peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/integrate
/_quadrature.py
from __future__ import annotations | |
from typing import TYPE_CHECKING, Callable, Any, cast | |
import numpy as np | |
import numpy.typing as npt | |
import math | |
import warnings | |
from collections import namedtuple | |
from scipy.special import roots_legendre | |
from scipy.special import gammaln, logsumexp | |
from scipy._lib._util import _rng_spawn | |
from scipy._lib.deprecation import (_NoValue, _deprecate_positional_args, | |
_deprecated) | |
__all__ = ['fixed_quad', 'quadrature', 'romberg', 'romb', | |
'trapezoid', 'trapz', 'simps', 'simpson', | |
'cumulative_trapezoid', 'cumtrapz', 'newton_cotes', | |
'qmc_quad', 'AccuracyWarning', 'cumulative_simpson'] | |
def trapezoid(y, x=None, dx=1.0, axis=-1): | |
r""" | |
Integrate along the given axis using the composite trapezoidal rule. | |
If `x` is provided, the integration happens in sequence along its | |
elements - they are not sorted. | |
Integrate `y` (`x`) along each 1d slice on the given axis, compute | |
:math:`\int y(x) dx`. | |
When `x` is specified, this integrates along the parametric curve, | |
computing :math:`\int_t y(t) dt = | |
\int_t y(t) \left.\frac{dx}{dt}\right|_{x=x(t)} dt`. | |
Parameters | |
---------- | |
y : array_like | |
Input array to integrate. | |
x : array_like, optional | |
The sample points corresponding to the `y` values. If `x` is None, | |
the sample points are assumed to be evenly spaced `dx` apart. The | |
default is None. | |
dx : scalar, optional | |
The spacing between sample points when `x` is None. The default is 1. | |
axis : int, optional | |
The axis along which to integrate. | |
Returns | |
------- | |
trapezoid : float or ndarray | |
Definite integral of `y` = n-dimensional array as approximated along | |
a single axis by the trapezoidal rule. If `y` is a 1-dimensional array, | |
then the result is a float. If `n` is greater than 1, then the result | |
is an `n`-1 dimensional array. | |
See Also | |
-------- | |
cumulative_trapezoid, simpson, romb | |
Notes | |
----- | |
Image [2]_ illustrates trapezoidal rule -- y-axis locations of points | |
will be taken from `y` array, by default x-axis distances between | |
points will be 1.0, alternatively they can be provided with `x` array | |
or with `dx` scalar. Return value will be equal to combined area under | |
the red lines. | |
References | |
---------- | |
.. [1] Wikipedia page: https://en.wikipedia.org/wiki/Trapezoidal_rule | |
.. [2] Illustration image: | |
https://en.wikipedia.org/wiki/File:Composite_trapezoidal_rule_illustration.png | |
Examples | |
-------- | |
Use the trapezoidal rule on evenly spaced points: | |
>>> import numpy as np | |
>>> from scipy import integrate | |
>>> integrate.trapezoid([1, 2, 3]) | |
4.0 | |
The spacing between sample points can be selected by either the | |
``x`` or ``dx`` arguments: | |
>>> integrate.trapezoid([1, 2, 3], x=[4, 6, 8]) | |
8.0 | |
>>> integrate.trapezoid([1, 2, 3], dx=2) | |
8.0 | |
Using a decreasing ``x`` corresponds to integrating in reverse: | |
>>> integrate.trapezoid([1, 2, 3], x=[8, 6, 4]) | |
-8.0 | |
More generally ``x`` is used to integrate along a parametric curve. We can | |
estimate the integral :math:`\int_0^1 x^2 = 1/3` using: | |
>>> x = np.linspace(0, 1, num=50) | |
>>> y = x**2 | |
>>> integrate.trapezoid(y, x) | |
0.33340274885464394 | |
Or estimate the area of a circle, noting we repeat the sample which closes | |
the curve: | |
>>> theta = np.linspace(0, 2 * np.pi, num=1000, endpoint=True) | |
>>> integrate.trapezoid(np.cos(theta), x=np.sin(theta)) | |
3.141571941375841 | |
``trapezoid`` can be applied along a specified axis to do multiple | |
computations in one call: | |
>>> a = np.arange(6).reshape(2, 3) | |
>>> a | |
array([[0, 1, 2], | |
[3, 4, 5]]) | |
>>> integrate.trapezoid(a, axis=0) | |
array([1.5, 2.5, 3.5]) | |
>>> integrate.trapezoid(a, axis=1) | |
array([2., 8.]) | |
""" | |
y = np.asanyarray(y) | |
if x is None: | |
d = dx | |
else: | |
x = np.asanyarray(x) | |
if x.ndim == 1: | |
d = np.diff(x) | |
# reshape to correct shape | |
shape = [1]*y.ndim | |
shape[axis] = d.shape[0] | |
d = d.reshape(shape) | |
else: | |
d = np.diff(x, axis=axis) | |
nd = y.ndim | |
slice1 = [slice(None)]*nd | |
slice2 = [slice(None)]*nd | |
slice1[axis] = slice(1, None) | |
slice2[axis] = slice(None, -1) | |
try: | |
ret = (d * (y[tuple(slice1)] + y[tuple(slice2)]) / 2.0).sum(axis) | |
except ValueError: | |
# Operations didn't work, cast to ndarray | |
d = np.asarray(d) | |
y = np.asarray(y) | |
ret = np.add.reduce(d * (y[tuple(slice1)]+y[tuple(slice2)])/2.0, axis) | |
return ret | |
# Note: alias kept for backwards compatibility. Rename was done | |
# because trapz is a slur in colloquial English (see gh-12924). | |
def trapz(y, x=None, dx=1.0, axis=-1): | |
"""An alias of `trapezoid`. | |
`trapz` is kept for backwards compatibility. For new code, prefer | |
`trapezoid` instead. | |
""" | |
msg = ("'scipy.integrate.trapz' is deprecated in favour of " | |
"'scipy.integrate.trapezoid' and will be removed in SciPy 1.14.0") | |
warnings.warn(msg, DeprecationWarning, stacklevel=2) | |
return trapezoid(y, x=x, dx=dx, axis=axis) | |
class AccuracyWarning(Warning): | |
pass | |
if TYPE_CHECKING: | |
# workaround for mypy function attributes see: | |
# https://github.com/python/mypy/issues/2087#issuecomment-462726600 | |
from typing import Protocol | |
class CacheAttributes(Protocol): | |
cache: dict[int, tuple[Any, Any]] | |
else: | |
CacheAttributes = Callable | |
def cache_decorator(func: Callable) -> CacheAttributes: | |
return cast(CacheAttributes, func) | |
def _cached_roots_legendre(n): | |
""" | |
Cache roots_legendre results to speed up calls of the fixed_quad | |
function. | |
""" | |
if n in _cached_roots_legendre.cache: | |
return _cached_roots_legendre.cache[n] | |
_cached_roots_legendre.cache[n] = roots_legendre(n) | |
return _cached_roots_legendre.cache[n] | |
_cached_roots_legendre.cache = dict() | |
def fixed_quad(func, a, b, args=(), n=5): | |
""" | |
Compute a definite integral using fixed-order Gaussian quadrature. | |
Integrate `func` from `a` to `b` using Gaussian quadrature of | |
order `n`. | |
Parameters | |
---------- | |
func : callable | |
A Python function or method to integrate (must accept vector inputs). | |
If integrating a vector-valued function, the returned array must have | |
shape ``(..., len(x))``. | |
a : float | |
Lower limit of integration. | |
b : float | |
Upper limit of integration. | |
args : tuple, optional | |
Extra arguments to pass to function, if any. | |
n : int, optional | |
Order of quadrature integration. Default is 5. | |
Returns | |
------- | |
val : float | |
Gaussian quadrature approximation to the integral | |
none : None | |
Statically returned value of None | |
See Also | |
-------- | |
quad : adaptive quadrature using QUADPACK | |
dblquad : double integrals | |
tplquad : triple integrals | |
romberg : adaptive Romberg quadrature | |
quadrature : adaptive Gaussian quadrature | |
romb : integrators for sampled data | |
simpson : integrators for sampled data | |
cumulative_trapezoid : cumulative integration for sampled data | |
ode : ODE integrator | |
odeint : ODE integrator | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> f = lambda x: x**8 | |
>>> integrate.fixed_quad(f, 0.0, 1.0, n=4) | |
(0.1110884353741496, None) | |
>>> integrate.fixed_quad(f, 0.0, 1.0, n=5) | |
(0.11111111111111102, None) | |
>>> print(1/9.0) # analytical result | |
0.1111111111111111 | |
>>> integrate.fixed_quad(np.cos, 0.0, np.pi/2, n=4) | |
(0.9999999771971152, None) | |
>>> integrate.fixed_quad(np.cos, 0.0, np.pi/2, n=5) | |
(1.000000000039565, None) | |
>>> np.sin(np.pi/2)-np.sin(0) # analytical result | |
1.0 | |
""" | |
x, w = _cached_roots_legendre(n) | |
x = np.real(x) | |
if np.isinf(a) or np.isinf(b): | |
raise ValueError("Gaussian quadrature is only available for " | |
"finite limits.") | |
y = (b-a)*(x+1)/2.0 + a | |
return (b-a)/2.0 * np.sum(w*func(y, *args), axis=-1), None | |
def vectorize1(func, args=(), vec_func=False): | |
"""Vectorize the call to a function. | |
This is an internal utility function used by `romberg` and | |
`quadrature` to create a vectorized version of a function. | |
If `vec_func` is True, the function `func` is assumed to take vector | |
arguments. | |
Parameters | |
---------- | |
func : callable | |
User defined function. | |
args : tuple, optional | |
Extra arguments for the function. | |
vec_func : bool, optional | |
True if the function func takes vector arguments. | |
Returns | |
------- | |
vfunc : callable | |
A function that will take a vector argument and return the | |
result. | |
""" | |
if vec_func: | |
def vfunc(x): | |
return func(x, *args) | |
else: | |
def vfunc(x): | |
if np.isscalar(x): | |
return func(x, *args) | |
x = np.asarray(x) | |
# call with first point to get output type | |
y0 = func(x[0], *args) | |
n = len(x) | |
dtype = getattr(y0, 'dtype', type(y0)) | |
output = np.empty((n,), dtype=dtype) | |
output[0] = y0 | |
for i in range(1, n): | |
output[i] = func(x[i], *args) | |
return output | |
return vfunc | |
def quadrature(func, a, b, args=(), tol=1.49e-8, rtol=1.49e-8, maxiter=50, | |
vec_func=True, miniter=1): | |
""" | |
Compute a definite integral using fixed-tolerance Gaussian quadrature. | |
.. deprecated:: 1.12.0 | |
This function is deprecated as of SciPy 1.12.0 and will be removed | |
in SciPy 1.15.0. Please use `scipy.integrate.quad` instead. | |
Integrate `func` from `a` to `b` using Gaussian quadrature | |
with absolute tolerance `tol`. | |
Parameters | |
---------- | |
func : function | |
A Python function or method to integrate. | |
a : float | |
Lower limit of integration. | |
b : float | |
Upper limit of integration. | |
args : tuple, optional | |
Extra arguments to pass to function. | |
tol, rtol : float, optional | |
Iteration stops when error between last two iterates is less than | |
`tol` OR the relative change is less than `rtol`. | |
maxiter : int, optional | |
Maximum order of Gaussian quadrature. | |
vec_func : bool, optional | |
True or False if func handles arrays as arguments (is | |
a "vector" function). Default is True. | |
miniter : int, optional | |
Minimum order of Gaussian quadrature. | |
Returns | |
------- | |
val : float | |
Gaussian quadrature approximation (within tolerance) to integral. | |
err : float | |
Difference between last two estimates of the integral. | |
See Also | |
-------- | |
romberg : adaptive Romberg quadrature | |
fixed_quad : fixed-order Gaussian quadrature | |
quad : adaptive quadrature using QUADPACK | |
dblquad : double integrals | |
tplquad : triple integrals | |
romb : integrator for sampled data | |
simpson : integrator for sampled data | |
cumulative_trapezoid : cumulative integration for sampled data | |
ode : ODE integrator | |
odeint : ODE integrator | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> f = lambda x: x**8 | |
>>> integrate.quadrature(f, 0.0, 1.0) | |
(0.11111111111111106, 4.163336342344337e-17) | |
>>> print(1/9.0) # analytical result | |
0.1111111111111111 | |
>>> integrate.quadrature(np.cos, 0.0, np.pi/2) | |
(0.9999999999999536, 3.9611425250996035e-11) | |
>>> np.sin(np.pi/2)-np.sin(0) # analytical result | |
1.0 | |
""" | |
if not isinstance(args, tuple): | |
args = (args,) | |
vfunc = vectorize1(func, args, vec_func=vec_func) | |
val = np.inf | |
err = np.inf | |
maxiter = max(miniter+1, maxiter) | |
for n in range(miniter, maxiter+1): | |
newval = fixed_quad(vfunc, a, b, (), n)[0] | |
err = abs(newval-val) | |
val = newval | |
if err < tol or err < rtol*abs(val): | |
break | |
else: | |
warnings.warn( | |
"maxiter (%d) exceeded. Latest difference = %e" % (maxiter, err), | |
AccuracyWarning, stacklevel=2 | |
) | |
return val, err | |
def tupleset(t, i, value): | |
l = list(t) | |
l[i] = value | |
return tuple(l) | |
# Note: alias kept for backwards compatibility. Rename was done | |
# because cumtrapz is a slur in colloquial English (see gh-12924). | |
def cumtrapz(y, x=None, dx=1.0, axis=-1, initial=None): | |
"""An alias of `cumulative_trapezoid`. | |
`cumtrapz` is kept for backwards compatibility. For new code, prefer | |
`cumulative_trapezoid` instead. | |
""" | |
msg = ("'scipy.integrate.cumtrapz' is deprecated in favour of " | |
"'scipy.integrate.cumulative_trapezoid' and will be removed " | |
"in SciPy 1.14.0") | |
warnings.warn(msg, DeprecationWarning, stacklevel=2) | |
return cumulative_trapezoid(y, x=x, dx=dx, axis=axis, initial=initial) | |
def cumulative_trapezoid(y, x=None, dx=1.0, axis=-1, initial=None): | |
""" | |
Cumulatively integrate y(x) using the composite trapezoidal rule. | |
Parameters | |
---------- | |
y : array_like | |
Values to integrate. | |
x : array_like, optional | |
The coordinate to integrate along. If None (default), use spacing `dx` | |
between consecutive elements in `y`. | |
dx : float, optional | |
Spacing between elements of `y`. Only used if `x` is None. | |
axis : int, optional | |
Specifies the axis to cumulate. Default is -1 (last axis). | |
initial : scalar, optional | |
If given, insert this value at the beginning of the returned result. | |
0 or None are the only values accepted. Default is None, which means | |
`res` has one element less than `y` along the axis of integration. | |
.. deprecated:: 1.12.0 | |
The option for non-zero inputs for `initial` will be deprecated in | |
SciPy 1.15.0. After this time, a ValueError will be raised if | |
`initial` is not None or 0. | |
Returns | |
------- | |
res : ndarray | |
The result of cumulative integration of `y` along `axis`. | |
If `initial` is None, the shape is such that the axis of integration | |
has one less value than `y`. If `initial` is given, the shape is equal | |
to that of `y`. | |
See Also | |
-------- | |
numpy.cumsum, numpy.cumprod | |
cumulative_simpson : cumulative integration using Simpson's 1/3 rule | |
quad : adaptive quadrature using QUADPACK | |
romberg : adaptive Romberg quadrature | |
quadrature : adaptive Gaussian quadrature | |
fixed_quad : fixed-order Gaussian quadrature | |
dblquad : double integrals | |
tplquad : triple integrals | |
romb : integrators for sampled data | |
ode : ODE integrators | |
odeint : ODE integrators | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> import matplotlib.pyplot as plt | |
>>> x = np.linspace(-2, 2, num=20) | |
>>> y = x | |
>>> y_int = integrate.cumulative_trapezoid(y, x, initial=0) | |
>>> plt.plot(x, y_int, 'ro', x, y[0] + 0.5 * x**2, 'b-') | |
>>> plt.show() | |
""" | |
y = np.asarray(y) | |
if y.shape[axis] == 0: | |
raise ValueError("At least one point is required along `axis`.") | |
if x is None: | |
d = dx | |
else: | |
x = np.asarray(x) | |
if x.ndim == 1: | |
d = np.diff(x) | |
# reshape to correct shape | |
shape = [1] * y.ndim | |
shape[axis] = -1 | |
d = d.reshape(shape) | |
elif len(x.shape) != len(y.shape): | |
raise ValueError("If given, shape of x must be 1-D or the " | |
"same as y.") | |
else: | |
d = np.diff(x, axis=axis) | |
if d.shape[axis] != y.shape[axis] - 1: | |
raise ValueError("If given, length of x along axis must be the " | |
"same as y.") | |
nd = len(y.shape) | |
slice1 = tupleset((slice(None),)*nd, axis, slice(1, None)) | |
slice2 = tupleset((slice(None),)*nd, axis, slice(None, -1)) | |
res = np.cumsum(d * (y[slice1] + y[slice2]) / 2.0, axis=axis) | |
if initial is not None: | |
if initial != 0: | |
warnings.warn( | |
"The option for values for `initial` other than None or 0 is " | |
"deprecated as of SciPy 1.12.0 and will raise a value error in" | |
" SciPy 1.15.0.", | |
DeprecationWarning, stacklevel=2 | |
) | |
if not np.isscalar(initial): | |
raise ValueError("`initial` parameter should be a scalar.") | |
shape = list(res.shape) | |
shape[axis] = 1 | |
res = np.concatenate([np.full(shape, initial, dtype=res.dtype), res], | |
axis=axis) | |
return res | |
def _basic_simpson(y, start, stop, x, dx, axis): | |
nd = len(y.shape) | |
if start is None: | |
start = 0 | |
step = 2 | |
slice_all = (slice(None),)*nd | |
slice0 = tupleset(slice_all, axis, slice(start, stop, step)) | |
slice1 = tupleset(slice_all, axis, slice(start+1, stop+1, step)) | |
slice2 = tupleset(slice_all, axis, slice(start+2, stop+2, step)) | |
if x is None: # Even-spaced Simpson's rule. | |
result = np.sum(y[slice0] + 4.0*y[slice1] + y[slice2], axis=axis) | |
result *= dx / 3.0 | |
else: | |
# Account for possibly different spacings. | |
# Simpson's rule changes a bit. | |
h = np.diff(x, axis=axis) | |
sl0 = tupleset(slice_all, axis, slice(start, stop, step)) | |
sl1 = tupleset(slice_all, axis, slice(start+1, stop+1, step)) | |
h0 = h[sl0].astype(float, copy=False) | |
h1 = h[sl1].astype(float, copy=False) | |
hsum = h0 + h1 | |
hprod = h0 * h1 | |
h0divh1 = np.true_divide(h0, h1, out=np.zeros_like(h0), where=h1 != 0) | |
tmp = hsum/6.0 * (y[slice0] * | |
(2.0 - np.true_divide(1.0, h0divh1, | |
out=np.zeros_like(h0divh1), | |
where=h0divh1 != 0)) + | |
y[slice1] * (hsum * | |
np.true_divide(hsum, hprod, | |
out=np.zeros_like(hsum), | |
where=hprod != 0)) + | |
y[slice2] * (2.0 - h0divh1)) | |
result = np.sum(tmp, axis=axis) | |
return result | |
# Note: alias kept for backwards compatibility. simps was renamed to simpson | |
# because the former is a slur in colloquial English (see gh-12924). | |
def simps(y, x=None, dx=1.0, axis=-1, even=_NoValue): | |
"""An alias of `simpson`. | |
`simps` is kept for backwards compatibility. For new code, prefer | |
`simpson` instead. | |
""" | |
msg = ("'scipy.integrate.simps' is deprecated in favour of " | |
"'scipy.integrate.simpson' and will be removed in SciPy 1.14.0") | |
warnings.warn(msg, DeprecationWarning, stacklevel=2) | |
# we don't deprecate positional use as the wrapper is going away completely | |
return simpson(y, x=x, dx=dx, axis=axis, even=even) | |
def simpson(y, *, x=None, dx=1.0, axis=-1, even=_NoValue): | |
""" | |
Integrate y(x) using samples along the given axis and the composite | |
Simpson's rule. If x is None, spacing of dx is assumed. | |
If there are an even number of samples, N, then there are an odd | |
number of intervals (N-1), but Simpson's rule requires an even number | |
of intervals. The parameter 'even' controls how this is handled. | |
Parameters | |
---------- | |
y : array_like | |
Array to be integrated. | |
x : array_like, optional | |
If given, the points at which `y` is sampled. | |
dx : float, optional | |
Spacing of integration points along axis of `x`. Only used when | |
`x` is None. Default is 1. | |
axis : int, optional | |
Axis along which to integrate. Default is the last axis. | |
even : {None, 'simpson', 'avg', 'first', 'last'}, optional | |
'avg' : Average two results: | |
1) use the first N-2 intervals with | |
a trapezoidal rule on the last interval and | |
2) use the last | |
N-2 intervals with a trapezoidal rule on the first interval. | |
'first' : Use Simpson's rule for the first N-2 intervals with | |
a trapezoidal rule on the last interval. | |
'last' : Use Simpson's rule for the last N-2 intervals with a | |
trapezoidal rule on the first interval. | |
None : equivalent to 'simpson' (default) | |
'simpson' : Use Simpson's rule for the first N-2 intervals with the | |
addition of a 3-point parabolic segment for the last | |
interval using equations outlined by Cartwright [1]_. | |
If the axis to be integrated over only has two points then | |
the integration falls back to a trapezoidal integration. | |
.. versionadded:: 1.11.0 | |
.. versionchanged:: 1.11.0 | |
The newly added 'simpson' option is now the default as it is more | |
accurate in most situations. | |
.. deprecated:: 1.11.0 | |
Parameter `even` is deprecated and will be removed in SciPy | |
1.14.0. After this time the behaviour for an even number of | |
points will follow that of `even='simpson'`. | |
Returns | |
------- | |
float | |
The estimated integral computed with the composite Simpson's rule. | |
See Also | |
-------- | |
quad : adaptive quadrature using QUADPACK | |
romberg : adaptive Romberg quadrature | |
quadrature : adaptive Gaussian quadrature | |
fixed_quad : fixed-order Gaussian quadrature | |
dblquad : double integrals | |
tplquad : triple integrals | |
romb : integrators for sampled data | |
cumulative_trapezoid : cumulative integration for sampled data | |
cumulative_simpson : cumulative integration using Simpson's 1/3 rule | |
ode : ODE integrators | |
odeint : ODE integrators | |
Notes | |
----- | |
For an odd number of samples that are equally spaced the result is | |
exact if the function is a polynomial of order 3 or less. If | |
the samples are not equally spaced, then the result is exact only | |
if the function is a polynomial of order 2 or less. | |
References | |
---------- | |
.. [1] Cartwright, Kenneth V. Simpson's Rule Cumulative Integration with | |
MS Excel and Irregularly-spaced Data. Journal of Mathematical | |
Sciences and Mathematics Education. 12 (2): 1-9 | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> x = np.arange(0, 10) | |
>>> y = np.arange(0, 10) | |
>>> integrate.simpson(y, x=x) | |
40.5 | |
>>> y = np.power(x, 3) | |
>>> integrate.simpson(y, x=x) | |
1640.5 | |
>>> integrate.quad(lambda x: x**3, 0, 9)[0] | |
1640.25 | |
>>> integrate.simpson(y, x=x, even='first') | |
1644.5 | |
""" | |
y = np.asarray(y) | |
nd = len(y.shape) | |
N = y.shape[axis] | |
last_dx = dx | |
first_dx = dx | |
returnshape = 0 | |
if x is not None: | |
x = np.asarray(x) | |
if len(x.shape) == 1: | |
shapex = [1] * nd | |
shapex[axis] = x.shape[0] | |
saveshape = x.shape | |
returnshape = 1 | |
x = x.reshape(tuple(shapex)) | |
elif len(x.shape) != len(y.shape): | |
raise ValueError("If given, shape of x must be 1-D or the " | |
"same as y.") | |
if x.shape[axis] != N: | |
raise ValueError("If given, length of x along axis must be the " | |
"same as y.") | |
# even keyword parameter is deprecated | |
if even is not _NoValue: | |
warnings.warn( | |
"The 'even' keyword is deprecated as of SciPy 1.11.0 and will be " | |
"removed in SciPy 1.14.0", | |
DeprecationWarning, stacklevel=2 | |
) | |
if N % 2 == 0: | |
val = 0.0 | |
result = 0.0 | |
slice_all = (slice(None),) * nd | |
# default is 'simpson' | |
even = even if even not in (_NoValue, None) else "simpson" | |
if even not in ['avg', 'last', 'first', 'simpson']: | |
raise ValueError( | |
"Parameter 'even' must be 'simpson', " | |
"'avg', 'last', or 'first'." | |
) | |
if N == 2: | |
# need at least 3 points in integration axis to form parabolic | |
# segment. If there are two points then any of 'avg', 'first', | |
# 'last' should give the same result. | |
slice1 = tupleset(slice_all, axis, -1) | |
slice2 = tupleset(slice_all, axis, -2) | |
if x is not None: | |
last_dx = x[slice1] - x[slice2] | |
val += 0.5 * last_dx * (y[slice1] + y[slice2]) | |
# calculation is finished. Set `even` to None to skip other | |
# scenarios | |
even = None | |
if even == 'simpson': | |
# use Simpson's rule on first intervals | |
result = _basic_simpson(y, 0, N-3, x, dx, axis) | |
slice1 = tupleset(slice_all, axis, -1) | |
slice2 = tupleset(slice_all, axis, -2) | |
slice3 = tupleset(slice_all, axis, -3) | |
h = np.asarray([dx, dx], dtype=np.float64) | |
if x is not None: | |
# grab the last two spacings from the appropriate axis | |
hm2 = tupleset(slice_all, axis, slice(-2, -1, 1)) | |
hm1 = tupleset(slice_all, axis, slice(-1, None, 1)) | |
diffs = np.float64(np.diff(x, axis=axis)) | |
h = [np.squeeze(diffs[hm2], axis=axis), | |
np.squeeze(diffs[hm1], axis=axis)] | |
# This is the correction for the last interval according to | |
# Cartwright. | |
# However, I used the equations given at | |
# https://en.wikipedia.org/wiki/Simpson%27s_rule#Composite_Simpson's_rule_for_irregularly_spaced_data | |
# A footnote on Wikipedia says: | |
# Cartwright 2017, Equation 8. The equation in Cartwright is | |
# calculating the first interval whereas the equations in the | |
# Wikipedia article are adjusting for the last integral. If the | |
# proper algebraic substitutions are made, the equation results in | |
# the values shown. | |
num = 2 * h[1] ** 2 + 3 * h[0] * h[1] | |
den = 6 * (h[1] + h[0]) | |
alpha = np.true_divide( | |
num, | |
den, | |
out=np.zeros_like(den), | |
where=den != 0 | |
) | |
num = h[1] ** 2 + 3.0 * h[0] * h[1] | |
den = 6 * h[0] | |
beta = np.true_divide( | |
num, | |
den, | |
out=np.zeros_like(den), | |
where=den != 0 | |
) | |
num = 1 * h[1] ** 3 | |
den = 6 * h[0] * (h[0] + h[1]) | |
eta = np.true_divide( | |
num, | |
den, | |
out=np.zeros_like(den), | |
where=den != 0 | |
) | |
result += alpha*y[slice1] + beta*y[slice2] - eta*y[slice3] | |
# The following code (down to result=result+val) can be removed | |
# once the 'even' keyword is removed. | |
# Compute using Simpson's rule on first intervals | |
if even in ['avg', 'first']: | |
slice1 = tupleset(slice_all, axis, -1) | |
slice2 = tupleset(slice_all, axis, -2) | |
if x is not None: | |
last_dx = x[slice1] - x[slice2] | |
val += 0.5*last_dx*(y[slice1]+y[slice2]) | |
result = _basic_simpson(y, 0, N-3, x, dx, axis) | |
# Compute using Simpson's rule on last set of intervals | |
if even in ['avg', 'last']: | |
slice1 = tupleset(slice_all, axis, 0) | |
slice2 = tupleset(slice_all, axis, 1) | |
if x is not None: | |
first_dx = x[tuple(slice2)] - x[tuple(slice1)] | |
val += 0.5*first_dx*(y[slice2]+y[slice1]) | |
result += _basic_simpson(y, 1, N-2, x, dx, axis) | |
if even == 'avg': | |
val /= 2.0 | |
result /= 2.0 | |
result = result + val | |
else: | |
result = _basic_simpson(y, 0, N-2, x, dx, axis) | |
if returnshape: | |
x = x.reshape(saveshape) | |
return result | |
def _cumulatively_sum_simpson_integrals( | |
y: np.ndarray, | |
dx: np.ndarray, | |
integration_func: Callable[[np.ndarray, np.ndarray], np.ndarray], | |
) -> np.ndarray: | |
"""Calculate cumulative sum of Simpson integrals. | |
Takes as input the integration function to be used. | |
The integration_func is assumed to return the cumulative sum using | |
composite Simpson's rule. Assumes the axis of summation is -1. | |
""" | |
sub_integrals_h1 = integration_func(y, dx) | |
sub_integrals_h2 = integration_func(y[..., ::-1], dx[..., ::-1])[..., ::-1] | |
shape = list(sub_integrals_h1.shape) | |
shape[-1] += 1 | |
sub_integrals = np.empty(shape) | |
sub_integrals[..., :-1:2] = sub_integrals_h1[..., ::2] | |
sub_integrals[..., 1::2] = sub_integrals_h2[..., ::2] | |
# Integral over last subinterval can only be calculated from | |
# formula for h2 | |
sub_integrals[..., -1] = sub_integrals_h2[..., -1] | |
res = np.cumsum(sub_integrals, axis=-1) | |
return res | |
def _cumulative_simpson_equal_intervals(y: np.ndarray, dx: np.ndarray) -> np.ndarray: | |
"""Calculate the Simpson integrals for all h1 intervals assuming equal interval | |
widths. The function can also be used to calculate the integral for all | |
h2 intervals by reversing the inputs, `y` and `dx`. | |
""" | |
d = dx[..., :-1] | |
f1 = y[..., :-2] | |
f2 = y[..., 1:-1] | |
f3 = y[..., 2:] | |
# Calculate integral over the subintervals (eqn (10) of Reference [2]) | |
return d / 3 * (5 * f1 / 4 + 2 * f2 - f3 / 4) | |
def _cumulative_simpson_unequal_intervals(y: np.ndarray, dx: np.ndarray) -> np.ndarray: | |
"""Calculate the Simpson integrals for all h1 intervals assuming unequal interval | |
widths. The function can also be used to calculate the integral for all | |
h2 intervals by reversing the inputs, `y` and `dx`. | |
""" | |
x21 = dx[..., :-1] | |
x32 = dx[..., 1:] | |
f1 = y[..., :-2] | |
f2 = y[..., 1:-1] | |
f3 = y[..., 2:] | |
x31 = x21 + x32 | |
x21_x31 = x21/x31 | |
x21_x32 = x21/x32 | |
x21x21_x31x32 = x21_x31 * x21_x32 | |
# Calculate integral over the subintervals (eqn (8) of Reference [2]) | |
coeff1 = 3 - x21_x31 | |
coeff2 = 3 + x21x21_x31x32 + x21_x31 | |
coeff3 = -x21x21_x31x32 | |
return x21/6 * (coeff1*f1 + coeff2*f2 + coeff3*f3) | |
def _ensure_float_array(arr: npt.ArrayLike) -> np.ndarray: | |
arr = np.asarray(arr) | |
if np.issubdtype(arr.dtype, np.integer): | |
arr = arr.astype(float, copy=False) | |
return arr | |
def cumulative_simpson(y, *, x=None, dx=1.0, axis=-1, initial=None): | |
r""" | |
Cumulatively integrate y(x) using the composite Simpson's 1/3 rule. | |
The integral of the samples at every point is calculated by assuming a | |
quadratic relationship between each point and the two adjacent points. | |
Parameters | |
---------- | |
y : array_like | |
Values to integrate. Requires at least one point along `axis`. If two or fewer | |
points are provided along `axis`, Simpson's integration is not possible and the | |
result is calculated with `cumulative_trapezoid`. | |
x : array_like, optional | |
The coordinate to integrate along. Must have the same shape as `y` or | |
must be 1D with the same length as `y` along `axis`. `x` must also be | |
strictly increasing along `axis`. | |
If `x` is None (default), integration is performed using spacing `dx` | |
between consecutive elements in `y`. | |
dx : scalar or array_like, optional | |
Spacing between elements of `y`. Only used if `x` is None. Can either | |
be a float, or an array with the same shape as `y`, but of length one along | |
`axis`. Default is 1.0. | |
axis : int, optional | |
Specifies the axis to integrate along. Default is -1 (last axis). | |
initial : scalar or array_like, optional | |
If given, insert this value at the beginning of the returned result, | |
and add it to the rest of the result. Default is None, which means no | |
value at ``x[0]`` is returned and `res` has one element less than `y` | |
along the axis of integration. Can either be a float, or an array with | |
the same shape as `y`, but of length one along `axis`. | |
Returns | |
------- | |
res : ndarray | |
The result of cumulative integration of `y` along `axis`. | |
If `initial` is None, the shape is such that the axis of integration | |
has one less value than `y`. If `initial` is given, the shape is equal | |
to that of `y`. | |
See Also | |
-------- | |
numpy.cumsum | |
cumulative_trapezoid : cumulative integration using the composite | |
trapezoidal rule | |
simpson : integrator for sampled data using the Composite Simpson's Rule | |
Notes | |
----- | |
.. versionadded:: 1.12.0 | |
The composite Simpson's 1/3 method can be used to approximate the definite | |
integral of a sampled input function :math:`y(x)` [1]_. The method assumes | |
a quadratic relationship over the interval containing any three consecutive | |
sampled points. | |
Consider three consecutive points: | |
:math:`(x_1, y_1), (x_2, y_2), (x_3, y_3)`. | |
Assuming a quadratic relationship over the three points, the integral over | |
the subinterval between :math:`x_1` and :math:`x_2` is given by formula | |
(8) of [2]_: | |
.. math:: | |
\int_{x_1}^{x_2} y(x) dx\ &= \frac{x_2-x_1}{6}\left[\ | |
\left\{3-\frac{x_2-x_1}{x_3-x_1}\right\} y_1 + \ | |
\left\{3 + \frac{(x_2-x_1)^2}{(x_3-x_2)(x_3-x_1)} + \ | |
\frac{x_2-x_1}{x_3-x_1}\right\} y_2\\ | |
- \frac{(x_2-x_1)^2}{(x_3-x_2)(x_3-x_1)} y_3\right] | |
The integral between :math:`x_2` and :math:`x_3` is given by swapping | |
appearances of :math:`x_1` and :math:`x_3`. The integral is estimated | |
separately for each subinterval and then cumulatively summed to obtain | |
the final result. | |
For samples that are equally spaced, the result is exact if the function | |
is a polynomial of order three or less [1]_ and the number of subintervals | |
is even. Otherwise, the integral is exact for polynomials of order two or | |
less. | |
References | |
---------- | |
.. [1] Wikipedia page: https://en.wikipedia.org/wiki/Simpson's_rule | |
.. [2] Cartwright, Kenneth V. Simpson's Rule Cumulative Integration with | |
MS Excel and Irregularly-spaced Data. Journal of Mathematical | |
Sciences and Mathematics Education. 12 (2): 1-9 | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> import matplotlib.pyplot as plt | |
>>> x = np.linspace(-2, 2, num=20) | |
>>> y = x**2 | |
>>> y_int = integrate.cumulative_simpson(y, x=x, initial=0) | |
>>> fig, ax = plt.subplots() | |
>>> ax.plot(x, y_int, 'ro', x, x**3/3 - (x[0])**3/3, 'b-') | |
>>> ax.grid() | |
>>> plt.show() | |
The output of `cumulative_simpson` is similar to that of iteratively | |
calling `simpson` with successively higher upper limits of integration, but | |
not identical. | |
>>> def cumulative_simpson_reference(y, x): | |
... return np.asarray([integrate.simpson(y[:i], x=x[:i]) | |
... for i in range(2, len(y) + 1)]) | |
>>> | |
>>> rng = np.random.default_rng(354673834679465) | |
>>> x, y = rng.random(size=(2, 10)) | |
>>> x.sort() | |
>>> | |
>>> res = integrate.cumulative_simpson(y, x=x) | |
>>> ref = cumulative_simpson_reference(y, x) | |
>>> equal = np.abs(res - ref) < 1e-15 | |
>>> equal # not equal when `simpson` has even number of subintervals | |
array([False, True, False, True, False, True, False, True, True]) | |
This is expected: because `cumulative_simpson` has access to more | |
information than `simpson`, it can typically produce more accurate | |
estimates of the underlying integral over subintervals. | |
""" | |
y = _ensure_float_array(y) | |
# validate `axis` and standardize to work along the last axis | |
original_y = y | |
original_shape = y.shape | |
try: | |
y = np.swapaxes(y, axis, -1) | |
except IndexError as e: | |
message = f"`axis={axis}` is not valid for `y` with `y.ndim={y.ndim}`." | |
raise ValueError(message) from e | |
if y.shape[-1] < 3: | |
res = cumulative_trapezoid(original_y, x, dx=dx, axis=axis, initial=None) | |
res = np.swapaxes(res, axis, -1) | |
elif x is not None: | |
x = _ensure_float_array(x) | |
message = ("If given, shape of `x` must be the same as `y` or 1-D with " | |
"the same length as `y` along `axis`.") | |
if not (x.shape == original_shape | |
or (x.ndim == 1 and len(x) == original_shape[axis])): | |
raise ValueError(message) | |
x = np.broadcast_to(x, y.shape) if x.ndim == 1 else np.swapaxes(x, axis, -1) | |
dx = np.diff(x, axis=-1) | |
if np.any(dx <= 0): | |
raise ValueError("Input x must be strictly increasing.") | |
res = _cumulatively_sum_simpson_integrals( | |
y, dx, _cumulative_simpson_unequal_intervals | |
) | |
else: | |
dx = _ensure_float_array(dx) | |
final_dx_shape = tupleset(original_shape, axis, original_shape[axis] - 1) | |
alt_input_dx_shape = tupleset(original_shape, axis, 1) | |
message = ("If provided, `dx` must either be a scalar or have the same " | |
"shape as `y` but with only 1 point along `axis`.") | |
if not (dx.ndim == 0 or dx.shape == alt_input_dx_shape): | |
raise ValueError(message) | |
dx = np.broadcast_to(dx, final_dx_shape) | |
dx = np.swapaxes(dx, axis, -1) | |
res = _cumulatively_sum_simpson_integrals( | |
y, dx, _cumulative_simpson_equal_intervals | |
) | |
if initial is not None: | |
initial = _ensure_float_array(initial) | |
alt_initial_input_shape = tupleset(original_shape, axis, 1) | |
message = ("If provided, `initial` must either be a scalar or have the " | |
"same shape as `y` but with only 1 point along `axis`.") | |
if not (initial.ndim == 0 or initial.shape == alt_initial_input_shape): | |
raise ValueError(message) | |
initial = np.broadcast_to(initial, alt_initial_input_shape) | |
initial = np.swapaxes(initial, axis, -1) | |
res += initial | |
res = np.concatenate((initial, res), axis=-1) | |
res = np.swapaxes(res, -1, axis) | |
return res | |
def romb(y, dx=1.0, axis=-1, show=False): | |
""" | |
Romberg integration using samples of a function. | |
Parameters | |
---------- | |
y : array_like | |
A vector of ``2**k + 1`` equally-spaced samples of a function. | |
dx : float, optional | |
The sample spacing. Default is 1. | |
axis : int, optional | |
The axis along which to integrate. Default is -1 (last axis). | |
show : bool, optional | |
When `y` is a single 1-D array, then if this argument is True | |
print the table showing Richardson extrapolation from the | |
samples. Default is False. | |
Returns | |
------- | |
romb : ndarray | |
The integrated result for `axis`. | |
See Also | |
-------- | |
quad : adaptive quadrature using QUADPACK | |
romberg : adaptive Romberg quadrature | |
quadrature : adaptive Gaussian quadrature | |
fixed_quad : fixed-order Gaussian quadrature | |
dblquad : double integrals | |
tplquad : triple integrals | |
simpson : integrators for sampled data | |
cumulative_trapezoid : cumulative integration for sampled data | |
ode : ODE integrators | |
odeint : ODE integrators | |
Examples | |
-------- | |
>>> from scipy import integrate | |
>>> import numpy as np | |
>>> x = np.arange(10, 14.25, 0.25) | |
>>> y = np.arange(3, 12) | |
>>> integrate.romb(y) | |
56.0 | |
>>> y = np.sin(np.power(x, 2.5)) | |
>>> integrate.romb(y) | |
-0.742561336672229 | |
>>> integrate.romb(y, show=True) | |
Richardson Extrapolation Table for Romberg Integration | |
====================================================== | |
-0.81576 | |
4.63862 6.45674 | |
-1.10581 -3.02062 -3.65245 | |
-2.57379 -3.06311 -3.06595 -3.05664 | |
-1.34093 -0.92997 -0.78776 -0.75160 -0.74256 | |
====================================================== | |
-0.742561336672229 # may vary | |
""" | |
y = np.asarray(y) | |
nd = len(y.shape) | |
Nsamps = y.shape[axis] | |
Ninterv = Nsamps-1 | |
n = 1 | |
k = 0 | |
while n < Ninterv: | |
n <<= 1 | |
k += 1 | |
if n != Ninterv: | |
raise ValueError("Number of samples must be one plus a " | |
"non-negative power of 2.") | |
R = {} | |
slice_all = (slice(None),) * nd | |
slice0 = tupleset(slice_all, axis, 0) | |
slicem1 = tupleset(slice_all, axis, -1) | |
h = Ninterv * np.asarray(dx, dtype=float) | |
R[(0, 0)] = (y[slice0] + y[slicem1])/2.0*h | |
slice_R = slice_all | |
start = stop = step = Ninterv | |
for i in range(1, k+1): | |
start >>= 1 | |
slice_R = tupleset(slice_R, axis, slice(start, stop, step)) | |
step >>= 1 | |
R[(i, 0)] = 0.5*(R[(i-1, 0)] + h*y[slice_R].sum(axis=axis)) | |
for j in range(1, i+1): | |
prev = R[(i, j-1)] | |
R[(i, j)] = prev + (prev-R[(i-1, j-1)]) / ((1 << (2*j))-1) | |
h /= 2.0 | |
if show: | |
if not np.isscalar(R[(0, 0)]): | |
print("*** Printing table only supported for integrals" + | |
" of a single data set.") | |
else: | |
try: | |
precis = show[0] | |
except (TypeError, IndexError): | |
precis = 5 | |
try: | |
width = show[1] | |
except (TypeError, IndexError): | |
width = 8 | |
formstr = "%%%d.%df" % (width, precis) | |
title = "Richardson Extrapolation Table for Romberg Integration" | |
print(title, "=" * len(title), sep="\n", end="\n") | |
for i in range(k+1): | |
for j in range(i+1): | |
print(formstr % R[(i, j)], end=" ") | |
print() | |
print("=" * len(title)) | |
return R[(k, k)] | |
# Romberg quadratures for numeric integration. | |
# | |
# Written by Scott M. Ransom <[email protected]> | |
# last revision: 14 Nov 98 | |
# | |
# Cosmetic changes by Konrad Hinsen <[email protected]> | |
# last revision: 1999-7-21 | |
# | |
# Adapted to SciPy by Travis Oliphant <[email protected]> | |
# last revision: Dec 2001 | |
def _difftrap(function, interval, numtraps): | |
""" | |
Perform part of the trapezoidal rule to integrate a function. | |
Assume that we had called difftrap with all lower powers-of-2 | |
starting with 1. Calling difftrap only returns the summation | |
of the new ordinates. It does _not_ multiply by the width | |
of the trapezoids. This must be performed by the caller. | |
'function' is the function to evaluate (must accept vector arguments). | |
'interval' is a sequence with lower and upper limits | |
of integration. | |
'numtraps' is the number of trapezoids to use (must be a | |
power-of-2). | |
""" | |
if numtraps <= 0: | |
raise ValueError("numtraps must be > 0 in difftrap().") | |
elif numtraps == 1: | |
return 0.5*(function(interval[0])+function(interval[1])) | |
else: | |
numtosum = numtraps/2 | |
h = float(interval[1]-interval[0])/numtosum | |
lox = interval[0] + 0.5 * h | |
points = lox + h * np.arange(numtosum) | |
s = np.sum(function(points), axis=0) | |
return s | |
def _romberg_diff(b, c, k): | |
""" | |
Compute the differences for the Romberg quadrature corrections. | |
See Forman Acton's "Real Computing Made Real," p 143. | |
""" | |
tmp = 4.0**k | |
return (tmp * c - b)/(tmp - 1.0) | |
def _printresmat(function, interval, resmat): | |
# Print the Romberg result matrix. | |
i = j = 0 | |
print('Romberg integration of', repr(function), end=' ') | |
print('from', interval) | |
print('') | |
print('%6s %9s %9s' % ('Steps', 'StepSize', 'Results')) | |
for i in range(len(resmat)): | |
print('%6d %9f' % (2**i, (interval[1]-interval[0])/(2.**i)), end=' ') | |
for j in range(i+1): | |
print('%9f' % (resmat[i][j]), end=' ') | |
print('') | |
print('') | |
print('The final result is', resmat[i][j], end=' ') | |
print('after', 2**(len(resmat)-1)+1, 'function evaluations.') | |
def romberg(function, a, b, args=(), tol=1.48e-8, rtol=1.48e-8, show=False, | |
divmax=10, vec_func=False): | |
""" | |
Romberg integration of a callable function or method. | |
.. deprecated:: 1.12.0 | |
This function is deprecated as of SciPy 1.12.0 and will be removed | |
in SciPy 1.15.0. Please use `scipy.integrate.quad` instead. | |
Returns the integral of `function` (a function of one variable) | |
over the interval (`a`, `b`). | |
If `show` is 1, the triangular array of the intermediate results | |
will be printed. If `vec_func` is True (default is False), then | |
`function` is assumed to support vector arguments. | |
Parameters | |
---------- | |
function : callable | |
Function to be integrated. | |
a : float | |
Lower limit of integration. | |
b : float | |
Upper limit of integration. | |
Returns | |
------- | |
results : float | |
Result of the integration. | |
Other Parameters | |
---------------- | |
args : tuple, optional | |
Extra arguments to pass to function. Each element of `args` will | |
be passed as a single argument to `func`. Default is to pass no | |
extra arguments. | |
tol, rtol : float, optional | |
The desired absolute and relative tolerances. Defaults are 1.48e-8. | |
show : bool, optional | |
Whether to print the results. Default is False. | |
divmax : int, optional | |
Maximum order of extrapolation. Default is 10. | |
vec_func : bool, optional | |
Whether `func` handles arrays as arguments (i.e., whether it is a | |
"vector" function). Default is False. | |
See Also | |
-------- | |
fixed_quad : Fixed-order Gaussian quadrature. | |
quad : Adaptive quadrature using QUADPACK. | |
dblquad : Double integrals. | |
tplquad : Triple integrals. | |
romb : Integrators for sampled data. | |
simpson : Integrators for sampled data. | |
cumulative_trapezoid : Cumulative integration for sampled data. | |
ode : ODE integrator. | |
odeint : ODE integrator. | |
References | |
---------- | |
.. [1] 'Romberg's method' https://en.wikipedia.org/wiki/Romberg%27s_method | |
Examples | |
-------- | |
Integrate a gaussian from 0 to 1 and compare to the error function. | |
>>> from scipy import integrate | |
>>> from scipy.special import erf | |
>>> import numpy as np | |
>>> gaussian = lambda x: 1/np.sqrt(np.pi) * np.exp(-x**2) | |
>>> result = integrate.romberg(gaussian, 0, 1, show=True) | |
Romberg integration of <function vfunc at ...> from [0, 1] | |
:: | |
Steps StepSize Results | |
1 1.000000 0.385872 | |
2 0.500000 0.412631 0.421551 | |
4 0.250000 0.419184 0.421368 0.421356 | |
8 0.125000 0.420810 0.421352 0.421350 0.421350 | |
16 0.062500 0.421215 0.421350 0.421350 0.421350 0.421350 | |
32 0.031250 0.421317 0.421350 0.421350 0.421350 0.421350 0.421350 | |
The final result is 0.421350396475 after 33 function evaluations. | |
>>> print("%g %g" % (2*result, erf(1))) | |
0.842701 0.842701 | |
""" | |
if np.isinf(a) or np.isinf(b): | |
raise ValueError("Romberg integration only available " | |
"for finite limits.") | |
vfunc = vectorize1(function, args, vec_func=vec_func) | |
n = 1 | |
interval = [a, b] | |
intrange = b - a | |
ordsum = _difftrap(vfunc, interval, n) | |
result = intrange * ordsum | |
resmat = [[result]] | |
err = np.inf | |
last_row = resmat[0] | |
for i in range(1, divmax+1): | |
n *= 2 | |
ordsum += _difftrap(vfunc, interval, n) | |
row = [intrange * ordsum / n] | |
for k in range(i): | |
row.append(_romberg_diff(last_row[k], row[k], k+1)) | |
result = row[i] | |
lastresult = last_row[i-1] | |
if show: | |
resmat.append(row) | |
err = abs(result - lastresult) | |
if err < tol or err < rtol * abs(result): | |
break | |
last_row = row | |
else: | |
warnings.warn( | |
"divmax (%d) exceeded. Latest difference = %e" % (divmax, err), | |
AccuracyWarning, stacklevel=2) | |
if show: | |
_printresmat(vfunc, interval, resmat) | |
return result | |
# Coefficients for Newton-Cotes quadrature | |
# | |
# These are the points being used | |
# to construct the local interpolating polynomial | |
# a are the weights for Newton-Cotes integration | |
# B is the error coefficient. | |
# error in these coefficients grows as N gets larger. | |
# or as samples are closer and closer together | |
# You can use maxima to find these rational coefficients | |
# for equally spaced data using the commands | |
# a(i,N) := (integrate(product(r-j,j,0,i-1) * product(r-j,j,i+1,N),r,0,N) | |
# / ((N-i)! * i!) * (-1)^(N-i)); | |
# Be(N) := N^(N+2)/(N+2)! * (N/(N+3) - sum((i/N)^(N+2)*a(i,N),i,0,N)); | |
# Bo(N) := N^(N+1)/(N+1)! * (N/(N+2) - sum((i/N)^(N+1)*a(i,N),i,0,N)); | |
# B(N) := (if (mod(N,2)=0) then Be(N) else Bo(N)); | |
# | |
# pre-computed for equally-spaced weights | |
# | |
# num_a, den_a, int_a, num_B, den_B = _builtincoeffs[N] | |
# | |
# a = num_a*array(int_a)/den_a | |
# B = num_B*1.0 / den_B | |
# | |
# integrate(f(x),x,x_0,x_N) = dx*sum(a*f(x_i)) + B*(dx)^(2k+3) f^(2k+2)(x*) | |
# where k = N // 2 | |
# | |
_builtincoeffs = { | |
1: (1,2,[1,1],-1,12), | |
2: (1,3,[1,4,1],-1,90), | |
3: (3,8,[1,3,3,1],-3,80), | |
4: (2,45,[7,32,12,32,7],-8,945), | |
5: (5,288,[19,75,50,50,75,19],-275,12096), | |
6: (1,140,[41,216,27,272,27,216,41],-9,1400), | |
7: (7,17280,[751,3577,1323,2989,2989,1323,3577,751],-8183,518400), | |
8: (4,14175,[989,5888,-928,10496,-4540,10496,-928,5888,989], | |
-2368,467775), | |
9: (9,89600,[2857,15741,1080,19344,5778,5778,19344,1080, | |
15741,2857], -4671, 394240), | |
10: (5,299376,[16067,106300,-48525,272400,-260550,427368, | |
-260550,272400,-48525,106300,16067], | |
-673175, 163459296), | |
11: (11,87091200,[2171465,13486539,-3237113, 25226685,-9595542, | |
15493566,15493566,-9595542,25226685,-3237113, | |
13486539,2171465], -2224234463, 237758976000), | |
12: (1, 5255250, [1364651,9903168,-7587864,35725120,-51491295, | |
87516288,-87797136,87516288,-51491295,35725120, | |
-7587864,9903168,1364651], -3012, 875875), | |
13: (13, 402361344000,[8181904909, 56280729661, -31268252574, | |
156074417954,-151659573325,206683437987, | |
-43111992612,-43111992612,206683437987, | |
-151659573325,156074417954,-31268252574, | |
56280729661,8181904909], -2639651053, | |
344881152000), | |
14: (7, 2501928000, [90241897,710986864,-770720657,3501442784, | |
-6625093363,12630121616,-16802270373,19534438464, | |
-16802270373,12630121616,-6625093363,3501442784, | |
-770720657,710986864,90241897], -3740727473, | |
1275983280000) | |
} | |
def newton_cotes(rn, equal=0): | |
r""" | |
Return weights and error coefficient for Newton-Cotes integration. | |
Suppose we have (N+1) samples of f at the positions | |
x_0, x_1, ..., x_N. Then an N-point Newton-Cotes formula for the | |
integral between x_0 and x_N is: | |
:math:`\int_{x_0}^{x_N} f(x)dx = \Delta x \sum_{i=0}^{N} a_i f(x_i) | |
+ B_N (\Delta x)^{N+2} f^{N+1} (\xi)` | |
where :math:`\xi \in [x_0,x_N]` | |
and :math:`\Delta x = \frac{x_N-x_0}{N}` is the average samples spacing. | |
If the samples are equally-spaced and N is even, then the error | |
term is :math:`B_N (\Delta x)^{N+3} f^{N+2}(\xi)`. | |
Parameters | |
---------- | |
rn : int | |
The integer order for equally-spaced data or the relative positions of | |
the samples with the first sample at 0 and the last at N, where N+1 is | |
the length of `rn`. N is the order of the Newton-Cotes integration. | |
equal : int, optional | |
Set to 1 to enforce equally spaced data. | |
Returns | |
------- | |
an : ndarray | |
1-D array of weights to apply to the function at the provided sample | |
positions. | |
B : float | |
Error coefficient. | |
Notes | |
----- | |
Normally, the Newton-Cotes rules are used on smaller integration | |
regions and a composite rule is used to return the total integral. | |
Examples | |
-------- | |
Compute the integral of sin(x) in [0, :math:`\pi`]: | |
>>> from scipy.integrate import newton_cotes | |
>>> import numpy as np | |
>>> def f(x): | |
... return np.sin(x) | |
>>> a = 0 | |
>>> b = np.pi | |
>>> exact = 2 | |
>>> for N in [2, 4, 6, 8, 10]: | |
... x = np.linspace(a, b, N + 1) | |
... an, B = newton_cotes(N, 1) | |
... dx = (b - a) / N | |
... quad = dx * np.sum(an * f(x)) | |
... error = abs(quad - exact) | |
... print('{:2d} {:10.9f} {:.5e}'.format(N, quad, error)) | |
... | |
2 2.094395102 9.43951e-02 | |
4 1.998570732 1.42927e-03 | |
6 2.000017814 1.78136e-05 | |
8 1.999999835 1.64725e-07 | |
10 2.000000001 1.14677e-09 | |
""" | |
try: | |
N = len(rn)-1 | |
if equal: | |
rn = np.arange(N+1) | |
elif np.all(np.diff(rn) == 1): | |
equal = 1 | |
except Exception: | |
N = rn | |
rn = np.arange(N+1) | |
equal = 1 | |
if equal and N in _builtincoeffs: | |
na, da, vi, nb, db = _builtincoeffs[N] | |
an = na * np.array(vi, dtype=float) / da | |
return an, float(nb)/db | |
if (rn[0] != 0) or (rn[-1] != N): | |
raise ValueError("The sample positions must start at 0" | |
" and end at N") | |
yi = rn / float(N) | |
ti = 2 * yi - 1 | |
nvec = np.arange(N+1) | |
C = ti ** nvec[:, np.newaxis] | |
Cinv = np.linalg.inv(C) | |
# improve precision of result | |
for i in range(2): | |
Cinv = 2*Cinv - Cinv.dot(C).dot(Cinv) | |
vec = 2.0 / (nvec[::2]+1) | |
ai = Cinv[:, ::2].dot(vec) * (N / 2.) | |
if (N % 2 == 0) and equal: | |
BN = N/(N+3.) | |
power = N+2 | |
else: | |
BN = N/(N+2.) | |
power = N+1 | |
BN = BN - np.dot(yi**power, ai) | |
p1 = power+1 | |
fac = power*math.log(N) - gammaln(p1) | |
fac = math.exp(fac) | |
return ai, BN*fac | |
def _qmc_quad_iv(func, a, b, n_points, n_estimates, qrng, log): | |
# lazy import to avoid issues with partially-initialized submodule | |
if not hasattr(qmc_quad, 'qmc'): | |
from scipy import stats | |
qmc_quad.stats = stats | |
else: | |
stats = qmc_quad.stats | |
if not callable(func): | |
message = "`func` must be callable." | |
raise TypeError(message) | |
# a, b will be modified, so copy. Oh well if it's copied twice. | |
a = np.atleast_1d(a).copy() | |
b = np.atleast_1d(b).copy() | |
a, b = np.broadcast_arrays(a, b) | |
dim = a.shape[0] | |
try: | |
func((a + b) / 2) | |
except Exception as e: | |
message = ("`func` must evaluate the integrand at points within " | |
"the integration range; e.g. `func( (a + b) / 2)` " | |
"must return the integrand at the centroid of the " | |
"integration volume.") | |
raise ValueError(message) from e | |
try: | |
func(np.array([a, b]).T) | |
vfunc = func | |
except Exception as e: | |
message = ("Exception encountered when attempting vectorized call to " | |
f"`func`: {e}. For better performance, `func` should " | |
"accept two-dimensional array `x` with shape `(len(a), " | |
"n_points)` and return an array of the integrand value at " | |
"each of the `n_points.") | |
warnings.warn(message, stacklevel=3) | |
def vfunc(x): | |
return np.apply_along_axis(func, axis=-1, arr=x) | |
n_points_int = np.int64(n_points) | |
if n_points != n_points_int: | |
message = "`n_points` must be an integer." | |
raise TypeError(message) | |
n_estimates_int = np.int64(n_estimates) | |
if n_estimates != n_estimates_int: | |
message = "`n_estimates` must be an integer." | |
raise TypeError(message) | |
if qrng is None: | |
qrng = stats.qmc.Halton(dim) | |
elif not isinstance(qrng, stats.qmc.QMCEngine): | |
message = "`qrng` must be an instance of scipy.stats.qmc.QMCEngine." | |
raise TypeError(message) | |
if qrng.d != a.shape[0]: | |
message = ("`qrng` must be initialized with dimensionality equal to " | |
"the number of variables in `a`, i.e., " | |
"`qrng.random().shape[-1]` must equal `a.shape[0]`.") | |
raise ValueError(message) | |
rng_seed = getattr(qrng, 'rng_seed', None) | |
rng = stats._qmc.check_random_state(rng_seed) | |
if log not in {True, False}: | |
message = "`log` must be boolean (`True` or `False`)." | |
raise TypeError(message) | |
return (vfunc, a, b, n_points_int, n_estimates_int, qrng, rng, log, stats) | |
QMCQuadResult = namedtuple('QMCQuadResult', ['integral', 'standard_error']) | |
def qmc_quad(func, a, b, *, n_estimates=8, n_points=1024, qrng=None, | |
log=False): | |
""" | |
Compute an integral in N-dimensions using Quasi-Monte Carlo quadrature. | |
Parameters | |
---------- | |
func : callable | |
The integrand. Must accept a single argument ``x``, an array which | |
specifies the point(s) at which to evaluate the scalar-valued | |
integrand, and return the value(s) of the integrand. | |
For efficiency, the function should be vectorized to accept an array of | |
shape ``(d, n_points)``, where ``d`` is the number of variables (i.e. | |
the dimensionality of the function domain) and `n_points` is the number | |
of quadrature points, and return an array of shape ``(n_points,)``, | |
the integrand at each quadrature point. | |
a, b : array-like | |
One-dimensional arrays specifying the lower and upper integration | |
limits, respectively, of each of the ``d`` variables. | |
n_estimates, n_points : int, optional | |
`n_estimates` (default: 8) statistically independent QMC samples, each | |
of `n_points` (default: 1024) points, will be generated by `qrng`. | |
The total number of points at which the integrand `func` will be | |
evaluated is ``n_points * n_estimates``. See Notes for details. | |
qrng : `~scipy.stats.qmc.QMCEngine`, optional | |
An instance of the QMCEngine from which to sample QMC points. | |
The QMCEngine must be initialized to a number of dimensions ``d`` | |
corresponding with the number of variables ``x1, ..., xd`` passed to | |
`func`. | |
The provided QMCEngine is used to produce the first integral estimate. | |
If `n_estimates` is greater than one, additional QMCEngines are | |
spawned from the first (with scrambling enabled, if it is an option.) | |
If a QMCEngine is not provided, the default `scipy.stats.qmc.Halton` | |
will be initialized with the number of dimensions determine from | |
the length of `a`. | |
log : boolean, default: False | |
When set to True, `func` returns the log of the integrand, and | |
the result object contains the log of the integral. | |
Returns | |
------- | |
result : object | |
A result object with attributes: | |
integral : float | |
The estimate of the integral. | |
standard_error : | |
The error estimate. See Notes for interpretation. | |
Notes | |
----- | |
Values of the integrand at each of the `n_points` points of a QMC sample | |
are used to produce an estimate of the integral. This estimate is drawn | |
from a population of possible estimates of the integral, the value of | |
which we obtain depends on the particular points at which the integral | |
was evaluated. We perform this process `n_estimates` times, each time | |
evaluating the integrand at different scrambled QMC points, effectively | |
drawing i.i.d. random samples from the population of integral estimates. | |
The sample mean :math:`m` of these integral estimates is an | |
unbiased estimator of the true value of the integral, and the standard | |
error of the mean :math:`s` of these estimates may be used to generate | |
confidence intervals using the t distribution with ``n_estimates - 1`` | |
degrees of freedom. Perhaps counter-intuitively, increasing `n_points` | |
while keeping the total number of function evaluation points | |
``n_points * n_estimates`` fixed tends to reduce the actual error, whereas | |
increasing `n_estimates` tends to decrease the error estimate. | |
Examples | |
-------- | |
QMC quadrature is particularly useful for computing integrals in higher | |
dimensions. An example integrand is the probability density function | |
of a multivariate normal distribution. | |
>>> import numpy as np | |
>>> from scipy import stats | |
>>> dim = 8 | |
>>> mean = np.zeros(dim) | |
>>> cov = np.eye(dim) | |
>>> def func(x): | |
... # `multivariate_normal` expects the _last_ axis to correspond with | |
... # the dimensionality of the space, so `x` must be transposed | |
... return stats.multivariate_normal.pdf(x.T, mean, cov) | |
To compute the integral over the unit hypercube: | |
>>> from scipy.integrate import qmc_quad | |
>>> a = np.zeros(dim) | |
>>> b = np.ones(dim) | |
>>> rng = np.random.default_rng() | |
>>> qrng = stats.qmc.Halton(d=dim, seed=rng) | |
>>> n_estimates = 8 | |
>>> res = qmc_quad(func, a, b, n_estimates=n_estimates, qrng=qrng) | |
>>> res.integral, res.standard_error | |
(0.00018429555666024108, 1.0389431116001344e-07) | |
A two-sided, 99% confidence interval for the integral may be estimated | |
as: | |
>>> t = stats.t(df=n_estimates-1, loc=res.integral, | |
... scale=res.standard_error) | |
>>> t.interval(0.99) | |
(0.0001839319802536469, 0.00018465913306683527) | |
Indeed, the value reported by `scipy.stats.multivariate_normal` is | |
within this range. | |
>>> stats.multivariate_normal.cdf(b, mean, cov, lower_limit=a) | |
0.00018430867675187443 | |
""" | |
args = _qmc_quad_iv(func, a, b, n_points, n_estimates, qrng, log) | |
func, a, b, n_points, n_estimates, qrng, rng, log, stats = args | |
def sum_product(integrands, dA, log=False): | |
if log: | |
return logsumexp(integrands) + np.log(dA) | |
else: | |
return np.sum(integrands * dA) | |
def mean(estimates, log=False): | |
if log: | |
return logsumexp(estimates) - np.log(n_estimates) | |
else: | |
return np.mean(estimates) | |
def std(estimates, m=None, ddof=0, log=False): | |
m = m or mean(estimates, log) | |
if log: | |
estimates, m = np.broadcast_arrays(estimates, m) | |
temp = np.vstack((estimates, m + np.pi * 1j)) | |
diff = logsumexp(temp, axis=0) | |
return np.real(0.5 * (logsumexp(2 * diff) | |
- np.log(n_estimates - ddof))) | |
else: | |
return np.std(estimates, ddof=ddof) | |
def sem(estimates, m=None, s=None, log=False): | |
m = m or mean(estimates, log) | |
s = s or std(estimates, m, ddof=1, log=log) | |
if log: | |
return s - 0.5*np.log(n_estimates) | |
else: | |
return s / np.sqrt(n_estimates) | |
# The sign of the integral depends on the order of the limits. Fix this by | |
# ensuring that lower bounds are indeed lower and setting sign of resulting | |
# integral manually | |
if np.any(a == b): | |
message = ("A lower limit was equal to an upper limit, so the value " | |
"of the integral is zero by definition.") | |
warnings.warn(message, stacklevel=2) | |
return QMCQuadResult(-np.inf if log else 0, 0) | |
i_swap = b < a | |
sign = (-1)**(i_swap.sum(axis=-1)) # odd # of swaps -> negative | |
a[i_swap], b[i_swap] = b[i_swap], a[i_swap] | |
A = np.prod(b - a) | |
dA = A / n_points | |
estimates = np.zeros(n_estimates) | |
rngs = _rng_spawn(qrng.rng, n_estimates) | |
for i in range(n_estimates): | |
# Generate integral estimate | |
sample = qrng.random(n_points) | |
# The rationale for transposing is that this allows users to easily | |
# unpack `x` into separate variables, if desired. This is consistent | |
# with the `xx` array passed into the `scipy.integrate.nquad` `func`. | |
x = stats.qmc.scale(sample, a, b).T # (n_dim, n_points) | |
integrands = func(x) | |
estimates[i] = sum_product(integrands, dA, log) | |
# Get a new, independently-scrambled QRNG for next time | |
qrng = type(qrng)(seed=rngs[i], **qrng._init_quad) | |
integral = mean(estimates, log) | |
standard_error = sem(estimates, m=integral, log=log) | |
integral = integral + np.pi*1j if (log and sign < 0) else integral*sign | |
return QMCQuadResult(integral, standard_error) | |