peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/integrate
/_tanhsinh.py
# mypy: disable-error-code="attr-defined" | |
import numpy as np | |
from scipy import special | |
import scipy._lib._elementwise_iterative_method as eim | |
from scipy._lib._util import _RichResult | |
# todo: | |
# figure out warning situation | |
# address https://github.com/scipy/scipy/pull/18650#discussion_r1233032521 | |
# without `minweight`, we are also suppressing infinities within the interval. | |
# Is that OK? If so, we can probably get rid of `status=3`. | |
# Add heuristic to stop when improvement is too slow / antithrashing | |
# support singularities? interval subdivision? this feature will be added | |
# eventually, but do we adjust the interface now? | |
# When doing log-integration, should the tolerances control the error of the | |
# log-integral or the error of the integral? The trouble is that `log` | |
# inherently looses some precision so it may not be possible to refine | |
# the integral further. Example: 7th moment of stats.f(15, 20) | |
# respect function evaluation limit? | |
# make public? | |
def _tanhsinh(f, a, b, *, args=(), log=False, maxfun=None, maxlevel=None, | |
minlevel=2, atol=None, rtol=None, preserve_shape=False, | |
callback=None): | |
"""Evaluate a convergent integral numerically using tanh-sinh quadrature. | |
In practice, tanh-sinh quadrature achieves quadratic convergence for | |
many integrands: the number of accurate *digits* scales roughly linearly | |
with the number of function evaluations [1]_. | |
Either or both of the limits of integration may be infinite, and | |
singularities at the endpoints are acceptable. Divergent integrals and | |
integrands with non-finite derivatives or singularities within an interval | |
are out of scope, but the latter may be evaluated be calling `_tanhsinh` on | |
each sub-interval separately. | |
Parameters | |
---------- | |
f : callable | |
The function to be integrated. The signature must be:: | |
func(x: ndarray, *fargs) -> ndarray | |
where each element of ``x`` is a finite real and ``fargs`` is a tuple, | |
which may contain an arbitrary number of arrays that are broadcastable | |
with `x`. ``func`` must be an elementwise-scalar function; see | |
documentation of parameter `preserve_shape` for details. | |
If ``func`` returns a value with complex dtype when evaluated at | |
either endpoint, subsequent arguments ``x`` will have complex dtype | |
(but zero imaginary part). | |
a, b : array_like | |
Real lower and upper limits of integration. Must be broadcastable. | |
Elements may be infinite. | |
args : tuple, optional | |
Additional positional arguments to be passed to `func`. Must be arrays | |
broadcastable with `a` and `b`. If the callable to be integrated | |
requires arguments that are not broadcastable with `a` and `b`, wrap | |
that callable with `f`. See Examples. | |
log : bool, default: False | |
Setting to True indicates that `f` returns the log of the integrand | |
and that `atol` and `rtol` are expressed as the logs of the absolute | |
and relative errors. In this case, the result object will contain the | |
log of the integral and error. This is useful for integrands for which | |
numerical underflow or overflow would lead to inaccuracies. | |
When ``log=True``, the integrand (the exponential of `f`) must be real, | |
but it may be negative, in which case the log of the integrand is a | |
complex number with an imaginary part that is an odd multiple of π. | |
maxlevel : int, default: 10 | |
The maximum refinement level of the algorithm. | |
At the zeroth level, `f` is called once, performing 16 function | |
evaluations. At each subsequent level, `f` is called once more, | |
approximately doubling the number of function evaluations that have | |
been performed. Accordingly, for many integrands, each successive level | |
will double the number of accurate digits in the result (up to the | |
limits of floating point precision). | |
The algorithm will terminate after completing level `maxlevel` or after | |
another termination condition is satisfied, whichever comes first. | |
minlevel : int, default: 2 | |
The level at which to begin iteration (default: 2). This does not | |
change the total number of function evaluations or the abscissae at | |
which the function is evaluated; it changes only the *number of times* | |
`f` is called. If ``minlevel=k``, then the integrand is evaluated at | |
all abscissae from levels ``0`` through ``k`` in a single call. | |
Note that if `minlevel` exceeds `maxlevel`, the provided `minlevel` is | |
ignored, and `minlevel` is set equal to `maxlevel`. | |
atol, rtol : float, optional | |
Absolute termination tolerance (default: 0) and relative termination | |
tolerance (default: ``eps**0.75``, where ``eps`` is the precision of | |
the result dtype), respectively. The error estimate is as | |
described in [1]_ Section 5. While not theoretically rigorous or | |
conservative, it is said to work well in practice. Must be non-negative | |
and finite if `log` is False, and must be expressed as the log of a | |
non-negative and finite number if `log` is True. | |
preserve_shape : bool, default: False | |
In the following, "arguments of `f`" refers to the array ``x`` and | |
any arrays within ``fargs``. Let ``shape`` be the broadcasted shape | |
of `a`, `b`, and all elements of `args` (which is conceptually | |
distinct from ``fargs`` passed into `f`). | |
- When ``preserve_shape=False`` (default), `f` must accept arguments | |
of *any* broadcastable shapes. | |
- When ``preserve_shape=True``, `f` must accept arguments of shape | |
``shape`` *or* ``shape + (n,)``, where ``(n,)`` is the number of | |
abscissae at which the function is being evaluated. | |
In either case, for each scalar element ``xi`` within `x`, the array | |
returned by `f` must include the scalar ``f(xi)`` at the same index. | |
Consequently, the shape of the output is always the shape of the input | |
``x``. | |
See Examples. | |
callback : callable, optional | |
An optional user-supplied function to be called before the first | |
iteration and after each iteration. | |
Called as ``callback(res)``, where ``res`` is a ``_RichResult`` | |
similar to that returned by `_differentiate` (but containing the | |
current iterate's values of all variables). If `callback` raises a | |
``StopIteration``, the algorithm will terminate immediately and | |
`_tanhsinh` will return a result object. | |
Returns | |
------- | |
res : _RichResult | |
An instance of `scipy._lib._util._RichResult` with the following | |
attributes. (The descriptions are written as though the values will be | |
scalars; however, if `func` returns an array, the outputs will be | |
arrays of the same shape.) | |
success : bool | |
``True`` when the algorithm terminated successfully (status ``0``). | |
status : int | |
An integer representing the exit status of the algorithm. | |
``0`` : The algorithm converged to the specified tolerances. | |
``-1`` : (unused) | |
``-2`` : The maximum number of iterations was reached. | |
``-3`` : A non-finite value was encountered. | |
``-4`` : Iteration was terminated by `callback`. | |
``1`` : The algorithm is proceeding normally (in `callback` only). | |
integral : float | |
An estimate of the integral | |
error : float | |
An estimate of the error. Only available if level two or higher | |
has been completed; otherwise NaN. | |
maxlevel : int | |
The maximum refinement level used. | |
nfev : int | |
The number of points at which `func` was evaluated. | |
See Also | |
-------- | |
quad, quadrature | |
Notes | |
----- | |
Implements the algorithm as described in [1]_ with minor adaptations for | |
finite-precision arithmetic, including some described by [2]_ and [3]_. The | |
tanh-sinh scheme was originally introduced in [4]_. | |
Due to floating-point error in the abscissae, the function may be evaluated | |
at the endpoints of the interval during iterations. The values returned by | |
the function at the endpoints will be ignored. | |
References | |
---------- | |
[1] Bailey, David H., Karthik Jeyabalan, and Xiaoye S. Li. "A comparison of | |
three high-precision quadrature schemes." Experimental Mathematics 14.3 | |
(2005): 317-329. | |
[2] Vanherck, Joren, Bart Sorée, and Wim Magnus. "Tanh-sinh quadrature for | |
single and multiple integration using floating-point arithmetic." | |
arXiv preprint arXiv:2007.15057 (2020). | |
[3] van Engelen, Robert A. "Improving the Double Exponential Quadrature | |
Tanh-Sinh, Sinh-Sinh and Exp-Sinh Formulas." | |
https://www.genivia.com/files/qthsh.pdf | |
[4] Takahasi, Hidetosi, and Masatake Mori. "Double exponential formulas for | |
numerical integration." Publications of the Research Institute for | |
Mathematical Sciences 9.3 (1974): 721-741. | |
Example | |
------- | |
Evaluate the Gaussian integral: | |
>>> import numpy as np | |
>>> from scipy.integrate._tanhsinh import _tanhsinh | |
>>> def f(x): | |
... return np.exp(-x**2) | |
>>> res = _tanhsinh(f, -np.inf, np.inf) | |
>>> res.integral # true value is np.sqrt(np.pi), 1.7724538509055159 | |
1.7724538509055159 | |
>>> res.error # actual error is 0 | |
4.0007963937534104e-16 | |
The value of the Gaussian function (bell curve) is nearly zero for | |
arguments sufficiently far from zero, so the value of the integral | |
over a finite interval is nearly the same. | |
>>> _tanhsinh(f, -20, 20).integral | |
1.772453850905518 | |
However, with unfavorable integration limits, the integration scheme | |
may not be able to find the important region. | |
>>> _tanhsinh(f, -np.inf, 1000).integral | |
4.500490856620352 | |
In such cases, or when there are singularities within the interval, | |
break the integral into parts with endpoints at the important points. | |
>>> _tanhsinh(f, -np.inf, 0).integral + _tanhsinh(f, 0, 1000).integral | |
1.772453850905404 | |
For integration involving very large or very small magnitudes, use | |
log-integration. (For illustrative purposes, the following example shows a | |
case in which both regular and log-integration work, but for more extreme | |
limits of integration, log-integration would avoid the underflow | |
experienced when evaluating the integral normally.) | |
>>> res = _tanhsinh(f, 20, 30, rtol=1e-10) | |
>>> res.integral, res.error | |
4.7819613911309014e-176, 4.670364401645202e-187 | |
>>> def log_f(x): | |
... return -x**2 | |
>>> np.exp(res.integral), np.exp(res.error) | |
4.7819613911306924e-176, 4.670364401645093e-187 | |
The limits of integration and elements of `args` may be broadcastable | |
arrays, and integration is performed elementwise. | |
>>> from scipy import stats | |
>>> dist = stats.gausshyper(13.8, 3.12, 2.51, 5.18) | |
>>> a, b = dist.support() | |
>>> x = np.linspace(a, b, 100) | |
>>> res = _tanhsinh(dist.pdf, a, x) | |
>>> ref = dist.cdf(x) | |
>>> np.allclose(res.integral, ref) | |
By default, `preserve_shape` is False, and therefore the callable | |
`f` may be called with arrays of any broadcastable shapes. | |
For example: | |
>>> shapes = [] | |
>>> def f(x, c): | |
... shape = np.broadcast_shapes(x.shape, c.shape) | |
... shapes.append(shape) | |
... return np.sin(c*x) | |
>>> | |
>>> c = [1, 10, 30, 100] | |
>>> res = _tanhsinh(f, 0, 1, args=(c,), minlevel=1) | |
>>> shapes | |
[(4,), (4, 66), (3, 64), (2, 128), (1, 256)] | |
To understand where these shapes are coming from - and to better | |
understand how `_tanhsinh` computes accurate results - note that | |
higher values of ``c`` correspond with higher frequency sinusoids. | |
The higher frequency sinusoids make the integrand more complicated, | |
so more function evaluations are required to achieve the target | |
accuracy: | |
>>> res.nfev | |
array([ 67, 131, 259, 515]) | |
The initial ``shape``, ``(4,)``, corresponds with evaluating the | |
integrand at a single abscissa and all four frequencies; this is used | |
for input validation and to determine the size and dtype of the arrays | |
that store results. The next shape corresponds with evaluating the | |
integrand at an initial grid of abscissae and all four frequencies. | |
Successive calls to the function double the total number of abscissae at | |
which the function has been evaluated. However, in later function | |
evaluations, the integrand is evaluated at fewer frequencies because | |
the corresponding integral has already converged to the required | |
tolerance. This saves function evaluations to improve performance, but | |
it requires the function to accept arguments of any shape. | |
"Vector-valued" integrands, such as those written for use with | |
`scipy.integrate.quad_vec`, are unlikely to satisfy this requirement. | |
For example, consider | |
>>> def f(x): | |
... return [x, np.sin(10*x), np.cos(30*x), x*np.sin(100*x)**2] | |
This integrand is not compatible with `_tanhsinh` as written; for instance, | |
the shape of the output will not be the same as the shape of ``x``. Such a | |
function *could* be converted to a compatible form with the introduction of | |
additional parameters, but this would be inconvenient. In such cases, | |
a simpler solution would be to use `preserve_shape`. | |
>>> shapes = [] | |
>>> def f(x): | |
... shapes.append(x.shape) | |
... x0, x1, x2, x3 = x | |
... return [x0, np.sin(10*x1), np.cos(30*x2), x3*np.sin(100*x3)] | |
>>> | |
>>> a = np.zeros(4) | |
>>> res = _tanhsinh(f, a, 1, preserve_shape=True) | |
>>> shapes | |
[(4,), (4, 66), (4, 64), (4, 128), (4, 256)] | |
Here, the broadcasted shape of `a` and `b` is ``(4,)``. With | |
``preserve_shape=True``, the function may be called with argument | |
``x`` of shape ``(4,)`` or ``(4, n)``, and this is what we observe. | |
""" | |
(f, a, b, log, maxfun, maxlevel, minlevel, | |
atol, rtol, args, preserve_shape, callback) = _tanhsinh_iv( | |
f, a, b, log, maxfun, maxlevel, minlevel, atol, | |
rtol, args, preserve_shape, callback) | |
# Initialization | |
# `eim._initialize` does several important jobs, including | |
# ensuring that limits, each of the `args`, and the output of `f` | |
# broadcast correctly and are of consistent types. To save a function | |
# evaluation, I pass the midpoint of the integration interval. This comes | |
# at a cost of some gymnastics to ensure that the midpoint has the right | |
# shape and dtype. Did you know that 0d and >0d arrays follow different | |
# type promotion rules? | |
with np.errstate(over='ignore', invalid='ignore', divide='ignore'): | |
c = ((a.ravel() + b.ravel())/2).reshape(a.shape) | |
inf_a, inf_b = np.isinf(a), np.isinf(b) | |
c[inf_a] = b[inf_a] - 1 # takes care of infinite a | |
c[inf_b] = a[inf_b] + 1 # takes care of infinite b | |
c[inf_a & inf_b] = 0 # takes care of infinite a and b | |
temp = eim._initialize(f, (c,), args, complex_ok=True, | |
preserve_shape=preserve_shape) | |
f, xs, fs, args, shape, dtype = temp | |
a = np.broadcast_to(a, shape).astype(dtype).ravel() | |
b = np.broadcast_to(b, shape).astype(dtype).ravel() | |
# Transform improper integrals | |
a, b, a0, negative, abinf, ainf, binf = _transform_integrals(a, b) | |
# Define variables we'll need | |
nit, nfev = 0, 1 # one function evaluation performed above | |
zero = -np.inf if log else 0 | |
pi = dtype.type(np.pi) | |
maxiter = maxlevel - minlevel + 1 | |
eps = np.finfo(dtype).eps | |
if rtol is None: | |
rtol = 0.75*np.log(eps) if log else eps**0.75 | |
Sn = np.full(shape, zero, dtype=dtype).ravel() # latest integral estimate | |
Sn[np.isnan(a) | np.isnan(b) | np.isnan(fs[0])] = np.nan | |
Sk = np.empty_like(Sn).reshape(-1, 1)[:, 0:0] # all integral estimates | |
aerr = np.full(shape, np.nan, dtype=dtype).ravel() # absolute error | |
status = np.full(shape, eim._EINPROGRESS, dtype=int).ravel() | |
h0 = np.real(_get_base_step(dtype=dtype)) # base step | |
# For term `d4` of error estimate ([1] Section 5), we need to keep the | |
# most extreme abscissae and corresponding `fj`s, `wj`s in Euler-Maclaurin | |
# sum. Here, we initialize these variables. | |
xr0 = np.full(shape, -np.inf, dtype=dtype).ravel() | |
fr0 = np.full(shape, np.nan, dtype=dtype).ravel() | |
wr0 = np.zeros(shape, dtype=dtype).ravel() | |
xl0 = np.full(shape, np.inf, dtype=dtype).ravel() | |
fl0 = np.full(shape, np.nan, dtype=dtype).ravel() | |
wl0 = np.zeros(shape, dtype=dtype).ravel() | |
d4 = np.zeros(shape, dtype=dtype).ravel() | |
work = _RichResult( | |
Sn=Sn, Sk=Sk, aerr=aerr, h=h0, log=log, dtype=dtype, pi=pi, eps=eps, | |
a=a.reshape(-1, 1), b=b.reshape(-1, 1), # integration limits | |
n=minlevel, nit=nit, nfev=nfev, status=status, # iter/eval counts | |
xr0=xr0, fr0=fr0, wr0=wr0, xl0=xl0, fl0=fl0, wl0=wl0, d4=d4, # err est | |
ainf=ainf, binf=binf, abinf=abinf, a0=a0.reshape(-1, 1)) # transforms | |
# Constant scalars don't need to be put in `work` unless they need to be | |
# passed outside `tanhsinh`. Examples: atol, rtol, h0, minlevel. | |
# Correspondence between terms in the `work` object and the result | |
res_work_pairs = [('status', 'status'), ('integral', 'Sn'), | |
('error', 'aerr'), ('nit', 'nit'), ('nfev', 'nfev')] | |
def pre_func_eval(work): | |
# Determine abscissae at which to evaluate `f` | |
work.h = h0 / 2**work.n | |
xjc, wj = _get_pairs(work.n, h0, dtype=work.dtype, | |
inclusive=(work.n == minlevel)) | |
work.xj, work.wj = _transform_to_limits(xjc, wj, work.a, work.b) | |
# Perform abscissae substitutions for infinite limits of integration | |
xj = work.xj.copy() | |
xj[work.abinf] = xj[work.abinf] / (1 - xj[work.abinf]**2) | |
xj[work.binf] = 1/xj[work.binf] - 1 + work.a0[work.binf] | |
xj[work.ainf] *= -1 | |
return xj | |
def post_func_eval(x, fj, work): | |
# Weight integrand as required by substitutions for infinite limits | |
if work.log: | |
fj[work.abinf] += (np.log(1 + work.xj[work.abinf] ** 2) | |
- 2*np.log(1 - work.xj[work.abinf] ** 2)) | |
fj[work.binf] -= 2 * np.log(work.xj[work.binf]) | |
else: | |
fj[work.abinf] *= ((1 + work.xj[work.abinf]**2) / | |
(1 - work.xj[work.abinf]**2)**2) | |
fj[work.binf] *= work.xj[work.binf]**-2. | |
# Estimate integral with Euler-Maclaurin Sum | |
fjwj, Sn = _euler_maclaurin_sum(fj, work) | |
if work.Sk.shape[-1]: | |
Snm1 = work.Sk[:, -1] | |
Sn = (special.logsumexp([Snm1 - np.log(2), Sn], axis=0) if log | |
else Snm1 / 2 + Sn) | |
work.fjwj = fjwj | |
work.Sn = Sn | |
def check_termination(work): | |
"""Terminate due to convergence or encountering non-finite values""" | |
stop = np.zeros(work.Sn.shape, dtype=bool) | |
# Terminate before first iteration if integration limits are equal | |
if work.nit == 0: | |
i = (work.a == work.b).ravel() # ravel singleton dimension | |
zero = -np.inf if log else 0 | |
work.Sn[i] = zero | |
work.aerr[i] = zero | |
work.status[i] = eim._ECONVERGED | |
stop[i] = True | |
else: | |
# Terminate if convergence criterion is met | |
work.rerr, work.aerr = _estimate_error(work) | |
i = ((work.rerr < rtol) | (work.rerr + np.real(work.Sn) < atol) if log | |
else (work.rerr < rtol) | (work.rerr * abs(work.Sn) < atol)) | |
work.status[i] = eim._ECONVERGED | |
stop[i] = True | |
# Terminate if integral estimate becomes invalid | |
if log: | |
i = (np.isposinf(np.real(work.Sn)) | np.isnan(work.Sn)) & ~stop | |
else: | |
i = ~np.isfinite(work.Sn) & ~stop | |
work.status[i] = eim._EVALUEERR | |
stop[i] = True | |
return stop | |
def post_termination_check(work): | |
work.n += 1 | |
work.Sk = np.concatenate((work.Sk, work.Sn[:, np.newaxis]), axis=-1) | |
return | |
def customize_result(res, shape): | |
# If the integration limits were such that b < a, we reversed them | |
# to perform the calculation, and the final result needs to be negated. | |
if log and np.any(negative): | |
pi = res['integral'].dtype.type(np.pi) | |
j = np.complex64(1j) # minimum complex type | |
res['integral'] = res['integral'] + negative*pi*j | |
else: | |
res['integral'][negative] *= -1 | |
# For this algorithm, it seems more appropriate to report the maximum | |
# level rather than the number of iterations in which it was performed. | |
res['maxlevel'] = minlevel + res['nit'] - 1 | |
res['maxlevel'][res['nit'] == 0] = -1 | |
del res['nit'] | |
return shape | |
# Suppress all warnings initially, since there are many places in the code | |
# for which this is expected behavior. | |
with np.errstate(over='ignore', invalid='ignore', divide='ignore'): | |
res = eim._loop(work, callback, shape, maxiter, f, args, dtype, pre_func_eval, | |
post_func_eval, check_termination, post_termination_check, | |
customize_result, res_work_pairs, preserve_shape) | |
return res | |
def _get_base_step(dtype=np.float64): | |
# Compute the base step length for the provided dtype. Theoretically, the | |
# Euler-Maclaurin sum is infinite, but it gets cut off when either the | |
# weights underflow or the abscissae cannot be distinguished from the | |
# limits of integration. The latter happens to occur first for float32 and | |
# float64, and it occurs when `xjc` (the abscissa complement) | |
# in `_compute_pair` underflows. We can solve for the argument `tmax` at | |
# which it will underflow using [2] Eq. 13. | |
fmin = 4*np.finfo(dtype).tiny # stay a little away from the limit | |
tmax = np.arcsinh(np.log(2/fmin - 1) / np.pi) | |
# Based on this, we can choose a base step size `h` for level 0. | |
# The number of function evaluations will be `2 + m*2^(k+1)`, where `k` is | |
# the level and `m` is an integer we get to choose. I choose | |
# m = _N_BASE_STEPS = `8` somewhat arbitrarily, but a rationale is that a | |
# power of 2 makes floating point arithmetic more predictable. It also | |
# results in a base step size close to `1`, which is what [1] uses (and I | |
# used here until I found [2] and these ideas settled). | |
h0 = tmax / _N_BASE_STEPS | |
return h0.astype(dtype) | |
_N_BASE_STEPS = 8 | |
def _compute_pair(k, h0): | |
# Compute the abscissa-weight pairs for each level k. See [1] page 9. | |
# For now, we compute and store in 64-bit precision. If higher-precision | |
# data types become better supported, it would be good to compute these | |
# using the highest precision available. Or, once there is an Array API- | |
# compatible arbitrary precision array, we can compute at the required | |
# precision. | |
# "....each level k of abscissa-weight pairs uses h = 2 **-k" | |
# We adapt to floating point arithmetic using ideas of [2]. | |
h = h0 / 2**k | |
max = _N_BASE_STEPS * 2**k | |
# For iterations after the first, "....the integrand function needs to be | |
# evaluated only at the odd-indexed abscissas at each level." | |
j = np.arange(max+1) if k == 0 else np.arange(1, max+1, 2) | |
jh = j * h | |
# "In this case... the weights wj = u1/cosh(u2)^2, where..." | |
pi_2 = np.pi / 2 | |
u1 = pi_2*np.cosh(jh) | |
u2 = pi_2*np.sinh(jh) | |
# Denominators get big here. Overflow then underflow doesn't need warning. | |
# with np.errstate(under='ignore', over='ignore'): | |
wj = u1 / np.cosh(u2)**2 | |
# "We actually store 1-xj = 1/(...)." | |
xjc = 1 / (np.exp(u2) * np.cosh(u2)) # complement of xj = np.tanh(u2) | |
# When level k == 0, the zeroth xj corresponds with xj = 0. To simplify | |
# code, the function will be evaluated there twice; each gets half weight. | |
wj[0] = wj[0] / 2 if k == 0 else wj[0] | |
return xjc, wj # store at full precision | |
def _pair_cache(k, h0): | |
# Cache the abscissa-weight pairs up to a specified level. | |
# Abscissae and weights of consecutive levels are concatenated. | |
# `index` records the indices that correspond with each level: | |
# `xjc[index[k]:index[k+1]` extracts the level `k` abscissae. | |
if h0 != _pair_cache.h0: | |
_pair_cache.xjc = np.empty(0) | |
_pair_cache.wj = np.empty(0) | |
_pair_cache.indices = [0] | |
xjcs = [_pair_cache.xjc] | |
wjs = [_pair_cache.wj] | |
for i in range(len(_pair_cache.indices)-1, k + 1): | |
xjc, wj = _compute_pair(i, h0) | |
xjcs.append(xjc) | |
wjs.append(wj) | |
_pair_cache.indices.append(_pair_cache.indices[-1] + len(xjc)) | |
_pair_cache.xjc = np.concatenate(xjcs) | |
_pair_cache.wj = np.concatenate(wjs) | |
_pair_cache.h0 = h0 | |
_pair_cache.xjc = np.empty(0) | |
_pair_cache.wj = np.empty(0) | |
_pair_cache.indices = [0] | |
_pair_cache.h0 = None | |
def _get_pairs(k, h0, inclusive=False, dtype=np.float64): | |
# Retrieve the specified abscissa-weight pairs from the cache | |
# If `inclusive`, return all up to and including the specified level | |
if len(_pair_cache.indices) <= k+2 or h0 != _pair_cache.h0: | |
_pair_cache(k, h0) | |
xjc = _pair_cache.xjc | |
wj = _pair_cache.wj | |
indices = _pair_cache.indices | |
start = 0 if inclusive else indices[k] | |
end = indices[k+1] | |
return xjc[start:end].astype(dtype), wj[start:end].astype(dtype) | |
def _transform_to_limits(xjc, wj, a, b): | |
# Transform integral according to user-specified limits. This is just | |
# math that follows from the fact that the standard limits are (-1, 1). | |
# Note: If we had stored xj instead of xjc, we would have | |
# xj = alpha * xj + beta, where beta = (a + b)/2 | |
alpha = (b - a) / 2 | |
xj = np.concatenate((-alpha * xjc + b, alpha * xjc + a), axis=-1) | |
wj = wj*alpha # arguments get broadcasted, so we can't use *= | |
wj = np.concatenate((wj, wj), axis=-1) | |
# Points at the boundaries can be generated due to finite precision | |
# arithmetic, but these function values aren't supposed to be included in | |
# the Euler-Maclaurin sum. Ideally we wouldn't evaluate the function at | |
# these points; however, we can't easily filter out points since this | |
# function is vectorized. Instead, zero the weights. | |
invalid = (xj <= a) | (xj >= b) | |
wj[invalid] = 0 | |
return xj, wj | |
def _euler_maclaurin_sum(fj, work): | |
# Perform the Euler-Maclaurin Sum, [1] Section 4 | |
# The error estimate needs to know the magnitude of the last term | |
# omitted from the Euler-Maclaurin sum. This is a bit involved because | |
# it may have been computed at a previous level. I sure hope it's worth | |
# all the trouble. | |
xr0, fr0, wr0 = work.xr0, work.fr0, work.wr0 | |
xl0, fl0, wl0 = work.xl0, work.fl0, work.wl0 | |
# It is much more convenient to work with the transposes of our work | |
# variables here. | |
xj, fj, wj = work.xj.T, fj.T, work.wj.T | |
n_x, n_active = xj.shape # number of abscissae, number of active elements | |
# We'll work with the left and right sides separately | |
xr, xl = xj.reshape(2, n_x // 2, n_active).copy() # this gets modified | |
fr, fl = fj.reshape(2, n_x // 2, n_active) | |
wr, wl = wj.reshape(2, n_x // 2, n_active) | |
invalid_r = ~np.isfinite(fr) | (wr == 0) | |
invalid_l = ~np.isfinite(fl) | (wl == 0) | |
# integer index of the maximum abscissa at this level | |
xr[invalid_r] = -np.inf | |
ir = np.argmax(xr, axis=0, keepdims=True) | |
# abscissa, function value, and weight at this index | |
xr_max = np.take_along_axis(xr, ir, axis=0)[0] | |
fr_max = np.take_along_axis(fr, ir, axis=0)[0] | |
wr_max = np.take_along_axis(wr, ir, axis=0)[0] | |
# boolean indices at which maximum abscissa at this level exceeds | |
# the incumbent maximum abscissa (from all previous levels) | |
j = xr_max > xr0 | |
# Update record of the incumbent abscissa, function value, and weight | |
xr0[j] = xr_max[j] | |
fr0[j] = fr_max[j] | |
wr0[j] = wr_max[j] | |
# integer index of the minimum abscissa at this level | |
xl[invalid_l] = np.inf | |
il = np.argmin(xl, axis=0, keepdims=True) | |
# abscissa, function value, and weight at this index | |
xl_min = np.take_along_axis(xl, il, axis=0)[0] | |
fl_min = np.take_along_axis(fl, il, axis=0)[0] | |
wl_min = np.take_along_axis(wl, il, axis=0)[0] | |
# boolean indices at which minimum abscissa at this level is less than | |
# the incumbent minimum abscissa (from all previous levels) | |
j = xl_min < xl0 | |
# Update record of the incumbent abscissa, function value, and weight | |
xl0[j] = xl_min[j] | |
fl0[j] = fl_min[j] | |
wl0[j] = wl_min[j] | |
fj = fj.T | |
# Compute the error estimate `d4` - the magnitude of the leftmost or | |
# rightmost term, whichever is greater. | |
flwl0 = fl0 + np.log(wl0) if work.log else fl0 * wl0 # leftmost term | |
frwr0 = fr0 + np.log(wr0) if work.log else fr0 * wr0 # rightmost term | |
magnitude = np.real if work.log else np.abs | |
work.d4 = np.maximum(magnitude(flwl0), magnitude(frwr0)) | |
# There are two approaches to dealing with function values that are | |
# numerically infinite due to approaching a singularity - zero them, or | |
# replace them with the function value at the nearest non-infinite point. | |
# [3] pg. 22 suggests the latter, so let's do that given that we have the | |
# information. | |
fr0b = np.broadcast_to(fr0[np.newaxis, :], fr.shape) | |
fl0b = np.broadcast_to(fl0[np.newaxis, :], fl.shape) | |
fr[invalid_r] = fr0b[invalid_r] | |
fl[invalid_l] = fl0b[invalid_l] | |
# When wj is zero, log emits a warning | |
# with np.errstate(divide='ignore'): | |
fjwj = fj + np.log(work.wj) if work.log else fj * work.wj | |
# update integral estimate | |
Sn = (special.logsumexp(fjwj + np.log(work.h), axis=-1) if work.log | |
else np.sum(fjwj, axis=-1) * work.h) | |
work.xr0, work.fr0, work.wr0 = xr0, fr0, wr0 | |
work.xl0, work.fl0, work.wl0 = xl0, fl0, wl0 | |
return fjwj, Sn | |
def _estimate_error(work): | |
# Estimate the error according to [1] Section 5 | |
if work.n == 0 or work.nit == 0: | |
# The paper says to use "one" as the error before it can be calculated. | |
# NaN seems to be more appropriate. | |
nan = np.full_like(work.Sn, np.nan) | |
return nan, nan | |
indices = _pair_cache.indices | |
n_active = len(work.Sn) # number of active elements | |
axis_kwargs = dict(axis=-1, keepdims=True) | |
# With a jump start (starting at level higher than 0), we haven't | |
# explicitly calculated the integral estimate at lower levels. But we have | |
# all the function value-weight products, so we can compute the | |
# lower-level estimates. | |
if work.Sk.shape[-1] == 0: | |
h = 2 * work.h # step size at this level | |
n_x = indices[work.n] # number of abscissa up to this level | |
# The right and left fjwj terms from all levels are concatenated along | |
# the last axis. Get out only the terms up to this level. | |
fjwj_rl = work.fjwj.reshape(n_active, 2, -1) | |
fjwj = fjwj_rl[:, :, :n_x].reshape(n_active, 2*n_x) | |
# Compute the Euler-Maclaurin sum at this level | |
Snm1 = (special.logsumexp(fjwj, **axis_kwargs) + np.log(h) if work.log | |
else np.sum(fjwj, **axis_kwargs) * h) | |
work.Sk = np.concatenate((Snm1, work.Sk), axis=-1) | |
if work.n == 1: | |
nan = np.full_like(work.Sn, np.nan) | |
return nan, nan | |
# The paper says not to calculate the error for n<=2, but it's not clear | |
# about whether it starts at level 0 or level 1. We start at level 0, so | |
# why not compute the error beginning in level 2? | |
if work.Sk.shape[-1] < 2: | |
h = 4 * work.h # step size at this level | |
n_x = indices[work.n-1] # number of abscissa up to this level | |
# The right and left fjwj terms from all levels are concatenated along | |
# the last axis. Get out only the terms up to this level. | |
fjwj_rl = work.fjwj.reshape(len(work.Sn), 2, -1) | |
fjwj = fjwj_rl[..., :n_x].reshape(n_active, 2*n_x) | |
# Compute the Euler-Maclaurin sum at this level | |
Snm2 = (special.logsumexp(fjwj, **axis_kwargs) + np.log(h) if work.log | |
else np.sum(fjwj, **axis_kwargs) * h) | |
work.Sk = np.concatenate((Snm2, work.Sk), axis=-1) | |
Snm2 = work.Sk[..., -2] | |
Snm1 = work.Sk[..., -1] | |
e1 = work.eps | |
if work.log: | |
log_e1 = np.log(e1) | |
# Currently, only real integrals are supported in log-scale. All | |
# complex values have imaginary part in increments of pi*j, which just | |
# carries sign information of the original integral, so use of | |
# `np.real` here is equivalent to absolute value in real scale. | |
d1 = np.real(special.logsumexp([work.Sn, Snm1 + work.pi*1j], axis=0)) | |
d2 = np.real(special.logsumexp([work.Sn, Snm2 + work.pi*1j], axis=0)) | |
d3 = log_e1 + np.max(np.real(work.fjwj), axis=-1) | |
d4 = work.d4 | |
aerr = np.max([d1 ** 2 / d2, 2 * d1, d3, d4], axis=0) | |
rerr = np.maximum(log_e1, aerr - np.real(work.Sn)) | |
else: | |
# Note: explicit computation of log10 of each of these is unnecessary. | |
d1 = np.abs(work.Sn - Snm1) | |
d2 = np.abs(work.Sn - Snm2) | |
d3 = e1 * np.max(np.abs(work.fjwj), axis=-1) | |
d4 = work.d4 | |
# If `d1` is 0, no need to warn. This does the right thing. | |
# with np.errstate(divide='ignore'): | |
aerr = np.max([d1**(np.log(d1)/np.log(d2)), d1**2, d3, d4], axis=0) | |
rerr = np.maximum(e1, aerr/np.abs(work.Sn)) | |
return rerr, aerr.reshape(work.Sn.shape) | |
def _transform_integrals(a, b): | |
# Transform integrals to a form with finite a < b | |
# For b < a, we reverse the limits and will multiply the final result by -1 | |
# For infinite limit on the right, we use the substitution x = 1/t - 1 + a | |
# For infinite limit on the left, we substitute x = -x and treat as above | |
# For infinite limits, we substitute x = t / (1-t**2) | |
negative = b < a | |
a[negative], b[negative] = b[negative], a[negative] | |
abinf = np.isinf(a) & np.isinf(b) | |
a[abinf], b[abinf] = -1, 1 | |
ainf = np.isinf(a) | |
a[ainf], b[ainf] = -b[ainf], -a[ainf] | |
binf = np.isinf(b) | |
a0 = a.copy() | |
a[binf], b[binf] = 0, 1 | |
return a, b, a0, negative, abinf, ainf, binf | |
def _tanhsinh_iv(f, a, b, log, maxfun, maxlevel, minlevel, | |
atol, rtol, args, preserve_shape, callback): | |
# Input validation and standardization | |
message = '`f` must be callable.' | |
if not callable(f): | |
raise ValueError(message) | |
message = 'All elements of `a` and `b` must be real numbers.' | |
a, b = np.broadcast_arrays(a, b) | |
if np.any(np.iscomplex(a)) or np.any(np.iscomplex(b)): | |
raise ValueError(message) | |
message = '`log` must be True or False.' | |
if log not in {True, False}: | |
raise ValueError(message) | |
log = bool(log) | |
if atol is None: | |
atol = -np.inf if log else 0 | |
rtol_temp = rtol if rtol is not None else 0. | |
params = np.asarray([atol, rtol_temp, 0.]) | |
message = "`atol` and `rtol` must be real numbers." | |
if not np.issubdtype(params.dtype, np.floating): | |
raise ValueError(message) | |
if log: | |
message = '`atol` and `rtol` may not be positive infinity.' | |
if np.any(np.isposinf(params)): | |
raise ValueError(message) | |
else: | |
message = '`atol` and `rtol` must be non-negative and finite.' | |
if np.any(params < 0) or np.any(np.isinf(params)): | |
raise ValueError(message) | |
atol = params[0] | |
rtol = rtol if rtol is None else params[1] | |
BIGINT = float(2**62) | |
if maxfun is None and maxlevel is None: | |
maxlevel = 10 | |
maxfun = BIGINT if maxfun is None else maxfun | |
maxlevel = BIGINT if maxlevel is None else maxlevel | |
message = '`maxfun`, `maxlevel`, and `minlevel` must be integers.' | |
params = np.asarray([maxfun, maxlevel, minlevel]) | |
if not (np.issubdtype(params.dtype, np.number) | |
and np.all(np.isreal(params)) | |
and np.all(params.astype(np.int64) == params)): | |
raise ValueError(message) | |
message = '`maxfun`, `maxlevel`, and `minlevel` must be non-negative.' | |
if np.any(params < 0): | |
raise ValueError(message) | |
maxfun, maxlevel, minlevel = params.astype(np.int64) | |
minlevel = min(minlevel, maxlevel) | |
if not np.iterable(args): | |
args = (args,) | |
message = '`preserve_shape` must be True or False.' | |
if preserve_shape not in {True, False}: | |
raise ValueError(message) | |
if callback is not None and not callable(callback): | |
raise ValueError('`callback` must be callable.') | |
return (f, a, b, log, maxfun, maxlevel, minlevel, | |
atol, rtol, args, preserve_shape, callback) | |
def _logsumexp(x, axis=0): | |
# logsumexp raises with empty array | |
x = np.asarray(x) | |
shape = list(x.shape) | |
if shape[axis] == 0: | |
shape.pop(axis) | |
return np.full(shape, fill_value=-np.inf, dtype=x.dtype) | |
else: | |
return special.logsumexp(x, axis=axis) | |
def _nsum_iv(f, a, b, step, args, log, maxterms, atol, rtol): | |
# Input validation and standardization | |
message = '`f` must be callable.' | |
if not callable(f): | |
raise ValueError(message) | |
message = 'All elements of `a`, `b`, and `step` must be real numbers.' | |
a, b, step = np.broadcast_arrays(a, b, step) | |
dtype = np.result_type(a.dtype, b.dtype, step.dtype) | |
if not np.issubdtype(dtype, np.number) or np.issubdtype(dtype, np.complexfloating): | |
raise ValueError(message) | |
valid_a = np.isfinite(a) | |
valid_b = b >= a # NaNs will be False | |
valid_step = np.isfinite(step) & (step > 0) | |
valid_abstep = valid_a & valid_b & valid_step | |
message = '`log` must be True or False.' | |
if log not in {True, False}: | |
raise ValueError(message) | |
if atol is None: | |
atol = -np.inf if log else 0 | |
rtol_temp = rtol if rtol is not None else 0. | |
params = np.asarray([atol, rtol_temp, 0.]) | |
message = "`atol` and `rtol` must be real numbers." | |
if not np.issubdtype(params.dtype, np.floating): | |
raise ValueError(message) | |
if log: | |
message = '`atol`, `rtol` may not be positive infinity or NaN.' | |
if np.any(np.isposinf(params) | np.isnan(params)): | |
raise ValueError(message) | |
else: | |
message = '`atol`, and `rtol` must be non-negative and finite.' | |
if np.any((params < 0) | (~np.isfinite(params))): | |
raise ValueError(message) | |
atol = params[0] | |
rtol = rtol if rtol is None else params[1] | |
maxterms_int = int(maxterms) | |
if maxterms_int != maxterms or maxterms < 0: | |
message = "`maxterms` must be a non-negative integer." | |
raise ValueError(message) | |
if not np.iterable(args): | |
args = (args,) | |
return f, a, b, step, valid_abstep, args, log, maxterms_int, atol, rtol | |
def _nsum(f, a, b, step=1, args=(), log=False, maxterms=int(2**20), atol=None, | |
rtol=None): | |
r"""Evaluate a convergent sum. | |
For finite `b`, this evaluates:: | |
f(a + np.arange(n)*step).sum() | |
where ``n = int((b - a) / step) + 1``. If `f` is smooth, positive, and | |
monotone decreasing, `b` may be infinite, in which case the infinite sum | |
is approximated using integration. | |
Parameters | |
---------- | |
f : callable | |
The function that evaluates terms to be summed. The signature must be:: | |
f(x: ndarray, *args) -> ndarray | |
where each element of ``x`` is a finite real and ``args`` is a tuple, | |
which may contain an arbitrary number of arrays that are broadcastable | |
with `x`. `f` must represent a smooth, positive, and monotone decreasing | |
function of `x`; `_nsum` performs no checks to verify that these conditions | |
are met and may return erroneous results if they are violated. | |
a, b : array_like | |
Real lower and upper limits of summed terms. Must be broadcastable. | |
Each element of `a` must be finite and less than the corresponding | |
element in `b`, but elements of `b` may be infinite. | |
step : array_like | |
Finite, positive, real step between summed terms. Must be broadcastable | |
with `a` and `b`. | |
args : tuple, optional | |
Additional positional arguments to be passed to `f`. Must be arrays | |
broadcastable with `a`, `b`, and `step`. If the callable to be summed | |
requires arguments that are not broadcastable with `a`, `b`, and `step`, | |
wrap that callable with `f`. See Examples. | |
log : bool, default: False | |
Setting to True indicates that `f` returns the log of the terms | |
and that `atol` and `rtol` are expressed as the logs of the absolute | |
and relative errors. In this case, the result object will contain the | |
log of the sum and error. This is useful for summands for which | |
numerical underflow or overflow would lead to inaccuracies. | |
maxterms : int, default: 2**32 | |
The maximum number of terms to evaluate when summing directly. | |
Additional function evaluations may be performed for input | |
validation and integral evaluation. | |
atol, rtol : float, optional | |
Absolute termination tolerance (default: 0) and relative termination | |
tolerance (default: ``eps**0.5``, where ``eps`` is the precision of | |
the result dtype), respectively. Must be non-negative | |
and finite if `log` is False, and must be expressed as the log of a | |
non-negative and finite number if `log` is True. | |
Returns | |
------- | |
res : _RichResult | |
An instance of `scipy._lib._util._RichResult` with the following | |
attributes. (The descriptions are written as though the values will be | |
scalars; however, if `func` returns an array, the outputs will be | |
arrays of the same shape.) | |
success : bool | |
``True`` when the algorithm terminated successfully (status ``0``). | |
status : int | |
An integer representing the exit status of the algorithm. | |
``0`` : The algorithm converged to the specified tolerances. | |
``-1`` : Element(s) of `a`, `b`, or `step` are invalid | |
``-2`` : Numerical integration reached its iteration limit; the sum may be divergent. | |
``-3`` : A non-finite value was encountered. | |
sum : float | |
An estimate of the sum. | |
error : float | |
An estimate of the absolute error, assuming all terms are non-negative. | |
nfev : int | |
The number of points at which `func` was evaluated. | |
See Also | |
-------- | |
tanhsinh | |
Notes | |
----- | |
The method implemented for infinite summation is related to the integral | |
test for convergence of an infinite series: assuming `step` size 1 for | |
simplicity of exposition, the sum of a monotone decreasing function is bounded by | |
.. math:: | |
\int_u^\infty f(x) dx \leq \sum_{k=u}^\infty f(k) \leq \int_u^\infty f(x) dx + f(u) | |
Let :math:`a` represent `a`, :math:`n` represent `maxterms`, :math:`\epsilon_a` | |
represent `atol`, and :math:`\epsilon_r` represent `rtol`. | |
The implementation first evaluates the integral :math:`S_l=\int_a^\infty f(x) dx` | |
as a lower bound of the infinite sum. Then, it seeks a value :math:`c > a` such | |
that :math:`f(c) < \epsilon_a + S_l \epsilon_r`, if it exists; otherwise, | |
let :math:`c = a + n`. Then the infinite sum is approximated as | |
.. math:: | |
\sum_{k=a}^{c-1} f(k) + \int_c^\infty f(x) dx + f(c)/2 | |
and the reported error is :math:`f(c)/2` plus the error estimate of | |
numerical integration. The approach described above is generalized for non-unit | |
`step` and finite `b` that is too large for direct evaluation of the sum, | |
i.e. ``b - a + 1 > maxterms``. | |
References | |
---------- | |
[1] Wikipedia. "Integral test for convergence." | |
https://en.wikipedia.org/wiki/Integral_test_for_convergence | |
Examples | |
-------- | |
Compute the infinite sum of the reciprocals of squared integers. | |
>>> import numpy as np | |
>>> from scipy.integrate._tanhsinh import _nsum | |
>>> res = _nsum(lambda k: 1/k**2, 1, np.inf, maxterms=1e3) | |
>>> ref = np.pi**2/6 # true value | |
>>> res.error # estimated error | |
4.990014980029223e-07 | |
>>> (res.sum - ref)/ref # true error | |
-1.0101760641302586e-10 | |
>>> res.nfev # number of points at which callable was evaluated | |
1142 | |
Compute the infinite sums of the reciprocals of integers raised to powers ``p``. | |
>>> from scipy import special | |
>>> p = np.arange(2, 10) | |
>>> res = _nsum(lambda k, p: 1/k**p, 1, np.inf, maxterms=1e3, args=(p,)) | |
>>> ref = special.zeta(p, 1) | |
>>> np.allclose(res.sum, ref) | |
True | |
""" # noqa: E501 | |
# Potential future work: | |
# - more careful testing of when `b` is slightly less than `a` plus an | |
# integer multiple of step (needed before this is public) | |
# - improve error estimate of `_direct` sum | |
# - add other methods for convergence acceleration (Richardson, epsilon) | |
# - support infinite lower limit? | |
# - support negative monotone increasing functions? | |
# - b < a / negative step? | |
# - complex-valued function? | |
# - check for violations of monotonicity? | |
# Function-specific input validation / standardization | |
tmp = _nsum_iv(f, a, b, step, args, log, maxterms, atol, rtol) | |
f, a, b, step, valid_abstep, args, log, maxterms, atol, rtol = tmp | |
# Additional elementwise algorithm input validation / standardization | |
tmp = eim._initialize(f, (a,), args, complex_ok=False) | |
f, xs, fs, args, shape, dtype = tmp | |
# Finish preparing `a`, `b`, and `step` arrays | |
a = xs[0] | |
b = np.broadcast_to(b, shape).ravel().astype(dtype) | |
step = np.broadcast_to(step, shape).ravel().astype(dtype) | |
valid_abstep = np.broadcast_to(valid_abstep, shape).ravel() | |
nterms = np.floor((b - a) / step) | |
b = a + nterms*step | |
# Define constants | |
eps = np.finfo(dtype).eps | |
zero = np.asarray(-np.inf if log else 0, dtype=dtype)[()] | |
if rtol is None: | |
rtol = 0.5*np.log(eps) if log else eps**0.5 | |
constants = (dtype, log, eps, zero, rtol, atol, maxterms) | |
# Prepare result arrays | |
S = np.empty_like(a) | |
E = np.empty_like(a) | |
status = np.zeros(len(a), dtype=int) | |
nfev = np.ones(len(a), dtype=int) # one function evaluation above | |
# Branch for direct sum evaluation / integral approximation / invalid input | |
i1 = (nterms + 1 <= maxterms) & valid_abstep | |
i2 = (nterms + 1 > maxterms) & valid_abstep | |
i3 = ~valid_abstep | |
if np.any(i1): | |
args_direct = [arg[i1] for arg in args] | |
tmp = _direct(f, a[i1], b[i1], step[i1], args_direct, constants) | |
S[i1], E[i1] = tmp[:-1] | |
nfev[i1] += tmp[-1] | |
status[i1] = -3 * (~np.isfinite(S[i1])) | |
if np.any(i2): | |
args_indirect = [arg[i2] for arg in args] | |
tmp = _integral_bound(f, a[i2], b[i2], step[i2], args_indirect, constants) | |
S[i2], E[i2], status[i2] = tmp[:-1] | |
nfev[i2] += tmp[-1] | |
if np.any(i3): | |
S[i3], E[i3] = np.nan, np.nan | |
status[i3] = -1 | |
# Return results | |
S, E = S.reshape(shape)[()], E.reshape(shape)[()] | |
status, nfev = status.reshape(shape)[()], nfev.reshape(shape)[()] | |
return _RichResult(sum=S, error=E, status=status, success=status == 0, | |
nfev=nfev) | |
def _direct(f, a, b, step, args, constants, inclusive=True): | |
# Directly evaluate the sum. | |
# When used in the context of distributions, `args` would contain the | |
# distribution parameters. We have broadcasted for simplicity, but we could | |
# reduce function evaluations when distribution parameters are the same but | |
# sum limits differ. Roughly: | |
# - compute the function at all points between min(a) and max(b), | |
# - compute the cumulative sum, | |
# - take the difference between elements of the cumulative sum | |
# corresponding with b and a. | |
# This is left to future enhancement | |
dtype, log, eps, zero, _, _, _ = constants | |
# To allow computation in a single vectorized call, find the maximum number | |
# of points (over all slices) at which the function needs to be evaluated. | |
# Note: if `inclusive` is `True`, then we want `1` more term in the sum. | |
# I didn't think it was great style to use `True` as `1` in Python, so I | |
# explicitly converted it to an `int` before using it. | |
inclusive_adjustment = int(inclusive) | |
steps = np.round((b - a) / step) + inclusive_adjustment | |
# Equivalently, steps = np.round((b - a) / step) + inclusive | |
max_steps = int(np.max(steps)) | |
# In each slice, the function will be evaluated at the same number of points, | |
# but excessive points (those beyond the right sum limit `b`) are replaced | |
# with NaN to (potentially) reduce the time of these unnecessary calculations. | |
# Use a new last axis for these calculations for consistency with other | |
# elementwise algorithms. | |
a2, b2, step2 = a[:, np.newaxis], b[:, np.newaxis], step[:, np.newaxis] | |
args2 = [arg[:, np.newaxis] for arg in args] | |
ks = a2 + np.arange(max_steps, dtype=dtype) * step2 | |
i_nan = ks >= (b2 + inclusive_adjustment*step2/2) | |
ks[i_nan] = np.nan | |
fs = f(ks, *args2) | |
# The function evaluated at NaN is NaN, and NaNs are zeroed in the sum. | |
# In some cases it may be faster to loop over slices than to vectorize | |
# like this. This is an optimization that can be added later. | |
fs[i_nan] = zero | |
nfev = max_steps - i_nan.sum(axis=-1) | |
S = _logsumexp(fs, axis=-1) if log else np.sum(fs, axis=-1) | |
# Rough, non-conservative error estimate. See gh-19667 for improvement ideas. | |
E = np.real(S) + np.log(eps) if log else eps * abs(S) | |
return S, E, nfev | |
def _integral_bound(f, a, b, step, args, constants): | |
# Estimate the sum with integral approximation | |
dtype, log, _, _, rtol, atol, maxterms = constants | |
log2 = np.log(2, dtype=dtype) | |
# Get a lower bound on the sum and compute effective absolute tolerance | |
lb = _tanhsinh(f, a, b, args=args, atol=atol, rtol=rtol, log=log) | |
tol = np.broadcast_to(atol, lb.integral.shape) | |
tol = _logsumexp((tol, rtol + lb.integral)) if log else tol + rtol*lb.integral | |
i_skip = lb.status < 0 # avoid unnecessary f_evals if integral is divergent | |
tol[i_skip] = np.nan | |
status = lb.status | |
# As in `_direct`, we'll need a temporary new axis for points | |
# at which to evaluate the function. Append axis at the end for | |
# consistency with other elementwise algorithms. | |
a2 = a[..., np.newaxis] | |
step2 = step[..., np.newaxis] | |
args2 = [arg[..., np.newaxis] for arg in args] | |
# Find the location of a term that is less than the tolerance (if possible) | |
log2maxterms = np.floor(np.log2(maxterms)) if maxterms else 0 | |
n_steps = np.concatenate([2**np.arange(0, log2maxterms), [maxterms]], dtype=dtype) | |
nfev = len(n_steps) | |
ks = a2 + n_steps * step2 | |
fks = f(ks, *args2) | |
nt = np.minimum(np.sum(fks > tol[:, np.newaxis], axis=-1), n_steps.shape[-1]-1) | |
n_steps = n_steps[nt] | |
# Directly evaluate the sum up to this term | |
k = a + n_steps * step | |
left, left_error, left_nfev = _direct(f, a, k, step, args, | |
constants, inclusive=False) | |
i_skip |= np.isposinf(left) # if sum is not finite, no sense in continuing | |
status[np.isposinf(left)] = -3 | |
k[i_skip] = np.nan | |
# Use integration to estimate the remaining sum | |
# Possible optimization for future work: if there were no terms less than | |
# the tolerance, there is no need to compute the integral to better accuracy. | |
# Something like: | |
# atol = np.maximum(atol, np.minimum(fk/2 - fb/2)) | |
# rtol = np.maximum(rtol, np.minimum((fk/2 - fb/2)/left)) | |
# where `fk`/`fb` are currently calculated below. | |
right = _tanhsinh(f, k, b, args=args, atol=atol, rtol=rtol, log=log) | |
# Calculate the full estimate and error from the pieces | |
fk = fks[np.arange(len(fks)), nt] | |
fb = f(b, *args) | |
nfev += 1 | |
if log: | |
log_step = np.log(step) | |
S_terms = (left, right.integral - log_step, fk - log2, fb - log2) | |
S = _logsumexp(S_terms, axis=0) | |
E_terms = (left_error, right.error - log_step, fk-log2, fb-log2+np.pi*1j) | |
E = _logsumexp(E_terms, axis=0).real | |
else: | |
S = left + right.integral/step + fk/2 + fb/2 | |
E = left_error + right.error/step + fk/2 - fb/2 | |
status[~i_skip] = right.status[~i_skip] | |
return S, E, status, left_nfev + right.nfev + nfev + lb.nfev | |