n) +{ + creal w = sqrt(sqsum*n); + return (n - 1)/Max((w + sum)*(w - sum), NOTZERO); +} + + +/* (a < 0) ? -1 : 0 */ +#define NegQ(a) ((a) >> (sizeof(a)*8 - 1)) + +/* (a < 0) ? -1 : 1 */ +#define Sign(a) (1 + 2*NegQ(a)) + +/* (a < 0) ? 0 : a */ +#define IDim(a) ((a) & NegQ(-(a))) + +/* (a < b) ? a : b */ +#define IMin(a, b) ((a) - IDim((a) - (b))) + +/* (a > b) ? a : b */ +#define IMax(a, b) ((b) + IDim((a) - (b))) + +/* (a == 0) ? 0 : -1 */ +#define TrueQ(a) NegQ((a) | (-a)) + +/* a + (a == 0) */ +#define Min1(a) ((a) + 1 + TrueQ(a)) + +/* abs(a) + (a == 0) */ +#define Abs1(a) (((a) ^ NegQ(a)) - NegQ((a) - 1)) + +#endif + diff --git a/src/cuhre/Cuhre.c b/src/cuhre/Cuhre.c new file mode 100644 index 0000000..5beea9e --- /dev/null +++ b/src/cuhre/Cuhre.c @@ -0,0 +1,85 @@ +/* + Cuhre.c + Adaptive integration using cubature rules + by Thomas Hahn + last modified 27 Sep 11 th +*/ + + +#include "decl.h" + +#define Print(s) puts(s); fflush(stdout) + +/*********************************************************************/ + +#define CUHRE +#include "DoSample.c" + +/*********************************************************************/ + +#include "common.c" + +Extern void EXPORT(Cuhre)(ccount ndim, ccount ncomp, + Integrand integrand, void *userdata, + creal epsrel, creal epsabs, + cint flags, cnumber mineval, cnumber maxeval, + ccount key, + count *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.mineval = mineval; + t.maxeval = maxeval; + t.key = key; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + WaitCores(&t); +} + +/*********************************************************************/ + +Extern void EXPORT(cuhre)(ccount *pndim, ccount *pncomp, + Integrand integrand, void *userdata, + creal *pepsrel, creal *pepsabs, + cint *pflags, cnumber *pmineval, cnumber *pmaxeval, + ccount *pkey, + count *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = *pndim; + t.ncomp = *pncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = *pepsrel; + t.epsabs = *pepsabs; + t.flags = *pflags; + t.mineval = *pmineval; + t.maxeval = *pmaxeval; + t.key = *pkey; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + WaitCores(&t); +} + diff --git a/src/cuhre/Cuhre.tm b/src/cuhre/Cuhre.tm new file mode 100644 index 0000000..302a81b --- /dev/null +++ b/src/cuhre/Cuhre.tm @@ -0,0 +1,251 @@ +:Evaluate: BeginPackage["Cuba`"] + +:Evaluate: Cuhre::usage = + "Cuhre[f, {x, xmin, xmax}..] computes a numerical approximation to the integral of the real scalar or vector function f. + The output is a list with entries of the form {integral, error, chi-square probability} for each component of the integrand." + +:Evaluate: Key::usage = "Key is an option of Cuhre. + It specifies the basic integration rule:\n + 7 = use a degree-7 rule,\n + 9 = use a degree-9 rule,\n + 11 = use a degree-11 rule (available only in 3 dimensions),\n + 13 = use a degree-13 rule (available only in 2 dimensions),\n + otherwise the default rule is used: the degree-13 rule in 2 dimensions, the degree-11 rule in 3 dimensions, else the degree-9 rule." + +:Evaluate: MinPoints::usage = "MinPoints is an option of Cuhre. + It specifies the minimum number of points to sample." + +:Evaluate: Final::usage = "Final is an option of Cuhre. + It can take the values Last or All which determine whether only the last (largest) or all sets of samples collected on a subregion over the iterations contribute to the final result." + +:Evaluate: Regions::usage = "Regions is an option of Cuhre. + It specifies whether the regions into which the integration region has been cut are returned together with the integration results." + +:Evaluate: Region::usage = "Region[ll, ur, res] describes a subregion: + ll and ur are multidimensional equivalents of the region's lower left and upper right corner. + res gives the integration results for the region in a list with entries of the form {integral, error} for each component of the integrand." + +:Evaluate: MapSample::usage = "MapSample is a function used to map the integrand over the points to be sampled." + + +:Evaluate: Begin["`Cuhre`"] + +:Begin: +:Function: Cuhre +:Pattern: MLCuhre[ndim_, ncomp_, + epsrel_, epsabs_, flags_, mineval_, maxeval_, + key_] +:Arguments: {ndim, ncomp, + epsrel, epsabs, flags, mineval, maxeval, + key} +:ArgumentTypes: {Integer, Integer, + Real, Real, Integer, Integer, Integer, + Integer} +:ReturnType: Manual +:End: + +:Evaluate: Attributes[Cuhre] = {HoldFirst} + +:Evaluate: Options[Cuhre] = {PrecisionGoal -> 3, AccuracyGoal -> 12, + MinPoints -> 0, MaxPoints -> 50000, Key -> 0, + Verbose -> 1, Final -> Last, Regions -> False, Compiled -> True} + +:Evaluate: Cuhre[f_, v:{_, _, _}.., opt___Rule] := + Block[ {ff = HoldForm[f], ndim = Length[{v}], ncomp, + tags, vars, lower, range, jac, tmp, defs, intT, + rel, abs, mineval, maxeval, key, verbose, final, regions, compiled}, + Message[Cuhre::optx, #, Cuhre]&/@ + Complement[First/@ {opt}, tags = First/@ Options[Cuhre]]; + {rel, abs, mineval, maxeval, key, + verbose, final, regions, compiled} = + tags /. {opt} /. Options[Cuhre]; + {vars, lower, range} = Transpose[{v}]; + jac = Simplify[Times@@ (range -= lower)]; + tmp = Array[tmpvar, ndim]; + defs = Simplify[lower + range tmp]; + Block[{Set}, define[compiled, tmp, Thread[vars = defs], jac]]; + intT = integrandT[f]; + Block[#, + ncomp = Length[intT@@ RandomReal[1, ndim]]; + MLCuhre[ndim, ncomp, 10.^-rel, 10.^-abs, + Min[Max[verbose, 0], 3] + + If[final === Last, 4, 0] + + If[TrueQ[regions], 128, 0], + mineval, maxeval, key] + ]& @ vars + ] + +:Evaluate: tmpvar[n_] := ToExpression["Cuba`Cuhre`t" <> ToString[n]] + +:Evaluate: Attributes[foo] = {HoldAll} + +:Evaluate: define[True, tmp_, defs_, jac_] := ( + TtoX := TtoX = Compile[tmp, defs]; + integrandT[f_] := Compile[tmp, eval[defs, Chop[f jac]//N], + {{_eval, _Real, 1}}] ) + +:Evaluate: define[_, tmp_, defs_, jac_] := ( + TtoX := TtoX = Function[tmp, defs]; + integrandT[f_] := Function[tmp, eval[defs, Chop[f jac]//N]] ) + +:Evaluate: eval[_, f_Real] = {f} + +:Evaluate: eval[_, f:{__Real}] = f + +:Evaluate: eval[x_, _] := (Message[Cuhre::badsample, ff, x]; {}) + +:Evaluate: sample[x_] := + Check[Flatten @ MapSample[intT@@ # &, Partition[x, ndim]], {}] + +:Evaluate: MapSample = Map + +:Evaluate: region[ll_, ur_, r___] := Region[TtoX@@ ll, TtoX@@ ur, r] + +:Evaluate: Cuhre::badsample = "`` is not a real-valued function at ``." + +:Evaluate: Cuhre::baddim = "Cannot integrate in `` dimensions." + +:Evaluate: Cuhre::badcomp = "Cannot integrate `` components." + +:Evaluate: Cuhre::accuracy = + "Desired accuracy was not reached within `` function evaluations on `` subregions." + +:Evaluate: Cuhre::success = "Needed `` function evaluations on `` subregions." + +:Evaluate: End[] + +:Evaluate: EndPackage[] + + +/* + Cuhre.tm + Adaptive integration using cubature rules + by Thomas Hahn + last modified 11 Jul 11 th +*/ + + +#include "mathlink.h" +#include "decl.h" + +/*********************************************************************/ + +static void Status(MLCONST char *msg, cint n1, cint n2) +{ + MLPutFunction(stdlink, "CompoundExpression", 2); + MLPutFunction(stdlink, "Message", 3); + MLPutFunction(stdlink, "MessageName", 2); + MLPutSymbol(stdlink, "Cuhre"); + MLPutString(stdlink, msg); + MLPutInteger(stdlink, n1); + MLPutInteger(stdlink, n2); +} + +/*********************************************************************/ + +static void Print(MLCONST char *s) +{ + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Print", 1); + MLPutString(stdlink, s); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + MLNewPacket(stdlink); +} + +/*********************************************************************/ + +static void DoSample(This *t, cnumber n, real *x, real *f) +{ + real *mma_f; + long mma_n; + + if( MLAbort ) longjmp(t->abort, -99); + + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Cuba`Cuhre`sample", 1); + MLPutRealList(stdlink, x, n*t->ndim); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + if( !MLGetRealList(stdlink, &mma_f, &mma_n) ) { + MLClearError(stdlink); + MLNewPacket(stdlink); + longjmp(t->abort, -99); + } + + if( mma_n != n*t->ncomp ) { + MLDisownRealList(stdlink, mma_f, mma_n); + longjmp(t->abort, -3); + } + + Copy(f, mma_f, n*t->ncomp); + MLDisownRealList(stdlink, mma_f, mma_n); + + t->neval += n; +} + +/*********************************************************************/ + +#include "common.c" + +static inline void DoIntegrate(This *t) +{ + real integral[NCOMP], error[NCOMP], prob[NCOMP]; + cint fail = Integrate(t, integral, error, prob); + + if( fail < 0 ) { + switch( fail ) { + case -99: + MLPutFunction(stdlink, "Abort", 0); + return; + case -1: + Status("baddim", t->ndim, 0); + break; + case -2: + Status("badcomp", t->ncomp, 0); + break; + } + MLPutSymbol(stdlink, "$Failed"); + } + else { + Status(fail ? "accuracy" : "success", t->neval, t->nregions); + MLPutFunction(stdlink, "Thread", 1); + MLPutFunction(stdlink, "List", 3); + MLPutRealList(stdlink, integral, t->ncomp); + MLPutRealList(stdlink, error, t->ncomp); + MLPutRealList(stdlink, prob, t->ncomp); + } +} + +/*********************************************************************/ + +void Cuhre(cint ndim, cint ncomp, + creal epsrel, creal epsabs, + cint flags, cnumber mineval, cnumber maxeval, + cint key) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.mineval = mineval; + t.maxeval = maxeval; + t.key = key; + t.nregions = 0; + t.neval = 0; + + DoIntegrate(&t); + MLEndPacket(stdlink); +} + +/*********************************************************************/ + +int main(int argc, char **argv) +{ + return MLMain(argc, argv); +} + diff --git a/src/cuhre/Integrate.c b/src/cuhre/Integrate.c new file mode 100644 index 0000000..f7812c1 --- /dev/null +++ b/src/cuhre/Integrate.c @@ -0,0 +1,233 @@ +/* + Integrate.c + integrate over the unit hypercube + this file is part of Cuhre + last modified 21 Nov 11 th +*/ + + +#define POOLSIZE 1024 + +static int Integrate(This *t, real *integral, real *error, real *prob) +{ + TYPEDEFREGION; + typedef struct pool { + struct pool *next; + Region region[POOLSIZE]; + } Pool; + + count dim, comp, ncur, ipool, npool; + int fail; + Totals totals[NCOMP]; + Pool *cur = NULL, *pool; + Region *region; + + if( VERBOSE > 1 ) { + char s[256]; + sprintf(s, "Cuhre input parameters:\n" + " ndim " COUNT "\n ncomp " COUNT "\n" + " epsrel " REAL "\n epsabs " REAL "\n" + " flags %d\n mineval " NUMBER "\n maxeval " NUMBER "\n" + " key " COUNT, + t->ndim, t->ncomp, + t->epsrel, t->epsabs, + t->flags, t->mineval, t->maxeval, + t->key); + Print(s); + } + + if( BadComponent(t) ) return -2; + if( BadDimension(t) ) return -1; + + RuleAlloc(t); + t->epsabs = Max(t->epsabs, NOTZERO); + t->mineval = IMax(t->mineval, t->rule.n + 1); + + if( (fail = setjmp(t->abort)) ) goto abort; + + Alloc(cur, 1); + cur->next = NULL; + ncur = 1; + + region = cur->region; + region->div = 0; + for( dim = 0; dim < t->ndim; ++dim ) { + Bounds *b = ®ion->bounds[dim]; + b->lower = 0; + b->upper = 1; + } + + Sample(t, region); + + for( comp = 0; comp < t->ncomp; ++comp ) { + Totals *tot = &totals[comp]; + Result *r = ®ion->result[comp]; + tot->avg = tot->lastavg = tot->guess = r->avg; + tot->err = tot->lasterr = r->err; + tot->weightsum = 1/Max(Sq(r->err), NOTZERO); + tot->avgsum = tot->weightsum*r->avg; + tot->chisq = tot->chisqsum = tot->chisum = 0; + } + + for( t->nregions = 1; ; ++t->nregions ) { + count maxcomp, bisectdim; + real maxratio, maxerr; + Result result[NCOMP]; + Region *regionL, *regionR; + Bounds *bL, *bR; + + if( VERBOSE ) { + char s[128 + 128*NCOMP], *p = s; + + p += sprintf(p, "\n" + "Iteration " COUNT ": " NUMBER " integrand evaluations so far", + t->nregions, t->neval); + + for( comp = 0; comp < t->ncomp; ++comp ) { + cTotals *tot = &totals[comp]; + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL " \tchisq " REAL " (" COUNT " df)", + comp + 1, tot->avg, tot->err, tot->chisq, t->nregions - 1); + } + + Print(s); + } + + maxratio = -INFTY; + maxcomp = 0; + for( comp = 0; comp < t->ncomp; ++comp ) { + creal ratio = totals[comp].err/MaxErr(totals[comp].avg); + if( ratio > maxratio ) { + maxratio = ratio; + maxcomp = comp; + } + } + + if( maxratio <= 1 && t->neval >= t->mineval ) break; + + if( t->neval >= t->maxeval ) { + fail = 1; + break; + } + + maxerr = -INFTY; + regionL = cur->region; + npool = ncur; + for( pool = cur; pool; npool = POOLSIZE, pool = pool->next ) + for( ipool = 0; ipool < npool; ++ipool ) { + Region *region = &pool->region[ipool]; + creal err = region->result[maxcomp].err; + if( err > maxerr ) { + maxerr = err; + regionL = region; + } + } + + if( ncur == POOLSIZE ) { + Pool *prev = cur; + Alloc(cur, 1); + cur->next = prev; + ncur = 0; + } + regionR = &cur->region[ncur++]; + + regionR->div = ++regionL->div; + ResCopy(result, regionL->result); + VecCopy(regionR->bounds, regionL->bounds); + + bisectdim = result[maxcomp].bisectdim; + bL = ®ionL->bounds[bisectdim]; + bR = ®ionR->bounds[bisectdim]; + bL->upper = bR->lower = .5*(bL->upper + bL->lower); + + Sample(t, regionL); + Sample(t, regionR); + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = &result[comp]; + Result *rL = ®ionL->result[comp]; + Result *rR = ®ionR->result[comp]; + Totals *tot = &totals[comp]; + real diff, err, w, avg, sigsq; + + tot->lastavg += diff = rL->avg + rR->avg - r->avg; + + diff = fabs(.25*diff); + err = rL->err + rR->err; + if( err > 0 ) { + creal c = 1 + 2*diff/err; + rL->err *= c; + rR->err *= c; + } + rL->err += diff; + rR->err += diff; + tot->lasterr += rL->err + rR->err - r->err; + + tot->weightsum += w = 1/Max(Sq(tot->lasterr), NOTZERO); + sigsq = 1/tot->weightsum; + tot->avgsum += w*tot->lastavg; + avg = sigsq*tot->avgsum; + tot->chisum += w *= tot->lastavg - tot->guess; + tot->chisqsum += w*tot->lastavg; + tot->chisq = tot->chisqsum - avg*tot->chisum; + + if( LAST ) { + tot->avg = tot->lastavg; + tot->err = tot->lasterr; + } + else { + tot->avg = avg; + tot->err = sqrt(sigsq); + } + } + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + cTotals *tot = &totals[comp]; + integral[comp] = tot->avg; + error[comp] = tot->err; + prob[comp] = ChiSquare(tot->chisq, t->nregions - 1); + } + +#ifdef MLVERSION + if( REGIONS ) { + MLPutFunction(stdlink, "List", 2); + MLPutFunction(stdlink, "List", t->nregions); + + npool = ncur; + for( pool = cur; pool; npool = POOLSIZE, pool = pool->next ) + for( ipool = 0; ipool < npool; ++ipool ) { + Region const *region = &pool->region[ipool]; + real lower[NDIM], upper[NDIM]; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + lower[dim] = b->lower; + upper[dim] = b->upper; + } + + MLPutFunction(stdlink, "Cuba`Cuhre`region", 3); + MLPutRealList(stdlink, lower, t->ndim); + MLPutRealList(stdlink, upper, t->ndim); + + MLPutFunction(stdlink, "List", t->ncomp); + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + real res[] = {r->avg, r->err}; + MLPutRealList(stdlink, res, Elements(res)); + } + } + } +#endif + +abort: + while( (pool = cur) ) { + cur = cur->next; + free(pool); + } + + RuleFree(t); + + return fail; +} + diff --git a/src/cuhre/Rule.c b/src/cuhre/Rule.c new file mode 100644 index 0000000..b5136e4 --- /dev/null +++ b/src/cuhre/Rule.c @@ -0,0 +1,743 @@ +/* + Rule.c + integration with cubature rules + code lifted with minor modifications from DCUHRE + by J. Berntsen, T. Espelid, and A. Genz + this file is part of Divonne + last modified 8 Jun 10 th +*/ + + +enum { nrules = 5 }; + +#define TYPEDEFSET \ + typedef struct { \ + count n; \ + real weight[nrules], scale[nrules], norm[nrules]; \ + real gen[NDIM]; \ + } Set + +/*********************************************************************/ + +static void Rule13Alloc(This *t) +{ + static creal w[][nrules] = { + { .00844923090033615, .3213775489050763, .3372900883288987, + -.8264123822525677, .6539094339575232 }, + { .023771474018994404, -.1767341636743844, -.1644903060344491, + .306583861409436, -.2041614154424632}, + { .02940016170142405, .07347600537466073, .07707849911634623, + .002389292538329435, -.174698151579499 }, + { .006644436465817374, -.03638022004364754, -.03804478358506311, + -.1343024157997222, .03937939671417803 }, + { .0042536044255016, .021252979220987123, .02223559940380806, + .08833366840533902, .006974520545933992 }, + { 0, .1460984204026913, .1480693879765931, + 0, 0 }, + { .0040664827465935255, .017476132861520992, 4.467143702185815e-6, + .0009786283074168292, .0066677021717782585 }, + { .03362231646315497, .1444954045641582, .150894476707413, + -.1319227889147519, .05512960621544304 }, + { .033200804136503725, .0001307687976001325, 3.6472001075162155e-5, + .00799001220015063, .05443846381278608 }, + { .014093686924979677, .0005380992313941161, .000577719899901388, + .0033917470797606257, .02310903863953934 }, + { .000977069770327625, .0001042259576889814, .0001041757313688177, + .0022949157182832643, .01506937747477189 }, + { .007531996943580376, -.001401152865045733, -.001452822267047819, + -.01358584986119197, -.060570216489018905 }, + { .02577183086722915, .008041788181514763, .008338339968783704, + .04025866859057809, .04225737654686337}, + { .015625, -.1420416552759383, -.147279632923196, + .003760268580063992, .02561989142123099 } + }; + + static creal g[] = { + .12585646717265545, .3506966822267133, + .4795480315809981, .4978005239276064, + .25, .07972723291487795, + .1904495567970094, .3291384627633596, + .43807365825146577, .499121592026599, + .4895111329084231, .32461421628226944, + .43637106005656195, .1791307322940614, + .2833333333333333, .1038888888888889 }; + + enum { nsets = 14, ndim = 2 }; + + TYPEDEFSET; + + count n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + Copy(last->weight, w[0], nrules); + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[1], nrules); + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[2], nrules); + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[3], nrules); + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[4], nrules); + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[5], nrules); + last->gen[0] = g[4]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[6], nrules); + last->gen[0] = g[5]; + last->gen[1] = g[5]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[7], nrules); + last->gen[0] = g[6]; + last->gen[1] = g[6]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[8], nrules); + last->gen[0] = g[7]; + last->gen[1] = g[7]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[9], nrules); + last->gen[0] = g[8]; + last->gen[1] = g[8]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[10], nrules); + last->gen[0] = g[9]; + last->gen[1] = g[9]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[11], nrules); + last->gen[0] = g[10]; + last->gen[1] = g[11]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[12], nrules); + last->gen[0] = g[12]; + last->gen[1] = g[13]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[13], nrules); + last->gen[0] = g[14]; + last->gen[1] = g[15]; + + t->rule.first = first; + t->rule.last = last; + t->rule.errcoeff[0] = 10; + t->rule.errcoeff[1] = 1; + t->rule.errcoeff[2] = 5; + t->rule.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule11Alloc(This *t) +{ + static creal w[][nrules] = { + { .0009903847688882167, 1.715006248224684, 1.936014978949526, + .517082819560576, 2.05440450381852 }, + { .0084964717409851, -.3755893815889209, -.3673449403754268, + .01445269144914044, .013777599884901202 }, + { .00013587331735072814, .1488632145140549, .02929778657898176, + -.3601489663995932, -.576806291790441 }, + { .022982920777660364, -.2497046640620823, -.1151883520260315, + .3628307003418485, .03726835047700328 }, + { .004202649722286289, .1792501419135204, .05086658220872218, + .007148802650872729, .0068148789397772195 }, + { .0012671889041675774, .0034461267589738897, .04453911087786469, + -.09222852896022966, .057231697338518496 }, + { .0002109560854981544, -.005140483185555825, -.022878282571259, + .01719339732471725, -.044930187438112855 }, + { .016830857056410086, .006536017839876424, .02908926216345833, + -.102141653746035, .027292365738663484 }, + { .00021876823557504823, -.00065134549392297, -.002898884350669207, + -.007504397861080493, .000354747395055699 }, + { .009690420479796819, -.006304672433547204, -.028059634133074954, + .01648362537726711, .01571366799739551 }, + { .030773311284628138, .01266959399788263, .05638741361145884, + .05234610158469334, .049900992192785674 }, + { .0084974310856038, -.005454241018647931, -.02427469611942451, + .014454323316130661, .0137791555266677 }, + { .0017749535291258914, .004826995274768427, .021483070341828822, + .003019236275367777, .0028782064230998723 } + }; + + static creal g[] = { + .095, .25, + .375, .4, + .4975, .49936724991757, + .38968518428362114, .49998494965443835, + .3951318612385894, .22016983438253684, + .4774686911397297, .2189239229503431, + .4830546566815374, .2288552938881567 }; + + enum { nsets = 13, ndim = 3 }; + + TYPEDEFSET; + + count n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + Copy(last->weight, w[0], nrules); + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[1], nrules); + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[2], nrules); + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[3], nrules); + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[4], nrules); + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[5], nrules); + last->gen[0] = g[4]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[6], nrules); + last->gen[0] = g[5]; + last->gen[1] = g[5]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[7], nrules); + last->gen[0] = g[6]; + last->gen[1] = g[6]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[8], nrules); + last->gen[0] = g[7]; + last->gen[1] = g[7]; + last->gen[2] = g[7]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[9], nrules); + last->gen[0] = g[8]; + last->gen[1] = g[8]; + last->gen[2] = g[8]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[10], nrules); + last->gen[0] = g[9]; + last->gen[1] = g[9]; + last->gen[2] = g[9]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2); + Copy(last->weight, w[11], nrules); + last->gen[0] = g[10]; + last->gen[1] = g[11]; + last->gen[2] = g[11]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2); + Copy(last->weight, w[12], nrules); + last->gen[0] = g[12]; + last->gen[1] = g[12]; + last->gen[2] = g[13]; + + t->rule.first = first; + t->rule.last = last; + t->rule.errcoeff[0] = 4; + t->rule.errcoeff[1] = .5; + t->rule.errcoeff[2] = 3; + t->rule.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule9Alloc(This *t) +{ + static creal w[] = { + -.0023611709677855117884, .11415390023857325268, + -.63833920076702389094, .74849988504685208004, + -.0014324017033399125142, .057471507864489725949, + -.14225104571434243234, -.062875028738286979989, + .254591133248959089, -1.207328566678236261, + .89567365764160676508, -.36479356986049146661, + .0035417564516782676826, -.072609367395893679605, + .10557491625218991012, .0021486025550098687713, + -.032268563892953949998, .010636783990231217481, + .014689102496143490175, .51134708346467591431, + .45976448120806344646, .18239678493024573331, + -.04508628929435784076, .21415883524352793401, + -.027351546526545644722, .054941067048711234101, + .11937596202570775297, .65089519391920250593, + .14744939829434460168, .057693384490973483573, + .034999626602143583822, -1.3868627719278281436, + -.2386668732575008879, .015532417276607053264, + .0035328099607090870236, .09231719987444221619, + .02254314464717892038, .013675773263272822361, + -.32544759695960125297, .0017708782258391338413, + .0010743012775049343856, .25150011495314791996 }; + + static creal g[] = { + .47795365790226950619, .20302858736911986780, + .44762735462617812882, .125, + .34303789878087814570 }; + + enum { nsets = 9 }; + + TYPEDEFSET; + + ccount ndim = t->ndim; + ccount twondim = 1 << ndim; + count dim, n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + last->weight[0] = ndim*(ndim*(ndim*w[0] + w[1]) + w[2]) + w[3]; + last->weight[1] = ndim*(ndim*(ndim*w[4] + w[5]) + w[6]) - w[7]; + last->weight[2] = ndim*w[8] - last->weight[1]; + last->weight[3] = ndim*(ndim*w[9] + w[10]) - 1 + last->weight[0]; + last->weight[4] = ndim*w[11] + 1 - last->weight[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = ndim*(ndim*w[12] + w[13]) + w[14]; + last->weight[1] = ndim*(ndim*w[15] + w[16]) + w[17]; + last->weight[2] = w[18] - last->weight[1]; + last->weight[3] = ndim*w[19] + w[20] + last->weight[0]; + last->weight[4] = w[21] - last->weight[0]; + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = ndim*w[22] + w[23]; + last->weight[1] = ndim*w[24] + w[25]; + last->weight[2] = w[26] - last->weight[1]; + last->weight[3] = ndim*w[27] + w[28]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[29]; + last->weight[1] = w[30]; + last->weight[2] = -w[29]; + last->weight[3] = w[31]; + last->weight[4] = -w[29]; + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + last->weight[2] = w[32]; + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + last->weight[0] = w[33] - ndim*w[12]; + last->weight[1] = w[34] - ndim*w[15]; + last->weight[2] = -last->weight[1]; + last->weight[3] = w[35] + last->weight[0]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + last->weight[0] = w[36]; + last->weight[1] = w[37]; + last->weight[2] = -w[37]; + last->weight[3] = w[38]; + last->weight[4] = -w[36]; + last->gen[0] = g[0]; + last->gen[1] = g[1]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + last->weight[0] = w[39]; + last->weight[1] = w[40]; + last->weight[2] = -w[40]; + last->weight[3] = w[39]; + last->weight[4] = -w[39]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + last->gen[2] = g[0]; + + ++last; + n += last->n = twondim; + last->weight[0] = w[41]/twondim; + last->weight[1] = w[7]/twondim; + last->weight[2] = -last->weight[1]; + last->weight[3] = last->weight[0]; + last->weight[4] = -last->weight[0]; + for( dim = 0; dim < ndim; ++dim ) + last->gen[dim] = g[4]; + + t->rule.first = first; + t->rule.last = last; + t->rule.errcoeff[0] = 5; + t->rule.errcoeff[1] = 1; + t->rule.errcoeff[2] = 5; + t->rule.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule7Alloc(This *t) +{ + static creal w[] = { + .019417866674748388428, -.40385257701150182546, + .64485668767465982223, .01177982690775806141, + -.18041318740733609012, -.088785828081335044443, + .056328645808285941374, -.0097089333373741942142, + -.99129176779582358138, -.17757165616267008889, + .12359398032043233572, .074978148702033690681, + .55489147051423559776, .088041241522692771226, + .021118358455513385083, -.0099302203239653333087, + -.064100053285010904179, .030381729038221007659, + .0058899134538790307051, -.0048544666686870971071, + .35514331232534017777 }; + + static creal g[] = { + .47795365790226950619, .20302858736911986780, + .375, .34303789878087814570 }; + + enum { nsets = 6 }; + + TYPEDEFSET; + + ccount ndim = t->ndim; + ccount twondim = 1 << ndim; + count dim, n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + last->weight[0] = ndim*(ndim*w[0] + w[1]) + w[2]; + last->weight[1] = ndim*(ndim*w[3] + w[4]) - w[5]; + last->weight[2] = ndim*w[6] - last->weight[1]; + last->weight[3] = ndim*(ndim*w[7] + w[8]) - w[9]; + last->weight[4] = 1 - last->weight[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[10]; + last->weight[1] = w[11]; + last->weight[2] = -w[10]; + last->weight[3] = w[12]; + last->weight[4] = -w[10]; + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[13] - ndim*w[0]; + last->weight[1] = w[14] - ndim*w[3]; + last->weight[2] = w[15] - last->weight[1]; + last->weight[3] = w[16] - ndim*w[7]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[2] = w[17]; + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + last->weight[0] = -w[7]; + last->weight[1] = w[18]; + last->weight[2] = -w[18]; + last->weight[3] = w[19]; + last->weight[4] = w[7]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + + ++last; + n += last->n = twondim; + last->weight[0] = w[20]/twondim; + last->weight[1] = w[5]/twondim; + last->weight[2] = -last->weight[1]; + last->weight[3] = w[9]/twondim; + last->weight[4] = -last->weight[0]; + for( dim = 0; dim < ndim; ++dim ) + last->gen[dim] = g[3]; + + t->rule.first = first; + t->rule.last = last; + t->rule.errcoeff[0] = 5; + t->rule.errcoeff[1] = 1; + t->rule.errcoeff[2] = 5; + t->rule.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static inline void RuleAlloc(This *t) +{ + if( t->key == 13 && t->ndim == 2 ) Rule13Alloc(t); + else if( t->key == 11 && t->ndim == 3 ) Rule11Alloc(t); + else if( t->key == 9 ) Rule9Alloc(t); + else if( t->key == 7 ) Rule7Alloc(t); + else { + if( t->ndim == 2 ) Rule13Alloc(t); + else if( t->ndim == 3 ) Rule11Alloc(t); + else Rule9Alloc(t); + } + Alloc(t->rule.x, t->rule.n*(t->ndim + t->ncomp)); + t->rule.f = t->rule.x + t->rule.n*t->ndim; +} + +/*********************************************************************/ + +static inline void RuleFree(cThis *t) +{ + free(t->rule.x); + free(t->rule.first); +} + +/*********************************************************************/ + +static real *ExpandFS(cThis *t, cBounds *b, real *g, real *x) +{ + count dim, ndim = t->ndim; + +next: + /* Compute centrally symmetric sum for permutation of G */ + + for( dim = 0; dim < ndim; ++dim ) + *x++ = (.5 + g[dim])*b[dim].lower + (.5 - g[dim])*b[dim].upper; + + for( dim = 0; dim < ndim; ) { + g[dim] = -g[dim]; + if( g[dim++] < 0 ) goto next; + } + + /* Find next distinct permutation of G and loop back for next sum. + Permutations are generated in reverse lexicographic order. */ + + for( dim = 1; dim < ndim; ++dim ) { + creal gd = g[dim]; + if( g[dim - 1] > gd ) { + count i, j = dim, ix = dim, dx = dim - 1; + for( i = 0; i < --j; ++i ) { + creal tmp = g[i]; + g[i] = g[j]; + g[j] = tmp; + if( tmp <= gd ) --dx; + if( g[i] > gd ) ix = i; + } + if( g[dx] <= gd ) dx = ix; + g[dim] = g[dx]; + g[dx] = gd; + goto next; + } + } + + /* Restore original order to generators */ + + for( dim = 0; dim < --ndim; ++dim ) { + creal tmp = g[dim]; + g[dim] = g[ndim]; + g[ndim] = tmp; + } + + return x; +} + +/*********************************************************************/ + +static void Sample(This *t, void *voidregion) +{ + TYPEDEFREGION; + TYPEDEFSET; + + Region *const region = (Region *)voidregion; + creal vol = ldexp(1., -region->div); + + real *x = t->rule.x, *f = t->rule.f; + Set *first = (Set *)t->rule.first, *last = (Set *)t->rule.last, *s; + creal *errcoeff = t->rule.errcoeff; + creal ratio = Sq(first[2].gen[0]/first[1].gen[0]); + + ccount offset = 2*t->ndim*t->ncomp; + count dim, comp, rul, n, maxdim = 0; + real maxrange = 0; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + creal range = b->upper - b->lower; + if( range > maxrange ) { + maxrange = range; + maxdim = dim; + } + } + + for( s = first; s <= last; ++s ) + if( s->n ) x = ExpandFS(t, region->bounds, s->gen, x); + + DoSample(t, t->rule.n, t->rule.x, f); + + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *r = ®ion->result[comp]; + real sum[nrules]; + creal *f1 = f; + creal base = *f1*2*(1 - ratio); + real maxdiff = 0; + count bisectdim = maxdim; + + for( dim = 0; dim < t->ndim; ++dim ) { + creal *fp = f1 + t->ncomp; + creal *fm = fp + t->ncomp; + creal fourthdiff = fabs(base + + ratio*(fp[0] + fm[0]) - (fp[offset] + fm[offset])); + f1 = fm; + if( fourthdiff > maxdiff ) { + maxdiff = fourthdiff; + bisectdim = dim; + } + } + r->bisectdim = bisectdim; + + f1 = f++; + Zap(sum); + for( s = first; s <= last; ++s ) + for( n = s->n; n; --n ) { + creal fun = *f1; + f1 += t->ncomp; + for( rul = 0; rul < nrules; ++rul ) + sum[rul] += fun*s->weight[rul]; + } + + /* Search for the null rule, in the linear space spanned by two + successive null rules in our sequence, which gives the greatest + error estimate among all normalized (1-norm) null rules in this + space. */ + + for( rul = 1; rul < nrules - 1; ++rul ) { + real maxerr = 0; + for( s = first; s <= last; ++s ) + maxerr = Max(maxerr, + fabs(sum[rul + 1] + s->scale[rul]*sum[rul])*s->norm[rul]); + sum[rul] = maxerr; + } + + r->avg = vol*sum[0]; + r->err = vol*( + (errcoeff[0]*sum[1] <= sum[2] && errcoeff[0]*sum[2] <= sum[3]) ? + errcoeff[1]*sum[1] : + errcoeff[2]*Max(Max(sum[1], sum[2]), sum[3]) ); + } + + if( VERBOSE > 2 ) { + char s[64*NDIM + 128*NCOMP], *p = s; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + p += sprintf(p, + (dim == 0) ? "\nRegion (" REALF ") - (" REALF ")" : + "\n (" REALF ") - (" REALF ")", + b->lower, b->upper); + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL, comp + 1, r->avg, r->err); + } + + Print(s); + } +} + diff --git a/src/cuhre/common.c b/src/cuhre/common.c new file mode 100644 index 0000000..61a419f --- /dev/null +++ b/src/cuhre/common.c @@ -0,0 +1,25 @@ +/* + common.c + includes most of the modules + this file is part of Cuhre + last modified 7 Jun 10 th +*/ + + +#include "ChiSquare.c" +#include "Rule.c" + +static inline bool BadDimension(cThis *t) +{ + if( t->ndim > NDIM ) return true; + return t->ndim < 2; +} + +static inline bool BadComponent(cThis *t) +{ + if( t->ncomp > NCOMP ) return true; + return t->ncomp < 1; +} + +#include "Integrate.c" + diff --git a/src/cuhre/decl.h b/src/cuhre/decl.h new file mode 100644 index 0000000..867d5ca --- /dev/null +++ b/src/cuhre/decl.h @@ -0,0 +1,67 @@ +/* + decl.h + Type declarations + this file is part of Cuhre + last modified 4 Oct 11 th +*/ + + +#include "stddecl.h" + +typedef struct { + real avg, err; + count bisectdim; +} Result; + +typedef const Result cResult; + +typedef struct { + real avg, err, lastavg, lasterr; + real weightsum, avgsum; + real guess, chisum, chisqsum, chisq; +} Totals; + +typedef const Totals cTotals; + +typedef struct { + real lower, upper; +} Bounds; + +typedef const Bounds cBounds; + +typedef struct { + real *x, *f; + void *first, *last; + real errcoeff[3]; + count n; +} Rule; + +typedef const Rule cRule; + +typedef int (*Integrand)(ccount *, creal *, ccount *, real *, void *); + +typedef struct _this { + count ndim, ncomp; +#ifndef MLVERSION + Integrand integrand; + void *userdata; + int ncores, *child; +#endif + real epsrel, epsabs; + int flags; + number mineval, maxeval; + count key, nregions; + number neval; + Rule rule; + jmp_buf abort; +} This; + +typedef const This cThis; + +#define TYPEDEFREGION \ + typedef struct region { \ + count div; \ + Result result[NCOMP]; \ + Bounds bounds[NDIM]; \ + } Region + diff --git a/src/divonne/Divonne.c b/src/divonne/Divonne.c new file mode 100644 index 0000000..5fcaada --- /dev/null +++ b/src/divonne/Divonne.c @@ -0,0 +1,157 @@ +/* + Divonne.c + Multidimensional integration by partitioning + originally by J.H. Friedman and M.H. Wright + (CERNLIB subroutine D151) + this version by Thomas Hahn + last modified 15 Nov 11 th +*/ + +#include "decl.h" + +#define Print(s) puts(s); fflush(stdout) + +/*********************************************************************/ + +#define DIVONNE +static void DoSample(This *t, number n, creal *x, real *f, ccount ldx); +static int ExploreParent(This *t, cint iregion); + +/*********************************************************************/ + +static inline count SampleExtra(This *t, cBounds *b) +{ + number n = t->nextra; + t->peakfinder(&t->ndim, b, &n, t->xextra); + DoSample(t, n, t->xextra, t->fextra, t->ldxgiven); + return n; +} + +/*********************************************************************/ + +static inline void AllocGiven(This *t, creal *xgiven) +{ + if( t->ngiven | t->nextra ) { + cnumber nxgiven = t->ngiven*(t->ldxgiven = IMax(t->ldxgiven, t->ndim)); + cnumber nxextra = t->nextra*t->ldxgiven; + cnumber nfgiven = t->ngiven*t->ncomp; + cnumber nfextra = t->nextra*t->ncomp; + + Alloc(t->xgiven, nxgiven + nxextra + nfgiven + nfextra); + t->xextra = t->xgiven + nxgiven; + t->fgiven = t->xextra + nxextra; + t->fextra = t->fgiven + nfgiven; + + if( nxgiven ) { + t->phase = 0; + Copy(t->xgiven, xgiven, nxgiven); + DoSample(t, t->ngiven, t->xgiven, t->fgiven, t->ldxgiven); + } + } +} + +/*********************************************************************/ + +#include "common.c" +#include "DoSample.c" + +Extern void EXPORT(Divonne)(ccount ndim, ccount ncomp, + Integrand integrand, void *userdata, + creal epsrel, creal epsabs, + cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cint key1, cint key2, cint key3, ccount maxpass, + creal border, creal maxchisq, creal mindeviation, + cnumber ngiven, ccount ldxgiven, creal *xgiven, + cnumber nextra, PeakFinder peakfinder, + int *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.key1 = key1; + t.key2 = key2; + t.key3 = key3; + t.maxpass = maxpass; + t.border.upper = 1 - (t.border.lower = border); + t.maxchisq = maxchisq; + t.mindeviation = mindeviation; + t.ngiven = ngiven; + t.xgiven = NULL; + t.ldxgiven = ldxgiven; + t.nextra = nextra; + t.peakfinder = peakfinder; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + AllocGiven(&t, xgiven); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + free(t.xgiven); + WaitCores(&t); +} + +/*********************************************************************/ + +Extern void EXPORT(divonne)(ccount *pndim, ccount *pncomp, + Integrand integrand, void *userdata, + creal *pepsrel, creal *pepsabs, + cint *pflags, cint *pseed, + cnumber *pmineval, cnumber *pmaxeval, + cint *pkey1, cint *pkey2, cint *pkey3, ccount *pmaxpass, + creal *pborder, creal *pmaxchisq, creal *pmindeviation, + cnumber *pngiven, ccount *pldxgiven, creal *xgiven, + cnumber *pnextra, PeakFinder peakfinder, + int *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = *pndim; + t.ncomp = *pncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = *pepsrel; + t.epsabs = *pepsabs; + t.flags = *pflags; + t.seed = *pseed; + t.mineval = *pmineval; + t.maxeval = *pmaxeval; + t.key1 = *pkey1; + t.key2 = *pkey2; + t.key3 = *pkey3; + t.maxpass = *pmaxpass; + t.border.upper = 1 - (t.border.lower = *pborder); + t.maxchisq = *pmaxchisq; + t.mindeviation = *pmindeviation; + t.ngiven = *pngiven; + t.xgiven = NULL; + t.ldxgiven = *pldxgiven; + t.nextra = *pnextra; + t.peakfinder = peakfinder; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + AllocGiven(&t, xgiven); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + free(t.xgiven); + WaitCores(&t); +} + diff --git a/src/divonne/Divonne.tm b/src/divonne/Divonne.tm new file mode 100644 index 0000000..bcb8b88 --- /dev/null +++ b/src/divonne/Divonne.tm @@ -0,0 +1,429 @@ +:Evaluate: BeginPackage["Cuba`"] + +:Evaluate: Divonne::usage = + "Divonne[f, {x, xmin, xmax}..] computes a numerical approximation to the integral of the real scalar or vector function f. + The output is a list with entries of the form {integral, error, chi-square probability} for each component of the integrand." + +:Evaluate: Key1::usage = "Key1 is an option of Divonne. + It determines sampling in the partitioning phase.\n + Special cases:\n + Key1 = 7: use a degree-7 cubature rule,\n + Key1 = 9: use a degree-9 cubature rule,\n + Key1 = 11: use a degree-11 cubature rule (available only in 3 dimensions),\n + Key1 = 13: use a degree-13 cubature rule (available only in 2 dimensions),\n + otherwise a random sample of n1 = Abs[Key1] points is used, where the sign of Key1 determines the type of sample:\n + Key1 > 0: use a Korobov quasi-random sample,\n + Key1 < 0: use a \"standard\" sample." + +:Evaluate: Key2::usage = "Key2 is an option of Divonne. + It determines sampling in the main integration phase.\n + Special cases:\n + Key2 = 7: use a degree-7 cubature rule,\n + Key2 = 9: use a degree-9 cubature rule,\n + Key2 = 11: use a degree-11 cubature rule (available only in 3 dimensions),\n + Key2 = 13: use a degree-13 cubature rule (available only in 2 dimensions),\n + otherwise a random sample is used, where the sign of Key2 determines the type of sample:\n + Key2 > 0: use a Korobov quasi-random sample,\n + Key2 < 0: use a \"standard\" sample,\n + and n2 = Abs[Key2] determines the number of points:\n + n2 >= 40: sample n2 points,\n + n2 < 40: sample n2*nneed points, where nneed is the number of points needed to reach the prescribed accuracy, as estimated by Divonne from the results of the partitioning phase." + +:Evaluate: Key3::usage = "Key3 is an option of Divonne. + It sets the strategy for the refinement phase:\n + Key3 = 0: do not further treat the subregion,\n + Key3 = 1: split the subregion up once more,\n + for other values the region is sampled a third time:\n + Key3 = 7: use a degree-7 cubature rule,\n + Key3 = 9: use a degree-9 cubature rule,\n + Key3 = 11: use a degree-11 cubature rule (available only in 3 dimensions),\n + Key3 = 13: use a degree-13 cubature rule (available only in 2 dimensions),\n + otherwise a random sample is used, where the sign of Key3 determines the type of sample:\n + Key3 > 0: use a Korobov quasi-random sample,\n + Key3 < 0: use a \"standard\" sample,\n + and n3 = Abs[Key3] determines the number of points:\n + n3 >= 40: sample n3 points,\n + n3 < 40: sample n3*nneed points, where nneed is the number of points needed to reach the prescribed accuracy, as estimated by Divonne from the results of the partitioning phase." + +:Evaluate: MaxPass::usage = "MaxPass is an option of Divonne. + It controls the partitioning termination. + The partitioning phase is terminated when the estimated total number of integrand evaluations (partitioning plus main integration) does not decrease for MaxPass successive iterations." + +:Evaluate: Border::usage = "Border is an option of Divonne. + It specifies the width of the border of the integration region. + Points falling into this border region are not sampled directly, but are extrapolated from two samples from the interior. + The border width always refers to the unit hypercube, i.e. it is not rescaled if the integration region is not the unit hypercube." + +:Evaluate: MaxChisq::usage = "MaxChisq is an option of Divonne. + It specifies the maximum chi-square value a single subregion is allowed to have in the main integration phase. + Regions which fail this chi-square test and whose sample averages differ by more than MinDeviation move on to the refinement phase." + +:Evaluate: MinDeviation::usage = "MinDeviation is an option of Divonne. + Regions which fail the chi-square test are not treated further if their sample averages differ by less than MinDeviation. + MinDeviation is specified as the fraction of the requested error of the entire integral." + +:Evaluate: Given::usage = "Given is an option of Divonne. + It provides a list of points where the integrand might have peaks. + Divonne will consider these points when partitioning the integration region." + +:Evaluate: NExtra::usage = "NExtra is an option of Divonne. + It specifies the maximum number of points that will be considered in the output of the PeakFinder function." + +:Evaluate: PeakFinder::usage = "PeakFinder is an option of Divonne. + It specifies the peak-finder function. + This function is called whenever a region is up for subdivision and is supposed to point out possible peaks lying in the region, thus acting as the dynamic counterpart of the static list of points supplied with Given. + It is invoked with two arguments, the multidimensional equivalents of the lower left and upper right corners of the region being investigated, and must return a (possibly empty) list of points." + +:Evaluate: MinPoints::usage = "MinPoints is an option of Divonne. + It specifies the minimum number of points to sample." + +:Evaluate: Final::usage = "Final is an option of Divonne. + It can take the values Last or All which determine whether only the last (largest) or all sets of samples collected on a subregion over the integration phases contribute to the final result." + +:Evaluate: PseudoRandom::usage = "PseudoRandom is an option of Divonne. + It can take the following values: + False for Sobol quasi-random numbers (default), + True or 0 for Mersenne Twister pseudo-random numbers, + any other integer value n for Ranlux pseudo-random numbers of luxury level n." + +:Evaluate: PseudoRandomSeed::usage = "PseudoRandomSeed is an option of Divonne. + It specifies the seed for the pseudo-random number generator." + +:Evaluate: Regions::usage = "Regions is an option of Divonne. + It specifies whether the regions into which the integration region has been cut are returned together with the integration results." + +:Evaluate: Region::usage = "Region[ll, ur, res, df] describes a subregion: + ll and ur are multidimensional equivalents of the region's lower left and upper right corner. + res gives the integration results for the region in a list with entries of the form {integral, error, chi-square} for each component of the integrand. + df is the number of degrees of freedom corresponding to the chi-square values in res." + +:Evaluate: $Phase::usage = "$Phase is a global variable set by Divonne during the evaluation of the integrand to the integration phase:\n + 0 = sampling of the points in xgiven,\n + 1 = partitioning phase,\n + 2 = main integration phase,\n + 3 = refinement phase." + +:Evaluate: MapSample::usage = "MapSample is a function used to map the integrand over the points to be sampled." + + +:Evaluate: Begin["`Divonne`"] + +:Begin: +:Function: Divonne +:Pattern: MLDivonne[ndim_, ncomp_, + epsrel_, epsabs_, flags_, seed_, + mineval_, maxeval_, + key1_, key2_, key3_, maxpass_, + border_, maxchisq_, mindeviation_, + xgiven_, fgiven_, nextra_] +:Arguments: {ndim, ncomp, + epsrel, epsabs, flags, seed, + mineval, maxeval, + key1, key2, key3, maxpass, + border, maxchisq, mindeviation, + xgiven, fgiven, nextra} +:ArgumentTypes: {Integer, Integer, + Real, Real, Integer, Integer, + Integer, Integer, + Integer, Integer, Integer, Integer, + Real, Real, Real, + RealList, RealList, Integer} +:ReturnType: Manual +:End: + +:Evaluate: Attributes[Divonne] = {HoldFirst} + +:Evaluate: Options[Divonne] = {PrecisionGoal -> 3, AccuracyGoal -> 12, + MinPoints -> 0, MaxPoints -> 50000, + Key1 -> 47, Key2 -> 1, Key3 -> 1, MaxPass -> 5, + Border -> 0, MaxChisq -> 10, MinDeviation -> .25, + Given -> {}, NExtra -> 0, PeakFinder -> ({}&), + Verbose -> 1, Final -> All, + PseudoRandom -> False, PseudoRandomSeed -> 5489, + Regions -> False, Compiled -> True} + +:Evaluate: Divonne[f_, v:{_, _, _}.., opt___Rule] := + Block[ {ff = HoldForm[f], ndim = Length[{v}], ncomp, + tags, vars, lower, range, jac, tmp, defs, intT, intX, + rel, abs, mineval, maxeval, key1, key2, key3, maxpass, border, + maxchisq, mindeviation, given, nextra, peakfinder, + final, verbose, level, seed, regions, compiled, + $Phase}, + Message[Divonne::optx, #, Divonne]&/@ + Complement[First/@ {opt}, tags = First/@ Options[Divonne]]; + {rel, abs, mineval, maxeval, key1, key2, key3, maxpass, border, + maxchisq, mindeviation, given, nextra, peakfinder, + verbose, final, level, seed, regions, compiled} = + tags /. {opt} /. Options[Divonne]; + {vars, lower, range} = Transpose[{v}]; + jac = Simplify[Times@@ (range -= lower)]; + tmp = Array[tmpvar, ndim]; + defs = Simplify[lower + range tmp]; + Block[{Set}, define[compiled, tmp, vars, Thread[vars = defs], jac]]; + intT = integrandT[f]; + intX = integrandX[f]; + Block[#, + ncomp = Length[intT@@ RandomReal[1, ndim]]; + MLDivonne[ndim, ncomp, 10.^-rel, 10.^-abs, + Min[Max[verbose, 0], 3] + + If[final === Last, 4, 0] + + If[TrueQ[regions], 128, 0] + + If[IntegerQ[level], 256 level, 0], + If[level =!= False && IntegerQ[seed], seed, 0], + mineval, maxeval, + key1, key2, key3, maxpass, + N[border], N[maxchisq], N[mindeviation], + given, sample[given, 0, intX], nextra] + ]& @ vars + ] + +:Evaluate: tmpvar[n_] := ToExpression["Cuba`Divonne`t" <> ToString[n]] + +:Evaluate: Attributes[foo] = {HoldAll} + +:Evaluate: define[True, tmp_, vars_, defs_, jac_] := ( + TtoX := TtoX = Compile[tmp, defs]; + integrandT[f_] := Compile[tmp, eval[defs, Chop[f jac]//N], + {{_eval, _Real, 1}}]; + integrandX[f_] := Compile[vars, eval[vars, Chop[f jac]//N], + {{_eval, _Real, 1}}] ) + +:Evaluate: define[_, tmp_, vars_, defs_, jac_] := ( + TtoX := TtoX = Function[tmp, defs]; + integrandT[f_] := Function[tmp, eval[defs, Chop[f jac]//N]]; + integrandX[f_] := Function[vars, eval[vars, Chop[f jac]//N]] ) + +:Evaluate: eval[_, f_Real] := {f} + +:Evaluate: eval[_, f:{__Real}] := f + +:Evaluate: eval[x_, _] := (Message[Divonne::badsample, ff, x]; {}) + +:Evaluate: sample[x_, p_, i_:intT] := ( + $Phase = p; + Check[Flatten @ MapSample[i@@ # &, Partition[x, ndim]], {}] ) + +:Evaluate: MapSample = Map + +:Evaluate: findpeak[b_, p_] := Check[Join[#, sample[#, p, intX]]& @ + N[Flatten[peakfinder@@ MapThread[TtoX, Partition[b, 2]]]], {}] + +:Evaluate: region[ll_, ur_, r___] := Region[TtoX@@ ll, TtoX@@ ur, r] + +:Evaluate: Divonne::badsample = "`` is not a real-valued function at ``." + +:Evaluate: Divonne::baddim = "Cannot integrate in `` dimensions." + +:Evaluate: Divonne::badcomp = "Cannot integrate `` components." + +:Evaluate: Divonne::accuracy = + "Desired accuracy was not reached within `` integrand evaluations on `` subregions. + Estimate that MaxPoints needs to be increased by `` for this accuracy." + +:Evaluate: Divonne::success = "Needed `` integrand evaluations on `` subregions." + +:Evaluate: End[] + +:Evaluate: EndPackage[] + + +/* + Divonne.tm + Multidimensional integration by partitioning + originally by J.H. Friedman and M.H. Wright + (CERNLIB subroutine D151) + this version by Thomas Hahn + last modified 12 Oct 11 th +*/ + + +#include "mathlink.h" +#include "decl.h" + +#define ExploreParent Explore + +/*********************************************************************/ + +static void Status(MLCONST char *msg, cint n1, cint n2, cint n3) +{ + MLPutFunction(stdlink, "CompoundExpression", 2); + MLPutFunction(stdlink, "Message", 4); + MLPutFunction(stdlink, "MessageName", 2); + MLPutSymbol(stdlink, "Divonne"); + MLPutString(stdlink, msg); + MLPutInteger(stdlink, n1); + MLPutInteger(stdlink, n2); + MLPutInteger(stdlink, n3); +} + +/*********************************************************************/ + +static void Print(MLCONST char *s) +{ + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Print", 1); + MLPutString(stdlink, s); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + MLNewPacket(stdlink); +} + +/*********************************************************************/ + +static void DoSample(This *t, cnumber n, real *x, real *f, ccount ldx) +{ + real *mma_f; + long mma_n; + + if( MLAbort ) longjmp(t->abort, -99); + + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Cuba`Divonne`sample", 2); + MLPutRealList(stdlink, x, n*t->ndim); + MLPutInteger(stdlink, t->phase); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + if( !MLGetRealList(stdlink, &mma_f, &mma_n) ) { + MLClearError(stdlink); + MLNewPacket(stdlink); + longjmp(t->abort, -99); + } + + if( mma_n != n*t->ncomp ) { + MLDisownRealList(stdlink, mma_f, mma_n); + longjmp(t->abort, -3); + } + + t->neval += n; + + Copy(f, mma_f, n*t->ncomp); + MLDisownRealList(stdlink, mma_f, mma_n); +} + +/*********************************************************************/ + +static count SampleExtra(This *t, cBounds *b) +{ + count n, nget; + real *mma_f; + long mma_n; + + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Cuba`Divonne`findpeak", 2); + MLPutRealList(stdlink, (real *)b, 2*t->ndim); + MLPutInteger(stdlink, t->phase); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + if( !MLGetRealList(stdlink, &mma_f, &mma_n) ) { + MLClearError(stdlink); + MLNewPacket(stdlink); + longjmp(t->abort, -99); + } + + t->neval += nget = mma_n/(t->ndim + t->ncomp); + + n = IMin(nget, t->nextra); + if( n ) { + Copy(t->xextra, mma_f, n*t->ndim); + Copy(t->fextra, mma_f + nget*t->ndim, n*t->ncomp); + } + + MLDisownRealList(stdlink, mma_f, mma_n); + + return n; +} + +/*********************************************************************/ + +#include "common.c" + +static inline void DoIntegrate(This *t) +{ + real integral[NCOMP], error[NCOMP], prob[NCOMP]; + cint fail = Integrate(t, integral, error, prob); + + if( fail < 0 ) { + switch( fail ) { + case -99: + MLPutFunction(stdlink, "Abort", 0); + return; + case -1: + Status("baddim", t->ndim, 0, 0); + break; + case -2: + Status("badcomp", t->ncomp, 0, 0); + break; + } + MLPutSymbol(stdlink, "$Failed"); + } + else { + Status(fail ? "accuracy" : "success", t->neval, t->nregions, fail); + MLPutFunction(stdlink, "Thread", 1); + MLPutFunction(stdlink, "List", 3); + MLPutRealList(stdlink, integral, t->ncomp); + MLPutRealList(stdlink, error, t->ncomp); + MLPutRealList(stdlink, prob, t->ncomp); + } +} + +/*********************************************************************/ + +void Divonne(cint ndim, cint ncomp, + creal epsrel, creal epsabs, + cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cint key1, cint key2, cint key3, cint maxpass, + creal border, creal maxchisq, creal mindeviation, + real *xgiven, clong nxgiven, real *fgiven, clong nfgiven, + cnumber nextra) +{ + This t; + t.ldxgiven = t.ndim = ndim; + t.ncomp = ncomp; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.key1 = key1; + t.key2 = key2; + t.key3 = key3; + t.maxpass = maxpass; + t.border.upper = 1 - (t.border.lower = border); + t.maxchisq = maxchisq; + t.mindeviation = mindeviation; + t.xgiven = NULL; + t.nextra = nextra; + t.nregions = 0; + t.neval = t.ngiven = nxgiven/ndim; + + if( t.ngiven | t.nextra ) { + cnumber nx = nxgiven + nextra*t.ndim; + cnumber nf = nfgiven + nextra*t.ncomp; + + Alloc(t.xgiven, nx + nf); + t.xextra = t.xgiven + nxgiven; + t.fgiven = t.xgiven + nx; + t.fextra = t.fgiven + nfgiven; + + Copy(t.xgiven, xgiven, nxgiven); + Copy(t.fgiven, fgiven, nfgiven); + } + + DoIntegrate(&t); + + free(t.xgiven); + MLEndPacket(stdlink); +} + +/*********************************************************************/ + +int main(int argc, char **argv) +{ + return MLMain(argc, argv); +} + diff --git a/src/divonne/Explore.c b/src/divonne/Explore.c new file mode 100644 index 0000000..d6fba19 --- /dev/null +++ b/src/divonne/Explore.c @@ -0,0 +1,160 @@ +/* + Explore.c + sample region, determine min and max, split if necessary + this file is part of Divonne + last modified 15 Nov 11 th +*/ + + +typedef struct { + real fmin, fmax; + creal *xmin, *xmax; +} Extrema; + +/*********************************************************************/ + +static int Explore(This *t, ccount iregion) +{ + TYPEDEFREGION; + Region *region = RegionPtr(iregion); + cBounds *bounds = region->bounds; + Result *result = region->result; + + count n, dim, comp, maxcomp; + Extrema extrema[NCOMP]; + Result *r; + creal *x; + real *f; + real halfvol, maxerr; + cSamples *samples = &t->samples[region->isamples]; + + /* needed as of gcc 3.3 to make gcc correctly address region #@$&! */ + sizeof(*region); + + for( comp = 0; comp < t->ncomp; ++comp ) { + Extrema *e = &extrema[comp]; + e->fmin = INFTY; + e->fmax = -INFTY; + e->xmin = e->xmax = NULL; + } + + if( region->isamples == 0 ) { /* others already sampled */ + real vol = 1; + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = &bounds[dim]; + vol *= b->upper - b->lower; + } + region->vol = vol; + + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *r = &result[comp]; + r->fmin = INFTY; + r->fmax = -INFTY; + } + + x = t->xgiven; + f = t->fgiven; + n = t->ngiven; + if( t->nextra ) n += SampleExtra(t, bounds); + + for( ; n; --n ) { + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = &bounds[dim]; + if( x[dim] < b->lower || x[dim] > b->upper ) goto skip; + } + for( comp = 0; comp < t->ncomp; ++comp ) { + Extrema *e = &extrema[comp]; + creal y = f[comp]; + if( y < e->fmin ) e->fmin = y, e->xmin = x; + if( y > e->fmax ) e->fmax = y, e->xmax = x; + } +skip: + x += t->ldxgiven; + f += t->ncomp; + } + + samples->sampler(t, iregion); + } + + x = samples->x; + f = samples->f; + for( n = samples->n; n; --n ) { + for( comp = 0; comp < t->ncomp; ++comp ) { + Extrema *e = &extrema[comp]; + creal y = *f++; + if( y < e->fmin ) e->fmin = y, e->xmin = x; + if( y > e->fmax ) e->fmax = y, e->xmax = x; + } + x += t->ndim; + } + t->neval_opt -= t->neval; + + halfvol = .5*region->vol; + maxerr = -INFTY; + maxcomp = -1; + + for( comp = 0; comp < t->ncomp; ++comp ) { + Extrema *e = &extrema[comp]; + Result *r = &result[comp]; + real xtmp[NDIM], ftmp, err; + + if( e->xmin ) { /* not all NaNs */ + t->selectedcomp = comp; + VecCopy(xtmp, e->xmin); + ftmp = FindMinimum(t, bounds, xtmp, e->fmin); + if( ftmp < r->fmin ) { + r->fmin = ftmp; + VecCopy(r->xmin, xtmp); + } + + t->selectedcomp = Tag(comp); + VecCopy(xtmp, e->xmax); + ftmp = -FindMinimum(t, bounds, xtmp, -e->fmax); + if( ftmp > r->fmax ) { + r->fmax = ftmp; + VecCopy(r->xmax, xtmp); + } + } + + r->spread = halfvol*(r->fmax - r->fmin); + err = r->spread/Max(fabs(r->avg), NOTZERO); + if( err > maxerr ) { + maxerr = err; + maxcomp = comp; + } + } + + t->neval_opt += t->neval; + + if( maxcomp == -1 ) { /* all NaNs */ + region->depth = 0; + return -1; + } + + region->cutcomp = maxcomp; + r = ®ion->result[maxcomp]; + if( halfvol*(r->fmin + r->fmax) > r->avg ) { + region->fminor = r->fmin; + region->fmajor = r->fmax; + region->xmajor = r->xmax - (real *)region->result; + } + else { + region->fminor = r->fmax; + region->fmajor = r->fmin; + region->xmajor = r->xmin - (real *)region->result; + } + + if( region->isamples == 0 ) { + if( r->spread < samples->neff*r->err || + r->spread < t->totals[maxcomp].secondspread ) region->depth = 0; + if( region->depth == 0 ) + for( comp = 0; comp < t->ncomp; ++comp ) + t->totals[comp].secondspread = + Max(t->totals[comp].secondspread, result[comp].spread); + } + + if( region->depth ) Split(t, iregion); + + return iregion; +} + diff --git a/src/divonne/FindMinimum.c b/src/divonne/FindMinimum.c new file mode 100644 index 0000000..b476520 --- /dev/null +++ b/src/divonne/FindMinimum.c @@ -0,0 +1,689 @@ +/* + FindMinimum.c + find minimum (maximum) of hyperrectangular region + this file is part of Divonne + last modified 8 Jun 10 th +*/ + + +#define EPS 0x1p-52 +#define RTEPS 0x1p-26 +#define QEPS 0x1p-13 + +#define DELTA 0x1p-16 +#define RTDELTA 0x1p-8 +#define QDELTA 0x1p-4 + +/* +#define DELTA 1e-5 +#define RTDELTA 3.1622776601683791e-3 +#define QDELTA 5.6234132519034912e-2 +*/ + +#define SUFTOL 8*QEPS*QDELTA +#define FTOL 5e-2 +#define GTOL 1e-2 + +#define Hessian(i, j) hessian[(i)*t->ndim + j] + +typedef struct { real dx, f; } Point; + +/*********************************************************************/ + +static inline real Dot(ccount n, creal *a, creal *b) +{ + real sum = 0; + count i; + for( i = 0; i < n; ++i ) sum += a[i]*b[i]; + return sum; +} + +/*********************************************************************/ + +static inline real Length(ccount n, creal *vec) +{ + return sqrt(Dot(n, vec, vec)); +} + +/*********************************************************************/ + +static inline void LinearSolve(cThis *t, ccount n, creal *hessian, + creal *grad, real *p) +{ + int i, j; + real dir; + + for( i = 0; i < n; ++i ) { + dir = -grad[i]; + for( j = 0; j < i; ++j ) + dir -= Hessian(i, j)*p[j]; + p[i] = dir; + } + + while( --i >= 0 ) { + if( Hessian(i, i) <= 0 ) return; + dir = p[i]/Hessian(i, i); + for( j = i + 1; j < n; ++j ) + dir -= Hessian(j, i)*p[j]; + p[i] = dir; + } +} + +/*********************************************************************/ + +static void RenormalizeCholesky(cThis *t, ccount n, real *hessian, + real *z, real alpha) +{ + count i, j; + + for( i = 0; i < n; ++i ) { + creal dir = z[i]; + real beta = alpha*dir; + real gamma = Hessian(i, i); + real gammanew = Hessian(i, i) += beta*dir; + + if( i + 1 >= n || gammanew < 0 || + (gammanew < 1 && gamma > DBL_MAX*gammanew) ) return; + + gamma /= gammanew; + beta /= gammanew; + alpha *= gamma; + + if( gamma < .25 ) { + for( j = i + 1; j < n; ++j ) { + real delta = beta*z[j]; + z[j] -= dir*Hessian(j, i); + Hessian(j, i) = Hessian(j, i)*gamma + delta; + } + } + else { + for( j = i + 1; j < n; ++j ) { + z[j] -= dir*Hessian(j, i); + Hessian(j, i) += beta*z[j]; + } + } + } +} + +/*********************************************************************/ + +static void UpdateCholesky(cThis *t, ccount n, real *hessian, + real *z, real *p) +{ + int i, j; + real gamma = 0; + + for( i = 0; i < n; ++i ) { + real dir = z[i]; + for( j = 0; j < i; ++j ) + dir -= Hessian(i, j)*p[j]; + p[i] = dir; + gamma += Sq(dir)/Hessian(i, i); + } + gamma = Max(fabs(1 - gamma), EPS); + + while( --i >= 0 ) { + creal dir = z[i] = p[i]; + real beta = dir/Hessian(i, i); + creal gammanew = gamma + dir*beta; + Hessian(i, i) *= gamma/gammanew; + beta /= gamma; + gamma = gammanew; + for( j = i + 1; j < n; ++j ) { + creal delta = beta*z[j]; + z[j] += dir*Hessian(j, i); + Hessian(j, i) -= delta; + } + } +} + +/*********************************************************************/ + +static inline void BFGS(cThis *t, ccount n, real *hessian, + creal *gnew, creal *g, real *p, creal dx) +{ + real y[NDIM], c; + count i, j; + + for( i = 0; i < n; ++i ) + y[i] = gnew[i] - g[i]; + c = dx*Dot(n, y, p); + if( c < 1e-10 ) return; + RenormalizeCholesky(t, n, hessian, y, 1/c); + + c = Dot(n, g, p); + if( c >= 0 ) return; + c = 1/sqrt(-c); + for( i = 0; i < n; ++i ) + y[i] = c*g[i]; + UpdateCholesky(t, n, hessian, y, p); + + for( i = 0; i < n - 1; ++i ) + for( j = i + 1; j < n; ++j ) + Hessian(i, j) = Hessian(j, i); +} + +/*********************************************************************/ + +static void Gradient(This *t, ccount nfree, ccount *ifree, + cBounds *b, real *x, creal y, real *grad) +{ + count i; + + for( i = 0; i < nfree; ++i ) { + ccount dim = Untag(ifree[i]); + creal xd = x[dim]; + creal delta = (b[dim].upper - xd < DELTA) ? -DELTA : DELTA; + x[dim] += delta; + grad[i] = (Sample(t, x) - y)/delta; + x[dim] = xd; + } +} + +/*********************************************************************/ + +static Point LineSearch(This *t, ccount nfree, ccount *ifree, + creal *p, creal *xini, real fini, real *x, + real step, creal range, creal grad, + creal ftol, creal xtol, creal gtol) +{ + real tol = ftol, tol2 = tol + tol; + Point cur = {0, fini}; + + VecCopy(x, xini); + + /* don't even try if + a) we'd walk backwards, + b) the range to explore is too small, + c) the gradient is positive, i.e. we'd move uphill */ + + if( step > 0 && range > tol2 && grad <= 0 ) { + creal eps = RTEPS*fabs(range) + ftol; + creal mingrad = -1e-4*grad, maxgrad = -gtol*grad; + + real end = range + eps; + real maxstep = range - eps/(1 + RTEPS); + + Point min = cur, v = cur, w = cur; + Point a = cur, b = {end, 0}; + real a1, b1 = end; + + /* distmin: distance along p from xini to the minimum, + u: second-lowest point, + v: third-lowest point, + a, b: interval in which the minimum is sought. */ + + real distmin = 0, dist, mid, q, r, s; + count i; + int shift; + bool first; + + for( first = true; ; first = false ) { + if( step >= maxstep ) { + step = maxstep; + maxstep = maxstep*(1 + .75*RTEPS) + .75*tol; + } + + cur.dx = (fabs(step) >= tol) ? step : (step > 0) ? tol : -tol; + dist = distmin + cur.dx; + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + x[dim] = xini[dim] + dist*p[i]; + } + cur.f = Sample(t, x); + + if( cur.f <= min.f ) { + v = w; + w = min; + min.f = cur.f; + distmin = dist; + + /* shift everything to the new minimum position */ + maxstep -= cur.dx; + v.dx -= cur.dx; + w.dx -= cur.dx; + a.dx -= cur.dx; + b.dx -= cur.dx; + if( cur.dx < 0 ) b = w; + else a = w; + + tol = RTEPS*fabs(distmin) + ftol; + tol2 = tol + tol; + } + else { + if( cur.dx < 0 ) a = cur; + else b = cur; + if( cur.f <= w.f || w.dx == 0 ) v = w, w = cur; + else if( cur.f <= v.f || v.dx == 0 || v.dx == w.dx ) v = cur; + } + + if( distmin + b.dx <= xtol ) break; + if( min.f < fini && + a.f - min.f <= fabs(a.dx)*maxgrad && + (fabs(distmin - range) > tol || maxstep < b.dx) ) break; + + mid = .5*(a.dx + b.dx); + if( fabs(mid) <= tol2 - .5*(b.dx - a.dx) ) break; + + r = q = s = 0; + if( fabs(end) > tol ) { + if( first ) { + creal s1 = w.dx*grad; + creal s2 = w.f - min.f; + s = (s1 - ((distmin == 0) ? 0 : 2*s2))*w.dx; + q = 2*(s2 - s1); + } + else { + creal s1 = w.dx*(v.f - min.f); + creal s2 = v.dx*(w.f - min.f); + s = s1*w.dx - s2*v.dx; + q = 2*(s2 - s1); + } + if( q > 0 ) s = -s; + q = fabs(q); + r = end; + if( step != b1 || b.dx <= maxstep ) end = step; + } + + if( distmin == a.dx ) step = mid; + else if( b.dx > maxstep ) step = (step < b.dx) ? -4*a.dx : maxstep; + else { + real num = a.dx, den = b.dx; + if( fabs(b.dx) <= tol || (w.dx > 0 && fabs(a.dx) > tol) ) + num = b.dx, den = a.dx; + num /= -den; + step = (num < 1) ? .5*den*sqrt(num) : 5/11.*den*(.1 + 1/num); + } + + if( step > 0 ) a1 = a.dx, b1 = step; + else a1 = step, b1 = b.dx; + if( fabs(s) < fabs(.5*q*r) && s > q*a1 && s < q*b1 ) { + step = s/q; + if( step - a.dx < tol2 || b.dx - step < tol2 ) + step = (mid > 0) ? tol : -tol; + } + else end = (mid > 0) ? b.dx : a.dx; + } + + first = true; + if( fabs(distmin - range) < tol ) { + distmin = range; + if( maxstep > b.dx ) first = false; + } + + for( cur.dx = distmin, cur.f = min.f, shift = -1; ; + cur.dx = Max(ldexp(distmin, shift), ftol), shift <<= 1 ) { + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + x[dim] = xini[dim] + cur.dx*p[i]; + } + if( !first ) cur.f = Sample(t, x); + + if( cur.dx + b.dx <= xtol ) { + cur.dx = 0; + break; + } + if( fini - cur.f > cur.dx*mingrad ) break; + if( cur.dx <= ftol ) { + cur.dx = 0; + break; + } + first = false; + } + } + + return cur; +} + +/*********************************************************************/ + +static real LocalSearch(This *t, ccount nfree, ccount *ifree, + cBounds *b, creal *x, creal fx, real *z) +{ + real delta, smax, sopp, spmax, snmax; + real y[NDIM], fy, fz, ftest; + real p[NDIM]; + int sign; + count i; + + /* Choose a direction p along which to move away from the + present x. We choose the direction which leads farthest + away from all borders. */ + + smax = INFTY; + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + creal sp = b[dim].upper - x[dim]; + creal sn = x[dim] - b[dim].lower; + if( sp < sn ) { + smax = Min(smax, sn); + p[i] = -1; + } + else { + smax = Min(smax, sp); + p[i] = 1; + } + } + smax *= .9; + + /* Move along p until the integrand changes appreciably + or we come close to a border. */ + + VecCopy(y, x); + ftest = SUFTOL*(1 + fabs(fx)); + delta = RTDELTA/5; + do { + delta = Min(5*delta, smax); + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + y[dim] = x[dim] + delta*p[i]; + } + fy = Sample(t, y); + if( fabs(fy - fx) > ftest ) break; + } while( delta != smax ); + + /* Construct a second direction p' orthogonal to p, i.e. p.p' = 0. + We let pairs of coordinates cancel in the dot product, + i.e. we choose p'[0] = p[0], p'[1] = -p[1], etc. + (It should really be 1/p and -1/p, but p consists of 1's and -1's.) + For odd nfree, we let the last three components cancel by + choosing p'[nfree - 3] = p[nfree - 3], + p'[nfree - 2] = -1/2 p[nfree - 2], and + p'[nfree - 1] = -1/2 p[nfree - 1]. */ + + sign = (nfree <= 1 && fy > fx) ? 1 : -1; + spmax = snmax = INFTY; + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + real sp, sn; + p[i] *= (nfree & 1 && nfree - i <= 2) ? -.5*sign : (sign = -sign); + sp = (b[dim].upper - y[dim])/p[i]; + sn = (y[dim] - b[dim].lower)/p[i]; + if( p[i] > 0 ) { + spmax = Min(spmax, sp); + snmax = Min(snmax, sn); + } + else { + spmax = Min(spmax, -sn); + snmax = Min(snmax, -sp); + } + } + smax = .9*spmax; + sopp = .9*snmax; + + if( nfree > 1 && smax < snmax ) { + real tmp = smax; + smax = sopp; + sopp = tmp; + for( i = 0; i < nfree; ++i ) + p[i] = -p[i]; + } + + /* Move along p' until the integrand changes appreciably + or we come close to a border. */ + + VecCopy(z, y); + ftest = SUFTOL*(1 + fabs(fy)); + delta = RTDELTA/5; + do { + delta = Min(5*delta, smax); + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + z[dim] = y[dim] + delta*p[i]; + } + fz = Sample(t, z); + if( fabs(fz - fy) > ftest ) break; + } while( delta != smax ); + + if( fy != fz ) { + real pleneps, grad, range, step; + Point low; + + if( fy > fz ) { + grad = (fz - fy)/delta; + range = smax/.9; + step = Min(delta + delta, smax); + } + else { + grad = (fy - fz)/delta; + range = sopp/.9 + delta; + step = Min(delta + delta, sopp); + VecCopy(y, z); + fy = fz; + for( i = 0; i < nfree; ++i ) + p[i] = -p[i]; + } + + pleneps = Length(nfree, p) + RTEPS; + low = LineSearch(t, nfree, ifree, p, y, fy, z, step, range, grad, + RTEPS/pleneps, 0., RTEPS); + fz = low.f; + } + + if( fz != fx ) { + real pleneps, grad, range, step; + Point low; + + spmax = snmax = INFTY; + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + p[i] = z[dim] - x[dim]; + if( p[i] != 0 ) { + creal sp = (b[dim].upper - x[dim])/p[i]; + creal sn = (x[dim] - b[dim].lower)/p[i]; + if( p[i] > 0 ) { + spmax = Min(spmax, sp); + snmax = Min(snmax, sn); + } + else { + spmax = Min(spmax, -sn); + snmax = Min(snmax, -sp); + } + } + } + + grad = fz - fx; + range = spmax; + step = Min(.9*spmax, 2.); + pleneps = Length(nfree, p) + RTEPS; + if( fz > fx ) { + delta = Min(.9*snmax, RTDELTA/pleneps); + for( i = 0; i < nfree; ++i ) { + ccount dim = ifree[i]; + z[dim] = x[dim] - delta*p[i]; + } + fz = Sample(t, z); + if( fz < fx ) { + grad = (fz - fx)/delta; + range = snmax; + step = Min(.9*snmax, delta + delta); + for( i = 0; i < nfree; ++i ) + p[i] = -p[i]; + } + else if( delta < 1 ) grad = (fx - fz)/delta; + } + + low = LineSearch(t, nfree, ifree, p, x, fx, z, step, range, grad, + RTEPS/pleneps, 0., RTEPS); + fz = low.f; + } + + return fz; +} + +/*********************************************************************/ + +static real FindMinimum(This *t, cBounds *b, real *xmin, real fmin) +{ + real hessian[NDIM*NDIM]; + real gfree[NDIM], p[NDIM]; + real tmp[NDIM], ftmp, fini = fmin; + ccount maxeval = t->neval + 50*t->ndim; + count nfree, nfix; + count ifree[NDIM], ifix[NDIM]; + count dim, local; + + Zap(hessian); + for( dim = 0; dim < t->ndim; ++dim ) + Hessian(dim, dim) = 1; + + /* Step 1: - classify the variables as "fixed" (sufficiently close + to a border) and "free", + - if the integrand is flat in the direction of the gradient + w.r.t. the free dimensions, perform a local search. */ + + for( local = 0; local < 2; ++local ) { + bool resample = false; + nfree = nfix = 0; + for( dim = 0; dim < t->ndim; ++dim ) { + if( xmin[dim] < b[dim].lower + (1 + fabs(b[dim].lower))*QEPS ) { + xmin[dim] = b[dim].lower; + ifix[nfix++] = dim; + resample = true; + } + else if( xmin[dim] > b[dim].upper - (1 + fabs(b[dim].upper))*QEPS ) { + xmin[dim] = b[dim].upper; + ifix[nfix++] = Tag(dim); + resample = true; + } + else ifree[nfree++] = dim; + } + + if( resample ) fini = fmin = Sample(t, xmin); + + if( nfree == 0 ) goto releasebounds; + + Gradient(t, nfree, ifree, b, xmin, fmin, gfree); + if( local || Length(nfree, gfree) > GTOL ) break; + + ftmp = LocalSearch(t, nfree, ifree, b, xmin, fmin, tmp); + if( ftmp > fmin - (1 + fabs(fmin))*RTEPS ) + goto releasebounds; + fmin = ftmp; + VecCopy(xmin, tmp); + } + + while( t->neval <= maxeval ) { + + /* Step 2a: perform a quasi-Newton iteration on the free + variables only. */ + + if( nfree > 0 ) { + real plen, pleneps; + real minstep; + count i, mini = 0, minfix = 0; + Point low; + + LinearSolve(t, nfree, hessian, gfree, p); + plen = Length(nfree, p); + pleneps = plen + RTEPS; + + minstep = INFTY; + for( i = 0; i < nfree; ++i ) { + count dim = Untag(ifree[i]); + if( fabs(p[i]) > EPS ) { + real step; + count fix; + if( p[i] < 0 ) { + step = (b[dim].lower - xmin[dim])/p[i]; + fix = dim; + } + else { + step = (b[dim].upper - xmin[dim])/p[i]; + fix = Tag(dim); + } + if( step < minstep ) { + minstep = step; + mini = i; + minfix = fix; + } + } + } + + if( minstep*pleneps <= DELTA ) { +fixbound: + ifix[nfix++] = minfix; + + if( mini < --nfree ) { + creal diag = Hessian(mini, mini); + + Clear(tmp, mini); + for( i = mini; i < nfree; ++i ) + tmp[i] = Hessian(i + 1, mini); + + for( i = mini; i < nfree; ++i ) { + Copy(&Hessian(i, 0), &Hessian(i + 1, 0), i); + Hessian(i, i) = Hessian(i + 1, i + 1); + } + RenormalizeCholesky(t, nfree, hessian, tmp, diag); + + Copy(&ifree[mini], &ifree[mini + 1], nfree - mini); + Copy(&gfree[mini], &gfree[mini + 1], nfree - mini); + } + continue; + } + + low = LineSearch(t, nfree, ifree, p, xmin, fmin, tmp, + Min(minstep, 1.), Min(minstep, 100.), Dot(nfree, gfree, p), + RTEPS/pleneps, DELTA/pleneps, .2); + + if( low.dx > 0 ) { + real fdiff; + + fmin = low.f; + VecCopy(xmin, tmp); + + Gradient(t, nfree, ifree, b, xmin, fmin, tmp); + BFGS(t, nfree, hessian, tmp, gfree, p, low.dx); + VecCopy(gfree, tmp); + + if( fabs(low.dx - minstep) < QEPS*minstep ) goto fixbound; + + fdiff = fini - fmin; + fini = fmin; + if( fdiff > (1 + fabs(fmin))*FTOL || + low.dx*plen > (1 + Length(t->ndim, xmin))*FTOL ) continue; + } + } + + /* Step 2b: check whether freeing any fixed variable will lead + to a reduction in f. */ + +releasebounds: + if( nfix > 0 ) { + real mingrad = INFTY; + count i, mini = 0; + bool repeat = false; + + Gradient(t, nfix, ifix, b, xmin, fmin, tmp); + + for( i = 0; i < nfix; ++i ) { + creal grad = Sign(ifix[i])*tmp[i]; + if( grad < -RTEPS ) { + repeat = true; + if( grad < mingrad ) { + mingrad = grad; + mini = i; + } + } + } + + if( repeat ) { + gfree[nfree] = tmp[mini]; + ifree[nfree] = Untag(ifix[mini]); + Clear(&Hessian(nfree, 0), nfree); + Hessian(nfree, nfree) = 1; + ++nfree; + + --nfix; + Copy(&ifix[mini], &ifix[mini + 1], nfix - mini); + continue; + } + } + + break; + } + + return fmin; +} + diff --git a/src/divonne/Integrate.c b/src/divonne/Integrate.c new file mode 100644 index 0000000..4059a55 --- /dev/null +++ b/src/divonne/Integrate.c @@ -0,0 +1,452 @@ +/* + Integrate.c + partition the integration region until each region + has approximately equal spread = 1/2 vol (max - min), + then do a main integration over all regions + this file is part of Divonne + last modified 15 Nov 11 th +*/ + + +#define INIDEPTH 3 +#define DEPTH 5 +#define POSTDEPTH 15 + +/*********************************************************************/ + +static int Integrate(This *t, real *integral, real *error, real *prob) +{ + TYPEDEFREGION; + + Totals totals[NCOMP]; + real nneed; + count dim, comp, iter, pass = 0, err, iregion; + number nwant, nmin = INT_MAX, neff; + int fail; + + if( VERBOSE > 1 ) { + char s[512]; + sprintf(s, "Divonne input parameters:\n" + " ndim " COUNT "\n ncomp " COUNT "\n" + " epsrel " REAL "\n epsabs " REAL "\n" + " flags %d\n seed %d\n" + " mineval " NUMBER "\n maxeval " NUMBER "\n" + " key1 %d\n key2 %d\n key3 %d\n maxpass " COUNT "\n" + " border " REAL "\n maxchisq " REAL "\n mindeviation " REAL "\n" + " ngiven " NUMBER "\n nextra " NUMBER, + t->ndim, t->ncomp, + t->epsrel, t->epsabs, + t->flags, t->seed, + t->mineval, t->maxeval, + t->key1, t->key2, t->key3, t->maxpass, + t->border.lower, t->maxchisq, t->mindeviation, + t->ngiven, t->nextra); + Print(s); + } + + if( BadComponent(t) ) return -2; + if( BadDimension(t, t->key1) || + BadDimension(t, t->key2) || + ((t->key3 & -2) && BadDimension(t, t->key3)) ) return -1; + + t->neval_opt = t->neval_cut = 0; + + AllocRegions(t); + for( dim = 0; dim < t->ndim; ++dim ) { + Bounds *b = &RegionPtr(0)->bounds[dim]; + b->lower = 0; + b->upper = 1; + } + t->nregions = 1; + + RuleIni(&t->rule7); + RuleIni(&t->rule9); + RuleIni(&t->rule11); + RuleIni(&t->rule13); + SamplesIni(&t->samples[0]); + SamplesIni(&t->samples[1]); + SamplesIni(&t->samples[2]); + + if( (fail = setjmp(t->abort)) ) goto abort; + + t->epsabs = Max(t->epsabs, NOTZERO); + + /* Step 1: partition the integration region */ + + if( VERBOSE ) Print("Partitioning phase:"); + + if( IsSobol(t->key1) || IsSobol(t->key2) || IsSobol(t->key3) ) + IniRandom(t); + + SamplesLookup(t, &t->samples[0], t->key1, + (number)47, (number)INT_MAX, (number)0); + SamplesAlloc(t, &t->samples[0]); + + t->totals = totals; + Zap(totals); + t->phase = 1; + + Iterate(t, 0, INIDEPTH, 0, NULL); + + for( iter = 1; ; ++iter ) { + Totals *maxtot; + count valid; + + for( comp = 0; comp < t->ncomp; ++comp ) { + Totals *tot = &totals[comp]; + tot->avg = tot->spreadsq = 0; + tot->spread = tot->secondspread = -INFTY; + } + + for( iregion = 0; iregion < t->nregions; ++iregion ) { + Region *region = RegionPtr(iregion); + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + Totals *tot = &totals[comp]; + tot->avg += r->avg; + tot->spreadsq += Sq(r->spread); + if( r->spread > tot->spread ) { + tot->secondspread = tot->spread; + tot->spread = r->spread; + tot->iregion = iregion; + } + else if( r->spread > tot->secondspread ) + tot->secondspread = r->spread; + } + } + + maxtot = totals; + valid = 0; + for( comp = 0; comp < t->ncomp; ++comp ) { + Totals *tot = &totals[comp]; + integral[comp] = tot->avg; + valid += tot->avg == tot->avg; + if( tot->spreadsq > maxtot->spreadsq ) maxtot = tot; + tot->spread = sqrt(tot->spreadsq); + error[comp] = tot->spread/t->samples[0].neff; + } + + if( VERBOSE ) { + char s[128 + 64*NCOMP], *p = s; + + p += sprintf(p, "\n" + "Iteration " COUNT " (pass " COUNT "): " COUNT " regions\n" + NUMBER7 " integrand evaluations so far,\n" + NUMBER7 " in optimizing regions,\n" + NUMBER7 " in finding cuts", + iter, pass, t->nregions, t->neval, t->neval_opt, t->neval_cut); + + for( comp = 0; comp < t->ncomp; ++comp ) + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL, + comp + 1, integral[comp], error[comp]); + + Print(s); + } + + if( valid == 0 ) goto abort; /* all NaNs */ + + if( t->neval > t->maxeval ) break; + + nneed = maxtot->spread/MaxErr(maxtot->avg); + if( nneed < MAXPRIME ) { + cnumber n = t->neval + t->nregions*(number)ceil(nneed); + if( n < nmin ) { + nmin = n; + pass = 0; + } + else if( ++pass > t->maxpass && n >= t->mineval ) break; + } + + Iterate(t, maxtot->iregion, DEPTH, -1, NULL); + } + + /* Step 2: do a "full" integration on each region */ + +/* nneed = t->samples[0].neff + 1; */ + nneed = 2*t->samples[0].neff; + for( comp = 0; comp < t->ncomp; ++comp ) { + Totals *tot = &totals[comp]; + creal maxerr = MaxErr(tot->avg); + tot->nneed = tot->spread/maxerr; + nneed = Max(nneed, tot->nneed); + tot->maxerrsq = Sq(maxerr); + tot->mindevsq = tot->maxerrsq*Sq(t->mindeviation); + } + nwant = (number)Min(ceil(nneed), MARKMASK/40.); + + err = SamplesLookup(t, &t->samples[1], t->key2, nwant, + (t->maxeval - t->neval)/t->nregions + 1, t->samples[0].n + 1); + + /* the number of points needed to reach the desired accuracy */ + fail = Unmark(err)*t->nregions; + + if( Marked(err) ) { + if( VERBOSE ) Print("\nNot enough samples left for main integration."); + for( comp = 0; comp < t->ncomp; ++comp ) + prob[comp] = -999; + neff = t->samples[0].neff; + } + else { + bool can_adjust = (t->key3 == 1 && t->samples[1].sampler != SampleRule && + (t->key2 < 0 || t->samples[1].neff < MAXPRIME)); + count df, nlimit; + + SamplesAlloc(t, &t->samples[1]); + + if( VERBOSE ) { + char s[128]; + sprintf(s, "\nMain integration on " COUNT + " regions with " NUMBER " samples per region.", + t->nregions, t->samples[1].neff); + Print(s); + } + + ResClear(integral); + ResClear(error); + ResClear(prob); + + nlimit = t->maxeval - t->nregions*t->samples[1].n; + df = 0; + +#define CopyPhaseResults(f) \ + for( comp = 0; comp < t->ncomp; ++comp ) { \ + PhaseResult *p = &totals[comp].phase[f]; \ + cResult *r = ®ion->result[comp]; \ + p->avg = r->avg; \ + p->err = r->err; \ + } + +#define Var2(f, res) Sq((res)->err ? (res)->err : r->spread/t->samples[f].neff) +#define Var(f) Var2(f, &tot->phase[f]) + + for( iregion = 0; iregion < t->nregions; ++iregion ) { + Region *region; + char s[64*NDIM + 256*NCOMP], *p = s; + int todo; + +refine: + region = RegionPtr(iregion); + CopyPhaseResults(0); + t->phase = 2; + region->isamples = 1; + t->samples[1].sampler(t, iregion); + CopyPhaseResults(1); + + if( can_adjust ) + for( comp = 0; comp < t->ncomp; ++comp ) + totals[comp].spreadsq -= Sq(region->result[comp].spread); + + nlimit += t->samples[1].n; + todo = 0; + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + Totals *tot = &totals[comp]; + + if( t->neval < nlimit ) { + creal avg2 = tot->phase[1].avg; + creal diffsq = Sq(avg2 - tot->phase[0].avg); + + if( r->err*tot->nneed > r->spread || + diffsq > Max(t->maxchisq*(Var(0) + Var(1)), EPS*Sq(avg2)) ) { + if( t->key3 && diffsq > tot->mindevsq ) { + if( t->key3 == 1 ) { + if( VERBOSE > 2 ) Print("\nSplit"); + t->phase = 1; + Iterate(t, iregion, POSTDEPTH, 1, totals); + + if( can_adjust ) { + cnumber nnew = (tot->spreadsq/Sq(MARKMASK) > tot->maxerrsq) ? + MARKMASK : + (number)ceil(sqrt(tot->spreadsq/tot->maxerrsq)); + if( nnew > nwant + nwant/64 ) { + ccount err = SamplesLookup(t, &t->samples[1], t->key2, nnew, + (t->maxeval - t->neval)/t->nregions + 1, t->samples[1].n); + fail += Unmark(err)*t->nregions; + nwant = nnew; + SamplesFree(&t->samples[1]); + SamplesAlloc(t, &t->samples[1]); + + if( t->key2 > 0 && t->samples[1].neff >= MAXPRIME ) + can_adjust = false; + + if( VERBOSE > 2 ) { + char s[128]; + sprintf(s, "Sampling remaining " COUNT + " regions with " NUMBER " points per region.", + t->nregions, t->samples[1].neff); + Print(s); + } + } + } + goto refine; + } + todo |= 3; + } + todo |= 1; + } + } + } + + if( can_adjust ) { + for( comp = 0; comp < t->ncomp; ++comp ) + totals[comp].maxerrsq -= + Sq(region->result[comp].spread/t->samples[1].neff); + } + + switch( todo ) { + case 1: /* get spread right */ + region->isamples = 1; + Explore(t, iregion); + break; + + case 3: /* sample region again with more points */ + if( SamplesIniQ(&t->samples[2]) ) { + SamplesLookup(t, &t->samples[2], t->key3, + nwant, (number)INT_MAX, (number)0); + SamplesAlloc(t, &t->samples[2]); + } + t->phase = 3; + region->isamples = 2; + t->samples[2].sampler(t, iregion); + Explore(t, iregion); + ++region->depth; /* misused for df here */ + ++df; + } + + if( VERBOSE > 2 ) { + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + p += sprintf(p, + (dim == 0) ? "\nRegion (" REALF ") - (" REALF ")" : + "\n (" REALF ") - (" REALF ")", + b->lower, b->upper); + } + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *r = ®ion->result[comp]; + Totals *tot = &totals[comp]; + + creal x1 = tot->phase[0].avg; + creal v1 = Var(0); + creal x2 = tot->phase[1].avg; + creal v2 = Var(1); + creal r2 = v1 ? v2/v1 : + Sq(t->samples[1].neff/(real)t->samples[0].neff); + + real norm = 1 + r2; + real avg = x2 + r2*x1; + real sigsq = v2; + real chisq = Sq(x2 - x1); + real chiden = v1 + v2; + + if( todo == 3 ) { + creal x3 = r->avg; + creal v3 = Var2(2, r); + creal r3 = v2 ? v3/v2 : + Sq(t->samples[2].neff/(real)t->samples[1].neff); + + norm = 1 + r3*norm; + avg = x3 + r3*avg; + sigsq = v3; + chisq = v1*Sq(x3 - x2) + v2*Sq(x3 - x1) + v3*chisq; + chiden = v1*v2 + v3*chiden; + } + + avg = LAST ? r->avg : (sigsq *= norm = 1/norm, avg*norm); + if( chisq > EPS ) chisq /= Max(chiden, NOTZERO); + + if( VERBOSE > 2 ) { +#define Out2(f, res) (res)->avg, r->spread/t->samples[f].neff, (res)->err +#define Out(f) Out2(f, &tot->phase[f]) + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL "(" REAL ")\n " + REAL " +- " REAL "(" REAL ")", comp + 1, Out(0), Out(1)); + if( todo == 3 ) p += sprintf(p, "\n " + REAL " +- " REAL "(" REAL ")", Out2(2, r)); + p += sprintf(p, " \tchisq " REAL, chisq); + } + + integral[comp] += avg; + error[comp] += sigsq; + prob[comp] += chisq; + + r->avg = avg; + r->spread = sqrt(sigsq); + r->chisq = chisq; + } + + if( VERBOSE > 2 ) Print(s); + } + + for( comp = 0; comp < t->ncomp; ++comp ) + error[comp] = sqrt(error[comp]); + + df += t->nregions; + + if( VERBOSE > 2 ) { + char s[16 + 128*NCOMP], *p = s; + + p += sprintf(p, "\nTotals:"); + + for( comp = 0; comp < t->ncomp; ++comp ) + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL " \tchisq " REAL " (" COUNT " df)", + comp + 1, integral[comp], error[comp], prob[comp], df); + + Print(s); + } + + for( comp = 0; comp < t->ncomp; ++comp ) + prob[comp] = ChiSquare(prob[comp], df); + + neff = 1; + } + +#ifdef MLVERSION + if( REGIONS ) { + MLPutFunction(stdlink, "List", 2); + MLPutFunction(stdlink, "List", t->nregions); + for( iregion = 0; iregion < t->nregions; ++iregion ) { + Region *region = RegionPtr(iregion); + cBounds *b = region->bounds; + real lower[NDIM], upper[NDIM]; + + for( dim = 0; dim < t->ndim; ++dim ) { + lower[dim] = b[dim].lower; + upper[dim] = b[dim].upper; + } + + MLPutFunction(stdlink, "Cuba`Divonne`region", 4); + + MLPutRealList(stdlink, lower, t->ndim); + MLPutRealList(stdlink, upper, t->ndim); + + MLPutFunction(stdlink, "List", t->ncomp); + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + real res[] = {r->avg, r->spread/neff, r->chisq}; + MLPutRealList(stdlink, res, Elements(res)); + } + + MLPutInteger(stdlink, region->depth + 1); /* misused for df */ + } + } +#endif + +abort: + SamplesFree(&t->samples[2]); + SamplesFree(&t->samples[1]); + SamplesFree(&t->samples[0]); + RuleFree(&t->rule13); + RuleFree(&t->rule11); + RuleFree(&t->rule9); + RuleFree(&t->rule7); + + free(t->voidregion); + + return fail; +} + diff --git a/src/divonne/Iterate.c b/src/divonne/Iterate.c new file mode 100644 index 0000000..82c0e34 --- /dev/null +++ b/src/divonne/Iterate.c @@ -0,0 +1,138 @@ +/* + Iterate.c + recursion over regions + this file is part of Divonne + last modified 15 Nov 11 th +*/ + + +static void Iterate(This *t, count iregion, cint depth, cint isamples, + Totals *totals) +{ + TYPEDEFREGION; + Region *parent, *region; + typedef struct { + real avg, err, spread, spreadsq; + } Corr; + Corr corr[NCOMP]; + count ireg, mreg = iregion; + count comp, maxsplit; + int last, idest, isrc; + + region = RegionPtr(iregion); + region->depth = depth; + region->next = -iregion - 1; + if( isamples < 0 ) Split(t, iregion); + else { + region->isamples = isamples; + Explore(t, iregion); + } + + ireg = iregion + RegionPtr(iregion)->next; + + do { + region = RegionPtr(ireg); + if( region->depth > 0 ) { + --region->depth; +more: + ireg = ExploreParent(t, ireg); + if( ireg == -1 ) return; + region = RegionPtr(ireg); + } + if( region->depth < 0 ) mreg = IMax(mreg, ireg); + ireg += region->next; + } while( ireg > 0 ); + +#ifndef MLVERSION + if( t->running ) goto more; +#endif + + maxsplit = 1; + for( ireg = mreg; ireg >= iregion; --ireg ) { + parent = RegionPtr(ireg); + maxsplit -= NegQ(parent->depth); + if( parent->depth < 0 ) { + count xreg; + struct { + count from, to; + } todo[maxsplit], *tdmax = todo, *td; + count nsplit = 0; + real norm; + + memset(corr, 0, sizeof corr); + + tdmax->from = ireg + parent->next; + tdmax->to = tdmax->from - parent->depth; + ++tdmax; + for( td = todo; td < tdmax; ++td ) { + for( xreg = td->from; xreg < td->to; ++xreg ) { + Region *region = RegionPtr(xreg); + if( region->depth < 0 ) { + tdmax->from = xreg + region->next; + tdmax->to = tdmax->from - region->depth; + ++tdmax; + } + else { + ++nsplit; + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + Corr *c = &corr[comp]; + c->avg += r->avg; + c->err += r->err; + c->spread += Sq(r->spread); + } + } + } + } + + norm = 1./nsplit--; + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *p = &parent->result[comp]; + Corr *c = &corr[comp]; + creal diff = fabs(p->avg - c->avg)*norm; + c->avg = diff*norm*nsplit; + c->err = (c->err == 0) ? 1 : 1 + diff/c->err; + c->spread = (c->spread == 0) ? 1 : 1 + diff/sqrt(c->spread); + } + + for( td = todo; td < tdmax; ++td ) + for( xreg = td->from; xreg < td->to; ++xreg ) { + Region *region = RegionPtr(xreg); + if( region->depth >= 0 ) { + cnumber neff = t->samples[region->isamples].neff; + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *r = ®ion->result[comp]; + Corr *c = &corr[comp]; + if( r->err > 0 ) r->err = r->err*c->err + c->avg; + r->spread = r->spread*c->spread + c->avg*neff; + c->spreadsq += Sq(r->spread); + } + } + } + } + } + + if( totals ) + for( comp = 0; comp < t->ncomp; ++comp ) + totals[comp].spreadsq += corr[comp].spreadsq; + + for( last = -1, idest = isrc = iregion; iregion <= mreg; ++iregion ) { + Region *region = RegionPtr(iregion); + cint cur = NegQ(region->depth); + switch( cur - last ) { + case -1: + memmove(RegionPtr(idest), RegionPtr(isrc), + (iregion - isrc)*sizeof(Region)); + idest += iregion - isrc; + break; + case 1: + isrc = iregion; + } + last = cur; + } + + memmove(RegionPtr(idest), RegionPtr(iregion), + (t->nregions - iregion)*sizeof(Region)); + t->nregions += idest - iregion; +} + diff --git a/src/divonne/KorobovCoeff.c b/src/divonne/KorobovCoeff.c new file mode 100644 index 0000000..e8ace85 --- /dev/null +++ b/src/divonne/KorobovCoeff.c @@ -0,0 +1,881 @@ +#define KOROBOV_MINDIM 2 +#define KOROBOV_MAXDIM 33 +#define MAXPRIME 9689 + +#define Hash(x) ((19945 - x)*(-47 + x))/121634 + +static int prime[] = { + FIRST,47,53,59,67,71,79,83,89,97,103,109,113,127,131,137,139,149,151, + 157,163,173,179,181,191,193,199,211,223,227,229,233,239,241,251,257,263, + 269,277,283,293,307,311,313,317,331,337,347,349,353,359,367,373,379,383, + 389,397,401,409,419,421,431,433,439,443,449,457,461,467,479,487,491,499, + 503,509,521,523,541,547,557,563,569,571,577,587,593,599,601,607,613,617, + 619,631,641,643,647,653,659,661,673,677,683,691,701,709,719,727,733,739, + 743,751,757,761,769,773,787,797,809,811,821,823,827,829,839,853,857,859, + 863,877,881,883,887,907,911,919,929,937,941,947,953,967,971,977,983,991, + 997,1009,1013,1019,1021,1031,1033,1039,1049,1051,1061,1063,1069,1087, + 1091,1093,1097,1103,1109,1117,1123,1129,1151,1153,1163,1171,1181,1187, + 1193,1201,1213,1217,1223,1229,1231,1237,1249,1259,1277,1279,1283,1289, + 1291,1297,1301,1303,1307,1319,1321,1327,1361,1367,1373,1381,1399,1409, + 1423,1427,1429,1433,1439,1447,1451,1453,1459,1471,1481,1483,1487,1489, + 1493,1499,1511,1523,1531,1543,1549,1553,1559,1567,1571,1579,1583,1597, + 1601,1607,1609,1613,1619,1621,1627,1637,1657,1663,1667,1669,1693,1697, + 1699,1709,1721,1723,1733,1741,1747,1753,1759,1777,1783,1787,1789,1801, + 1811,1823,1831,1847,1861,1867,1871,1873,1877,1879,1889,1901,1907,1913, + 1931,1933,1949,1951,1973,1979,1987,1993,1997,1999,2003,2011,2017,2027, + 2029,2039,2053,2063,2069,2081,2083,2087,2089,2099,2111,2113,2129,2131, + 2137,2141,2143,2153,2161,2179,2203,2207,2213,2221,2237,2239,2243,2251, + 2267,2269,2273,2281,2287,2293,2297,2309,2311,2333,2339,2341,2347,2351, + 2357,2371,2377,2381,2383,2389,2393,2399,2411,2417,2423,2437,2441,2447, + 2459,2467,2473,2477,2503,2521,2531,2539,2543,2549,2551,2557,2579,2591, + 2593,2609,2617,2621,2633,2647,2657,2659,2663,2671,2677,2683,2687,2689, + 2693,2699,2707,2711,2713,2719,2729,2731,2741,2749,2753,2767,2777,2789, + 2791,2797,2801,2803,2819,2833,2837,2843,2851,2857,2861,2879,2887,2897, + 2903,2909,2917,2927,2939,2953,2957,2963,2969,2971,2999,3001,3011,3019, + 3023,3037,3041,3049,3061,3067,3079,3083,3089,3109,3119,3121,3137,3163, + 3167,3169,3181,3187,3191,3203,3209,3217,3221,3229,3251,3253,3257,3259, + 3271,3299,3301,3307,3313,3319,3323,3329,3331,3343,3347,3359,3361,3371, + 3373,3389,3391,3407,3413,3433,3449,3457,3461,3463,3467,3469,3491,3499, + 3511,3517,3527,3529,3533,3539,3547,3557,3571,3581,3583,3593,3607,3613, + 3623,3631,3643,3659,3671,3673,3677,3691,3701,3709,3719,3733,3739,3761, + 3767,3769,3779,3793,3797,3803,3821,3833,3847,3851,3853,3863,3877,3889, + 3907,3911,3917,3929,3943,3947,3967,3989,4001,4003,4007,4013,4019,4027, + 4049,4051,4057,4073,4079,4091,4099,4111,4127,4133,4139,4153,4159,4177, + 4201,4211,4217,4219,4229,4231,4243,4259,4271,4283,4289,4297,4327,4337, + 4339,4349,4357,4363,4373,4391,4397,4409,4421,4423,4441,4451,4463,4481, + 4483,4493,4507,4517,4523,4547,4549,4561,4567,4583,4597,4603,4621,4637, + 4639,4651,4663,4673,4691,4703,4721,4723,4733,4751,4759,4783,4787,4789, + 4801,4813,4831,4861,4871,4877,4889,4903,4909,4919,4931,4933,4943,4957, + 4969,4987,4993,5003,5021,5023,5039,5051,5059,5077,5087,5101,5119,5147, + 5153,5167,5171,5179,5189,5209,5227,5231,5237,5261,5273,5281,5297,5309, + 5323,5333,5347,5351,5381,5387,5399,5413,5431,5437,5449,5471,5479,5501, + 5507,5519,5531,5557,5563,5573,5591,5623,5639,5641,5647,5657,5669,5683, + 5701,5711,5737,5743,5749,5779,5783,5801,5813,5827,5843,5857,5869,5881, + 5903,5923,5927,5953,5981,5987,6007,6011,6029,6037,6053,6067,6089,6101, + 6113,6131,6151,6163,6173,6197,6211,6229,6247,6257,6277,6287,6311,6323, + 6343,6359,6373,6389,6421,6427,6449,6469,6481,6491,6521,6529,6547,6563, + 6581,6599,6619,6637,6653,6673,6691,6709,6733,6737,6763,6781,6803,6823, + 6841,6863,6883,6899,6917,6947,6961,6983,7001,7019,7043,7057,7079,7103, + 7127,7151,7159,7187,7211,7229,7253,7283,7297,7321,7349,7369,7393,7417, + 7433,7459,7487,7507,7537,7561,7583,7607,7639,7669,7687,7717,7741,7759, + 7793,7823,7853,7883,7907,7937,7963,7993,8039,8059,8093,8123,8161,8191, + 8221,8263,8297,8329,8369,8419,8447,8501,8527,8563,8609,8663,8699,8747, + 8803,8849,8893,8963,9029,9091,9157,9239,9319,9413,9533,MarkLast(9689) +}; + +static short coeff[][32] = { + {13,11,10,3,9,2,2,2,2,9,2,2,7,2,2,2,2,2,2,6,2,2,2,13,11,10,3,9,2,2,2,2}, + {23,17,12,11,14,14,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,12,12,12,14,14,14}, + {18,14,5,14,2,2,19,19,25,25,18,18,18,2,2,2,2,2,2,2,2,2,2,2,25,6,2,2,2,18,14,5}, + {18,13,23,5,2,12,6,12,12,12,10,10,16,2,16,16,2,2,2,2,2,2,2,10,2,2,2,2,10,2,2,2}, + {21,22,7,21,2,20,20,2,2,2,2,22,2,2,2,2,2,2,2,6,6,21,2,2,2,2,2,2,2,2,6,6}, + {29,19,27,32,6,8,2,2,2,2,2,8,8,2,2,2,2,9,9,9,9,2,2,2,2,2,2,2,9,9,2,2}, + {30,19,24,16,22,8,2,2,22,5,9,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {34,28,13,28,27,27,2,4,2,2,2,16,16,4,20,20,36,20,36,5,5,5,36,36,5,5,5,7,5,7,7,2}, + {35,19,33,8,21,30,8,2,4,2,4,4,2,2,2,2,2,2,2,2,2,17,2,2,11,25,11,17,17,17,17,17}, + {37,21,35,29,27,19,19,2,2,2,5,15,2,2,15,15,19,19,19,19,19,2,2,2,2,2,19,2,2,2,2,2}, + {45,44,13,25,17,47,30,2,30,2,2,2,2,2,2,2,2,2,19,19,19,17,17,2,2,2,2,2,2,2,2,2}, + {35,22,37,9,35,12,35,8,2,2,50,50,2,2,32,32,32,31,13,8,8,8,2,22,50,9,9,9,22,22,22,10}, + {29,24,43,36,49,2,2,8,4,25,49,25,2,2,8,10,10,10,5,5,5,40,10,33,40,40,2,27,10,25,25,25}, + {50,18,32,39,21,2,2,2,4,4,36,36,14,14,14,14,2,2,2,17,17,17,16,16,2,14,14,14,14,2,2,2}, + {31,28,45,20,18,43,43,13,28,2,2,2,31,31,31,31,31,2,2,2,43,43,2,2,2,2,2,2,2,2,30,2}, + {39,15,41,7,24,2,2,30,40,2,2,25,25,25,25,2,2,2,2,2,2,6,6,2,25,2,5,2,2,25,2,2}, + {44,20,29,39,7,21,21,21,2,2,45,2,2,2,49,49,49,49,49,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {56,20,22,13,18,35,35,6,2,4,2,4,2,2,2,23,16,16,4,23,2,34,52,2,34,2,4,2,2,2,23,16}, + {46,32,17,18,29,27,31,31,31,2,2,4,15,2,2,2,2,2,2,2,2,2,2,2,2,2,23,32,32,32,15,15}, + {62,42,43,17,23,13,13,2,2,13,2,2,2,2,2,2,2,10,2,2,2,2,9,10,2,2,2,19,9,9,9,9}, + {64,34,16,28,16,51,47,2,2,2,6,18,39,39,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,12,12,2}, + {74,26,44,25,50,24,54,39,58,42,2,42,42,2,2,2,2,2,2,2,2,33,33,2,2,39,11,2,2,58,39,58}, + {70,22,50,22,16,9,25,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {74,21,17,25,35,33,10,2,10,20,20,57,57,57,2,2,57,2,2,2,2,2,2,2,13,2,2,2,2,2,2,2}, + {81,18,10,11,47,38,71,37,2,37,2,2,2,2,2,26,26,26,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {55,30,85,42,16,36,45,67,2,2,68,2,2,2,2,2,2,2,68,10,2,2,2,2,2,2,2,2,2,2,2,2}, + {64,17,24,26,49,12,10,39,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,59,2,2}, + {68,57,23,38,61,38,13,13,8,2,2,2,2,2,2,2,2,2,2,2,2,2,2,68,15,2,44,44,44,2,2,2}, + {94,28,58,29,13,5,15,8,66,2,2,2,39,39,15,66,2,2,6,6,2,2,66,66,66,66,2,2,2,2,2,66}, + {94,85,9,41,41,37,29,29,17,2,2,2,7,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,8,8}, + {89,32,75,77,77,13,2,30,30,2,2,2,2,2,2,2,2,2,2,67,67,2,2,2,2,2,2,2,2,8,19,32}, + {70,45,58,63,67,10,72,72,70,6,2,36,2,70,70,6,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {101,33,76,13,45,63,2,2,6,19,2,2,32,32,32,32,32,65,2,63,63,11,11,11,19,19,19,19,9,63,63,63}, + {70,89,44,37,19,45,2,2,2,8,10,8,54,54,80,80,80,80,80,2,116,2,116,2,2,80,40,51,100,100,8,2}, + {71,54,83,51,42,98,2,2,8,8,14,30,93,22,15,15,30,30,30,44,44,44,2,2,22,22,22,117,44,11,11,11}, + {109,37,51,113,17,10,2,2,17,17,55,2,55,55,55,55,55,55,2,2,2,57,48,48,55,55,2,2,55,2,2,55}, + {75,38,68,89,11,52,2,2,81,39,2,38,2,2,2,2,2,2,2,2,2,2,2,19,2,2,2,2,2,2,2,2}, + {81,84,35,34,20,93,2,12,12,12,2,96,2,96,96,2,96,2,2,2,2,2,2,2,2,2,2,2,2,56,56,56}, + {104,32,56,46,77,11,35,35,24,56,19,2,2,2,78,2,2,75,2,2,2,2,78,2,2,2,2,2,2,2,2,2}, + {81,103,25,35,28,15,20,20,20,2,2,2,2,20,20,20,107,107,2,2,2,2,2,2,2,2,2,2,2,2,13,13}, + {119,75,42,29,74,23,54,36,39,2,2,4,4,19,19,2,2,2,2,2,2,2,2,54,2,2,2,2,2,2,2,54}, + {115,73,22,102,75,138,16,73,50,16,2,50,2,2,2,133,2,2,2,2,2,2,2,2,2,2,2,2,2,33,33,33}, + {119,48,66,51,14,22,20,20,2,2,2,2,2,60,2,2,2,2,2,2,2,2,60,2,2,2,2,2,2,60,2,65}, + {121,94,80,29,51,69,42,36,14,14,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,17,2,2}, + {129,123,41,79,43,34,24,11,2,2,4,2,2,2,2,75,16,16,16,75,75,75,16,16,16,25,2,99,2,2,75,16}, + {128,33,35,68,22,8,62,94,2,2,2,62,62,2,98,2,2,4,98,2,2,32,81,32,32,32,98,98,98,98,98,98}, + {101,109,154,15,57,6,27,36,2,2,37,37,2,2,2,2,2,2,2,107,2,2,2,107,107,2,2,2,2,2,2,2}, + {106,40,24,38,61,118,106,106,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {149,111,58,79,127,13,41,33,27,16,30,2,61,2,72,2,2,2,2,2,2,2,2,2,2,2,2,75,75,2,2,2}, + {105,92,43,156,25,53,57,115,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {99,40,62,67,66,29,99,99,99,78,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,79}, + {109,42,96,95,66,41,103,84,13,103,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {111,72,16,89,25,86,117,29,14,14,2,2,2,2,2,60,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {106,72,49,94,140,44,97,157,75,2,2,4,123,123,2,2,123,123,123,123,2,2,2,2,2,2,2,2,2,2,2,2}, + {115,67,74,32,43,50,21,36,135,36,85,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {151,71,157,42,41,37,80,27,18,2,2,2,2,2,2,2,2,2,2,2,2,2,115,128,128,128,128,128,32,2,128,80}, + {119,91,38,30,92,44,32,76,22,2,34,2,2,2,2,2,2,2,2,2,2,2,2,2,2,129,2,2,129,2,2,2}, + {121,126,31,52,120,37,57,10,171,2,2,2,2,35,35,35,2,2,97,97,97,97,97,97,97,35,35,35,97,97,97,2}, + {155,86,49,104,87,94,64,45,61,91,91,91,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {164,121,44,166,47,33,7,15,13,2,2,122,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {128,120,133,17,71,52,25,107,42,21,21,2,2,2,2,4,4,96,2,9,9,2,9,94,94,94,94,94,94,94,94,96}, + {179,82,157,76,61,35,13,90,197,2,69,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,39,39}, + {136,136,148,63,66,10,169,95,95,163,30,28,28,2,41,130,2,2,2,21,2,2,2,2,2,2,2,2,2,2,2,36}, + {131,40,112,63,55,30,53,79,79,79,2,79,2,2,2,2,2,79,2,2,2,2,14,36,2,21,21,21,21,2,2,91}, + {165,81,92,48,9,110,12,40,40,34,2,2,2,107,107,107,2,107,2,2,2,2,2,2,2,2,2,2,2,15,41,41}, + 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{3382,899,3140,2860,1155,1840,2822,355,1753,1856,1018,822,52,52,52,1102,1102,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {2728,1334,274,1330,2674,2614,931,2250,883,1506,2193,1345,1089,500,2,219,390,2,2,2,2,2,2,2,390,2,2,2,2,2,2,2}, + {3911,3343,202,675,1733,71,166,176,1323,2864,899,2155,1108,2172,2,2,1829,2172,1107,2,2,2,2,1107,1107,1107,2,2,2,1107,2,2}, + {2757,3466,1411,1168,340,2760,1053,524,53,2090,1227,26,260,830,2,2,2,1139,2,2,2,2,2,2,2,2,2,2,2,2,2,2}, + {2662,902,2371,1920,1097,1476,1008,1012,3556,468,3374,2560,591,1446,2,298,298,149,149,149,149,149,3135,3135,3135,3135,3135,2,2,2,2,2}, + {2861,1407,1848,245,2186,1209,164,2577,625,132,657,2333,2333,2213,2213,2213,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2,2} +}; diff --git a/src/divonne/Rule.c b/src/divonne/Rule.c new file mode 100644 index 0000000..f5d9337 --- /dev/null +++ b/src/divonne/Rule.c @@ -0,0 +1,685 @@ +/* + Rule.c + integration with cubature rules + code lifted with minor modifications from DCUHRE + by J. Berntsen, T. Espelid, and A. Genz + this file is part of Divonne + last modified 6 Nov 11 th +*/ + + +enum { nrules = 5 }; + +#define TYPEDEFSET \ + typedef struct { \ + count n; \ + real weight[nrules], scale[nrules], norm[nrules]; \ + real gen[NDIM]; \ + } Set + +/*********************************************************************/ + +static void Rule13Alloc(This *t) +{ + static creal w[][nrules] = { + { .00844923090033615, .3213775489050763, .3372900883288987, + -.8264123822525677, .6539094339575232 }, + { .023771474018994404, -.1767341636743844, -.1644903060344491, + .306583861409436, -.2041614154424632}, + { .02940016170142405, .07347600537466073, .07707849911634623, + .002389292538329435, -.174698151579499 }, + { .006644436465817374, -.03638022004364754, -.03804478358506311, + -.1343024157997222, .03937939671417803 }, + { .0042536044255016, .021252979220987123, .02223559940380806, + .08833366840533902, .006974520545933992 }, + { 0, .1460984204026913, .1480693879765931, + 0, 0 }, + { .0040664827465935255, .017476132861520992, 4.467143702185815e-6, + .0009786283074168292, .0066677021717782585 }, + { .03362231646315497, .1444954045641582, .150894476707413, + -.1319227889147519, .05512960621544304 }, + { .033200804136503725, .0001307687976001325, 3.6472001075162155e-5, + .00799001220015063, .05443846381278608 }, + { .014093686924979677, .0005380992313941161, .000577719899901388, + .0033917470797606257, .02310903863953934 }, + { .000977069770327625, .0001042259576889814, .0001041757313688177, + .0022949157182832643, .01506937747477189 }, + { .007531996943580376, -.001401152865045733, -.001452822267047819, + -.01358584986119197, -.060570216489018905 }, + { .02577183086722915, .008041788181514763, .008338339968783704, + .04025866859057809, .04225737654686337}, + { .015625, -.1420416552759383, -.147279632923196, + .003760268580063992, .02561989142123099 } + }; + + static creal g[] = { + .12585646717265545, .3506966822267133, + .4795480315809981, .4978005239276064, + .25, .07972723291487795, + .1904495567970094, .3291384627633596, + .43807365825146577, .499121592026599, + .4895111329084231, .32461421628226944, + .43637106005656195, .1791307322940614, + .2833333333333333, .1038888888888889 }; + + enum { nsets = 14, ndim = 2 }; + + TYPEDEFSET; + + count n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + Copy(last->weight, w[0], nrules); + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[1], nrules); + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[2], nrules); + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[3], nrules); + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[4], nrules); + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[5], nrules); + last->gen[0] = g[4]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[6], nrules); + last->gen[0] = g[5]; + last->gen[1] = g[5]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[7], nrules); + last->gen[0] = g[6]; + last->gen[1] = g[6]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[8], nrules); + last->gen[0] = g[7]; + last->gen[1] = g[7]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[9], nrules); + last->gen[0] = g[8]; + last->gen[1] = g[8]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[10], nrules); + last->gen[0] = g[9]; + last->gen[1] = g[9]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[11], nrules); + last->gen[0] = g[10]; + last->gen[1] = g[11]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[12], nrules); + last->gen[0] = g[12]; + last->gen[1] = g[13]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + Copy(last->weight, w[13], nrules); + last->gen[0] = g[14]; + last->gen[1] = g[15]; + + t->rule13.first = first; + t->rule13.last = last; + t->rule13.errcoeff[0] = 10; + t->rule13.errcoeff[1] = 1; + t->rule13.errcoeff[2] = 5; + t->rule13.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule11Alloc(This *t) +{ + static creal w[][nrules] = { + { .0009903847688882167, 1.715006248224684, 1.936014978949526, + .517082819560576, 2.05440450381852 }, + { .0084964717409851, -.3755893815889209, -.3673449403754268, + .01445269144914044, .013777599884901202 }, + { .00013587331735072814, .1488632145140549, .02929778657898176, + -.3601489663995932, -.576806291790441 }, + { .022982920777660364, -.2497046640620823, -.1151883520260315, + .3628307003418485, .03726835047700328 }, + { .004202649722286289, .1792501419135204, .05086658220872218, + .007148802650872729, .0068148789397772195 }, + { .0012671889041675774, .0034461267589738897, .04453911087786469, + -.09222852896022966, .057231697338518496 }, + { .0002109560854981544, -.005140483185555825, -.022878282571259, + .01719339732471725, -.044930187438112855 }, + { .016830857056410086, .006536017839876424, .02908926216345833, + -.102141653746035, .027292365738663484 }, + { .00021876823557504823, -.00065134549392297, -.002898884350669207, + -.007504397861080493, .000354747395055699 }, + { .009690420479796819, -.006304672433547204, -.028059634133074954, + .01648362537726711, .01571366799739551 }, + { .030773311284628138, .01266959399788263, .05638741361145884, + .05234610158469334, .049900992192785674 }, + { .0084974310856038, -.005454241018647931, -.02427469611942451, + .014454323316130661, .0137791555266677 }, + { .0017749535291258914, .004826995274768427, .021483070341828822, + .003019236275367777, .0028782064230998723 } + }; + + static creal g[] = { + .095, .25, + .375, .4, + .4975, .49936724991757, + .38968518428362114, .49998494965443835, + .3951318612385894, .22016983438253684, + .4774686911397297, .2189239229503431, + .4830546566815374, .2288552938881567 }; + + enum { nsets = 13, ndim = 3 }; + + TYPEDEFSET; + + count n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + Copy(last->weight, w[0], nrules); + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[1], nrules); + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[2], nrules); + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[3], nrules); + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[4], nrules); + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim; + Copy(last->weight, w[5], nrules); + last->gen[0] = g[4]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[6], nrules); + last->gen[0] = g[5]; + last->gen[1] = g[5]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + Copy(last->weight, w[7], nrules); + last->gen[0] = g[6]; + last->gen[1] = g[6]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[8], nrules); + last->gen[0] = g[7]; + last->gen[1] = g[7]; + last->gen[2] = g[7]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[9], nrules); + last->gen[0] = g[8]; + last->gen[1] = g[8]; + last->gen[2] = g[8]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + Copy(last->weight, w[10], nrules); + last->gen[0] = g[9]; + last->gen[1] = g[9]; + last->gen[2] = g[9]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2); + Copy(last->weight, w[11], nrules); + last->gen[0] = g[10]; + last->gen[1] = g[11]; + last->gen[2] = g[11]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2); + Copy(last->weight, w[12], nrules); + last->gen[0] = g[12]; + last->gen[1] = g[12]; + last->gen[2] = g[13]; + + t->rule11.first = first; + t->rule11.last = last; + t->rule11.errcoeff[0] = 4; + t->rule11.errcoeff[1] = .5; + t->rule11.errcoeff[2] = 3; + t->rule11.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule9Alloc(This *t) +{ + static creal w[] = { + -.0023611709677855117884, .11415390023857325268, + -.63833920076702389094, .74849988504685208004, + -.0014324017033399125142, .057471507864489725949, + -.14225104571434243234, -.062875028738286979989, + .254591133248959089, -1.207328566678236261, + .89567365764160676508, -.36479356986049146661, + .0035417564516782676826, -.072609367395893679605, + .10557491625218991012, .0021486025550098687713, + -.032268563892953949998, .010636783990231217481, + .014689102496143490175, .51134708346467591431, + .45976448120806344646, .18239678493024573331, + -.04508628929435784076, .21415883524352793401, + -.027351546526545644722, .054941067048711234101, + .11937596202570775297, .65089519391920250593, + .14744939829434460168, .057693384490973483573, + .034999626602143583822, -1.3868627719278281436, + -.2386668732575008879, .015532417276607053264, + .0035328099607090870236, .09231719987444221619, + .02254314464717892038, .013675773263272822361, + -.32544759695960125297, .0017708782258391338413, + .0010743012775049343856, .25150011495314791996 }; + + static creal g[] = { + .47795365790226950619, .20302858736911986780, + .44762735462617812882, .125, + .34303789878087814570 }; + + enum { nsets = 9 }; + + TYPEDEFSET; + + ccount ndim = t->ndim; + ccount twondim = 1 << ndim; + count dim, n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + last->weight[0] = ndim*(ndim*(ndim*w[0] + w[1]) + w[2]) + w[3]; + last->weight[1] = ndim*(ndim*(ndim*w[4] + w[5]) + w[6]) - w[7]; + last->weight[2] = ndim*w[8] - last->weight[1]; + last->weight[3] = ndim*(ndim*w[9] + w[10]) - 1 + last->weight[0]; + last->weight[4] = ndim*w[11] + 1 - last->weight[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = ndim*(ndim*w[12] + w[13]) + w[14]; + last->weight[1] = ndim*(ndim*w[15] + w[16]) + w[17]; + last->weight[2] = w[18] - last->weight[1]; + last->weight[3] = ndim*w[19] + w[20] + last->weight[0]; + last->weight[4] = w[21] - last->weight[0]; + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = ndim*w[22] + w[23]; + last->weight[1] = ndim*w[24] + w[25]; + last->weight[2] = w[26] - last->weight[1]; + last->weight[3] = ndim*w[27] + w[28]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[29]; + last->weight[1] = w[30]; + last->weight[2] = -w[29]; + last->weight[3] = w[31]; + last->weight[4] = -w[29]; + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim; + last->weight[2] = w[32]; + last->gen[0] = g[3]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + last->weight[0] = w[33] - ndim*w[12]; + last->weight[1] = w[34] - ndim*w[15]; + last->weight[2] = -last->weight[1]; + last->weight[3] = w[35] + last->weight[0]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + + ++last; + n += last->n = 4*ndim*(ndim - 1); + last->weight[0] = w[36]; + last->weight[1] = w[37]; + last->weight[2] = -w[37]; + last->weight[3] = w[38]; + last->weight[4] = -w[36]; + last->gen[0] = g[0]; + last->gen[1] = g[1]; + + ++last; + n += last->n = 4*ndim*(ndim - 1)*(ndim - 2)/3; + last->weight[0] = w[39]; + last->weight[1] = w[40]; + last->weight[2] = -w[40]; + last->weight[3] = w[39]; + last->weight[4] = -w[39]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + last->gen[2] = g[0]; + + ++last; + n += last->n = twondim; + last->weight[0] = w[41]/twondim; + last->weight[1] = w[7]/twondim; + last->weight[2] = -last->weight[1]; + last->weight[3] = last->weight[0]; + last->weight[4] = -last->weight[0]; + for( dim = 0; dim < ndim; ++dim ) + last->gen[dim] = g[4]; + + t->rule9.first = first; + t->rule9.last = last; + t->rule9.errcoeff[0] = 5; + t->rule9.errcoeff[1] = 1; + t->rule9.errcoeff[2] = 5; + t->rule9.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static void Rule7Alloc(This *t) +{ + static creal w[] = { + .019417866674748388428, -.40385257701150182546, + .64485668767465982223, .01177982690775806141, + -.18041318740733609012, -.088785828081335044443, + .056328645808285941374, -.0097089333373741942142, + -.99129176779582358138, -.17757165616267008889, + .12359398032043233572, .074978148702033690681, + .55489147051423559776, .088041241522692771226, + .021118358455513385083, -.0099302203239653333087, + -.064100053285010904179, .030381729038221007659, + .0058899134538790307051, -.0048544666686870971071, + .35514331232534017777 }; + + static creal g[] = { + .47795365790226950619, .20302858736911986780, + .375, .34303789878087814570 }; + + enum { nsets = 6 }; + + TYPEDEFSET; + + ccount ndim = t->ndim; + ccount twondim = 1 << ndim; + count dim, n, r; + Set *first, *last, *s, *x; + + Alloc(first, nsets); + Clear(first, nsets); + + last = first; + n = last->n = 1; + last->weight[0] = ndim*(ndim*w[0] + w[1]) + w[2]; + last->weight[1] = ndim*(ndim*w[3] + w[4]) - w[5]; + last->weight[2] = ndim*w[6] - last->weight[1]; + last->weight[3] = ndim*(ndim*w[7] + w[8]) - w[9]; + last->weight[4] = 1 - last->weight[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[10]; + last->weight[1] = w[11]; + last->weight[2] = -w[10]; + last->weight[3] = w[12]; + last->weight[4] = -w[10]; + last->gen[0] = g[1]; + + ++last; + n += last->n = 2*ndim; + last->weight[0] = w[13] - ndim*w[0]; + last->weight[1] = w[14] - ndim*w[3]; + last->weight[2] = w[15] - last->weight[1]; + last->weight[3] = w[16] - ndim*w[7]; + last->weight[4] = -last->weight[0]; + last->gen[0] = g[0]; + + ++last; + n += last->n = 2*ndim; + last->weight[2] = w[17]; + last->gen[0] = g[2]; + + ++last; + n += last->n = 2*ndim*(ndim - 1); + last->weight[0] = -w[7]; + last->weight[1] = w[18]; + last->weight[2] = -w[18]; + last->weight[3] = w[19]; + last->weight[4] = w[7]; + last->gen[0] = g[0]; + last->gen[1] = g[0]; + + ++last; + n += last->n = twondim; + last->weight[0] = w[20]/twondim; + last->weight[1] = w[5]/twondim; + last->weight[2] = -last->weight[1]; + last->weight[3] = w[9]/twondim; + last->weight[4] = -last->weight[0]; + for( dim = 0; dim < ndim; ++dim ) + last->gen[dim] = g[3]; + + t->rule7.first = first; + t->rule7.last = last; + t->rule7.errcoeff[0] = 5; + t->rule7.errcoeff[1] = 1; + t->rule7.errcoeff[2] = 5; + t->rule7.n = n; + + for( s = first; s <= last; ++s ) + for( r = 1; r < nrules - 1; ++r ) { + creal scale = (s->weight[r] == 0) ? 100 : + -s->weight[r + 1]/s->weight[r]; + real sum = 0; + for( x = first; x <= last; ++x ) + sum += x->n*fabs(x->weight[r + 1] + scale*x->weight[r]); + s->scale[r] = scale; + s->norm[r] = 1/sum; + } +} + +/*********************************************************************/ + +static inline void RuleIni(Rule *rule) +{ + rule->first = NULL; +} + +/*********************************************************************/ + +static inline bool RuleIniQ(Rule *rule) +{ + return rule->first == NULL; +} + +/*********************************************************************/ + +static inline void RuleFree(Rule *rule) +{ + free(rule->first); +} + +/*********************************************************************/ + +static real *ExpandFS(cThis *t, cBounds *b, real *g, real *x) +{ + count dim, ndim = t->ndim; + +next: + /* Compute centrally symmetric sum for permutation of G */ + + for( dim = 0; dim < ndim; ++dim ) + *x++ = (.5 + g[dim])*b[dim].lower + (.5 - g[dim])*b[dim].upper; + + for( dim = 0; dim < ndim; ) { + g[dim] = -g[dim]; + if( g[dim++] < 0 ) goto next; + } + + /* Find next distinct permutation of G and loop back for next sum. + Permutations are generated in reverse lexicographic order. */ + + for( dim = 1; dim < ndim; ++dim ) { + creal gd = g[dim]; + if( g[dim - 1] > gd ) { + count i, j = dim, ix = dim, dx = dim - 1; + for( i = 0; i < --j; ++i ) { + creal tmp = g[i]; + g[i] = g[j]; + g[j] = tmp; + if( tmp <= gd ) --dx; + if( g[i] > gd ) ix = i; + } + if( g[dx] <= gd ) dx = ix; + g[dim] = g[dx]; + g[dx] = gd; + goto next; + } + } + + /* Restore original order to generators */ + + for( dim = 0; dim < --ndim; ++dim ) { + creal tmp = g[dim]; + g[dim] = g[ndim]; + g[ndim] = tmp; + } + + return x; +} + +/*********************************************************************/ + +static void SampleRule(This *t, ccount iregion) +{ + SAMPLERDEFS; + TYPEDEFSET; + Set *first = (Set *)samples->rule->first; + Set *last = (Set *)samples->rule->last; + Set *s; + creal *errcoeff = samples->rule->errcoeff; + count comp, rul, sn; + + for( s = first; s <= last; ++s ) + if( s->n ) x = ExpandFS(t, b, s->gen, x); + + DoSample(t, n, samples->x, f, t->ndim); + + for( comp = 0; comp < t->ncomp; ++comp ) { + real sum[nrules]; + creal *f1 = f++; + + Zap(sum); + for( s = first; s <= last; ++s ) + for( sn = s->n; sn; --sn ) { + creal fun = *f1; + f1 += t->ncomp; + for( rul = 0; rul < nrules; ++rul ) + sum[rul] += fun*s->weight[rul]; + } + + /* Search for the null rule, in the linear space spanned by two + successive null rules in our sequence, which gives the greatest + error estimate among all normalized (1-norm) null rules in this + space. */ + + for( rul = 1; rul < nrules - 1; ++rul ) { + real maxerr = 0; + for( s = first; s <= last; ++s ) + maxerr = Max(maxerr, + fabs(sum[rul + 1] + s->scale[rul]*sum[rul])*s->norm[rul]); + sum[rul] = maxerr; + } + + r[comp].avg = region->vol*sum[0]; + r[comp].err = region->vol*( + (errcoeff[0]*sum[1] <= sum[2] && errcoeff[0]*sum[2] <= sum[3]) ? + errcoeff[1]*sum[1] : + errcoeff[2]*Max(Max(sum[1], sum[2]), sum[3]) ); + } +} + diff --git a/src/divonne/Sample.c b/src/divonne/Sample.c new file mode 100644 index 0000000..2d0123a --- /dev/null +++ b/src/divonne/Sample.c @@ -0,0 +1,261 @@ +/* + Sample.c + most of what is related to sampling + this file is part of Divonne + last modified 7 Nov 11 th +*/ + + +#define MARKMASK 0xfffffff +#define Marked(x) ((x) & ~MARKMASK) +#define Unmark(x) ((x) & MARKMASK) + +#define EXTRAPOLATE_EPS (.25*t->border.lower) +/*#define EXTRAPOLATE_EPS 0x1p-26*/ + +/*********************************************************************/ + +static inline void SamplesIni(Samples *samples) +{ + samples->x = NULL; +} + +/*********************************************************************/ + +static inline bool SamplesIniQ(cSamples *samples) +{ + return samples->x == NULL; +} + +/*********************************************************************/ + +static inline void SamplesFree(cSamples *samples) +{ + free(samples->x); +} + +/*********************************************************************/ + +static void SampleSobol(This *t, ccount iregion) +{ + SAMPLERDEFS; + real avg[NCOMP], norm; + number i; + count dim, comp; + + for( i = 0; i < n; ++i ) { + t->rng.getrandom(t, x); + for( dim = 0; dim < t->ndim; ++x, ++dim ) + *x = b[dim].lower + *x*(b[dim].upper - b[dim].lower); + } + + DoSample(t, n, samples->x, f, t->ndim); + + ResCopy(avg, f); + f += t->ncomp; + for( i = 2; i < n; ++i ) + for( comp = 0; comp < t->ncomp; ++comp ) + avg[comp] += *f++; + + norm = region->vol/samples->neff; + for( comp = 0; comp < t->ncomp; ++comp ) { + r[comp].avg = norm*avg[comp]; + r[comp].err = 0; + } +} + +/*********************************************************************/ + +static void SampleKorobov(This *t, ccount iregion) +{ + SAMPLERDEFS; + real *xlast = x + t->ndim, *flast = f + t->ncomp; + real avg[NCOMP], norm; + cnumber neff = samples->neff; + number nextra = 0, i; + real dist = 0; + count dim, comp; + + for( i = 1; i < n; ++i ) { + number c = i; + for( dim = 0; dim < t->ndim; ++dim ) { + creal dx = abs(2*c - neff)/(real)neff; + *xlast++ = b[dim].lower + dx*(b[dim].upper - b[dim].lower); + c = c*samples->coeff % neff; + } + } + + for( dim = 0; dim < t->ndim; ++dim ) { + creal dx = (x[dim] = b[dim].upper) - t->border.upper; + if( dx > 0 ) dist += Sq(dx); + } + + if( dist > 0 ) { + dist = sqrt(dist)/EXTRAPOLATE_EPS; + for( dim = 0; dim < t->ndim; ++dim ) { + real x2 = x[dim], dx = x2 - t->border.upper; + if( dx > 0 ) { + x[dim] = t->border.upper; + x2 = t->border.upper - dx/dist; + } + xlast[dim] = x2; + } + nextra = 1; + } + + DoSample(t, n + nextra, x, f, t->ndim); + + ResCopy(avg, flast); + flast += t->ncomp; + for( i = 2; i < n; ++i ) + for( comp = 0; comp < t->ncomp; ++comp ) + avg[comp] += *flast++; + + if( nextra ) { + for( comp = 0; comp < t->ncomp; ++comp ) + f[comp] += dist*(f[comp] - flast[comp]); + for( dim = 0; dim < t->ndim; ++dim ) + x[dim] = b[dim].upper; + } + + norm = region->vol/samples->neff; + for( comp = 0; comp < t->ncomp; ++comp ) { + r[comp].avg = norm*(avg[comp] + avg[comp] + f[comp]); + r[comp].err = 0; + } +} + +/*********************************************************************/ + +#define IsSobol(k) NegQ(k) +#define IsRule(k, d) (k == 9 || k == 7 || (k == 11 && d == 3) || (k == 13 && d == 2)) + +/* The following coding is used for key1, key2, key3: + 0 = for key1, key2: use default, + for key3: do nothing, + 1 = for key3: split region again, + 7 = degree-7 cubature rule, + 9 = degree-9 cubature rule, + 11 = degree-11 cubature rule (only in 3 dims), + 13 = degree-13 cubature rule (only in 2 dims), + -inf..-40 = absolute # of points, Sobol numbers, + -39..-1 = multiplicator, Sobol numbers, + 1..39 = multiplicator, Korobov numbers, + 40..inf = absolute # of points, Korobov numbers. */ + +static count SamplesLookup(This *t, Samples *samples, cint key, + cnumber nwant, cnumber nmax, number nmin) +{ + number n; + + if( key == 13 && t->ndim == 2 ) { + if( RuleIniQ(&t->rule13) ) Rule13Alloc(t); + samples->rule = &t->rule13; + samples->n = n = nmin = t->rule13.n; + samples->sampler = SampleRule; + } + else if( key == 11 && t->ndim == 3 ) { + if( RuleIniQ(&t->rule11) ) Rule11Alloc(t); + samples->rule = &t->rule11; + samples->n = n = nmin = t->rule11.n; + samples->sampler = SampleRule; + } + else if( key == 9 ) { + if( RuleIniQ(&t->rule9) ) Rule9Alloc(t); + samples->rule = &t->rule9; + samples->n = n = nmin = t->rule9.n; + samples->sampler = SampleRule; + } + else if( key == 7 ) { + if( RuleIniQ(&t->rule7) ) Rule7Alloc(t); + samples->rule = &t->rule7; + samples->n = n = nmin = t->rule7.n; + samples->sampler = SampleRule; + } + else { + n = Abs1(key); + if( n < 40 ) n *= nwant; + samples->sampler = (key < 0) ? SampleSobol : + (n = n/2 + 1, SampleKorobov); + samples->n = IMin(n, nmax); + } + + samples->neff = samples->n; + + return IDim(n - nmax) | Marked(nmax - nmin); +} + +/*********************************************************************/ + +static void SamplesAlloc(cThis *t, Samples *samples) +{ +#define FIRST -INT_MAX +#define MarkLast(x) (x | Marked(INT_MAX)) + +#include "KorobovCoeff.c" + + number nx, nf; + + if( samples->sampler == SampleKorobov ) { + enum { max = Elements(prime) - 2 }; + cint n = IMin(2*samples->n - 1, MAXPRIME); + int i = Hash(n), p; + count shift = 2 + NegQ(n - 1000); + + while( i = IMin(IDim(i), max), + n > (p = prime[i + 1]) || n <= prime[i] ) { + cint d = (n - Unmark(p)) >> ++shift; + i += Min1(d); + } + + samples->coeff = coeff[i][t->ndim - KOROBOV_MINDIM]; + samples->neff = p = Unmark(p); + samples->n = p/2 + 1; + } + + nx = t->ndim*(samples->n + 1); /* need 1 for extrapolation */ + nf = t->ncomp*(samples->n + 1); + + Alloc(samples->x, nx + nf + t->ncomp + t->ncomp); + samples->f = samples->x + nx; +} + +/*********************************************************************/ + +static real Sample(This *t, creal *x0) +{ + real xtmp[2*NDIM], ftmp[2*NCOMP], *xlast = xtmp, f; + real dist = 0; + count dim, comp; + number n = 1; + + for( dim = 0; dim < t->ndim; ++dim ) { + creal x1 = *xlast++ = Min(Max(*x0++, 0.), 1.); + real dx; + if( (dx = x1 - t->border.lower) < 0 || + (dx = x1 - t->border.upper) > 0 ) dist += Sq(dx); + } + + if( dist > 0 ) { + dist = sqrt(dist)/EXTRAPOLATE_EPS; + for( dim = 0; dim < t->ndim; ++dim ) { + real x2 = xtmp[dim], dx, b; + if( (dx = x2 - (b = t->border.lower)) < 0 || + (dx = x2 - (b = t->border.upper)) > 0 ) { + xtmp[dim] = b; + x2 = b - dx/dist; + } + *xlast++ = x2; + } + n = 2; + } + + DoSample(t, n, xtmp, ftmp, t->ndim); + + comp = Untag(t->selectedcomp); + f = ftmp[comp]; + if( n > 1 ) f += dist*(f - ftmp[comp + t->ncomp]); + + return Sign(t->selectedcomp)*f; +} + diff --git a/src/divonne/Split.c b/src/divonne/Split.c new file mode 100644 index 0000000..e5883e6 --- /dev/null +++ b/src/divonne/Split.c @@ -0,0 +1,311 @@ +/* + Split.c + determine optimal cuts for splitting a region + this file is part of Divonne + last modified 15 Nov 11 th +*/ + + +#define BNDTOL .05 +#define FRACT .5 +#define BIG 1e10 +#define SINGTOL 1e-4 + +#define LHSTOL .1 +#define GAMMATOL .1 + +/* the next four macros must be in sync with the typedef of Bounds! */ +#define Lower(d) (2*d) +#define Upper(d) (2*d + 1) +#define Dim(i) ((i) >> 1) +#define SignedDelta(i) (2*(i & 1) - 1)*delta[i] + +typedef struct { + count i; + real save, delta; + real f, df, fold; + real lhs, row, sol; +} Cut; + +/*********************************************************************/ + +static inline real Div(creal a, creal b) +{ + return (b != 0 && fabs(b) < BIG*fabs(a)) ? a/b : a; +} + +/*********************************************************************/ + +static void SomeCut(This *t, Cut *cut, Bounds *b) +{ + count dim, maxdim; + static count nextdim = 0; + real xmid[NDIM], ymid, maxdev; + + for( dim = 0; dim < t->ndim; ++dim ) + xmid[dim] = .5*(b[dim].upper + b[dim].lower); + ymid = Sample(t, xmid); + + maxdev = 0; + maxdim = 0; + for( dim = 0; dim < t->ndim; ++dim ) { + real ylower, yupper, dev; + creal x = xmid[dim]; + xmid[dim] = b[dim].lower; + ylower = Sample(t, xmid); + xmid[dim] = b[dim].upper; + yupper = Sample(t, xmid); + xmid[dim] = x; + + dev = fabs(ymid - .5*(ylower + yupper)); + if( dev >= maxdev ) { + maxdev = dev; + maxdim = dim; + } + } + + if( maxdev > 0 ) nextdim = 0; + else maxdim = nextdim++ % t->ndim; + + cut->i = Upper(maxdim); + cut->save = b[maxdim].upper; + b[maxdim].upper = xmid[maxdim]; +} + +/*********************************************************************/ + +static inline real Volume(cThis *t, creal *delta) +{ + real vol = 1; + count dim; + for( dim = 0; dim < t->ndim; ++dim ) + vol *= delta[Lower(dim)] + delta[Upper(dim)]; + return vol; +} + +/*********************************************************************/ + +static inline real SetupEqs(Cut *cut, ccount ncuts, real f) +{ + real sqsum = 0; + Cut *c = &cut[ncuts]; + while( --c >= cut ) { + sqsum += Sq(c->lhs = f - c->f); + f = c->f; + } + return sqsum; +} + +/*********************************************************************/ + +static inline void SolveEqs(Cut *cut, count ncuts, + creal *delta, creal diff) +{ + real last = 0; + real r = 1; + Cut *c; + + for( c = cut; ; ++c ) { + ccount dim = Dim(c->i); + c->row = r -= + Div(diff, (delta[Lower(dim)] + delta[Upper(dim)])*c->df); + if( --ncuts == 0 ) break; + last += r*c->lhs; + } + + last = Div(c->lhs - last, r); + + for( ; c >= cut; last += (--c)->lhs ) { + creal delmin = -(c->delta = delta[c->i]); + creal delmax = FRACT*(delmin + c->save); + c->sol = Div(last, c->df); + if( c->sol > delmax ) c->sol = .75*delmax; + if( c->sol < delmin ) c->sol = .75*delmin; + } +} + +/*********************************************************************/ + +static count FindCuts(This *t, Cut *cut, Bounds *bounds, creal vol, + real *xmajor, creal fmajor, creal fdiff) +{ + cint sign = (fdiff < 0) ? -1 : 1; + + count ncuts = 0, icut; + real delta[2*NDIM]; + real gamma, fgamma, lhssq; + count dim, div; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = &bounds[dim]; + creal xsave = xmajor[dim]; + real dist = b->upper - xsave; + if( dist >= BNDTOL*(b->upper - b->lower) ) { + Cut *c = &cut[ncuts++]; + c->i = Upper(dim); + c->save = dist; + xmajor[dim] += dist *= FRACT; + c->f = Sample(t, xmajor); + xmajor[dim] = xsave; + } + delta[Upper(dim)] = dist; + } + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = &bounds[dim]; + creal xsave = xmajor[dim]; + real dist = xsave - b->lower; + if( dist >= BNDTOL*(b->upper - b->lower) ) { + Cut *c = &cut[ncuts++]; + c->i = Lower(dim); + c->save = dist; + xmajor[dim] -= dist *= FRACT; + c->f = Sample(t, xmajor); + xmajor[dim] = xsave; + } + delta[Lower(dim)] = dist; + } + + if( ncuts == 0 ) { + SomeCut(t, cut, bounds); + return 1; + } + + for( ; ; ) { + real mindiff = INFTY; + Cut *mincut = cut; + + for( icut = 0; icut < ncuts; ++icut ) { + Cut *c = &cut[icut]; + creal diff = fabs(fmajor - c->f); + if( diff <= mindiff ) { + mindiff = diff; + mincut = c; + } + } + + gamma = Volume(t, delta)/vol; + fgamma = fmajor + (gamma - 1)*fdiff; + + if( sign*(mincut->f - fgamma) < 0 ) break; + + if( --ncuts == 0 ) { + SomeCut(t, cut, bounds); + return 1; + } + + delta[mincut->i] = mincut->save; + memcpy(mincut, mincut + 1, (char *)&cut[ncuts] - (char *)mincut); + } + + for( icut = 0; icut < ncuts; ++icut ) { + Cut *c = &cut[icut]; + c->fold = c->f; + c->df = (c->f - fmajor)/delta[c->i]; + } + + lhssq = SetupEqs(cut, ncuts, fgamma); + +repeat: + SolveEqs(cut, ncuts, delta, gamma*fdiff); + + for( div = 1; div <= 16; div *= 4 ) { + real gammanew, lhssqnew; + + for( icut = 0; icut < ncuts; ++icut ) { + Cut *c = &cut[icut]; + real *x = &xmajor[Dim(c->i)]; + creal xsave = *x; + delta[c->i] = c->delta + c->sol/div; + *x += SignedDelta(c->i); + c->f = Sample(t, xmajor); + *x = xsave; + } + + gammanew = Volume(t, delta)/vol; + fgamma = fmajor + (gammanew - 1)*fdiff; + lhssqnew = SetupEqs(cut, ncuts, fgamma); + + if( lhssqnew <= lhssq ) { + real fmax; + + if( fabs(gammanew - gamma) < GAMMATOL*gamma ) break; + gamma = gammanew; + + fmax = fabs(fgamma); + for( icut = 0; icut < ncuts; ++icut ) { + Cut *c = &cut[icut]; + creal dfmin = SINGTOL*c->df; + creal sol = c->sol/div; + real df = c->f - c->fold; + df = (fabs(sol) < BIG*fabs(df)) ? df/sol : 1; + c->df = (fabs(df) < fabs(dfmin)) ? dfmin : df; + fmax = Max(fmax, fabs(c->f)); + c->fold = c->f; + } + + if( lhssqnew < Sq((1 + fmax)*LHSTOL) ) break; + lhssq = lhssqnew; + goto repeat; + } + } + + for( icut = 0; icut < ncuts; ++icut ) { + Cut *c = &cut[icut]; + real *b = (real *)bounds + c->i; + c->save = *b; + *b = xmajor[Dim(c->i)] + SignedDelta(c->i); + } + + return ncuts; +} + +/*********************************************************************/ + +static void Split(This *t, ccount iregion) +{ + TYPEDEFREGION; + Region *region = RegionPtr(iregion); + Cut cut[2*NDIM], *c; + Errors errors[NCOMP]; + count ncuts, succ; + int depth; + real *b, tmp; + + t->selectedcomp = region->cutcomp; + t->neval_cut -= t->neval; + ncuts = FindCuts(t, cut, region->bounds, region->vol, + (real *)region->result + region->xmajor, region->fmajor, + region->fmajor - region->fminor); + t->neval_cut += t->neval; + + depth = region->depth - ncuts; + + EnlargeRegions(t, ++ncuts); + region = RegionPtr(iregion); + region->depth = -ncuts; + succ = iregion + region->next; + region->next = t->nregions - iregion; + b = (real *)region->bounds; + + region = RegionPtr(t->nregions); + VecCopy(region->bounds, b); + region->depth = IDim(depth) + 1; + region->next = 1; + region->isamples = 0; + for( c = cut; --ncuts; ++c ) { + ccount ci = c->i; + creal tmp = b[ci ^ 1]; + b[ci ^ 1] = b[ci]; + b[ci] = c->save; + region = RegionPtr(++t->nregions); + VecCopy(region->bounds, b); + region->depth = IDim(depth) + 1; + region->next = 1; + region->isamples = 0; + ++depth; + b[ci ^ 1] = tmp; + } + region->next = succ - t->nregions++; +} + diff --git a/src/divonne/common.c b/src/divonne/common.c new file mode 100644 index 0000000..8da4d00 --- /dev/null +++ b/src/divonne/common.c @@ -0,0 +1,34 @@ +/* + common.c + includes most of the modules + this file is part of Divonne + last modified 7 Nov 11 th +*/ + + +#include "Random.c" +#include "ChiSquare.c" +#include "Rule.c" +#include "Sample.c" +#include "FindMinimum.c" +#include "Split.c" +#include "Explore.c" +#include "Iterate.c" + +static inline bool BadDimension(cThis *t, ccount key) +{ + if( t->ndim > NDIM ) return true; + if( IsSobol(key) ) return + t->ndim < SOBOL_MINDIM || (t->seed == 0 && t->ndim > SOBOL_MAXDIM); + if( IsRule(key, t->ndim) ) return t->ndim < 1; + return t->ndim < KOROBOV_MINDIM || t->ndim > KOROBOV_MAXDIM; +} + +static inline bool BadComponent(cThis *t) +{ + if( t->ncomp > NCOMP ) return true; + return t->ncomp < 1; +} + +#include "Integrate.c" + diff --git a/src/divonne/decl.h b/src/divonne/decl.h new file mode 100644 index 0000000..99fac6d --- /dev/null +++ b/src/divonne/decl.h @@ -0,0 +1,127 @@ +/* + decl.h + Type declarations + this file is part of Divonne + last modified 14 Nov 11 th +*/ + + +#include "stddecl.h" + +#define Tag(x) ((x) | INT_MIN) +#define Untag(x) ((x) & INT_MAX) + +typedef struct { + real lower, upper; +} Bounds; + +typedef const Bounds cBounds; + +typedef struct { + real avg, err; +} PhaseResult; + +typedef struct { + real avg, spreadsq; + real spread, secondspread; + real nneed, maxerrsq, mindevsq; + PhaseResult phase[2]; + int iregion; +} Totals; + +typedef struct { + void *first, *last; + real errcoeff[3]; + count n; +} Rule; + +typedef const Rule cRule; + +typedef struct samples { + real *x, *f; + void (*sampler)(struct _this *t, ccount); + cRule *rule; + number n, neff; + count coeff; +} Samples; + +typedef const Samples cSamples; + +typedef struct { + real diff, err, spread; +} Errors; + +typedef const Errors cErrors; + +typedef int (*Integrand)(ccount *, creal *, ccount *, real *, void *, cint *); + +typedef void (*PeakFinder)(ccount *, cBounds *, number *, real *); + +typedef struct _this { + count ndim, ncomp; +#ifndef MLVERSION + Integrand integrand; + void *userdata; + PeakFinder peakfinder; + int ncores, *child; + int running, nchildren; + fd_set children; +#endif + real epsrel, epsabs; + int flags, seed; + number mineval, maxeval; + int key1, key2, key3; + count maxpass; + Bounds border; + real maxchisq, mindeviation; + number ngiven, nextra; + real *xgiven, *xextra, *fgiven, *fextra; + count ldxgiven; + count nregions; + number neval, neval_opt, neval_cut; + count phase; + count selectedcomp, size; + Samples samples[3]; + Totals *totals; + Rule rule7, rule9, rule11, rule13; + RNGState rng; + void *voidregion; + jmp_buf abort; +} This; + +typedef const This cThis; + +#define TYPEDEFREGION \ + typedef struct { \ + real avg, err, spread, chisq; \ + real fmin, fmax; \ + real xmin[NDIM], xmax[NDIM]; \ + } Result; \ + typedef const Result cResult; \ + typedef struct region { \ + int depth, next; \ + count isamples, cutcomp, xmajor; \ + real fmajor, fminor, vol; \ + Bounds bounds[NDIM]; \ + Result result[NCOMP]; \ + } Region + +#define RegionPtr(n) (&((Region *)t->voidregion)[n]) + +#define CHUNKSIZE 4096 + +#define AllocRegions(t) \ + MemAlloc((t)->voidregion, ((t)->size = CHUNKSIZE)*sizeof(Region)) + +#define EnlargeRegions(t, n) if( (t)->nregions + n > (t)->size ) \ + ReAlloc((t)->voidregion, ((t)->size += CHUNKSIZE)*sizeof(Region)) + +#define SAMPLERDEFS \ + TYPEDEFREGION; \ + Region *region = RegionPtr(iregion); \ + cBounds *b = region->bounds; \ + Result *r = region->result; \ + cSamples *samples = &t->samples[region->isamples]; \ + real *x = samples->x, *f = samples->f; \ + cnumber n = samples->n + diff --git a/src/suave/Fluct.c b/src/suave/Fluct.c new file mode 100644 index 0000000..2755489 --- /dev/null +++ b/src/suave/Fluct.c @@ -0,0 +1,68 @@ +/* + Fluct.c + compute the fluctuation in the left and right half + this file is part of Suave + last modified 23 Aug 11 th +*/ + + +#if defined(HAVE_LONG_DOUBLE) && defined(HAVE_POWL) + +typedef long double realx; +#define XDBL_MAX_EXP LDBL_MAX_EXP +#define XDBL_MAX LDBL_MAX +#define powx powl +#define ldexpx ldexpl + +#else + +typedef double realx; +#define XDBL_MAX_EXP DBL_MAX_EXP +#define XDBL_MAX DBL_MAX +#define powx pow +#define ldexpx ldexp + +#endif + +typedef const realx crealx; + +typedef struct { + realx fluct; + number n; +} Var; + +/*********************************************************************/ + +static void Fluct(cThis *t, Var *var, + cBounds *b, creal *w, number n, ccount comp, creal avg, creal err) +{ + creal *x = w + n; + creal *f = x + n*t->ndim + comp; + count nvar = 2*t->ndim; + creal norm = 1/(err*Max(fabs(avg), err)); + creal flat = 2/3./t->flatness; + crealx max = ldexpx(1., (int)((XDBL_MAX_EXP - 2)/t->flatness)); + + Clear(var, nvar); + + while( n-- ) { + count dim; + crealx arg = 1 + fabs(*w++)*Sq(*f - avg)*norm; + crealx ft = powx(arg < max ? arg : max, t->flatness); + + f += t->ncomp; + + for( dim = 0; dim < t->ndim; ++dim ) { + Var *v = &var[2*dim + (*x++ >= b[dim].mid)]; + crealx f = v->fluct + ft; + v->fluct = (f > XDBL_MAX/2) ? XDBL_MAX/2 : f; + ++v->n; + } + } + + while( nvar-- ) { + var->fluct = powx(var->fluct, flat); + ++var; + } +} + diff --git a/src/suave/Grid.c b/src/suave/Grid.c new file mode 100644 index 0000000..013f086 --- /dev/null +++ b/src/suave/Grid.c @@ -0,0 +1,137 @@ +/* + Grid.c + utility functions for the Vegas grid + this file is part of Suave + last modified 1 Jun 10 th +*/ + + +static void RefineGrid(cThis *t, Grid grid, Grid margsum) +{ + real avgperbin, thisbin, newcur, delta; + Grid imp, newgrid; + int bin, newbin; + + /* smooth the f^2 value stored for each bin */ + real prev = margsum[0]; + real cur = margsum[1]; + real norm = margsum[0] = .5*(prev + cur); + for( bin = 1; bin < NBINS - 1; ++bin ) { + creal s = prev + cur; + prev = cur; + cur = margsum[bin + 1]; + norm += margsum[bin] = (s + cur)/3.; + } + norm += margsum[NBINS - 1] = .5*(prev + cur); + + if( norm == 0 ) return; + norm = 1/norm; + + /* compute the importance function for each bin */ + avgperbin = 0; + for( bin = 0; bin < NBINS; ++bin ) { + real impfun = 0; + if( margsum[bin] > 0 ) { + creal r = margsum[bin]*norm; + avgperbin += impfun = pow((r - 1)/log(r), 1.5); + } + imp[bin] = impfun; + } + avgperbin /= NBINS; + + /* redefine the size of each bin */ + cur = newcur = 0; + thisbin = 0; + bin = -1; + for( newbin = 0; newbin < NBINS - 1; ++newbin ) { + while( thisbin < avgperbin ) { + thisbin += imp[++bin]; + prev = cur; + cur = grid[bin]; + } + thisbin -= avgperbin; + delta = (cur - prev)*thisbin; + newgrid[newbin] = SHARPEDGES ? + cur - delta/imp[bin] : + (newcur = Max(newcur + 0x1p-48, + cur - 2*delta/(imp[bin] + imp[IDim(bin - 1)]))); + } + Copy(grid, newgrid, NBINS - 1); + grid[NBINS - 1] = 1; +} + +/*********************************************************************/ + +static void Reweight(cThis *t, Bounds *b, + creal *w, creal *f, creal *lastf, cResult *total) +{ + Grid margsum[NDIM]; + real scale[NCOMP]; + cbin_t *bin = (cbin_t *)lastf; + count dim, comp; + + if( t->ncomp == 1 ) scale[0] = 1; + else { + for( comp = 0; comp < t->ncomp; ++comp ) + scale[comp] = (total[comp].avg == 0) ? 0 : 1/total[comp].avg; + } + + Zap(margsum); + + while( f < lastf ) { + real fsq = 0; + for( comp = 0; comp < t->ncomp; ++comp ) + fsq += Sq(*f++*scale[comp]); + fsq *= Sq(*w++); + if( fsq != 0 ) + for( dim = 0; dim < t->ndim; ++dim ) + margsum[dim][bin[dim]] += fsq; + bin += t->ndim; + } + + for( dim = 0; dim < t->ndim; ++dim ) + RefineGrid(t, b[dim].grid, margsum[dim]); +} + +/*********************************************************************/ + +static void StretchGrid(cGrid grid, Grid gridL, Grid gridR) +{ + real prev = 0, cur, step, x; + count bin = 0; + + while( bin < NBINS ) { + cur = grid[bin++]; + if( cur >= .5 ) break; + prev = cur; + } + + step = (bin - (cur - .5)/(cur - prev))/NBINS; + + prev = x = 0; + cur = *grid; + + for( bin = 0; bin < NBINS; ++bin ) { + x += step; + if( x > 1 ) { + --x; + prev = cur; + cur = *++grid; + } + gridL[bin] = 2*(prev + (cur - prev)*x); + } + + step = 1 - step; + for( bin = 0; bin < NBINS - 1; ++bin ) { + x += step; + if( x > 1 ) { + --x; + prev = cur; + cur = *++grid; + } + gridR[bin] = 2*(prev + (cur - prev)*x) - 1; + } + gridR[NBINS - 1] = 1; +} + + diff --git a/src/suave/Integrate.c b/src/suave/Integrate.c new file mode 100644 index 0000000..bb81b70 --- /dev/null +++ b/src/suave/Integrate.c @@ -0,0 +1,278 @@ +/* + Integrate.c + integrate over the unit hypercube + this file is part of Suave + last modified 15 Feb 11 th +*/ + + +static int Integrate(This *t, real *integral, real *error, real *prob) +{ + TYPEDEFREGION; + + count dim, comp, df; + int fail; + Result totals[NCOMP]; + Region *anchor = NULL, *region = NULL; + + if( VERBOSE > 1 ) { + char s[256]; + sprintf(s, "Suave input parameters:\n" + " ndim " COUNT "\n ncomp " COUNT "\n" + " epsrel " REAL "\n epsabs " REAL "\n" + " flags %d\n seed %d\n" + " mineval " NUMBER "\n maxeval " NUMBER "\n" + " nnew " NUMBER "\n flatness " REAL, + t->ndim, t->ncomp, + t->epsrel, t->epsabs, + t->flags, t->seed, + t->mineval, t->maxeval, + t->nnew, t->flatness); + Print(s); + } + + if( BadComponent(t) ) return -2; + if( BadDimension(t) ) return -1; + + if( (fail = setjmp(t->abort)) ) goto abort; + + t->epsabs = Max(t->epsabs, NOTZERO); + IniRandom(t); + + RegionAlloc(anchor, t->nnew, t->nnew); + anchor->next = NULL; + anchor->div = 0; + + for( dim = 0; dim < t->ndim; ++dim ) { + Bounds *b = &anchor->bounds[dim]; + b->lower = 0; + b->upper = 1; + b->mid = .5; + + if( dim == 0 ) { + count bin; + /* define the initial distribution of bins */ + for( bin = 0; bin < NBINS; ++bin ) + b->grid[bin] = (bin + 1)/(real)NBINS; + } + else Copy(b->grid, anchor->bounds[0].grid, NBINS); + } + + Sample(t, t->nnew, anchor, anchor->w, + anchor->w + t->nnew, + anchor->w + t->nnew + t->ndim*t->nnew); + df = anchor->df; + ResCopy(totals, anchor->result); + + for( t->nregions = 1; ; ++t->nregions ) { + Var var[NDIM][2], *vLR; + real maxratio, maxerr, minfluct, bias, mid; + Region *regionL, *regionR, *reg, **parent, **par; + Bounds *bounds, *boundsL, *boundsR; + count maxcomp, bisectdim; + number n, nL, nR, nnewL, nnewR; + real *w, *wL, *wR, *x, *xL, *xR, *f, *fL, *fR, *wlast, *flast; + + if( VERBOSE ) { + char s[128 + 128*NCOMP], *p = s; + + p += sprintf(p, "\n" + "Iteration " COUNT ": " NUMBER " integrand evaluations so far", + t->nregions, t->neval); + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *tot = &totals[comp]; + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL " \tchisq " REAL " (" COUNT " df)", + comp + 1, tot->avg, tot->err, tot->chisq, df); + } + + Print(s); + } + + maxratio = -INFTY; + maxcomp = 0; + for( comp = 0; comp < t->ncomp; ++comp ) { + creal ratio = totals[comp].err/MaxErr(totals[comp].avg); + if( ratio > maxratio ) { + maxratio = ratio; + maxcomp = comp; + } + } + + if( maxratio <= 1 && t->neval >= t->mineval ) { + fail = 0; + break; + } + + if( t->neval >= t->maxeval ) break; + + maxerr = -INFTY; + parent = &anchor; + region = anchor; + for( par = &anchor; (reg = *par); par = ®->next ) { + creal err = reg->result[maxcomp].err; + if( err > maxerr ) { + maxerr = err; + parent = par; + region = reg; + } + } + + Fluct(t, var[0], + region->bounds, region->w, region->n, maxcomp, + region->result[maxcomp].avg, Max(maxerr, t->epsabs)); + + bias = (t->epsrel < 1e-50) ? 2 : + Max(pow(2., -(real)region->div/t->ndim)/t->epsrel, 2.); + minfluct = INFTY; + bisectdim = 0; + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + creal fluct = (var[dim][0].fluct + var[dim][1].fluct)* + (bias - b->upper + b->lower); + if( fluct < minfluct ) { + minfluct = fluct; + bisectdim = dim; + } + } + + vLR = var[bisectdim]; + minfluct = vLR[0].fluct + vLR[1].fluct; + nnewL = IMax( + (minfluct == 0) ? t->nnew/2 : (count)(vLR[0].fluct/minfluct*t->nnew), + MINSAMPLES ); + nL = vLR[0].n + nnewL; + nnewR = IMax(t->nnew - nnewL, MINSAMPLES); + nR = vLR[1].n + nnewR; + + RegionAlloc(regionL, nL, nnewL); + RegionAlloc(regionR, nR, nnewR); + + *parent = regionL; + regionL->next = regionR; + regionR->next = region->next; + regionL->div = regionR->div = region->div + 1; + + bounds = ®ion->bounds[bisectdim]; + mid = bounds->mid; + n = region->n; + w = wlast = region->w; x = w + n; f = flast = x + n*t->ndim; + wL = regionL->w; xL = wL + nL; fL = xL + nL*t->ndim; + wR = regionR->w; xR = wR + nR; fR = xR + nR*t->ndim; + + while( n-- ) { + cbool final = (*w < 0); + if( x[bisectdim] < mid ) { + if( final && wR > regionR->w ) *(wR - 1) = -fabs(*(wR - 1)); + *wL++ = *w++; + VecCopy(xL, x); + xL += t->ndim; + ResCopy(fL, f); + fL += t->ncomp; + } + else { + if( final && wL > regionL->w ) *(wL - 1) = -fabs(*(wL - 1)); + *wR++ = *w++; + VecCopy(xR, x); + xR += t->ndim; + ResCopy(fR, f); + fR += t->ncomp; + } + x += t->ndim; + f += t->ncomp; + if( n && final ) wlast = w, flast = f; + } + + Reweight(t, region->bounds, wlast, flast, f, totals); + VecCopy(regionL->bounds, region->bounds); + VecCopy(regionR->bounds, region->bounds); + + boundsL = ®ionL->bounds[bisectdim]; + boundsR = ®ionR->bounds[bisectdim]; + boundsL->mid = .5*(boundsL->lower + (boundsL->upper = mid)); + boundsR->mid = .5*((boundsR->lower = mid) + boundsR->upper); + + StretchGrid(bounds->grid, boundsL->grid, boundsR->grid); + + Sample(t, nnewL, regionL, wL, xL, fL); + Sample(t, nnewR, regionR, wR, xR, fR); + + df += regionL->df + regionR->df - region->df; + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + Result *rL = ®ionL->result[comp]; + Result *rR = ®ionR->result[comp]; + Result *tot = &totals[comp]; + real diff, sigsq; + + tot->avg += diff = rL->avg + rR->avg - r->avg; + + diff = Sq(.25*diff); + sigsq = rL->sigsq + rR->sigsq; + if( sigsq > 0 ) { + creal c = Sq(1 + sqrt(diff/sigsq)); + rL->sigsq *= c; + rR->sigsq *= c; + } + rL->err = sqrt(rL->sigsq += diff); + rR->err = sqrt(rR->sigsq += diff); + + tot->sigsq += rL->sigsq + rR->sigsq - r->sigsq; + tot->err = sqrt(tot->sigsq); + + tot->chisq += rL->chisq + rR->chisq - r->chisq; + } + + free(region); + region = NULL; + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *tot = &totals[comp]; + integral[comp] = tot->avg; + error[comp] = tot->err; + prob[comp] = ChiSquare(tot->chisq, df); + } + +#ifdef MLVERSION + if( REGIONS ) { + MLPutFunction(stdlink, "List", 2); + MLPutFunction(stdlink, "List", t->nregions); + for( region = anchor; region; region = region->next ) { + real lower[NDIM], upper[NDIM]; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + lower[dim] = b->lower; + upper[dim] = b->upper; + } + + MLPutFunction(stdlink, "Cuba`Suave`region", 4); + MLPutRealList(stdlink, lower, t->ndim); + MLPutRealList(stdlink, upper, t->ndim); + + MLPutFunction(stdlink, "List", t->ncomp); + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + real res[] = {r->avg, r->err, r->chisq}; + MLPutRealList(stdlink, res, Elements(res)); + } + + MLPutInteger(stdlink, region->df); + } + } +#endif + +abort: + free(region); + + while( (region = anchor) ) { + anchor = anchor->next; + free(region); + } + + return fail; +} + diff --git a/src/suave/Sample.c b/src/suave/Sample.c new file mode 100644 index 0000000..33e0272 --- /dev/null +++ b/src/suave/Sample.c @@ -0,0 +1,171 @@ +/* + Sample.c + the sampling step of Suave + this file is part of Suave + last modified 12 Aug 11 th +*/ + + +typedef struct { + real sum, sqsum; + real weight, weightsum, avg, avgsum; + real guess, chisum, chisqsum; +} Cumulants; + +/*********************************************************************/ + +static void Sample(This *t, cnumber nnew, void *voidregion, + real *lastw, real *lastx, real *lastf) +{ + TYPEDEFREGION; + + Region *const region = (Region *)voidregion; + count comp, dim, df; + number n; + Cumulants cumul[NCOMP]; + char **ss, *s; + ccount chars = 128*(region->div + 1); + + creal jacobian = 1/ldexp((real)nnew, region->div); + real *w = lastw, *f = lastx; + bin_t *bin = (bin_t *)(lastf + nnew*t->ncomp); + + for( n = nnew; n; --n ) { + real weight = jacobian; + + t->rng.getrandom(t, f); + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + creal pos = *f*NBINS; + ccount ipos = (count)pos; + creal prev = (ipos == 0) ? 0 : b->grid[ipos - 1]; + creal diff = b->grid[ipos] - prev; + *f++ = b->lower + (prev + (pos - ipos)*diff)*(b->upper - b->lower); + *bin++ = ipos; + weight *= diff*NBINS; + } + + *w++ = weight; + } + + DoSample(t, nnew, lastx, lastf, lastw, region->div + 1); + + w[-1] = -w[-1]; + lastw = w; + w = region->w; + region->n = lastw - w; + + if( VERBOSE > 2 ) { + char *p0; + MemAlloc(ss, t->ndim*64 + t->ncomp*(sizeof(char *) + chars)); + s = (char *)(ss + t->ncomp); + p0 = s + t->ndim*64; + for( comp = 0; comp < t->ncomp; ++comp ) { + ss[comp] = p0; + p0 += chars; + } + } + + Zap(cumul); + df = n = 0; + + while( w < lastw ) { + cbool final = (*w < 0); + creal weight = fabs(*w++); + ++n; + + for( comp = 0; comp < t->ncomp; ++comp ) { + Cumulants *c = &cumul[comp]; + + creal wfun = weight*(*f++); + c->sum += wfun; + c->sqsum += Sq(wfun); + + if( final ) { + if( n > 1 ) { + real w = Weight(c->sum, c->sqsum, n); + c->weightsum += c->weight = w; + c->avgsum += c->avg = w*c->sum; + + if( VERBOSE > 2 ) { + creal sig = sqrt(1/w); + ss[comp] += (df == 0) ? + sprintf(ss[comp], "\n[" COUNT "] " + REAL " +- " REAL " (" NUMBER ")", comp + 1, + c->sum, sig, n) : + sprintf(ss[comp], "\n " + REAL " +- " REAL " (" NUMBER ")", + c->sum, sig, n); + } + + if( df == 0 ) c->guess = c->sum; + else { + c->chisum += w *= c->sum - c->guess; + c->chisqsum += w*c->sum; + } + } + + c->sum = c->sqsum = 0; + } + } + + if( final ) ++df, n = 0; + } + + region->df = --df; + + for( comp = 0; comp < t->ncomp; ++comp ) { + Result *r = ®ion->result[comp]; + Cumulants *c = &cumul[comp]; + creal sigsq = 1/c->weightsum; + creal avg = sigsq*c->avgsum; + + if( LAST ) { + r->sigsq = 1/c->weight; + r->avg = r->sigsq*c->avg; + } + else { + r->sigsq = sigsq; + r->avg = avg; + } + r->err = sqrt(r->sigsq); + + r->chisq = (sigsq < .9*NOTZERO) ? 0 : c->chisqsum - avg*c->chisum; + /* This catches the special case where the integrand is constant + over the entire region. Unless that constant is zero, only the + first set of samples will have zero variance, and hence weight + (n - 1) 1e30 (see above). All other sets have been sampled + from a non-constant weight function and therefore inevitably + show some variance. This is an artificial effect, brought about + by the fact that the constancy of the integrand in the region is + seen only in this subdivision, and can degrade the chi-square + score quite a bit. If the constancy was determined from more + than two samples (hence .9*NOTZERO), the chi-squares from the + other sets are removed here. */ + } + + if( VERBOSE > 2 ) { + char *p = s; + char *p0 = p + t->ndim*64; + + for( dim = 0; dim < t->ndim; ++dim ) { + cBounds *b = ®ion->bounds[dim]; + p += sprintf(p, + (dim == 0) ? "\nRegion (" REALF ") - (" REALF ")" : + "\n (" REALF ") - (" REALF ")", + b->lower, b->upper); + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + cResult *r = ®ion->result[comp]; + p += sprintf(p, "%s \tchisq " REAL " (" COUNT " df)", + p0, r->chisq, df); + p0 += chars; + } + + Print(s); + free(ss); + } +} + diff --git a/src/suave/Suave.c b/src/suave/Suave.c new file mode 100644 index 0000000..bad5407 --- /dev/null +++ b/src/suave/Suave.c @@ -0,0 +1,91 @@ +/* + Suave.c + Subregion-adaptive Vegas Monte-Carlo integration + by Thomas Hahn + last modified 27 Sep 11 th +*/ + + +#include "decl.h" + +#define Print(s) puts(s); fflush(stdout) + +/*********************************************************************/ + +#define SUAVE +#include "DoSample.c" + +/*********************************************************************/ + +#include "common.c" + +Extern void EXPORT(Suave)(ccount ndim, ccount ncomp, + Integrand integrand, void *userdata, + creal epsrel, creal epsabs, + cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cnumber nnew, creal flatness, + count *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.nnew = nnew; + t.flatness = flatness; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + WaitCores(&t); +} + +/*********************************************************************/ + +Extern void EXPORT(suave)(ccount *pndim, ccount *pncomp, + Integrand integrand, void *userdata, + creal *pepsrel, creal *pepsabs, + cint *pflags, cint *pseed, + cnumber *pmineval, cnumber *pmaxeval, + cnumber *pnnew, creal *pflatness, + count *pnregions, number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = *pndim; + t.ncomp = *pncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = *pepsrel; + t.epsabs = *pepsabs; + t.flags = *pflags; + t.seed = *pseed; + t.mineval = *pmineval; + t.maxeval = *pmaxeval; + t.nnew = *pnnew; + t.flatness = *pflatness; + t.nregions = 0; + t.neval = 0; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pnregions = t.nregions; + *pneval = t.neval; + + WaitCores(&t); +} + diff --git a/src/suave/Suave.tm b/src/suave/Suave.tm new file mode 100644 index 0000000..4733d75 --- /dev/null +++ b/src/suave/Suave.tm @@ -0,0 +1,290 @@ +:Evaluate: BeginPackage["Cuba`"] + +:Evaluate: Suave::usage = + "Suave[f, {x, xmin, xmax}..] computes a numerical approximation to the integral of the real scalar or vector function f. + The output is a list with entries of the form {integral, error, chi-square probability} for each component of the integrand." + +:Evaluate: NNew::usage = "NNew is an option of Suave. + It specifies the number of new integrand evaluations in each subdivision." + +:Evaluate: Flatness::usage = "Flatness is an option of Suave. + It determines how prominently individual samples with a large fluctuation figure in the total fluctuation, which in turn determines how a region is split up. + Explicitly, if F[i] is the individual fluctuation of sample i, the total fluctuation is computed as Sum[(1 + F[i])^p, {i, nsamples}]^(2/3/p), i.e. as the p-norm of the fluctuation vector to the power 2/3, where p is the number given by Flatness. + Thus with increasing p, the fluctuation becomes more and more dominated by outliers, i.e. points with a large fluctuation. + As suggested by the name Flatness, p should be chosen large for `flat' integrands and small for `volatile' integrands with high peaks. + Note that since p appears in the exponent, one should not use too large values (say, no more than a few hundred) lest terms be truncated internally to prevent overflow." + +:Evaluate: MinPoints::usage = "MinPoints is an option of Suave. + It specifies the minimum number of points to sample." + +:Evaluate: Final::usage = "Final is an option of Suave. + It can take the values Last or All which determine whether only the last (largest) or all sets of samples collected on a subregion over the iterations contribute to the final result." + +:Evaluate: PseudoRandom::usage = "PseudoRandom is an option of Suave. + It can take the following values: + False for Sobol quasi-random numbers (default), + True or 0 for Mersenne Twister pseudo-random numbers, + any other integer value n for Ranlux pseudo-random numbers of luxury level n." + +:Evaluate: PseudoRandomSeed::usage = "PseudoRandomSeed is an option of Suave. + It specifies the seed for the pseudo-random number generator." + +:Evaluate: SharpEdges::usage = "SharpEdges is an option of Suave. + It turns off smoothing of the importance function for integrands with sharp edges." + +:Evaluate: Regions::usage = "Regions is an option of Suave. + It specifies whether the regions into which the integration region has been cut are returned together with the integration results." + +:Evaluate: Region::usage = "Region[ll, ur, res, df] describes a subregion: + ll and ur are multidimensional equivalents of the region's lower left and upper right corner. + res gives the integration results for the region in a list with entries of the form {integral, error, chi-square} for each component of the integrand. + df is the number of degrees of freedom corresponding to the chi-square values in res." + +:Evaluate: $Weight::usage = "$Weight is a global variable set by Suave during the evaluation of the integrand to the weight of the point being sampled." + +:Evaluate: $Iteration::usage = "$Iteration is a global variable set by Suave during the evaluation of the integrand to the present iteration number." + +:Evaluate: MapSample::usage = "MapSample is a function used to map the integrand over the points to be sampled." + + +:Evaluate: Begin["`Suave`"] + +:Begin: +:Function: Suave +:Pattern: MLSuave[ndim_, ncomp_, + epsrel_, epsabs_, flags_, seed_, + mineval_, maxeval_, + nnew_, flatness_] +:Arguments: {ndim, ncomp, + epsrel, epsabs, flags, seed, + mineval, maxeval, + nnew, flatness} +:ArgumentTypes: {Integer, Integer, + Real, Real, Integer, Integer, + Integer, Integer, + Integer, Real} +:ReturnType: Manual +:End: + +:Evaluate: Attributes[Suave] = {HoldFirst} + +:Evaluate: Options[Suave] = {PrecisionGoal -> 3, AccuracyGoal -> 12, + MinPoints -> 0, MaxPoints -> 50000, NNew -> 1000, Flatness -> 50, + Verbose -> 1, Final -> Last, + PseudoRandom -> False, PseudoRandomSeed -> 5489, + SharpEdges -> False, Regions -> False, Compiled -> True} + +:Evaluate: Suave[f_, v:{_, _, _}.., opt___Rule] := + Block[ {ff = HoldForm[f], ndim = Length[{v}], ncomp, + tags, vars, lower, range, jac, tmp, defs, intT, + rel, abs, mineval, maxeval, nnew, flatness, + verbose, final, level, seed, edges, regions, compiled, + $Weight, $Iteration}, + Message[Suave::optx, #, Suave]&/@ + Complement[First/@ {opt}, tags = First/@ Options[Suave]]; + {rel, abs, mineval, maxeval, nnew, flatness, + verbose, final, level, seed, edges, regions, compiled} = + tags /. {opt} /. Options[Suave]; + {vars, lower, range} = Transpose[{v}]; + jac = Simplify[Times@@ (range -= lower)]; + tmp = Array[tmpvar, ndim]; + defs = Simplify[lower + range tmp]; + Block[{Set}, define[compiled, tmp, Thread[vars = defs], jac]]; + intT = integrandT[f]; + Block[#, + ncomp = Length[intT@@ RandomReal[1, ndim]]; + MLSuave[ndim, ncomp, 10.^-rel, 10.^-abs, + Min[Max[verbose, 0], 3] + + If[final === Last, 4, 0] + + If[TrueQ[edges], 8, 0] + + If[TrueQ[regions], 128, 0] + + If[IntegerQ[level], 256 level, 0], + If[level =!= False && IntegerQ[seed], seed, 0], + mineval, maxeval, + nnew, flatness] + ]& @ vars + ] + +:Evaluate: tmpvar[n_] := ToExpression["Cuba`Suave`t" <> ToString[n]] + +:Evaluate: Attributes[foo] = {HoldAll} + +:Evaluate: define[True, tmp_, defs_, jac_] := ( + TtoX := TtoX = Compile[tmp, defs]; + integrandT[f_] := Compile[tmp, eval[defs, Chop[f jac]//N], + {{_eval, _Real, 1}}] ) + +:Evaluate: define[_, tmp_, defs_, jac_] := ( + TtoX := TtoX = Function[tmp, defs]; + integrandT[f_] := Function[tmp, eval[defs, Chop[f jac]//N]] ) + +:Evaluate: eval[_, f_Real] = {f} + +:Evaluate: eval[_, f:{__Real}] = f + +:Evaluate: eval[x_, _] := (Message[Suave::badsample, ff, x]; {}) + +:Evaluate: sample[x_, w_, iter_] := ( + $Iteration = iter; + Check[Flatten @ MapSample[ + ($Weight = #[[1]]; intT@@ #[[2]])&, + Transpose[{w, Partition[x, ndim]}] ], {}] ) + +:Evaluate: MapSample = Map + +:Evaluate: region[ll_, ur_, r___] := Region[TtoX@@ ll, TtoX@@ ur, r] + +:Evaluate: Suave::badsample = "`` is not a real-valued function at ``." + +:Evaluate: Suave::baddim = "Cannot integrate in `` dimensions." + +:Evaluate: Suave::badcomp = "Cannot integrate `` components." + +:Evaluate: Suave::accuracy = + "Desired accuracy was not reached within `` function evaluations on `` subregions." + +:Evaluate: Suave::success = "Needed `` function evaluations on `` subregions." + +:Evaluate: End[] + +:Evaluate: EndPackage[] + + +/* + Suave.tm + Subregion-adaptive Vegas Monte Carlo integration + by Thomas Hahn + last modified 12 Aug 11 th +*/ + + +#include "mathlink.h" +#include "decl.h" + +/*********************************************************************/ + +static void Status(MLCONST char *msg, cint n1, cint n2) +{ + MLPutFunction(stdlink, "CompoundExpression", 2); + MLPutFunction(stdlink, "Message", 3); + MLPutFunction(stdlink, "MessageName", 2); + MLPutSymbol(stdlink, "Suave"); + MLPutString(stdlink, msg); + MLPutInteger(stdlink, n1); + MLPutInteger(stdlink, n2); +} + +/*********************************************************************/ + +static void Print(MLCONST char *s) +{ + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Print", 1); + MLPutString(stdlink, s); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + MLNewPacket(stdlink); +} + +/*********************************************************************/ + +static void DoSample(This *t, cnumber n, real *x, real *f, + real *w, cint iter) +{ + real *mma_f; + long mma_n; + + if( MLAbort ) longjmp(t->abort, -99); + + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Cuba`Suave`sample", 3); + MLPutRealList(stdlink, x, n*t->ndim); + MLPutRealList(stdlink, w, n); + MLPutInteger(stdlink, iter); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + if( !MLGetRealList(stdlink, &mma_f, &mma_n) ) { + MLClearError(stdlink); + MLNewPacket(stdlink); + longjmp(t->abort, -99); + } + + if( mma_n != n*t->ncomp ) { + MLDisownRealList(stdlink, mma_f, mma_n); + longjmp(t->abort, -3); + } + + Copy(f, mma_f, n*t->ncomp); + MLDisownRealList(stdlink, mma_f, mma_n); + + t->neval += n; +} + +/*********************************************************************/ + +#include "common.c" + +static inline void DoIntegrate(This *t) +{ + real integral[NCOMP], error[NCOMP], prob[NCOMP]; + cint fail = Integrate(t, integral, error, prob); + + if( fail < 0 ) { + switch( fail ) { + case -99: + MLPutFunction(stdlink, "Abort", 0); + return; + case -1: + Status("baddim", t->ndim, 0); + break; + case -2: + Status("badcomp", t->ncomp, 0); + break; + } + MLPutSymbol(stdlink, "$Failed"); + } + else { + Status(fail ? "accuracy" : "success", t->neval, t->nregions); + MLPutFunction(stdlink, "Thread", 1); + MLPutFunction(stdlink, "List", 3); + MLPutRealList(stdlink, integral, t->ncomp); + MLPutRealList(stdlink, error, t->ncomp); + MLPutRealList(stdlink, prob, t->ncomp); + } +} + +/*********************************************************************/ + +void Suave(cint ndim, cint ncomp, + creal epsrel, creal epsabs, + cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cnumber nnew, creal flatness) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.nnew = nnew; + t.flatness = flatness; + t.nregions = 0; + t.neval = 0; + + DoIntegrate(&t); + MLEndPacket(stdlink); +} + +/*********************************************************************/ + +int main(int argc, char **argv) +{ + return MLMain(argc, argv); +} + diff --git a/src/suave/common.c b/src/suave/common.c new file mode 100644 index 0000000..1325911 --- /dev/null +++ b/src/suave/common.c @@ -0,0 +1,33 @@ +/* + common.c + includes most of the modules + this file is part of Suave + last modified 2 Jun 10 th +*/ + + +#define RegionAlloc(p, n, nnew) MemAlloc(p, \ + sizeof(Region) + \ + (n)*(t->ndim + t->ncomp + 1)*sizeof(real) + \ + (nnew)*t->ndim*sizeof(bin_t)) + +static inline bool BadDimension(cThis *t) +{ + if( t->ndim > NDIM ) return true; + return t->ndim < SOBOL_MINDIM || + (t->seed == 0 && t->ndim > SOBOL_MAXDIM); +} + +static inline bool BadComponent(cThis *t) +{ + if( t->ncomp > NCOMP ) return true; + return t->ncomp < 1; +} + +#include "Random.c" +#include "ChiSquare.c" +#include "Grid.c" +#include "Sample.c" +#include "Fluct.c" +#include "Integrate.c" + diff --git a/src/suave/decl.h b/src/suave/decl.h new file mode 100644 index 0000000..12ec957 --- /dev/null +++ b/src/suave/decl.h @@ -0,0 +1,70 @@ +/* + decl.h + Type declarations + this file is part of Suave + last modified 4 Oct 11 th +*/ + + +#include "stddecl.h" + +#define MINSAMPLES 10 + +#define NBINS 64 + +typedef unsigned char bin_t; +/* Note: bin_t must be wide enough to hold the numbers 0..NBINS */ + +typedef const bin_t cbin_t; + +typedef real Grid[NBINS]; + +typedef const Grid cGrid; + +typedef struct { + real avg, err, sigsq, chisq; +} Result; + +typedef const Result cResult; + +typedef struct { + real lower, upper, mid; + Grid grid; +} Bounds; + +typedef const Bounds cBounds; + +typedef int (*Integrand)(ccount *, creal *, ccount *, real *, + void *, creal *, cint *); + +typedef struct _this { + count ndim, ncomp; +#ifndef MLVERSION + Integrand integrand; + void *userdata; + int ncores, *child; +#endif + real epsrel, epsabs; + int flags, seed; + number mineval, maxeval; + number nnew; + real flatness; + count nregions; + number neval; + RNGState rng; + jmp_buf abort; +} This; + +typedef const This cThis; + +#define TYPEDEFREGION \ + typedef struct region { \ + struct region *next; \ + count div, df; \ + number n; \ + Result result[NCOMP]; \ + Bounds bounds[NDIM]; \ + real fluct[NCOMP][NDIM][2]; \ + real w[]; \ + } Region + diff --git a/src/vegas/Grid.c b/src/vegas/Grid.c new file mode 100644 index 0000000..e99138f --- /dev/null +++ b/src/vegas/Grid.c @@ -0,0 +1,99 @@ +/* + Grid.c + utility functions for the Vegas grid + this file is part of Vegas + last modified 28 May 10 th +*/ + + +static inline void GetGrid(cThis *t, Grid *grid) +{ + count bin, dim; + unsigned const int slot = abs(t->gridno) - 1; + + if( t->gridno < 0 && slot < MAXGRIDS ) griddim_[slot] = 0; + + if( slot < MAXGRIDS && gridptr_[slot] ) { + if( griddim_[slot] == t->ndim ) { + VecCopy(grid, gridptr_[slot]); + return; + } + free(gridptr_[slot]); + gridptr_[slot] = NULL; + } + + for( bin = 0; bin < NBINS; ++bin ) + grid[0][bin] = (bin + 1)/(real)NBINS; + for( dim = 1; dim < t->ndim; ++dim ) + Copy(&grid[dim], &grid[0], 1); +} + +/*********************************************************************/ + +static inline void PutGrid(cThis *t, Grid *grid) +{ + unsigned const int slot = abs(t->gridno) - 1; + + if( slot < MAXGRIDS ) { + if( gridptr_[slot] == NULL ) Alloc(gridptr_[slot], t->ndim); + griddim_[slot] = t->ndim; + VecCopy(gridptr_[slot], grid); + } +} + +/*********************************************************************/ + +static void RefineGrid(cThis *t, Grid grid, Grid margsum) +{ + real avgperbin, thisbin, newcur, delta; + Grid imp, newgrid; + int bin, newbin; + + /* smooth the f^2 value stored for each bin */ + real prev = margsum[0]; + real cur = margsum[1]; + real norm = margsum[0] = .5*(prev + cur); + for( bin = 1; bin < NBINS - 1; ++bin ) { + creal s = prev + cur; + prev = cur; + cur = margsum[bin + 1]; + norm += margsum[bin] = (s + cur)/3.; + } + norm += margsum[NBINS - 1] = .5*(prev + cur); + + if( norm == 0 ) return; + norm = 1/norm; + + /* compute the importance function for each bin */ + avgperbin = 0; + for( bin = 0; bin < NBINS; ++bin ) { + real impfun = 0; + if( margsum[bin] > 0 ) { + creal r = margsum[bin]*norm; + avgperbin += impfun = pow((r - 1)/log(r), 1.5); + } + imp[bin] = impfun; + } + avgperbin /= NBINS; + + /* redefine the size of each bin */ + cur = newcur = 0; + thisbin = 0; + bin = -1; + for( newbin = 0; newbin < NBINS - 1; ++newbin ) { + while( thisbin < avgperbin ) { + thisbin += imp[++bin]; + prev = cur; + cur = grid[bin]; + } + thisbin -= avgperbin; + delta = (cur - prev)*thisbin; + newgrid[newbin] = SHARPEDGES ? + cur - delta/imp[bin] : + (newcur = Max(newcur, + cur - 2*delta/(imp[bin] + imp[IDim(bin - 1)]))); + } + Copy(grid, newgrid, NBINS - 1); + grid[NBINS - 1] = 1; +} + diff --git a/src/vegas/Integrate.c b/src/vegas/Integrate.c new file mode 100644 index 0000000..efa582e --- /dev/null +++ b/src/vegas/Integrate.c @@ -0,0 +1,239 @@ +/* + Integrate.c + integrate over the unit hypercube + this file is part of Vegas + last modified 19 Aug 11 th +*/ + + +static int Integrate(This *t, real *integral, real *error, real *prob) +{ + real *sample; + count dim, comp; + int fail; + struct { + count niter; + number nsamples, neval; + Cumulants cumul[NCOMP]; + Grid grid[NDIM]; + } state; + int statemsg = VERBOSE; + struct stat st; + + if( VERBOSE > 1 ) { + char s[512]; + sprintf(s, "Vegas input parameters:\n" + " ndim " COUNT "\n ncomp " COUNT "\n" + " epsrel " REAL "\n epsabs " REAL "\n" + " flags %d\n seed %d\n" + " mineval " NUMBER "\n maxeval " NUMBER "\n" + " nstart " NUMBER "\n nincrease " NUMBER "\n" + " nbatch " NUMBER "\n gridno %d\n" + " statefile \"%s\"", + t->ndim, t->ncomp, + t->epsrel, t->epsabs, + t->flags, t->seed, + t->mineval, t->maxeval, + t->nstart, t->nincrease, t->nbatch, + t->gridno, t->statefile); + Print(s); + } + + if( BadComponent(t) ) return -2; + if( BadDimension(t) ) return -1; + + SamplesAlloc(sample); + + if( (fail = setjmp(t->abort)) ) goto abort; + + IniRandom(t); + + if( t->statefile && *t->statefile == 0 ) t->statefile = NULL; + + if( t->statefile && + stat(t->statefile, &st) == 0 && + st.st_size == sizeof state && (st.st_mode & 0400) ) { + cint h = open(t->statefile, O_RDONLY); + read(h, &state, sizeof state); + close(h); + t->rng.skiprandom(t, t->neval = state.neval); + + if( VERBOSE ) { + char s[256]; + sprintf(s, "\nRestoring state from %s.", t->statefile); + Print(s); + } + } + else { + state.niter = 0; + state.nsamples = t->nstart; + Zap(state.cumul); + GetGrid(t, state.grid); + } + + /* main iteration loop */ + + for( ; ; ) { + number nsamples = state.nsamples; + creal jacobian = 1./nsamples; + Grid margsum[NCOMP][NDIM]; + + Zap(margsum); + + for( ; nsamples > 0; nsamples -= t->nbatch ) { + cnumber n = IMin(t->nbatch, nsamples); + real *w = sample; + real *x = w + n; + real *f = x + n*t->ndim; + real *lastf = f + n*t->ncomp; + bin_t *bin = (bin_t *)lastf; + + while( x < f ) { + real weight = jacobian; + + t->rng.getrandom(t, x); + + for( dim = 0; dim < t->ndim; ++dim ) { + creal pos = *x*NBINS; + ccount ipos = (count)pos; + creal prev = (ipos == 0) ? 0 : state.grid[dim][ipos - 1]; + creal diff = state.grid[dim][ipos] - prev; + *x++ = prev + (pos - ipos)*diff; + *bin++ = ipos; + weight *= diff*NBINS; + } + + *w++ = weight; + } + + DoSample(t, n, w, f, sample, state.niter + 1); + + w = sample; + bin = (bin_t *)lastf; + + while( f < lastf ) { + creal weight = *w++; + + for( comp = 0; comp < t->ncomp; ++comp ) { + real wfun = weight*(*f++); + if( wfun ) { + Cumulants *c = &state.cumul[comp]; + Grid *m = margsum[comp]; + + c->sum += wfun; + c->sqsum += wfun *= wfun; + for( dim = 0; dim < t->ndim; ++dim ) + m[dim][bin[dim]] += wfun; + } + } + + bin += t->ndim; + } + } + + fail = 0; + + /* compute the integral and error values */ + + for( comp = 0; comp < t->ncomp; ++comp ) { + Cumulants *c = &state.cumul[comp]; + real avg, sigsq; + real w = Weight(c->sum, c->sqsum, state.nsamples); + + sigsq = 1/(c->weightsum += w); + avg = sigsq*(c->avgsum += w*c->sum); + + c->avg = LAST ? (sigsq = 1/w, c->sum) : avg; + c->err = sqrt(sigsq); + fail |= (c->err > MaxErr(c->avg)); + + if( state.niter == 0 ) c->guess = c->sum; + else { + c->chisum += w *= c->sum - c->guess; + c->chisqsum += w*c->sum; + } + c->chisq = c->chisqsum - avg*c->chisum; + + c->sum = c->sqsum = 0; + } + + if( VERBOSE ) { + char s[128 + 128*NCOMP], *p = s; + + p += sprintf(p, "\n" + "Iteration " COUNT ": " NUMBER " integrand evaluations so far", + state.niter + 1, t->neval); + + for( comp = 0; comp < t->ncomp; ++comp ) { + cCumulants *c = &state.cumul[comp]; + p += sprintf(p, "\n[" COUNT "] " + REAL " +- " REAL " \tchisq " REAL " (" COUNT " df)", + comp + 1, c->avg, c->err, c->chisq, state.niter); + } + + Print(s); + } + + if( fail == 0 && t->neval >= t->mineval ) { + if( t->statefile ) unlink(t->statefile); + break; + } + + if( t->neval >= t->maxeval && t->statefile == NULL ) break; + + if( t->ncomp == 1 ) + for( dim = 0; dim < t->ndim; ++dim ) + RefineGrid(t, state.grid[dim], margsum[0][dim]); + else { + for( dim = 0; dim < t->ndim; ++dim ) { + Grid wmargsum; + Zap(wmargsum); + for( comp = 0; comp < t->ncomp; ++comp ) { + real w = state.cumul[comp].avg; + if( w != 0 ) { + creal *m = margsum[comp][dim]; + count bin; + w = 1/Sq(w); + for( bin = 0; bin < NBINS; ++bin ) + wmargsum[bin] += w*m[bin]; + } + } + RefineGrid(t, state.grid[dim], wmargsum); + } + } + + ++state.niter; + state.nsamples += t->nincrease; + + if( t->statefile ) { + cint h = creat(t->statefile, 0666); + if( h != -1 ) { + state.neval = t->neval; + write(h, &state, sizeof state); + close(h); + + if( statemsg ) { + char s[256]; + sprintf(s, "\nSaving state to %s.", t->statefile); + Print(s); + statemsg = false; + } + } + if( t->neval >= t->maxeval ) break; + } + } + + for( comp = 0; comp < t->ncomp; ++comp ) { + cCumulants *c = &state.cumul[comp]; + integral[comp] = c->avg; + error[comp] = c->err; + prob[comp] = ChiSquare(c->chisq, state.niter); + } + +abort: + free(sample); + PutGrid(t, state.grid); + + return fail; +} + diff --git a/src/vegas/Vegas.c b/src/vegas/Vegas.c new file mode 100644 index 0000000..08c331f --- /dev/null +++ b/src/vegas/Vegas.c @@ -0,0 +1,105 @@ +/* + Vegas.c + Vegas Monte-Carlo integration + by Thomas Hahn + last modified 27 Sep 11 th +*/ + + +#include "decl.h" + +#define Print(s) puts(s); fflush(stdout) + +/*********************************************************************/ + +#define VEGAS +#include "DoSample.c" + +/*********************************************************************/ + +#include "common.c" + +Extern void EXPORT(Vegas)(ccount ndim, ccount ncomp, + Integrand integrand, void *userdata, + creal epsrel, creal epsabs, cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cnumber nstart, cnumber nincrease, cnumber nbatch, + cint gridno, cchar *statefile, + number *pneval, int *pfail, + real *integral, real *error, real *prob) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.nstart = nstart; + t.nincrease = nincrease; + t.nbatch = nbatch; + t.gridno = gridno; + t.statefile = statefile; + t.neval = 0; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pneval = t.neval; + + WaitCores(&t); +} + +/*********************************************************************/ + +Extern void EXPORT(vegas)(ccount *pndim, ccount *pncomp, + Integrand integrand, void *userdata, + creal *pepsrel, creal *pepsabs, cint *pflags, cint *pseed, + cnumber *pmineval, cnumber *pmaxeval, + cnumber *pnstart, cnumber *pnincrease, + cnumber *pnbatch, cint *pgridno, cchar *statefile, + number *pneval, int *pfail, + real *integral, real *error, real *prob, int statefilelen) +{ + char *s = NULL; + This t; + t.ndim = *pndim; + t.ncomp = *pncomp; + t.integrand = integrand; + t.userdata = userdata; + t.epsrel = *pepsrel; + t.epsabs = *pepsabs; + t.flags = *pflags; + t.seed = *pseed; + t.mineval = *pmineval; + t.maxeval = *pmaxeval; + t.nstart = *pnstart; + t.nincrease = *pnincrease; + t.nbatch = *pnbatch; + t.gridno = *pgridno; + t.neval = 0; + + if( statefile ) { + /* strip trailing spaces */ + while( statefilelen > 0 && statefile[statefilelen - 1] == ' ' ) + --statefilelen; + if( statefilelen > 0 && (s = malloc(statefilelen + 1)) ) { + memcpy(s, statefile, statefilelen); + s[statefilelen] = 0; + } + } + t.statefile = s; + + ForkCores(&t); + + *pfail = Integrate(&t, integral, error, prob); + *pneval = t.neval; + + free(s); + WaitCores(&t); +} + diff --git a/src/vegas/Vegas.tm b/src/vegas/Vegas.tm new file mode 100644 index 0000000..039beed --- /dev/null +++ b/src/vegas/Vegas.tm @@ -0,0 +1,292 @@ +:Evaluate: BeginPackage["Cuba`"] + +:Evaluate: Vegas::usage = "Vegas[f, {x, xmin, xmax}..] computes a numerical approximation to the integral of the real scalar or vector function f. + The output is a list with entries of the form {integral, error, chi-square probability} for each component of the integrand." + +:Evaluate: NStart::usage = "NStart is an option of Vegas. + It specifies the number of integrand evaluations per iteration to start with." + +:Evaluate: NIncrease::usage = "NIncrease is an option of Vegas. + It specifies the increase in the number of integrand evaluations per iteration." + +:Evaluate: NBatch::usage = "NBatch is an option of Vegas. + It specifies how many points are sent in one MathLink packet to be sampled by Mathematica." + +:Evaluate: GridNo::usage = "GridNo is an option of Vegas. + Vegas maintains an internal table in which it can memorize up to 10 grids, to be used on subsequent integrations. + A GridNo between 1 and 10 selects the slot in this internal table. + For other values the grid is initialized from scratch and discarded at the end of the integration." + +:Evaluate: StateFile::usage = "StateFile is an option of Vegas. + It specifies a file in which the internal state is stored after each iteration and from which it can be restored on a subsequent run. + The state file is removed once the prescribed accuracy has been reached." + +:Evaluate: MinPoints::usage = "MinPoints is an option of Vegas. + It specifies the minimum number of points to sample." + +:Evaluate: Final::usage = "Final is an option of Vegas. + It can take the values Last or All which determine whether only the last (largest) or all of the samples collected on a subregion over the iterations contribute to the final result." + +:Evaluate: PseudoRandom::usage = "PseudoRandom is an option of Vegas. + It can take the following values: + False for Sobol quasi-random numbers (default), + True or 0 for Mersenne Twister pseudo-random numbers, + any other integer value n for Ranlux pseudo-random numbers of luxury level n." + +:Evaluate: PseudoRandomSeed::usage = "PseudoRandomSeed is an option of Vegas. + It specifies the seed for the pseudo-random number generator." + +:Evaluate: SharpEdges::usage = "SharpEdges is an option of Vegas. + It turns off smoothing of the importance function for integrands with sharp edges." + +:Evaluate: $Weight::usage = "$Weight is a global variable set by Vegas during the evaluation of the integrand to the weight of the point being sampled." + +:Evaluate: $Iteration::usage = "$Iteration is a global variable set by Suave during the evaluation of the integrand to the present iteration number." + +:Evaluate: MapSample::usage = "MapSample is a function used to map the integrand over the points to be sampled." + + +:Evaluate: Begin["`Vegas`"] + +:Begin: +:Function: Vegas +:Pattern: MLVegas[ndim_, ncomp_, + epsrel_, epsabs_, flags_, seed_, + mineval_, maxeval_, + nstart_, nincrease_, nbatch_, + gridno_, statefile_] +:Arguments: {ndim, ncomp, + epsrel, epsabs, flags, seed, + mineval, maxeval, + nstart, nincrease, nbatch, + gridno, statefile} +:ArgumentTypes: {Integer, Integer, + Real, Real, Integer, Integer, + Integer, Integer, + Integer, Integer, Integer, + Integer, String} +:ReturnType: Manual +:End: + +:Evaluate: Attributes[Vegas] = {HoldFirst} + +:Evaluate: Options[Vegas] = {PrecisionGoal -> 3, AccuracyGoal -> 12, + MinPoints -> 0, MaxPoints -> 50000, + NStart -> 1000, NIncrease -> 500, + NBatch -> 1000, GridNo -> 0, StateFile -> "", + Verbose -> 1, Final -> All, + PseudoRandom -> False, PseudoRandomSeed -> 5489, + SharpEdges -> False, Compiled -> True} + +:Evaluate: Vegas[f_, v:{_, _, _}.., opt___Rule] := + Block[ {ff = HoldForm[f], ndim = Length[{v}], ncomp, + tags, vars, lower, range, jac, tmp, defs, intT, + rel, abs, mineval, maxeval, nstart, nincrease, nbatch, + gridno, verbose, final, level, seed, edges, compiled, + $Weight, $Iteration}, + Message[Vegas::optx, #, Vegas]&/@ + Complement[First/@ {opt}, tags = First/@ Options[Vegas]]; + {rel, abs, mineval, maxeval, nstart, nincrease, nbatch, + gridno, state, verbose, final, level, seed, edges, compiled} = + tags /. {opt} /. Options[Vegas]; + {vars, lower, range} = Transpose[{v}]; + jac = Simplify[Times@@ (range -= lower)]; + tmp = Array[tmpvar, ndim]; + defs = Simplify[lower + range tmp]; + Block[{Set}, define[compiled, tmp, Thread[vars = defs], jac]]; + intT = integrandT[f]; + Block[#, + ncomp = Length[intT@@ RandomReal[1, ndim]]; + MLVegas[ndim, ncomp, 10.^-rel, 10.^-abs, + Min[Max[verbose, 0], 3] + + If[final === Last, 4, 0] + + If[TrueQ[edges], 8, 0] + If[IntegerQ[level], 256 level, 0], + If[level =!= False && IntegerQ[seed], seed, 0], + mineval, maxeval, + nstart, nincrease, nbatch, + gridno, state] + ]& @ vars + ] + +:Evaluate: tmpvar[n_] := ToExpression["Cuba`Vegas`t" <> ToString[n]] + +:Evaluate: Attributes[foo] = {HoldAll} + +:Evaluate: define[True, tmp_, defs_, jac_] := + integrandT[f_] := Compile[tmp, eval[defs, Chop[f jac]//N], + {{_eval, _Real, 1}}] + +:Evaluate: define[_, tmp_, defs_, jac_] := + integrandT[f_] := Function[tmp, eval[defs, Chop[f jac]//N]] + +:Evaluate: eval[_, f_Real] = {f} + +:Evaluate: eval[_, f:{__Real}] = f + +:Evaluate: eval[x_, _] := (Message[Vegas::badsample, ff, x]; {}) + +:Evaluate: sample[x_, w_, iter_] := ( + $Iteration = iter; + Check[Flatten @ MapSample[ + ($Weight = #[[1]]; intT@@ #[[2]])&, + Transpose[{w, Partition[x, ndim]}] ], {}] ) + +:Evaluate: MapSample = Map + +:Evaluate: Vegas::badsample = "`` is not a real-valued function at ``." + +:Evaluate: Vegas::baddim = "Cannot integrate in `` dimensions." + +:Evaluate: Vegas::badcomp = "Cannot integrate `` components." + +:Evaluate: Vegas::accuracy = + "Desired accuracy was not reached within `` function evaluations." + +:Evaluate: Vegas::success = "Needed `` function evaluations." + +:Evaluate: End[] + +:Evaluate: EndPackage[] + + +/* + Vegas.tm + Vegas Monte Carlo integration + by Thomas Hahn + last modified 12 Aug 11 th +*/ + + +#include "mathlink.h" +#include "decl.h" + +/*********************************************************************/ + +static void Status(MLCONST char *msg, cint n) +{ + MLPutFunction(stdlink, "CompoundExpression", 2); + MLPutFunction(stdlink, "Message", 2); + MLPutFunction(stdlink, "MessageName", 2); + MLPutSymbol(stdlink, "Vegas"); + MLPutString(stdlink, msg); + MLPutInteger(stdlink, n); +} + +/*********************************************************************/ + +static void Print(MLCONST char *s) +{ + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Print", 1); + MLPutString(stdlink, s); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + MLNewPacket(stdlink); +} + +/*********************************************************************/ + +static void DoSample(This *t, cnumber n, real *x, real *f, + real *w, cint iter) +{ + real *mma_f; + long mma_n; + + if( MLAbort ) longjmp(t->abort, -99); + + MLPutFunction(stdlink, "EvaluatePacket", 1); + MLPutFunction(stdlink, "Cuba`Vegas`sample", 3); + MLPutRealList(stdlink, x, n*t->ndim); + MLPutRealList(stdlink, w, n); + MLPutInteger(stdlink, iter); + MLEndPacket(stdlink); + + MLNextPacket(stdlink); + if( !MLGetRealList(stdlink, &mma_f, &mma_n) ) { + MLClearError(stdlink); + MLNewPacket(stdlink); + longjmp(t->abort, -99); + } + + if( mma_n != n*t->ncomp ) { + MLDisownRealList(stdlink, mma_f, mma_n); + longjmp(t->abort, -3); + } + + Copy(f, mma_f, n*t->ncomp); + MLDisownRealList(stdlink, mma_f, mma_n); + + t->neval += n; +} + +/*********************************************************************/ + +#include "common.c" + +static inline void DoIntegrate(This *t) +{ + real integral[NCOMP], error[NCOMP], prob[NCOMP]; + cint fail = Integrate(t, integral, error, prob); + + if( fail < 0 ) { + switch( fail ) { + case -99: + MLPutFunction(stdlink, "Abort", 0); + return; + case -1: + Status("baddim", t->ndim); + break; + case -2: + Status("badcomp", t->ncomp); + break; + } + MLPutSymbol(stdlink, "$Failed"); + } + else { + Status(fail ? "accuracy" : "success", t->neval); + MLPutFunction(stdlink, "Thread", 1); + MLPutFunction(stdlink, "List", 3); + MLPutRealList(stdlink, integral, t->ncomp); + MLPutRealList(stdlink, error, t->ncomp); + MLPutRealList(stdlink, prob, t->ncomp); + } +} + +/*********************************************************************/ + +void Vegas(cint ndim, cint ncomp, + creal epsrel, creal epsabs, + cint flags, cint seed, + cnumber mineval, cnumber maxeval, + cnumber nstart, cnumber nincrease, cint nbatch, + cint gridno, cchar *statefile) +{ + This t; + t.ndim = ndim; + t.ncomp = ncomp; + t.epsrel = epsrel; + t.epsabs = epsabs; + t.flags = flags; + t.seed = seed; + t.mineval = mineval; + t.maxeval = maxeval; + t.nstart = nstart; + t.nincrease = nincrease; + t.nbatch = nbatch; + t.gridno = gridno; + t.statefile = statefile; + t.neval = 0; + + DoIntegrate(&t); + MLEndPacket(stdlink); +} + +/*********************************************************************/ + +int main(int argc, char **argv) +{ + return MLMain(argc, argv); +} + diff --git a/src/vegas/common.c b/src/vegas/common.c new file mode 100644 index 0000000..fe6a0d7 --- /dev/null +++ b/src/vegas/common.c @@ -0,0 +1,31 @@ +/* + common.c + Code common to Vegas.c and Vegas.tm + this file is part of Vegas + last modified 6 Jun 10 th +*/ + + +#include "Random.c" +#include "ChiSquare.c" +#include "Grid.c" + +#define SamplesAlloc(p) MemAlloc(p, \ + t->nbatch*((t->ndim + t->ncomp + 1)*sizeof(real) + \ + t->ndim*sizeof(bin_t))) + +static inline bool BadDimension(cThis *t) +{ + if( t->ndim > NDIM ) return true; + return t->ndim < SOBOL_MINDIM || + (t->seed == 0 && t->ndim > SOBOL_MAXDIM); +} + +static inline bool BadComponent(cThis *t) +{ + if( t->ncomp > NCOMP ) return true; + return t->ncomp < 1; +} + +#include "Integrate.c" + diff --git a/src/vegas/decl.h b/src/vegas/decl.h new file mode 100644 index 0000000..1162ff2 --- /dev/null +++ b/src/vegas/decl.h @@ -0,0 +1,56 @@ +/* + decl.h + Type declarations + this file is part of Vegas + last modified 4 Oct 11 th +*/ + + +#include "stddecl.h" + +#define MAXGRIDS 10 + +#define NBINS 128 + +typedef unsigned char bin_t; +/* Note: bin_t must be wide enough to hold the numbers 0..NBINS */ + +typedef const bin_t cbin_t; + +typedef real Grid[NBINS]; + +typedef struct { + real sum, sqsum; + real weightsum, avgsum; + real chisum, chisqsum, guess; + real avg, err, chisq; +} Cumulants; + +typedef const Cumulants cCumulants; + +typedef int (*Integrand)(ccount *, creal *, ccount *, real *, + void *, creal *, cint *); + +typedef struct _this { + count ndim, ncomp; +#ifndef MLVERSION + Integrand integrand; + void *userdata; + int ncores, *child; +#endif + real epsrel, epsabs; + int flags, seed; + number mineval, maxeval; + number nstart, nincrease, nbatch; + int gridno; + cchar *statefile; + number neval; + RNGState rng; + jmp_buf abort; +} This; + +typedef const This cThis; + +static Grid *gridptr_[MAXGRIDS]; +static count griddim_[MAXGRIDS]; + -- cgit v1.2.3