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- ckpts/universal/global_step40/zero/1.word_embeddings.weight/exp_avg.pt +3 -0
- ckpts/universal/global_step40/zero/1.word_embeddings.weight/exp_avg_sq.pt +3 -0
- ckpts/universal/global_step40/zero/6.attention.query_key_value.weight/exp_avg_sq.pt +3 -0
- ckpts/universal/global_step40/zero/6.attention.query_key_value.weight/fp32.pt +3 -0
- venv/lib/python3.10/site-packages/scipy/integrate/__init__.py +110 -0
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- venv/lib/python3.10/site-packages/scipy/integrate/_lsoda.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_ode.py +1376 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_odepack.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_odepack_py.py +262 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_quad_vec.py +656 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_quadpack.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_quadpack_py.py +1291 -0
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- venv/lib/python3.10/site-packages/scipy/integrate/_tanhsinh.py +1231 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_test_multivariate.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_test_odeint_banded.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/_vode.cpython-310-x86_64-linux-gnu.so +0 -0
- venv/lib/python3.10/site-packages/scipy/integrate/dop.py +18 -0
- venv/lib/python3.10/site-packages/scipy/integrate/lsoda.py +15 -0
- venv/lib/python3.10/site-packages/scipy/integrate/odepack.py +17 -0
- venv/lib/python3.10/site-packages/scipy/integrate/quadpack.py +24 -0
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- venv/lib/python3.10/site-packages/scipy/integrate/tests/test__quad_vec.py +209 -0
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- venv/lib/python3.10/site-packages/scipy/integrate/tests/test_bvp.py +711 -0
- venv/lib/python3.10/site-packages/scipy/integrate/tests/test_integrate.py +834 -0
- venv/lib/python3.10/site-packages/scipy/integrate/tests/test_odeint_jac.py +74 -0
- venv/lib/python3.10/site-packages/scipy/integrate/tests/test_quadpack.py +677 -0
- venv/lib/python3.10/site-packages/scipy/integrate/tests/test_quadrature.py +766 -0
ckpts/universal/global_step40/zero/1.word_embeddings.weight/exp_avg.pt
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version https://git-lfs.github.com/spec/v1
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size 415237404
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ckpts/universal/global_step40/zero/1.word_embeddings.weight/exp_avg_sq.pt
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size 415237419
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ckpts/universal/global_step40/zero/6.attention.query_key_value.weight/exp_avg_sq.pt
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version https://git-lfs.github.com/spec/v1
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oid sha256:b96142d625f42d60001837ea2d0b09bf70d2fd3b0a0acc7d6d2c6095eab421a2
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size 50332843
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ckpts/universal/global_step40/zero/6.attention.query_key_value.weight/fp32.pt
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version https://git-lfs.github.com/spec/v1
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oid sha256:2532de191ce0e634cff5eef68ef1e2a43afad8a69f604524a4ca9f870c2f905d
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size 50332749
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venv/lib/python3.10/site-packages/scipy/integrate/__init__.py
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"""
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=============================================
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Integration and ODEs (:mod:`scipy.integrate`)
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=============================================
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+
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.. currentmodule:: scipy.integrate
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Integrating functions, given function object
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9 |
+
============================================
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10 |
+
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11 |
+
.. autosummary::
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:toctree: generated/
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+
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quad -- General purpose integration
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15 |
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quad_vec -- General purpose integration of vector-valued functions
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+
dblquad -- General purpose double integration
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+
tplquad -- General purpose triple integration
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+
nquad -- General purpose N-D integration
|
19 |
+
fixed_quad -- Integrate func(x) using Gaussian quadrature of order n
|
20 |
+
quadrature -- Integrate with given tolerance using Gaussian quadrature
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21 |
+
romberg -- Integrate func using Romberg integration
|
22 |
+
newton_cotes -- Weights and error coefficient for Newton-Cotes integration
|
23 |
+
qmc_quad -- N-D integration using Quasi-Monte Carlo quadrature
|
24 |
+
IntegrationWarning -- Warning on issues during integration
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25 |
+
AccuracyWarning -- Warning on issues during quadrature integration
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26 |
+
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+
Integrating functions, given fixed samples
|
28 |
+
==========================================
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+
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+
.. autosummary::
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+
:toctree: generated/
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trapezoid -- Use trapezoidal rule to compute integral.
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+
cumulative_trapezoid -- Use trapezoidal rule to cumulatively compute integral.
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35 |
+
simpson -- Use Simpson's rule to compute integral from samples.
|
36 |
+
cumulative_simpson -- Use Simpson's rule to cumulatively compute integral from samples.
|
37 |
+
romb -- Use Romberg Integration to compute integral from
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38 |
+
-- (2**k + 1) evenly-spaced samples.
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+
|
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+
.. seealso::
|
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+
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+
:mod:`scipy.special` for orthogonal polynomials (special) for Gaussian
|
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+
quadrature roots and weights for other weighting factors and regions.
|
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+
|
45 |
+
Solving initial value problems for ODE systems
|
46 |
+
==============================================
|
47 |
+
|
48 |
+
The solvers are implemented as individual classes, which can be used directly
|
49 |
+
(low-level usage) or through a convenience function.
|
50 |
+
|
51 |
+
.. autosummary::
|
52 |
+
:toctree: generated/
|
53 |
+
|
54 |
+
solve_ivp -- Convenient function for ODE integration.
|
55 |
+
RK23 -- Explicit Runge-Kutta solver of order 3(2).
|
56 |
+
RK45 -- Explicit Runge-Kutta solver of order 5(4).
|
57 |
+
DOP853 -- Explicit Runge-Kutta solver of order 8.
|
58 |
+
Radau -- Implicit Runge-Kutta solver of order 5.
|
59 |
+
BDF -- Implicit multi-step variable order (1 to 5) solver.
|
60 |
+
LSODA -- LSODA solver from ODEPACK Fortran package.
|
61 |
+
OdeSolver -- Base class for ODE solvers.
|
62 |
+
DenseOutput -- Local interpolant for computing a dense output.
|
63 |
+
OdeSolution -- Class which represents a continuous ODE solution.
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64 |
+
|
65 |
+
|
66 |
+
Old API
|
67 |
+
-------
|
68 |
+
|
69 |
+
These are the routines developed earlier for SciPy. They wrap older solvers
|
70 |
+
implemented in Fortran (mostly ODEPACK). While the interface to them is not
|
71 |
+
particularly convenient and certain features are missing compared to the new
|
72 |
+
API, the solvers themselves are of good quality and work fast as compiled
|
73 |
+
Fortran code. In some cases, it might be worth using this old API.
|
74 |
+
|
75 |
+
.. autosummary::
|
76 |
+
:toctree: generated/
|
77 |
+
|
78 |
+
odeint -- General integration of ordinary differential equations.
|
79 |
+
ode -- Integrate ODE using VODE and ZVODE routines.
|
80 |
+
complex_ode -- Convert a complex-valued ODE to real-valued and integrate.
|
81 |
+
ODEintWarning -- Warning raised during the execution of `odeint`.
|
82 |
+
|
83 |
+
|
84 |
+
Solving boundary value problems for ODE systems
|
85 |
+
===============================================
|
86 |
+
|
87 |
+
.. autosummary::
|
88 |
+
:toctree: generated/
|
89 |
+
|
90 |
+
solve_bvp -- Solve a boundary value problem for a system of ODEs.
|
91 |
+
""" # noqa: E501
|
92 |
+
|
93 |
+
|
94 |
+
from ._quadrature import *
|
95 |
+
from ._odepack_py import *
|
96 |
+
from ._quadpack_py import *
|
97 |
+
from ._ode import *
|
98 |
+
from ._bvp import solve_bvp
|
99 |
+
from ._ivp import (solve_ivp, OdeSolution, DenseOutput,
|
100 |
+
OdeSolver, RK23, RK45, DOP853, Radau, BDF, LSODA)
|
101 |
+
from ._quad_vec import quad_vec
|
102 |
+
|
103 |
+
# Deprecated namespaces, to be removed in v2.0.0
|
104 |
+
from . import dop, lsoda, vode, odepack, quadpack
|
105 |
+
|
106 |
+
__all__ = [s for s in dir() if not s.startswith('_')]
|
107 |
+
|
108 |
+
from scipy._lib._testutils import PytestTester
|
109 |
+
test = PytestTester(__name__)
|
110 |
+
del PytestTester
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/__init__.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_bvp.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_ode.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_odepack_py.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_quad_vec.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_quadpack_py.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_quadrature.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/_tanhsinh.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/dop.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/lsoda.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/odepack.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/quadpack.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/__pycache__/vode.cpython-310.pyc
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venv/lib/python3.10/site-packages/scipy/integrate/_bvp.py
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|
1 |
+
"""Boundary value problem solver."""
|
2 |
+
from warnings import warn
|
3 |
+
|
4 |
+
import numpy as np
|
5 |
+
from numpy.linalg import pinv
|
6 |
+
|
7 |
+
from scipy.sparse import coo_matrix, csc_matrix
|
8 |
+
from scipy.sparse.linalg import splu
|
9 |
+
from scipy.optimize import OptimizeResult
|
10 |
+
|
11 |
+
|
12 |
+
EPS = np.finfo(float).eps
|
13 |
+
|
14 |
+
|
15 |
+
def estimate_fun_jac(fun, x, y, p, f0=None):
|
16 |
+
"""Estimate derivatives of an ODE system rhs with forward differences.
|
17 |
+
|
18 |
+
Returns
|
19 |
+
-------
|
20 |
+
df_dy : ndarray, shape (n, n, m)
|
21 |
+
Derivatives with respect to y. An element (i, j, q) corresponds to
|
22 |
+
d f_i(x_q, y_q) / d (y_q)_j.
|
23 |
+
df_dp : ndarray with shape (n, k, m) or None
|
24 |
+
Derivatives with respect to p. An element (i, j, q) corresponds to
|
25 |
+
d f_i(x_q, y_q, p) / d p_j. If `p` is empty, None is returned.
|
26 |
+
"""
|
27 |
+
n, m = y.shape
|
28 |
+
if f0 is None:
|
29 |
+
f0 = fun(x, y, p)
|
30 |
+
|
31 |
+
dtype = y.dtype
|
32 |
+
|
33 |
+
df_dy = np.empty((n, n, m), dtype=dtype)
|
34 |
+
h = EPS**0.5 * (1 + np.abs(y))
|
35 |
+
for i in range(n):
|
36 |
+
y_new = y.copy()
|
37 |
+
y_new[i] += h[i]
|
38 |
+
hi = y_new[i] - y[i]
|
39 |
+
f_new = fun(x, y_new, p)
|
40 |
+
df_dy[:, i, :] = (f_new - f0) / hi
|
41 |
+
|
42 |
+
k = p.shape[0]
|
43 |
+
if k == 0:
|
44 |
+
df_dp = None
|
45 |
+
else:
|
46 |
+
df_dp = np.empty((n, k, m), dtype=dtype)
|
47 |
+
h = EPS**0.5 * (1 + np.abs(p))
|
48 |
+
for i in range(k):
|
49 |
+
p_new = p.copy()
|
50 |
+
p_new[i] += h[i]
|
51 |
+
hi = p_new[i] - p[i]
|
52 |
+
f_new = fun(x, y, p_new)
|
53 |
+
df_dp[:, i, :] = (f_new - f0) / hi
|
54 |
+
|
55 |
+
return df_dy, df_dp
|
56 |
+
|
57 |
+
|
58 |
+
def estimate_bc_jac(bc, ya, yb, p, bc0=None):
|
59 |
+
"""Estimate derivatives of boundary conditions with forward differences.
|
60 |
+
|
61 |
+
Returns
|
62 |
+
-------
|
63 |
+
dbc_dya : ndarray, shape (n + k, n)
|
64 |
+
Derivatives with respect to ya. An element (i, j) corresponds to
|
65 |
+
d bc_i / d ya_j.
|
66 |
+
dbc_dyb : ndarray, shape (n + k, n)
|
67 |
+
Derivatives with respect to yb. An element (i, j) corresponds to
|
68 |
+
d bc_i / d ya_j.
|
69 |
+
dbc_dp : ndarray with shape (n + k, k) or None
|
70 |
+
Derivatives with respect to p. An element (i, j) corresponds to
|
71 |
+
d bc_i / d p_j. If `p` is empty, None is returned.
|
72 |
+
"""
|
73 |
+
n = ya.shape[0]
|
74 |
+
k = p.shape[0]
|
75 |
+
|
76 |
+
if bc0 is None:
|
77 |
+
bc0 = bc(ya, yb, p)
|
78 |
+
|
79 |
+
dtype = ya.dtype
|
80 |
+
|
81 |
+
dbc_dya = np.empty((n, n + k), dtype=dtype)
|
82 |
+
h = EPS**0.5 * (1 + np.abs(ya))
|
83 |
+
for i in range(n):
|
84 |
+
ya_new = ya.copy()
|
85 |
+
ya_new[i] += h[i]
|
86 |
+
hi = ya_new[i] - ya[i]
|
87 |
+
bc_new = bc(ya_new, yb, p)
|
88 |
+
dbc_dya[i] = (bc_new - bc0) / hi
|
89 |
+
dbc_dya = dbc_dya.T
|
90 |
+
|
91 |
+
h = EPS**0.5 * (1 + np.abs(yb))
|
92 |
+
dbc_dyb = np.empty((n, n + k), dtype=dtype)
|
93 |
+
for i in range(n):
|
94 |
+
yb_new = yb.copy()
|
95 |
+
yb_new[i] += h[i]
|
96 |
+
hi = yb_new[i] - yb[i]
|
97 |
+
bc_new = bc(ya, yb_new, p)
|
98 |
+
dbc_dyb[i] = (bc_new - bc0) / hi
|
99 |
+
dbc_dyb = dbc_dyb.T
|
100 |
+
|
101 |
+
if k == 0:
|
102 |
+
dbc_dp = None
|
103 |
+
else:
|
104 |
+
h = EPS**0.5 * (1 + np.abs(p))
|
105 |
+
dbc_dp = np.empty((k, n + k), dtype=dtype)
|
106 |
+
for i in range(k):
|
107 |
+
p_new = p.copy()
|
108 |
+
p_new[i] += h[i]
|
109 |
+
hi = p_new[i] - p[i]
|
110 |
+
bc_new = bc(ya, yb, p_new)
|
111 |
+
dbc_dp[i] = (bc_new - bc0) / hi
|
112 |
+
dbc_dp = dbc_dp.T
|
113 |
+
|
114 |
+
return dbc_dya, dbc_dyb, dbc_dp
|
115 |
+
|
116 |
+
|
117 |
+
def compute_jac_indices(n, m, k):
|
118 |
+
"""Compute indices for the collocation system Jacobian construction.
|
119 |
+
|
120 |
+
See `construct_global_jac` for the explanation.
|
121 |
+
"""
|
122 |
+
i_col = np.repeat(np.arange((m - 1) * n), n)
|
123 |
+
j_col = (np.tile(np.arange(n), n * (m - 1)) +
|
124 |
+
np.repeat(np.arange(m - 1) * n, n**2))
|
125 |
+
|
126 |
+
i_bc = np.repeat(np.arange((m - 1) * n, m * n + k), n)
|
127 |
+
j_bc = np.tile(np.arange(n), n + k)
|
128 |
+
|
129 |
+
i_p_col = np.repeat(np.arange((m - 1) * n), k)
|
130 |
+
j_p_col = np.tile(np.arange(m * n, m * n + k), (m - 1) * n)
|
131 |
+
|
132 |
+
i_p_bc = np.repeat(np.arange((m - 1) * n, m * n + k), k)
|
133 |
+
j_p_bc = np.tile(np.arange(m * n, m * n + k), n + k)
|
134 |
+
|
135 |
+
i = np.hstack((i_col, i_col, i_bc, i_bc, i_p_col, i_p_bc))
|
136 |
+
j = np.hstack((j_col, j_col + n,
|
137 |
+
j_bc, j_bc + (m - 1) * n,
|
138 |
+
j_p_col, j_p_bc))
|
139 |
+
|
140 |
+
return i, j
|
141 |
+
|
142 |
+
|
143 |
+
def stacked_matmul(a, b):
|
144 |
+
"""Stacked matrix multiply: out[i,:,:] = np.dot(a[i,:,:], b[i,:,:]).
|
145 |
+
|
146 |
+
Empirical optimization. Use outer Python loop and BLAS for large
|
147 |
+
matrices, otherwise use a single einsum call.
|
148 |
+
"""
|
149 |
+
if a.shape[1] > 50:
|
150 |
+
out = np.empty((a.shape[0], a.shape[1], b.shape[2]))
|
151 |
+
for i in range(a.shape[0]):
|
152 |
+
out[i] = np.dot(a[i], b[i])
|
153 |
+
return out
|
154 |
+
else:
|
155 |
+
return np.einsum('...ij,...jk->...ik', a, b)
|
156 |
+
|
157 |
+
|
158 |
+
def construct_global_jac(n, m, k, i_jac, j_jac, h, df_dy, df_dy_middle, df_dp,
|
159 |
+
df_dp_middle, dbc_dya, dbc_dyb, dbc_dp):
|
160 |
+
"""Construct the Jacobian of the collocation system.
|
161 |
+
|
162 |
+
There are n * m + k functions: m - 1 collocations residuals, each
|
163 |
+
containing n components, followed by n + k boundary condition residuals.
|
164 |
+
|
165 |
+
There are n * m + k variables: m vectors of y, each containing n
|
166 |
+
components, followed by k values of vector p.
|
167 |
+
|
168 |
+
For example, let m = 4, n = 2 and k = 1, then the Jacobian will have
|
169 |
+
the following sparsity structure:
|
170 |
+
|
171 |
+
1 1 2 2 0 0 0 0 5
|
172 |
+
1 1 2 2 0 0 0 0 5
|
173 |
+
0 0 1 1 2 2 0 0 5
|
174 |
+
0 0 1 1 2 2 0 0 5
|
175 |
+
0 0 0 0 1 1 2 2 5
|
176 |
+
0 0 0 0 1 1 2 2 5
|
177 |
+
|
178 |
+
3 3 0 0 0 0 4 4 6
|
179 |
+
3 3 0 0 0 0 4 4 6
|
180 |
+
3 3 0 0 0 0 4 4 6
|
181 |
+
|
182 |
+
Zeros denote identically zero values, other values denote different kinds
|
183 |
+
of blocks in the matrix (see below). The blank row indicates the separation
|
184 |
+
of collocation residuals from boundary conditions. And the blank column
|
185 |
+
indicates the separation of y values from p values.
|
186 |
+
|
187 |
+
Refer to [1]_ (p. 306) for the formula of n x n blocks for derivatives
|
188 |
+
of collocation residuals with respect to y.
|
189 |
+
|
190 |
+
Parameters
|
191 |
+
----------
|
192 |
+
n : int
|
193 |
+
Number of equations in the ODE system.
|
194 |
+
m : int
|
195 |
+
Number of nodes in the mesh.
|
196 |
+
k : int
|
197 |
+
Number of the unknown parameters.
|
198 |
+
i_jac, j_jac : ndarray
|
199 |
+
Row and column indices returned by `compute_jac_indices`. They
|
200 |
+
represent different blocks in the Jacobian matrix in the following
|
201 |
+
order (see the scheme above):
|
202 |
+
|
203 |
+
* 1: m - 1 diagonal n x n blocks for the collocation residuals.
|
204 |
+
* 2: m - 1 off-diagonal n x n blocks for the collocation residuals.
|
205 |
+
* 3 : (n + k) x n block for the dependency of the boundary
|
206 |
+
conditions on ya.
|
207 |
+
* 4: (n + k) x n block for the dependency of the boundary
|
208 |
+
conditions on yb.
|
209 |
+
* 5: (m - 1) * n x k block for the dependency of the collocation
|
210 |
+
residuals on p.
|
211 |
+
* 6: (n + k) x k block for the dependency of the boundary
|
212 |
+
conditions on p.
|
213 |
+
|
214 |
+
df_dy : ndarray, shape (n, n, m)
|
215 |
+
Jacobian of f with respect to y computed at the mesh nodes.
|
216 |
+
df_dy_middle : ndarray, shape (n, n, m - 1)
|
217 |
+
Jacobian of f with respect to y computed at the middle between the
|
218 |
+
mesh nodes.
|
219 |
+
df_dp : ndarray with shape (n, k, m) or None
|
220 |
+
Jacobian of f with respect to p computed at the mesh nodes.
|
221 |
+
df_dp_middle : ndarray with shape (n, k, m - 1) or None
|
222 |
+
Jacobian of f with respect to p computed at the middle between the
|
223 |
+
mesh nodes.
|
224 |
+
dbc_dya, dbc_dyb : ndarray, shape (n, n)
|
225 |
+
Jacobian of bc with respect to ya and yb.
|
226 |
+
dbc_dp : ndarray with shape (n, k) or None
|
227 |
+
Jacobian of bc with respect to p.
|
228 |
+
|
229 |
+
Returns
|
230 |
+
-------
|
231 |
+
J : csc_matrix, shape (n * m + k, n * m + k)
|
232 |
+
Jacobian of the collocation system in a sparse form.
|
233 |
+
|
234 |
+
References
|
235 |
+
----------
|
236 |
+
.. [1] J. Kierzenka, L. F. Shampine, "A BVP Solver Based on Residual
|
237 |
+
Control and the Maltab PSE", ACM Trans. Math. Softw., Vol. 27,
|
238 |
+
Number 3, pp. 299-316, 2001.
|
239 |
+
"""
|
240 |
+
df_dy = np.transpose(df_dy, (2, 0, 1))
|
241 |
+
df_dy_middle = np.transpose(df_dy_middle, (2, 0, 1))
|
242 |
+
|
243 |
+
h = h[:, np.newaxis, np.newaxis]
|
244 |
+
|
245 |
+
dtype = df_dy.dtype
|
246 |
+
|
247 |
+
# Computing diagonal n x n blocks.
|
248 |
+
dPhi_dy_0 = np.empty((m - 1, n, n), dtype=dtype)
|
249 |
+
dPhi_dy_0[:] = -np.identity(n)
|
250 |
+
dPhi_dy_0 -= h / 6 * (df_dy[:-1] + 2 * df_dy_middle)
|
251 |
+
T = stacked_matmul(df_dy_middle, df_dy[:-1])
|
252 |
+
dPhi_dy_0 -= h**2 / 12 * T
|
253 |
+
|
254 |
+
# Computing off-diagonal n x n blocks.
|
255 |
+
dPhi_dy_1 = np.empty((m - 1, n, n), dtype=dtype)
|
256 |
+
dPhi_dy_1[:] = np.identity(n)
|
257 |
+
dPhi_dy_1 -= h / 6 * (df_dy[1:] + 2 * df_dy_middle)
|
258 |
+
T = stacked_matmul(df_dy_middle, df_dy[1:])
|
259 |
+
dPhi_dy_1 += h**2 / 12 * T
|
260 |
+
|
261 |
+
values = np.hstack((dPhi_dy_0.ravel(), dPhi_dy_1.ravel(), dbc_dya.ravel(),
|
262 |
+
dbc_dyb.ravel()))
|
263 |
+
|
264 |
+
if k > 0:
|
265 |
+
df_dp = np.transpose(df_dp, (2, 0, 1))
|
266 |
+
df_dp_middle = np.transpose(df_dp_middle, (2, 0, 1))
|
267 |
+
T = stacked_matmul(df_dy_middle, df_dp[:-1] - df_dp[1:])
|
268 |
+
df_dp_middle += 0.125 * h * T
|
269 |
+
dPhi_dp = -h/6 * (df_dp[:-1] + df_dp[1:] + 4 * df_dp_middle)
|
270 |
+
values = np.hstack((values, dPhi_dp.ravel(), dbc_dp.ravel()))
|
271 |
+
|
272 |
+
J = coo_matrix((values, (i_jac, j_jac)))
|
273 |
+
return csc_matrix(J)
|
274 |
+
|
275 |
+
|
276 |
+
def collocation_fun(fun, y, p, x, h):
|
277 |
+
"""Evaluate collocation residuals.
|
278 |
+
|
279 |
+
This function lies in the core of the method. The solution is sought
|
280 |
+
as a cubic C1 continuous spline with derivatives matching the ODE rhs
|
281 |
+
at given nodes `x`. Collocation conditions are formed from the equality
|
282 |
+
of the spline derivatives and rhs of the ODE system in the middle points
|
283 |
+
between nodes.
|
284 |
+
|
285 |
+
Such method is classified to Lobbato IIIA family in ODE literature.
|
286 |
+
Refer to [1]_ for the formula and some discussion.
|
287 |
+
|
288 |
+
Returns
|
289 |
+
-------
|
290 |
+
col_res : ndarray, shape (n, m - 1)
|
291 |
+
Collocation residuals at the middle points of the mesh intervals.
|
292 |
+
y_middle : ndarray, shape (n, m - 1)
|
293 |
+
Values of the cubic spline evaluated at the middle points of the mesh
|
294 |
+
intervals.
|
295 |
+
f : ndarray, shape (n, m)
|
296 |
+
RHS of the ODE system evaluated at the mesh nodes.
|
297 |
+
f_middle : ndarray, shape (n, m - 1)
|
298 |
+
RHS of the ODE system evaluated at the middle points of the mesh
|
299 |
+
intervals (and using `y_middle`).
|
300 |
+
|
301 |
+
References
|
302 |
+
----------
|
303 |
+
.. [1] J. Kierzenka, L. F. Shampine, "A BVP Solver Based on Residual
|
304 |
+
Control and the Maltab PSE", ACM Trans. Math. Softw., Vol. 27,
|
305 |
+
Number 3, pp. 299-316, 2001.
|
306 |
+
"""
|
307 |
+
f = fun(x, y, p)
|
308 |
+
y_middle = (0.5 * (y[:, 1:] + y[:, :-1]) -
|
309 |
+
0.125 * h * (f[:, 1:] - f[:, :-1]))
|
310 |
+
f_middle = fun(x[:-1] + 0.5 * h, y_middle, p)
|
311 |
+
col_res = y[:, 1:] - y[:, :-1] - h / 6 * (f[:, :-1] + f[:, 1:] +
|
312 |
+
4 * f_middle)
|
313 |
+
|
314 |
+
return col_res, y_middle, f, f_middle
|
315 |
+
|
316 |
+
|
317 |
+
def prepare_sys(n, m, k, fun, bc, fun_jac, bc_jac, x, h):
|
318 |
+
"""Create the function and the Jacobian for the collocation system."""
|
319 |
+
x_middle = x[:-1] + 0.5 * h
|
320 |
+
i_jac, j_jac = compute_jac_indices(n, m, k)
|
321 |
+
|
322 |
+
def col_fun(y, p):
|
323 |
+
return collocation_fun(fun, y, p, x, h)
|
324 |
+
|
325 |
+
def sys_jac(y, p, y_middle, f, f_middle, bc0):
|
326 |
+
if fun_jac is None:
|
327 |
+
df_dy, df_dp = estimate_fun_jac(fun, x, y, p, f)
|
328 |
+
df_dy_middle, df_dp_middle = estimate_fun_jac(
|
329 |
+
fun, x_middle, y_middle, p, f_middle)
|
330 |
+
else:
|
331 |
+
df_dy, df_dp = fun_jac(x, y, p)
|
332 |
+
df_dy_middle, df_dp_middle = fun_jac(x_middle, y_middle, p)
|
333 |
+
|
334 |
+
if bc_jac is None:
|
335 |
+
dbc_dya, dbc_dyb, dbc_dp = estimate_bc_jac(bc, y[:, 0], y[:, -1],
|
336 |
+
p, bc0)
|
337 |
+
else:
|
338 |
+
dbc_dya, dbc_dyb, dbc_dp = bc_jac(y[:, 0], y[:, -1], p)
|
339 |
+
|
340 |
+
return construct_global_jac(n, m, k, i_jac, j_jac, h, df_dy,
|
341 |
+
df_dy_middle, df_dp, df_dp_middle, dbc_dya,
|
342 |
+
dbc_dyb, dbc_dp)
|
343 |
+
|
344 |
+
return col_fun, sys_jac
|
345 |
+
|
346 |
+
|
347 |
+
def solve_newton(n, m, h, col_fun, bc, jac, y, p, B, bvp_tol, bc_tol):
|
348 |
+
"""Solve the nonlinear collocation system by a Newton method.
|
349 |
+
|
350 |
+
This is a simple Newton method with a backtracking line search. As
|
351 |
+
advised in [1]_, an affine-invariant criterion function F = ||J^-1 r||^2
|
352 |
+
is used, where J is the Jacobian matrix at the current iteration and r is
|
353 |
+
the vector or collocation residuals (values of the system lhs).
|
354 |
+
|
355 |
+
The method alters between full Newton iterations and the fixed-Jacobian
|
356 |
+
iterations based
|
357 |
+
|
358 |
+
There are other tricks proposed in [1]_, but they are not used as they
|
359 |
+
don't seem to improve anything significantly, and even break the
|
360 |
+
convergence on some test problems I tried.
|
361 |
+
|
362 |
+
All important parameters of the algorithm are defined inside the function.
|
363 |
+
|
364 |
+
Parameters
|
365 |
+
----------
|
366 |
+
n : int
|
367 |
+
Number of equations in the ODE system.
|
368 |
+
m : int
|
369 |
+
Number of nodes in the mesh.
|
370 |
+
h : ndarray, shape (m-1,)
|
371 |
+
Mesh intervals.
|
372 |
+
col_fun : callable
|
373 |
+
Function computing collocation residuals.
|
374 |
+
bc : callable
|
375 |
+
Function computing boundary condition residuals.
|
376 |
+
jac : callable
|
377 |
+
Function computing the Jacobian of the whole system (including
|
378 |
+
collocation and boundary condition residuals). It is supposed to
|
379 |
+
return csc_matrix.
|
380 |
+
y : ndarray, shape (n, m)
|
381 |
+
Initial guess for the function values at the mesh nodes.
|
382 |
+
p : ndarray, shape (k,)
|
383 |
+
Initial guess for the unknown parameters.
|
384 |
+
B : ndarray with shape (n, n) or None
|
385 |
+
Matrix to force the S y(a) = 0 condition for a problems with the
|
386 |
+
singular term. If None, the singular term is assumed to be absent.
|
387 |
+
bvp_tol : float
|
388 |
+
Tolerance to which we want to solve a BVP.
|
389 |
+
bc_tol : float
|
390 |
+
Tolerance to which we want to satisfy the boundary conditions.
|
391 |
+
|
392 |
+
Returns
|
393 |
+
-------
|
394 |
+
y : ndarray, shape (n, m)
|
395 |
+
Final iterate for the function values at the mesh nodes.
|
396 |
+
p : ndarray, shape (k,)
|
397 |
+
Final iterate for the unknown parameters.
|
398 |
+
singular : bool
|
399 |
+
True, if the LU decomposition failed because Jacobian turned out
|
400 |
+
to be singular.
|
401 |
+
|
402 |
+
References
|
403 |
+
----------
|
404 |
+
.. [1] U. Ascher, R. Mattheij and R. Russell "Numerical Solution of
|
405 |
+
Boundary Value Problems for Ordinary Differential Equations"
|
406 |
+
"""
|
407 |
+
# We know that the solution residuals at the middle points of the mesh
|
408 |
+
# are connected with collocation residuals r_middle = 1.5 * col_res / h.
|
409 |
+
# As our BVP solver tries to decrease relative residuals below a certain
|
410 |
+
# tolerance, it seems reasonable to terminated Newton iterations by
|
411 |
+
# comparison of r_middle / (1 + np.abs(f_middle)) with a certain threshold,
|
412 |
+
# which we choose to be 1.5 orders lower than the BVP tolerance. We rewrite
|
413 |
+
# the condition as col_res < tol_r * (1 + np.abs(f_middle)), then tol_r
|
414 |
+
# should be computed as follows:
|
415 |
+
tol_r = 2/3 * h * 5e-2 * bvp_tol
|
416 |
+
|
417 |
+
# Maximum allowed number of Jacobian evaluation and factorization, in
|
418 |
+
# other words, the maximum number of full Newton iterations. A small value
|
419 |
+
# is recommended in the literature.
|
420 |
+
max_njev = 4
|
421 |
+
|
422 |
+
# Maximum number of iterations, considering that some of them can be
|
423 |
+
# performed with the fixed Jacobian. In theory, such iterations are cheap,
|
424 |
+
# but it's not that simple in Python.
|
425 |
+
max_iter = 8
|
426 |
+
|
427 |
+
# Minimum relative improvement of the criterion function to accept the
|
428 |
+
# step (Armijo constant).
|
429 |
+
sigma = 0.2
|
430 |
+
|
431 |
+
# Step size decrease factor for backtracking.
|
432 |
+
tau = 0.5
|
433 |
+
|
434 |
+
# Maximum number of backtracking steps, the minimum step is then
|
435 |
+
# tau ** n_trial.
|
436 |
+
n_trial = 4
|
437 |
+
|
438 |
+
col_res, y_middle, f, f_middle = col_fun(y, p)
|
439 |
+
bc_res = bc(y[:, 0], y[:, -1], p)
|
440 |
+
res = np.hstack((col_res.ravel(order='F'), bc_res))
|
441 |
+
|
442 |
+
njev = 0
|
443 |
+
singular = False
|
444 |
+
recompute_jac = True
|
445 |
+
for iteration in range(max_iter):
|
446 |
+
if recompute_jac:
|
447 |
+
J = jac(y, p, y_middle, f, f_middle, bc_res)
|
448 |
+
njev += 1
|
449 |
+
try:
|
450 |
+
LU = splu(J)
|
451 |
+
except RuntimeError:
|
452 |
+
singular = True
|
453 |
+
break
|
454 |
+
|
455 |
+
step = LU.solve(res)
|
456 |
+
cost = np.dot(step, step)
|
457 |
+
|
458 |
+
y_step = step[:m * n].reshape((n, m), order='F')
|
459 |
+
p_step = step[m * n:]
|
460 |
+
|
461 |
+
alpha = 1
|
462 |
+
for trial in range(n_trial + 1):
|
463 |
+
y_new = y - alpha * y_step
|
464 |
+
if B is not None:
|
465 |
+
y_new[:, 0] = np.dot(B, y_new[:, 0])
|
466 |
+
p_new = p - alpha * p_step
|
467 |
+
|
468 |
+
col_res, y_middle, f, f_middle = col_fun(y_new, p_new)
|
469 |
+
bc_res = bc(y_new[:, 0], y_new[:, -1], p_new)
|
470 |
+
res = np.hstack((col_res.ravel(order='F'), bc_res))
|
471 |
+
|
472 |
+
step_new = LU.solve(res)
|
473 |
+
cost_new = np.dot(step_new, step_new)
|
474 |
+
if cost_new < (1 - 2 * alpha * sigma) * cost:
|
475 |
+
break
|
476 |
+
|
477 |
+
if trial < n_trial:
|
478 |
+
alpha *= tau
|
479 |
+
|
480 |
+
y = y_new
|
481 |
+
p = p_new
|
482 |
+
|
483 |
+
if njev == max_njev:
|
484 |
+
break
|
485 |
+
|
486 |
+
if (np.all(np.abs(col_res) < tol_r * (1 + np.abs(f_middle))) and
|
487 |
+
np.all(np.abs(bc_res) < bc_tol)):
|
488 |
+
break
|
489 |
+
|
490 |
+
# If the full step was taken, then we are going to continue with
|
491 |
+
# the same Jacobian. This is the approach of BVP_SOLVER.
|
492 |
+
if alpha == 1:
|
493 |
+
step = step_new
|
494 |
+
cost = cost_new
|
495 |
+
recompute_jac = False
|
496 |
+
else:
|
497 |
+
recompute_jac = True
|
498 |
+
|
499 |
+
return y, p, singular
|
500 |
+
|
501 |
+
|
502 |
+
def print_iteration_header():
|
503 |
+
print("{:^15}{:^15}{:^15}{:^15}{:^15}".format(
|
504 |
+
"Iteration", "Max residual", "Max BC residual", "Total nodes",
|
505 |
+
"Nodes added"))
|
506 |
+
|
507 |
+
|
508 |
+
def print_iteration_progress(iteration, residual, bc_residual, total_nodes,
|
509 |
+
nodes_added):
|
510 |
+
print("{:^15}{:^15.2e}{:^15.2e}{:^15}{:^15}".format(
|
511 |
+
iteration, residual, bc_residual, total_nodes, nodes_added))
|
512 |
+
|
513 |
+
|
514 |
+
class BVPResult(OptimizeResult):
|
515 |
+
pass
|
516 |
+
|
517 |
+
|
518 |
+
TERMINATION_MESSAGES = {
|
519 |
+
0: "The algorithm converged to the desired accuracy.",
|
520 |
+
1: "The maximum number of mesh nodes is exceeded.",
|
521 |
+
2: "A singular Jacobian encountered when solving the collocation system.",
|
522 |
+
3: "The solver was unable to satisfy boundary conditions tolerance on iteration 10."
|
523 |
+
}
|
524 |
+
|
525 |
+
|
526 |
+
def estimate_rms_residuals(fun, sol, x, h, p, r_middle, f_middle):
|
527 |
+
"""Estimate rms values of collocation residuals using Lobatto quadrature.
|
528 |
+
|
529 |
+
The residuals are defined as the difference between the derivatives of
|
530 |
+
our solution and rhs of the ODE system. We use relative residuals, i.e.,
|
531 |
+
normalized by 1 + np.abs(f). RMS values are computed as sqrt from the
|
532 |
+
normalized integrals of the squared relative residuals over each interval.
|
533 |
+
Integrals are estimated using 5-point Lobatto quadrature [1]_, we use the
|
534 |
+
fact that residuals at the mesh nodes are identically zero.
|
535 |
+
|
536 |
+
In [2] they don't normalize integrals by interval lengths, which gives
|
537 |
+
a higher rate of convergence of the residuals by the factor of h**0.5.
|
538 |
+
I chose to do such normalization for an ease of interpretation of return
|
539 |
+
values as RMS estimates.
|
540 |
+
|
541 |
+
Returns
|
542 |
+
-------
|
543 |
+
rms_res : ndarray, shape (m - 1,)
|
544 |
+
Estimated rms values of the relative residuals over each interval.
|
545 |
+
|
546 |
+
References
|
547 |
+
----------
|
548 |
+
.. [1] http://mathworld.wolfram.com/LobattoQuadrature.html
|
549 |
+
.. [2] J. Kierzenka, L. F. Shampine, "A BVP Solver Based on Residual
|
550 |
+
Control and the Maltab PSE", ACM Trans. Math. Softw., Vol. 27,
|
551 |
+
Number 3, pp. 299-316, 2001.
|
552 |
+
"""
|
553 |
+
x_middle = x[:-1] + 0.5 * h
|
554 |
+
s = 0.5 * h * (3/7)**0.5
|
555 |
+
x1 = x_middle + s
|
556 |
+
x2 = x_middle - s
|
557 |
+
y1 = sol(x1)
|
558 |
+
y2 = sol(x2)
|
559 |
+
y1_prime = sol(x1, 1)
|
560 |
+
y2_prime = sol(x2, 1)
|
561 |
+
f1 = fun(x1, y1, p)
|
562 |
+
f2 = fun(x2, y2, p)
|
563 |
+
r1 = y1_prime - f1
|
564 |
+
r2 = y2_prime - f2
|
565 |
+
|
566 |
+
r_middle /= 1 + np.abs(f_middle)
|
567 |
+
r1 /= 1 + np.abs(f1)
|
568 |
+
r2 /= 1 + np.abs(f2)
|
569 |
+
|
570 |
+
r1 = np.sum(np.real(r1 * np.conj(r1)), axis=0)
|
571 |
+
r2 = np.sum(np.real(r2 * np.conj(r2)), axis=0)
|
572 |
+
r_middle = np.sum(np.real(r_middle * np.conj(r_middle)), axis=0)
|
573 |
+
|
574 |
+
return (0.5 * (32 / 45 * r_middle + 49 / 90 * (r1 + r2))) ** 0.5
|
575 |
+
|
576 |
+
|
577 |
+
def create_spline(y, yp, x, h):
|
578 |
+
"""Create a cubic spline given values and derivatives.
|
579 |
+
|
580 |
+
Formulas for the coefficients are taken from interpolate.CubicSpline.
|
581 |
+
|
582 |
+
Returns
|
583 |
+
-------
|
584 |
+
sol : PPoly
|
585 |
+
Constructed spline as a PPoly instance.
|
586 |
+
"""
|
587 |
+
from scipy.interpolate import PPoly
|
588 |
+
|
589 |
+
n, m = y.shape
|
590 |
+
c = np.empty((4, n, m - 1), dtype=y.dtype)
|
591 |
+
slope = (y[:, 1:] - y[:, :-1]) / h
|
592 |
+
t = (yp[:, :-1] + yp[:, 1:] - 2 * slope) / h
|
593 |
+
c[0] = t / h
|
594 |
+
c[1] = (slope - yp[:, :-1]) / h - t
|
595 |
+
c[2] = yp[:, :-1]
|
596 |
+
c[3] = y[:, :-1]
|
597 |
+
c = np.moveaxis(c, 1, 0)
|
598 |
+
|
599 |
+
return PPoly(c, x, extrapolate=True, axis=1)
|
600 |
+
|
601 |
+
|
602 |
+
def modify_mesh(x, insert_1, insert_2):
|
603 |
+
"""Insert nodes into a mesh.
|
604 |
+
|
605 |
+
Nodes removal logic is not established, its impact on the solver is
|
606 |
+
presumably negligible. So, only insertion is done in this function.
|
607 |
+
|
608 |
+
Parameters
|
609 |
+
----------
|
610 |
+
x : ndarray, shape (m,)
|
611 |
+
Mesh nodes.
|
612 |
+
insert_1 : ndarray
|
613 |
+
Intervals to each insert 1 new node in the middle.
|
614 |
+
insert_2 : ndarray
|
615 |
+
Intervals to each insert 2 new nodes, such that divide an interval
|
616 |
+
into 3 equal parts.
|
617 |
+
|
618 |
+
Returns
|
619 |
+
-------
|
620 |
+
x_new : ndarray
|
621 |
+
New mesh nodes.
|
622 |
+
|
623 |
+
Notes
|
624 |
+
-----
|
625 |
+
`insert_1` and `insert_2` should not have common values.
|
626 |
+
"""
|
627 |
+
# Because np.insert implementation apparently varies with a version of
|
628 |
+
# NumPy, we use a simple and reliable approach with sorting.
|
629 |
+
return np.sort(np.hstack((
|
630 |
+
x,
|
631 |
+
0.5 * (x[insert_1] + x[insert_1 + 1]),
|
632 |
+
(2 * x[insert_2] + x[insert_2 + 1]) / 3,
|
633 |
+
(x[insert_2] + 2 * x[insert_2 + 1]) / 3
|
634 |
+
)))
|
635 |
+
|
636 |
+
|
637 |
+
def wrap_functions(fun, bc, fun_jac, bc_jac, k, a, S, D, dtype):
|
638 |
+
"""Wrap functions for unified usage in the solver."""
|
639 |
+
if fun_jac is None:
|
640 |
+
fun_jac_wrapped = None
|
641 |
+
|
642 |
+
if bc_jac is None:
|
643 |
+
bc_jac_wrapped = None
|
644 |
+
|
645 |
+
if k == 0:
|
646 |
+
def fun_p(x, y, _):
|
647 |
+
return np.asarray(fun(x, y), dtype)
|
648 |
+
|
649 |
+
def bc_wrapped(ya, yb, _):
|
650 |
+
return np.asarray(bc(ya, yb), dtype)
|
651 |
+
|
652 |
+
if fun_jac is not None:
|
653 |
+
def fun_jac_p(x, y, _):
|
654 |
+
return np.asarray(fun_jac(x, y), dtype), None
|
655 |
+
|
656 |
+
if bc_jac is not None:
|
657 |
+
def bc_jac_wrapped(ya, yb, _):
|
658 |
+
dbc_dya, dbc_dyb = bc_jac(ya, yb)
|
659 |
+
return (np.asarray(dbc_dya, dtype),
|
660 |
+
np.asarray(dbc_dyb, dtype), None)
|
661 |
+
else:
|
662 |
+
def fun_p(x, y, p):
|
663 |
+
return np.asarray(fun(x, y, p), dtype)
|
664 |
+
|
665 |
+
def bc_wrapped(x, y, p):
|
666 |
+
return np.asarray(bc(x, y, p), dtype)
|
667 |
+
|
668 |
+
if fun_jac is not None:
|
669 |
+
def fun_jac_p(x, y, p):
|
670 |
+
df_dy, df_dp = fun_jac(x, y, p)
|
671 |
+
return np.asarray(df_dy, dtype), np.asarray(df_dp, dtype)
|
672 |
+
|
673 |
+
if bc_jac is not None:
|
674 |
+
def bc_jac_wrapped(ya, yb, p):
|
675 |
+
dbc_dya, dbc_dyb, dbc_dp = bc_jac(ya, yb, p)
|
676 |
+
return (np.asarray(dbc_dya, dtype), np.asarray(dbc_dyb, dtype),
|
677 |
+
np.asarray(dbc_dp, dtype))
|
678 |
+
|
679 |
+
if S is None:
|
680 |
+
fun_wrapped = fun_p
|
681 |
+
else:
|
682 |
+
def fun_wrapped(x, y, p):
|
683 |
+
f = fun_p(x, y, p)
|
684 |
+
if x[0] == a:
|
685 |
+
f[:, 0] = np.dot(D, f[:, 0])
|
686 |
+
f[:, 1:] += np.dot(S, y[:, 1:]) / (x[1:] - a)
|
687 |
+
else:
|
688 |
+
f += np.dot(S, y) / (x - a)
|
689 |
+
return f
|
690 |
+
|
691 |
+
if fun_jac is not None:
|
692 |
+
if S is None:
|
693 |
+
fun_jac_wrapped = fun_jac_p
|
694 |
+
else:
|
695 |
+
Sr = S[:, :, np.newaxis]
|
696 |
+
|
697 |
+
def fun_jac_wrapped(x, y, p):
|
698 |
+
df_dy, df_dp = fun_jac_p(x, y, p)
|
699 |
+
if x[0] == a:
|
700 |
+
df_dy[:, :, 0] = np.dot(D, df_dy[:, :, 0])
|
701 |
+
df_dy[:, :, 1:] += Sr / (x[1:] - a)
|
702 |
+
else:
|
703 |
+
df_dy += Sr / (x - a)
|
704 |
+
|
705 |
+
return df_dy, df_dp
|
706 |
+
|
707 |
+
return fun_wrapped, bc_wrapped, fun_jac_wrapped, bc_jac_wrapped
|
708 |
+
|
709 |
+
|
710 |
+
def solve_bvp(fun, bc, x, y, p=None, S=None, fun_jac=None, bc_jac=None,
|
711 |
+
tol=1e-3, max_nodes=1000, verbose=0, bc_tol=None):
|
712 |
+
"""Solve a boundary value problem for a system of ODEs.
|
713 |
+
|
714 |
+
This function numerically solves a first order system of ODEs subject to
|
715 |
+
two-point boundary conditions::
|
716 |
+
|
717 |
+
dy / dx = f(x, y, p) + S * y / (x - a), a <= x <= b
|
718 |
+
bc(y(a), y(b), p) = 0
|
719 |
+
|
720 |
+
Here x is a 1-D independent variable, y(x) is an N-D
|
721 |
+
vector-valued function and p is a k-D vector of unknown
|
722 |
+
parameters which is to be found along with y(x). For the problem to be
|
723 |
+
determined, there must be n + k boundary conditions, i.e., bc must be an
|
724 |
+
(n + k)-D function.
|
725 |
+
|
726 |
+
The last singular term on the right-hand side of the system is optional.
|
727 |
+
It is defined by an n-by-n matrix S, such that the solution must satisfy
|
728 |
+
S y(a) = 0. This condition will be forced during iterations, so it must not
|
729 |
+
contradict boundary conditions. See [2]_ for the explanation how this term
|
730 |
+
is handled when solving BVPs numerically.
|
731 |
+
|
732 |
+
Problems in a complex domain can be solved as well. In this case, y and p
|
733 |
+
are considered to be complex, and f and bc are assumed to be complex-valued
|
734 |
+
functions, but x stays real. Note that f and bc must be complex
|
735 |
+
differentiable (satisfy Cauchy-Riemann equations [4]_), otherwise you
|
736 |
+
should rewrite your problem for real and imaginary parts separately. To
|
737 |
+
solve a problem in a complex domain, pass an initial guess for y with a
|
738 |
+
complex data type (see below).
|
739 |
+
|
740 |
+
Parameters
|
741 |
+
----------
|
742 |
+
fun : callable
|
743 |
+
Right-hand side of the system. The calling signature is ``fun(x, y)``,
|
744 |
+
or ``fun(x, y, p)`` if parameters are present. All arguments are
|
745 |
+
ndarray: ``x`` with shape (m,), ``y`` with shape (n, m), meaning that
|
746 |
+
``y[:, i]`` corresponds to ``x[i]``, and ``p`` with shape (k,). The
|
747 |
+
return value must be an array with shape (n, m) and with the same
|
748 |
+
layout as ``y``.
|
749 |
+
bc : callable
|
750 |
+
Function evaluating residuals of the boundary conditions. The calling
|
751 |
+
signature is ``bc(ya, yb)``, or ``bc(ya, yb, p)`` if parameters are
|
752 |
+
present. All arguments are ndarray: ``ya`` and ``yb`` with shape (n,),
|
753 |
+
and ``p`` with shape (k,). The return value must be an array with
|
754 |
+
shape (n + k,).
|
755 |
+
x : array_like, shape (m,)
|
756 |
+
Initial mesh. Must be a strictly increasing sequence of real numbers
|
757 |
+
with ``x[0]=a`` and ``x[-1]=b``.
|
758 |
+
y : array_like, shape (n, m)
|
759 |
+
Initial guess for the function values at the mesh nodes, ith column
|
760 |
+
corresponds to ``x[i]``. For problems in a complex domain pass `y`
|
761 |
+
with a complex data type (even if the initial guess is purely real).
|
762 |
+
p : array_like with shape (k,) or None, optional
|
763 |
+
Initial guess for the unknown parameters. If None (default), it is
|
764 |
+
assumed that the problem doesn't depend on any parameters.
|
765 |
+
S : array_like with shape (n, n) or None
|
766 |
+
Matrix defining the singular term. If None (default), the problem is
|
767 |
+
solved without the singular term.
|
768 |
+
fun_jac : callable or None, optional
|
769 |
+
Function computing derivatives of f with respect to y and p. The
|
770 |
+
calling signature is ``fun_jac(x, y)``, or ``fun_jac(x, y, p)`` if
|
771 |
+
parameters are present. The return must contain 1 or 2 elements in the
|
772 |
+
following order:
|
773 |
+
|
774 |
+
* df_dy : array_like with shape (n, n, m), where an element
|
775 |
+
(i, j, q) equals to d f_i(x_q, y_q, p) / d (y_q)_j.
|
776 |
+
* df_dp : array_like with shape (n, k, m), where an element
|
777 |
+
(i, j, q) equals to d f_i(x_q, y_q, p) / d p_j.
|
778 |
+
|
779 |
+
Here q numbers nodes at which x and y are defined, whereas i and j
|
780 |
+
number vector components. If the problem is solved without unknown
|
781 |
+
parameters, df_dp should not be returned.
|
782 |
+
|
783 |
+
If `fun_jac` is None (default), the derivatives will be estimated
|
784 |
+
by the forward finite differences.
|
785 |
+
bc_jac : callable or None, optional
|
786 |
+
Function computing derivatives of bc with respect to ya, yb, and p.
|
787 |
+
The calling signature is ``bc_jac(ya, yb)``, or ``bc_jac(ya, yb, p)``
|
788 |
+
if parameters are present. The return must contain 2 or 3 elements in
|
789 |
+
the following order:
|
790 |
+
|
791 |
+
* dbc_dya : array_like with shape (n, n), where an element (i, j)
|
792 |
+
equals to d bc_i(ya, yb, p) / d ya_j.
|
793 |
+
* dbc_dyb : array_like with shape (n, n), where an element (i, j)
|
794 |
+
equals to d bc_i(ya, yb, p) / d yb_j.
|
795 |
+
* dbc_dp : array_like with shape (n, k), where an element (i, j)
|
796 |
+
equals to d bc_i(ya, yb, p) / d p_j.
|
797 |
+
|
798 |
+
If the problem is solved without unknown parameters, dbc_dp should not
|
799 |
+
be returned.
|
800 |
+
|
801 |
+
If `bc_jac` is None (default), the derivatives will be estimated by
|
802 |
+
the forward finite differences.
|
803 |
+
tol : float, optional
|
804 |
+
Desired tolerance of the solution. If we define ``r = y' - f(x, y)``,
|
805 |
+
where y is the found solution, then the solver tries to achieve on each
|
806 |
+
mesh interval ``norm(r / (1 + abs(f)) < tol``, where ``norm`` is
|
807 |
+
estimated in a root mean squared sense (using a numerical quadrature
|
808 |
+
formula). Default is 1e-3.
|
809 |
+
max_nodes : int, optional
|
810 |
+
Maximum allowed number of the mesh nodes. If exceeded, the algorithm
|
811 |
+
terminates. Default is 1000.
|
812 |
+
verbose : {0, 1, 2}, optional
|
813 |
+
Level of algorithm's verbosity:
|
814 |
+
|
815 |
+
* 0 (default) : work silently.
|
816 |
+
* 1 : display a termination report.
|
817 |
+
* 2 : display progress during iterations.
|
818 |
+
bc_tol : float, optional
|
819 |
+
Desired absolute tolerance for the boundary condition residuals: `bc`
|
820 |
+
value should satisfy ``abs(bc) < bc_tol`` component-wise.
|
821 |
+
Equals to `tol` by default. Up to 10 iterations are allowed to achieve this
|
822 |
+
tolerance.
|
823 |
+
|
824 |
+
Returns
|
825 |
+
-------
|
826 |
+
Bunch object with the following fields defined:
|
827 |
+
sol : PPoly
|
828 |
+
Found solution for y as `scipy.interpolate.PPoly` instance, a C1
|
829 |
+
continuous cubic spline.
|
830 |
+
p : ndarray or None, shape (k,)
|
831 |
+
Found parameters. None, if the parameters were not present in the
|
832 |
+
problem.
|
833 |
+
x : ndarray, shape (m,)
|
834 |
+
Nodes of the final mesh.
|
835 |
+
y : ndarray, shape (n, m)
|
836 |
+
Solution values at the mesh nodes.
|
837 |
+
yp : ndarray, shape (n, m)
|
838 |
+
Solution derivatives at the mesh nodes.
|
839 |
+
rms_residuals : ndarray, shape (m - 1,)
|
840 |
+
RMS values of the relative residuals over each mesh interval (see the
|
841 |
+
description of `tol` parameter).
|
842 |
+
niter : int
|
843 |
+
Number of completed iterations.
|
844 |
+
status : int
|
845 |
+
Reason for algorithm termination:
|
846 |
+
|
847 |
+
* 0: The algorithm converged to the desired accuracy.
|
848 |
+
* 1: The maximum number of mesh nodes is exceeded.
|
849 |
+
* 2: A singular Jacobian encountered when solving the collocation
|
850 |
+
system.
|
851 |
+
|
852 |
+
message : string
|
853 |
+
Verbal description of the termination reason.
|
854 |
+
success : bool
|
855 |
+
True if the algorithm converged to the desired accuracy (``status=0``).
|
856 |
+
|
857 |
+
Notes
|
858 |
+
-----
|
859 |
+
This function implements a 4th order collocation algorithm with the
|
860 |
+
control of residuals similar to [1]_. A collocation system is solved
|
861 |
+
by a damped Newton method with an affine-invariant criterion function as
|
862 |
+
described in [3]_.
|
863 |
+
|
864 |
+
Note that in [1]_ integral residuals are defined without normalization
|
865 |
+
by interval lengths. So, their definition is different by a multiplier of
|
866 |
+
h**0.5 (h is an interval length) from the definition used here.
|
867 |
+
|
868 |
+
.. versionadded:: 0.18.0
|
869 |
+
|
870 |
+
References
|
871 |
+
----------
|
872 |
+
.. [1] J. Kierzenka, L. F. Shampine, "A BVP Solver Based on Residual
|
873 |
+
Control and the Maltab PSE", ACM Trans. Math. Softw., Vol. 27,
|
874 |
+
Number 3, pp. 299-316, 2001.
|
875 |
+
.. [2] L.F. Shampine, P. H. Muir and H. Xu, "A User-Friendly Fortran BVP
|
876 |
+
Solver".
|
877 |
+
.. [3] U. Ascher, R. Mattheij and R. Russell "Numerical Solution of
|
878 |
+
Boundary Value Problems for Ordinary Differential Equations".
|
879 |
+
.. [4] `Cauchy-Riemann equations
|
880 |
+
<https://en.wikipedia.org/wiki/Cauchy-Riemann_equations>`_ on
|
881 |
+
Wikipedia.
|
882 |
+
|
883 |
+
Examples
|
884 |
+
--------
|
885 |
+
In the first example, we solve Bratu's problem::
|
886 |
+
|
887 |
+
y'' + k * exp(y) = 0
|
888 |
+
y(0) = y(1) = 0
|
889 |
+
|
890 |
+
for k = 1.
|
891 |
+
|
892 |
+
We rewrite the equation as a first-order system and implement its
|
893 |
+
right-hand side evaluation::
|
894 |
+
|
895 |
+
y1' = y2
|
896 |
+
y2' = -exp(y1)
|
897 |
+
|
898 |
+
>>> import numpy as np
|
899 |
+
>>> def fun(x, y):
|
900 |
+
... return np.vstack((y[1], -np.exp(y[0])))
|
901 |
+
|
902 |
+
Implement evaluation of the boundary condition residuals:
|
903 |
+
|
904 |
+
>>> def bc(ya, yb):
|
905 |
+
... return np.array([ya[0], yb[0]])
|
906 |
+
|
907 |
+
Define the initial mesh with 5 nodes:
|
908 |
+
|
909 |
+
>>> x = np.linspace(0, 1, 5)
|
910 |
+
|
911 |
+
This problem is known to have two solutions. To obtain both of them, we
|
912 |
+
use two different initial guesses for y. We denote them by subscripts
|
913 |
+
a and b.
|
914 |
+
|
915 |
+
>>> y_a = np.zeros((2, x.size))
|
916 |
+
>>> y_b = np.zeros((2, x.size))
|
917 |
+
>>> y_b[0] = 3
|
918 |
+
|
919 |
+
Now we are ready to run the solver.
|
920 |
+
|
921 |
+
>>> from scipy.integrate import solve_bvp
|
922 |
+
>>> res_a = solve_bvp(fun, bc, x, y_a)
|
923 |
+
>>> res_b = solve_bvp(fun, bc, x, y_b)
|
924 |
+
|
925 |
+
Let's plot the two found solutions. We take an advantage of having the
|
926 |
+
solution in a spline form to produce a smooth plot.
|
927 |
+
|
928 |
+
>>> x_plot = np.linspace(0, 1, 100)
|
929 |
+
>>> y_plot_a = res_a.sol(x_plot)[0]
|
930 |
+
>>> y_plot_b = res_b.sol(x_plot)[0]
|
931 |
+
>>> import matplotlib.pyplot as plt
|
932 |
+
>>> plt.plot(x_plot, y_plot_a, label='y_a')
|
933 |
+
>>> plt.plot(x_plot, y_plot_b, label='y_b')
|
934 |
+
>>> plt.legend()
|
935 |
+
>>> plt.xlabel("x")
|
936 |
+
>>> plt.ylabel("y")
|
937 |
+
>>> plt.show()
|
938 |
+
|
939 |
+
We see that the two solutions have similar shape, but differ in scale
|
940 |
+
significantly.
|
941 |
+
|
942 |
+
In the second example, we solve a simple Sturm-Liouville problem::
|
943 |
+
|
944 |
+
y'' + k**2 * y = 0
|
945 |
+
y(0) = y(1) = 0
|
946 |
+
|
947 |
+
It is known that a non-trivial solution y = A * sin(k * x) is possible for
|
948 |
+
k = pi * n, where n is an integer. To establish the normalization constant
|
949 |
+
A = 1 we add a boundary condition::
|
950 |
+
|
951 |
+
y'(0) = k
|
952 |
+
|
953 |
+
Again, we rewrite our equation as a first-order system and implement its
|
954 |
+
right-hand side evaluation::
|
955 |
+
|
956 |
+
y1' = y2
|
957 |
+
y2' = -k**2 * y1
|
958 |
+
|
959 |
+
>>> def fun(x, y, p):
|
960 |
+
... k = p[0]
|
961 |
+
... return np.vstack((y[1], -k**2 * y[0]))
|
962 |
+
|
963 |
+
Note that parameters p are passed as a vector (with one element in our
|
964 |
+
case).
|
965 |
+
|
966 |
+
Implement the boundary conditions:
|
967 |
+
|
968 |
+
>>> def bc(ya, yb, p):
|
969 |
+
... k = p[0]
|
970 |
+
... return np.array([ya[0], yb[0], ya[1] - k])
|
971 |
+
|
972 |
+
Set up the initial mesh and guess for y. We aim to find the solution for
|
973 |
+
k = 2 * pi, to achieve that we set values of y to approximately follow
|
974 |
+
sin(2 * pi * x):
|
975 |
+
|
976 |
+
>>> x = np.linspace(0, 1, 5)
|
977 |
+
>>> y = np.zeros((2, x.size))
|
978 |
+
>>> y[0, 1] = 1
|
979 |
+
>>> y[0, 3] = -1
|
980 |
+
|
981 |
+
Run the solver with 6 as an initial guess for k.
|
982 |
+
|
983 |
+
>>> sol = solve_bvp(fun, bc, x, y, p=[6])
|
984 |
+
|
985 |
+
We see that the found k is approximately correct:
|
986 |
+
|
987 |
+
>>> sol.p[0]
|
988 |
+
6.28329460046
|
989 |
+
|
990 |
+
And, finally, plot the solution to see the anticipated sinusoid:
|
991 |
+
|
992 |
+
>>> x_plot = np.linspace(0, 1, 100)
|
993 |
+
>>> y_plot = sol.sol(x_plot)[0]
|
994 |
+
>>> plt.plot(x_plot, y_plot)
|
995 |
+
>>> plt.xlabel("x")
|
996 |
+
>>> plt.ylabel("y")
|
997 |
+
>>> plt.show()
|
998 |
+
"""
|
999 |
+
x = np.asarray(x, dtype=float)
|
1000 |
+
if x.ndim != 1:
|
1001 |
+
raise ValueError("`x` must be 1 dimensional.")
|
1002 |
+
h = np.diff(x)
|
1003 |
+
if np.any(h <= 0):
|
1004 |
+
raise ValueError("`x` must be strictly increasing.")
|
1005 |
+
a = x[0]
|
1006 |
+
|
1007 |
+
y = np.asarray(y)
|
1008 |
+
if np.issubdtype(y.dtype, np.complexfloating):
|
1009 |
+
dtype = complex
|
1010 |
+
else:
|
1011 |
+
dtype = float
|
1012 |
+
y = y.astype(dtype, copy=False)
|
1013 |
+
|
1014 |
+
if y.ndim != 2:
|
1015 |
+
raise ValueError("`y` must be 2 dimensional.")
|
1016 |
+
if y.shape[1] != x.shape[0]:
|
1017 |
+
raise ValueError(f"`y` is expected to have {x.shape[0]} columns, but actually "
|
1018 |
+
f"has {y.shape[1]}.")
|
1019 |
+
|
1020 |
+
if p is None:
|
1021 |
+
p = np.array([])
|
1022 |
+
else:
|
1023 |
+
p = np.asarray(p, dtype=dtype)
|
1024 |
+
if p.ndim != 1:
|
1025 |
+
raise ValueError("`p` must be 1 dimensional.")
|
1026 |
+
|
1027 |
+
if tol < 100 * EPS:
|
1028 |
+
warn(f"`tol` is too low, setting to {100 * EPS:.2e}", stacklevel=2)
|
1029 |
+
tol = 100 * EPS
|
1030 |
+
|
1031 |
+
if verbose not in [0, 1, 2]:
|
1032 |
+
raise ValueError("`verbose` must be in [0, 1, 2].")
|
1033 |
+
|
1034 |
+
n = y.shape[0]
|
1035 |
+
k = p.shape[0]
|
1036 |
+
|
1037 |
+
if S is not None:
|
1038 |
+
S = np.asarray(S, dtype=dtype)
|
1039 |
+
if S.shape != (n, n):
|
1040 |
+
raise ValueError(f"`S` is expected to have shape {(n, n)}, "
|
1041 |
+
f"but actually has {S.shape}")
|
1042 |
+
|
1043 |
+
# Compute I - S^+ S to impose necessary boundary conditions.
|
1044 |
+
B = np.identity(n) - np.dot(pinv(S), S)
|
1045 |
+
|
1046 |
+
y[:, 0] = np.dot(B, y[:, 0])
|
1047 |
+
|
1048 |
+
# Compute (I - S)^+ to correct derivatives at x=a.
|
1049 |
+
D = pinv(np.identity(n) - S)
|
1050 |
+
else:
|
1051 |
+
B = None
|
1052 |
+
D = None
|
1053 |
+
|
1054 |
+
if bc_tol is None:
|
1055 |
+
bc_tol = tol
|
1056 |
+
|
1057 |
+
# Maximum number of iterations
|
1058 |
+
max_iteration = 10
|
1059 |
+
|
1060 |
+
fun_wrapped, bc_wrapped, fun_jac_wrapped, bc_jac_wrapped = wrap_functions(
|
1061 |
+
fun, bc, fun_jac, bc_jac, k, a, S, D, dtype)
|
1062 |
+
|
1063 |
+
f = fun_wrapped(x, y, p)
|
1064 |
+
if f.shape != y.shape:
|
1065 |
+
raise ValueError(f"`fun` return is expected to have shape {y.shape}, "
|
1066 |
+
f"but actually has {f.shape}.")
|
1067 |
+
|
1068 |
+
bc_res = bc_wrapped(y[:, 0], y[:, -1], p)
|
1069 |
+
if bc_res.shape != (n + k,):
|
1070 |
+
raise ValueError(f"`bc` return is expected to have shape {(n + k,)}, "
|
1071 |
+
f"but actually has {bc_res.shape}.")
|
1072 |
+
|
1073 |
+
status = 0
|
1074 |
+
iteration = 0
|
1075 |
+
if verbose == 2:
|
1076 |
+
print_iteration_header()
|
1077 |
+
|
1078 |
+
while True:
|
1079 |
+
m = x.shape[0]
|
1080 |
+
|
1081 |
+
col_fun, jac_sys = prepare_sys(n, m, k, fun_wrapped, bc_wrapped,
|
1082 |
+
fun_jac_wrapped, bc_jac_wrapped, x, h)
|
1083 |
+
y, p, singular = solve_newton(n, m, h, col_fun, bc_wrapped, jac_sys,
|
1084 |
+
y, p, B, tol, bc_tol)
|
1085 |
+
iteration += 1
|
1086 |
+
|
1087 |
+
col_res, y_middle, f, f_middle = collocation_fun(fun_wrapped, y,
|
1088 |
+
p, x, h)
|
1089 |
+
bc_res = bc_wrapped(y[:, 0], y[:, -1], p)
|
1090 |
+
max_bc_res = np.max(abs(bc_res))
|
1091 |
+
|
1092 |
+
# This relation is not trivial, but can be verified.
|
1093 |
+
r_middle = 1.5 * col_res / h
|
1094 |
+
sol = create_spline(y, f, x, h)
|
1095 |
+
rms_res = estimate_rms_residuals(fun_wrapped, sol, x, h, p,
|
1096 |
+
r_middle, f_middle)
|
1097 |
+
max_rms_res = np.max(rms_res)
|
1098 |
+
|
1099 |
+
if singular:
|
1100 |
+
status = 2
|
1101 |
+
break
|
1102 |
+
|
1103 |
+
insert_1, = np.nonzero((rms_res > tol) & (rms_res < 100 * tol))
|
1104 |
+
insert_2, = np.nonzero(rms_res >= 100 * tol)
|
1105 |
+
nodes_added = insert_1.shape[0] + 2 * insert_2.shape[0]
|
1106 |
+
|
1107 |
+
if m + nodes_added > max_nodes:
|
1108 |
+
status = 1
|
1109 |
+
if verbose == 2:
|
1110 |
+
nodes_added = f"({nodes_added})"
|
1111 |
+
print_iteration_progress(iteration, max_rms_res, max_bc_res,
|
1112 |
+
m, nodes_added)
|
1113 |
+
break
|
1114 |
+
|
1115 |
+
if verbose == 2:
|
1116 |
+
print_iteration_progress(iteration, max_rms_res, max_bc_res, m,
|
1117 |
+
nodes_added)
|
1118 |
+
|
1119 |
+
if nodes_added > 0:
|
1120 |
+
x = modify_mesh(x, insert_1, insert_2)
|
1121 |
+
h = np.diff(x)
|
1122 |
+
y = sol(x)
|
1123 |
+
elif max_bc_res <= bc_tol:
|
1124 |
+
status = 0
|
1125 |
+
break
|
1126 |
+
elif iteration >= max_iteration:
|
1127 |
+
status = 3
|
1128 |
+
break
|
1129 |
+
|
1130 |
+
if verbose > 0:
|
1131 |
+
if status == 0:
|
1132 |
+
print(f"Solved in {iteration} iterations, number of nodes {x.shape[0]}. \n"
|
1133 |
+
f"Maximum relative residual: {max_rms_res:.2e} \n"
|
1134 |
+
f"Maximum boundary residual: {max_bc_res:.2e}")
|
1135 |
+
elif status == 1:
|
1136 |
+
print(f"Number of nodes is exceeded after iteration {iteration}. \n"
|
1137 |
+
f"Maximum relative residual: {max_rms_res:.2e} \n"
|
1138 |
+
f"Maximum boundary residual: {max_bc_res:.2e}")
|
1139 |
+
elif status == 2:
|
1140 |
+
print("Singular Jacobian encountered when solving the collocation "
|
1141 |
+
f"system on iteration {iteration}. \n"
|
1142 |
+
f"Maximum relative residual: {max_rms_res:.2e} \n"
|
1143 |
+
f"Maximum boundary residual: {max_bc_res:.2e}")
|
1144 |
+
elif status == 3:
|
1145 |
+
print("The solver was unable to satisfy boundary conditions "
|
1146 |
+
f"tolerance on iteration {iteration}. \n"
|
1147 |
+
f"Maximum relative residual: {max_rms_res:.2e} \n"
|
1148 |
+
f"Maximum boundary residual: {max_bc_res:.2e}")
|
1149 |
+
|
1150 |
+
if p.size == 0:
|
1151 |
+
p = None
|
1152 |
+
|
1153 |
+
return BVPResult(sol=sol, p=p, x=x, y=y, yp=f, rms_residuals=rms_res,
|
1154 |
+
niter=iteration, status=status,
|
1155 |
+
message=TERMINATION_MESSAGES[status], success=status == 0)
|
venv/lib/python3.10/site-packages/scipy/integrate/_dop.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (117 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_lsoda.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (113 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_ode.py
ADDED
@@ -0,0 +1,1376 @@
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|
1 |
+
# Authors: Pearu Peterson, Pauli Virtanen, John Travers
|
2 |
+
"""
|
3 |
+
First-order ODE integrators.
|
4 |
+
|
5 |
+
User-friendly interface to various numerical integrators for solving a
|
6 |
+
system of first order ODEs with prescribed initial conditions::
|
7 |
+
|
8 |
+
d y(t)[i]
|
9 |
+
--------- = f(t,y(t))[i],
|
10 |
+
d t
|
11 |
+
|
12 |
+
y(t=0)[i] = y0[i],
|
13 |
+
|
14 |
+
where::
|
15 |
+
|
16 |
+
i = 0, ..., len(y0) - 1
|
17 |
+
|
18 |
+
class ode
|
19 |
+
---------
|
20 |
+
|
21 |
+
A generic interface class to numeric integrators. It has the following
|
22 |
+
methods::
|
23 |
+
|
24 |
+
integrator = ode(f, jac=None)
|
25 |
+
integrator = integrator.set_integrator(name, **params)
|
26 |
+
integrator = integrator.set_initial_value(y0, t0=0.0)
|
27 |
+
integrator = integrator.set_f_params(*args)
|
28 |
+
integrator = integrator.set_jac_params(*args)
|
29 |
+
y1 = integrator.integrate(t1, step=False, relax=False)
|
30 |
+
flag = integrator.successful()
|
31 |
+
|
32 |
+
class complex_ode
|
33 |
+
-----------------
|
34 |
+
|
35 |
+
This class has the same generic interface as ode, except it can handle complex
|
36 |
+
f, y and Jacobians by transparently translating them into the equivalent
|
37 |
+
real-valued system. It supports the real-valued solvers (i.e., not zvode) and is
|
38 |
+
an alternative to ode with the zvode solver, sometimes performing better.
|
39 |
+
"""
|
40 |
+
# XXX: Integrators must have:
|
41 |
+
# ===========================
|
42 |
+
# cvode - C version of vode and vodpk with many improvements.
|
43 |
+
# Get it from http://www.netlib.org/ode/cvode.tar.gz.
|
44 |
+
# To wrap cvode to Python, one must write the extension module by
|
45 |
+
# hand. Its interface is too much 'advanced C' that using f2py
|
46 |
+
# would be too complicated (or impossible).
|
47 |
+
#
|
48 |
+
# How to define a new integrator:
|
49 |
+
# ===============================
|
50 |
+
#
|
51 |
+
# class myodeint(IntegratorBase):
|
52 |
+
#
|
53 |
+
# runner = <odeint function> or None
|
54 |
+
#
|
55 |
+
# def __init__(self,...): # required
|
56 |
+
# <initialize>
|
57 |
+
#
|
58 |
+
# def reset(self,n,has_jac): # optional
|
59 |
+
# # n - the size of the problem (number of equations)
|
60 |
+
# # has_jac - whether user has supplied its own routine for Jacobian
|
61 |
+
# <allocate memory,initialize further>
|
62 |
+
#
|
63 |
+
# def run(self,f,jac,y0,t0,t1,f_params,jac_params): # required
|
64 |
+
# # this method is called to integrate from t=t0 to t=t1
|
65 |
+
# # with initial condition y0. f and jac are user-supplied functions
|
66 |
+
# # that define the problem. f_params,jac_params are additional
|
67 |
+
# # arguments
|
68 |
+
# # to these functions.
|
69 |
+
# <calculate y1>
|
70 |
+
# if <calculation was unsuccessful>:
|
71 |
+
# self.success = 0
|
72 |
+
# return t1,y1
|
73 |
+
#
|
74 |
+
# # In addition, one can define step() and run_relax() methods (they
|
75 |
+
# # take the same arguments as run()) if the integrator can support
|
76 |
+
# # these features (see IntegratorBase doc strings).
|
77 |
+
#
|
78 |
+
# if myodeint.runner:
|
79 |
+
# IntegratorBase.integrator_classes.append(myodeint)
|
80 |
+
|
81 |
+
__all__ = ['ode', 'complex_ode']
|
82 |
+
|
83 |
+
import re
|
84 |
+
import warnings
|
85 |
+
|
86 |
+
from numpy import asarray, array, zeros, isscalar, real, imag, vstack
|
87 |
+
|
88 |
+
from . import _vode
|
89 |
+
from . import _dop
|
90 |
+
from . import _lsoda
|
91 |
+
|
92 |
+
|
93 |
+
_dop_int_dtype = _dop.types.intvar.dtype
|
94 |
+
_vode_int_dtype = _vode.types.intvar.dtype
|
95 |
+
_lsoda_int_dtype = _lsoda.types.intvar.dtype
|
96 |
+
|
97 |
+
|
98 |
+
# ------------------------------------------------------------------------------
|
99 |
+
# User interface
|
100 |
+
# ------------------------------------------------------------------------------
|
101 |
+
|
102 |
+
|
103 |
+
class ode:
|
104 |
+
"""
|
105 |
+
A generic interface class to numeric integrators.
|
106 |
+
|
107 |
+
Solve an equation system :math:`y'(t) = f(t,y)` with (optional) ``jac = df/dy``.
|
108 |
+
|
109 |
+
*Note*: The first two arguments of ``f(t, y, ...)`` are in the
|
110 |
+
opposite order of the arguments in the system definition function used
|
111 |
+
by `scipy.integrate.odeint`.
|
112 |
+
|
113 |
+
Parameters
|
114 |
+
----------
|
115 |
+
f : callable ``f(t, y, *f_args)``
|
116 |
+
Right-hand side of the differential equation. t is a scalar,
|
117 |
+
``y.shape == (n,)``.
|
118 |
+
``f_args`` is set by calling ``set_f_params(*args)``.
|
119 |
+
`f` should return a scalar, array or list (not a tuple).
|
120 |
+
jac : callable ``jac(t, y, *jac_args)``, optional
|
121 |
+
Jacobian of the right-hand side, ``jac[i,j] = d f[i] / d y[j]``.
|
122 |
+
``jac_args`` is set by calling ``set_jac_params(*args)``.
|
123 |
+
|
124 |
+
Attributes
|
125 |
+
----------
|
126 |
+
t : float
|
127 |
+
Current time.
|
128 |
+
y : ndarray
|
129 |
+
Current variable values.
|
130 |
+
|
131 |
+
See also
|
132 |
+
--------
|
133 |
+
odeint : an integrator with a simpler interface based on lsoda from ODEPACK
|
134 |
+
quad : for finding the area under a curve
|
135 |
+
|
136 |
+
Notes
|
137 |
+
-----
|
138 |
+
Available integrators are listed below. They can be selected using
|
139 |
+
the `set_integrator` method.
|
140 |
+
|
141 |
+
"vode"
|
142 |
+
|
143 |
+
Real-valued Variable-coefficient Ordinary Differential Equation
|
144 |
+
solver, with fixed-leading-coefficient implementation. It provides
|
145 |
+
implicit Adams method (for non-stiff problems) and a method based on
|
146 |
+
backward differentiation formulas (BDF) (for stiff problems).
|
147 |
+
|
148 |
+
Source: http://www.netlib.org/ode/vode.f
|
149 |
+
|
150 |
+
.. warning::
|
151 |
+
|
152 |
+
This integrator is not re-entrant. You cannot have two `ode`
|
153 |
+
instances using the "vode" integrator at the same time.
|
154 |
+
|
155 |
+
This integrator accepts the following parameters in `set_integrator`
|
156 |
+
method of the `ode` class:
|
157 |
+
|
158 |
+
- atol : float or sequence
|
159 |
+
absolute tolerance for solution
|
160 |
+
- rtol : float or sequence
|
161 |
+
relative tolerance for solution
|
162 |
+
- lband : None or int
|
163 |
+
- uband : None or int
|
164 |
+
Jacobian band width, jac[i,j] != 0 for i-lband <= j <= i+uband.
|
165 |
+
Setting these requires your jac routine to return the jacobian
|
166 |
+
in packed format, jac_packed[i-j+uband, j] = jac[i,j]. The
|
167 |
+
dimension of the matrix must be (lband+uband+1, len(y)).
|
168 |
+
- method: 'adams' or 'bdf'
|
169 |
+
Which solver to use, Adams (non-stiff) or BDF (stiff)
|
170 |
+
- with_jacobian : bool
|
171 |
+
This option is only considered when the user has not supplied a
|
172 |
+
Jacobian function and has not indicated (by setting either band)
|
173 |
+
that the Jacobian is banded. In this case, `with_jacobian` specifies
|
174 |
+
whether the iteration method of the ODE solver's correction step is
|
175 |
+
chord iteration with an internally generated full Jacobian or
|
176 |
+
functional iteration with no Jacobian.
|
177 |
+
- nsteps : int
|
178 |
+
Maximum number of (internally defined) steps allowed during one
|
179 |
+
call to the solver.
|
180 |
+
- first_step : float
|
181 |
+
- min_step : float
|
182 |
+
- max_step : float
|
183 |
+
Limits for the step sizes used by the integrator.
|
184 |
+
- order : int
|
185 |
+
Maximum order used by the integrator,
|
186 |
+
order <= 12 for Adams, <= 5 for BDF.
|
187 |
+
|
188 |
+
"zvode"
|
189 |
+
|
190 |
+
Complex-valued Variable-coefficient Ordinary Differential Equation
|
191 |
+
solver, with fixed-leading-coefficient implementation. It provides
|
192 |
+
implicit Adams method (for non-stiff problems) and a method based on
|
193 |
+
backward differentiation formulas (BDF) (for stiff problems).
|
194 |
+
|
195 |
+
Source: http://www.netlib.org/ode/zvode.f
|
196 |
+
|
197 |
+
.. warning::
|
198 |
+
|
199 |
+
This integrator is not re-entrant. You cannot have two `ode`
|
200 |
+
instances using the "zvode" integrator at the same time.
|
201 |
+
|
202 |
+
This integrator accepts the same parameters in `set_integrator`
|
203 |
+
as the "vode" solver.
|
204 |
+
|
205 |
+
.. note::
|
206 |
+
|
207 |
+
When using ZVODE for a stiff system, it should only be used for
|
208 |
+
the case in which the function f is analytic, that is, when each f(i)
|
209 |
+
is an analytic function of each y(j). Analyticity means that the
|
210 |
+
partial derivative df(i)/dy(j) is a unique complex number, and this
|
211 |
+
fact is critical in the way ZVODE solves the dense or banded linear
|
212 |
+
systems that arise in the stiff case. For a complex stiff ODE system
|
213 |
+
in which f is not analytic, ZVODE is likely to have convergence
|
214 |
+
failures, and for this problem one should instead use DVODE on the
|
215 |
+
equivalent real system (in the real and imaginary parts of y).
|
216 |
+
|
217 |
+
"lsoda"
|
218 |
+
|
219 |
+
Real-valued Variable-coefficient Ordinary Differential Equation
|
220 |
+
solver, with fixed-leading-coefficient implementation. It provides
|
221 |
+
automatic method switching between implicit Adams method (for non-stiff
|
222 |
+
problems) and a method based on backward differentiation formulas (BDF)
|
223 |
+
(for stiff problems).
|
224 |
+
|
225 |
+
Source: http://www.netlib.org/odepack
|
226 |
+
|
227 |
+
.. warning::
|
228 |
+
|
229 |
+
This integrator is not re-entrant. You cannot have two `ode`
|
230 |
+
instances using the "lsoda" integrator at the same time.
|
231 |
+
|
232 |
+
This integrator accepts the following parameters in `set_integrator`
|
233 |
+
method of the `ode` class:
|
234 |
+
|
235 |
+
- atol : float or sequence
|
236 |
+
absolute tolerance for solution
|
237 |
+
- rtol : float or sequence
|
238 |
+
relative tolerance for solution
|
239 |
+
- lband : None or int
|
240 |
+
- uband : None or int
|
241 |
+
Jacobian band width, jac[i,j] != 0 for i-lband <= j <= i+uband.
|
242 |
+
Setting these requires your jac routine to return the jacobian
|
243 |
+
in packed format, jac_packed[i-j+uband, j] = jac[i,j].
|
244 |
+
- with_jacobian : bool
|
245 |
+
*Not used.*
|
246 |
+
- nsteps : int
|
247 |
+
Maximum number of (internally defined) steps allowed during one
|
248 |
+
call to the solver.
|
249 |
+
- first_step : float
|
250 |
+
- min_step : float
|
251 |
+
- max_step : float
|
252 |
+
Limits for the step sizes used by the integrator.
|
253 |
+
- max_order_ns : int
|
254 |
+
Maximum order used in the nonstiff case (default 12).
|
255 |
+
- max_order_s : int
|
256 |
+
Maximum order used in the stiff case (default 5).
|
257 |
+
- max_hnil : int
|
258 |
+
Maximum number of messages reporting too small step size (t + h = t)
|
259 |
+
(default 0)
|
260 |
+
- ixpr : int
|
261 |
+
Whether to generate extra printing at method switches (default False).
|
262 |
+
|
263 |
+
"dopri5"
|
264 |
+
|
265 |
+
This is an explicit runge-kutta method of order (4)5 due to Dormand &
|
266 |
+
Prince (with stepsize control and dense output).
|
267 |
+
|
268 |
+
Authors:
|
269 |
+
|
270 |
+
E. Hairer and G. Wanner
|
271 |
+
Universite de Geneve, Dept. de Mathematiques
|
272 |
+
CH-1211 Geneve 24, Switzerland
|
273 |
+
e-mail: [email protected], [email protected]
|
274 |
+
|
275 |
+
This code is described in [HNW93]_.
|
276 |
+
|
277 |
+
This integrator accepts the following parameters in set_integrator()
|
278 |
+
method of the ode class:
|
279 |
+
|
280 |
+
- atol : float or sequence
|
281 |
+
absolute tolerance for solution
|
282 |
+
- rtol : float or sequence
|
283 |
+
relative tolerance for solution
|
284 |
+
- nsteps : int
|
285 |
+
Maximum number of (internally defined) steps allowed during one
|
286 |
+
call to the solver.
|
287 |
+
- first_step : float
|
288 |
+
- max_step : float
|
289 |
+
- safety : float
|
290 |
+
Safety factor on new step selection (default 0.9)
|
291 |
+
- ifactor : float
|
292 |
+
- dfactor : float
|
293 |
+
Maximum factor to increase/decrease step size by in one step
|
294 |
+
- beta : float
|
295 |
+
Beta parameter for stabilised step size control.
|
296 |
+
- verbosity : int
|
297 |
+
Switch for printing messages (< 0 for no messages).
|
298 |
+
|
299 |
+
"dop853"
|
300 |
+
|
301 |
+
This is an explicit runge-kutta method of order 8(5,3) due to Dormand
|
302 |
+
& Prince (with stepsize control and dense output).
|
303 |
+
|
304 |
+
Options and references the same as "dopri5".
|
305 |
+
|
306 |
+
Examples
|
307 |
+
--------
|
308 |
+
|
309 |
+
A problem to integrate and the corresponding jacobian:
|
310 |
+
|
311 |
+
>>> from scipy.integrate import ode
|
312 |
+
>>>
|
313 |
+
>>> y0, t0 = [1.0j, 2.0], 0
|
314 |
+
>>>
|
315 |
+
>>> def f(t, y, arg1):
|
316 |
+
... return [1j*arg1*y[0] + y[1], -arg1*y[1]**2]
|
317 |
+
>>> def jac(t, y, arg1):
|
318 |
+
... return [[1j*arg1, 1], [0, -arg1*2*y[1]]]
|
319 |
+
|
320 |
+
The integration:
|
321 |
+
|
322 |
+
>>> r = ode(f, jac).set_integrator('zvode', method='bdf')
|
323 |
+
>>> r.set_initial_value(y0, t0).set_f_params(2.0).set_jac_params(2.0)
|
324 |
+
>>> t1 = 10
|
325 |
+
>>> dt = 1
|
326 |
+
>>> while r.successful() and r.t < t1:
|
327 |
+
... print(r.t+dt, r.integrate(r.t+dt))
|
328 |
+
1 [-0.71038232+0.23749653j 0.40000271+0.j ]
|
329 |
+
2.0 [0.19098503-0.52359246j 0.22222356+0.j ]
|
330 |
+
3.0 [0.47153208+0.52701229j 0.15384681+0.j ]
|
331 |
+
4.0 [-0.61905937+0.30726255j 0.11764744+0.j ]
|
332 |
+
5.0 [0.02340997-0.61418799j 0.09523835+0.j ]
|
333 |
+
6.0 [0.58643071+0.339819j 0.08000018+0.j ]
|
334 |
+
7.0 [-0.52070105+0.44525141j 0.06896565+0.j ]
|
335 |
+
8.0 [-0.15986733-0.61234476j 0.06060616+0.j ]
|
336 |
+
9.0 [0.64850462+0.15048982j 0.05405414+0.j ]
|
337 |
+
10.0 [-0.38404699+0.56382299j 0.04878055+0.j ]
|
338 |
+
|
339 |
+
References
|
340 |
+
----------
|
341 |
+
.. [HNW93] E. Hairer, S.P. Norsett and G. Wanner, Solving Ordinary
|
342 |
+
Differential Equations i. Nonstiff Problems. 2nd edition.
|
343 |
+
Springer Series in Computational Mathematics,
|
344 |
+
Springer-Verlag (1993)
|
345 |
+
|
346 |
+
"""
|
347 |
+
|
348 |
+
def __init__(self, f, jac=None):
|
349 |
+
self.stiff = 0
|
350 |
+
self.f = f
|
351 |
+
self.jac = jac
|
352 |
+
self.f_params = ()
|
353 |
+
self.jac_params = ()
|
354 |
+
self._y = []
|
355 |
+
|
356 |
+
@property
|
357 |
+
def y(self):
|
358 |
+
return self._y
|
359 |
+
|
360 |
+
def set_initial_value(self, y, t=0.0):
|
361 |
+
"""Set initial conditions y(t) = y."""
|
362 |
+
if isscalar(y):
|
363 |
+
y = [y]
|
364 |
+
n_prev = len(self._y)
|
365 |
+
if not n_prev:
|
366 |
+
self.set_integrator('') # find first available integrator
|
367 |
+
self._y = asarray(y, self._integrator.scalar)
|
368 |
+
self.t = t
|
369 |
+
self._integrator.reset(len(self._y), self.jac is not None)
|
370 |
+
return self
|
371 |
+
|
372 |
+
def set_integrator(self, name, **integrator_params):
|
373 |
+
"""
|
374 |
+
Set integrator by name.
|
375 |
+
|
376 |
+
Parameters
|
377 |
+
----------
|
378 |
+
name : str
|
379 |
+
Name of the integrator.
|
380 |
+
**integrator_params
|
381 |
+
Additional parameters for the integrator.
|
382 |
+
"""
|
383 |
+
integrator = find_integrator(name)
|
384 |
+
if integrator is None:
|
385 |
+
# FIXME: this really should be raise an exception. Will that break
|
386 |
+
# any code?
|
387 |
+
message = f'No integrator name match with {name!r} or is not available.'
|
388 |
+
warnings.warn(message, stacklevel=2)
|
389 |
+
else:
|
390 |
+
self._integrator = integrator(**integrator_params)
|
391 |
+
if not len(self._y):
|
392 |
+
self.t = 0.0
|
393 |
+
self._y = array([0.0], self._integrator.scalar)
|
394 |
+
self._integrator.reset(len(self._y), self.jac is not None)
|
395 |
+
return self
|
396 |
+
|
397 |
+
def integrate(self, t, step=False, relax=False):
|
398 |
+
"""Find y=y(t), set y as an initial condition, and return y.
|
399 |
+
|
400 |
+
Parameters
|
401 |
+
----------
|
402 |
+
t : float
|
403 |
+
The endpoint of the integration step.
|
404 |
+
step : bool
|
405 |
+
If True, and if the integrator supports the step method,
|
406 |
+
then perform a single integration step and return.
|
407 |
+
This parameter is provided in order to expose internals of
|
408 |
+
the implementation, and should not be changed from its default
|
409 |
+
value in most cases.
|
410 |
+
relax : bool
|
411 |
+
If True and if the integrator supports the run_relax method,
|
412 |
+
then integrate until t_1 >= t and return. ``relax`` is not
|
413 |
+
referenced if ``step=True``.
|
414 |
+
This parameter is provided in order to expose internals of
|
415 |
+
the implementation, and should not be changed from its default
|
416 |
+
value in most cases.
|
417 |
+
|
418 |
+
Returns
|
419 |
+
-------
|
420 |
+
y : float
|
421 |
+
The integrated value at t
|
422 |
+
"""
|
423 |
+
if step and self._integrator.supports_step:
|
424 |
+
mth = self._integrator.step
|
425 |
+
elif relax and self._integrator.supports_run_relax:
|
426 |
+
mth = self._integrator.run_relax
|
427 |
+
else:
|
428 |
+
mth = self._integrator.run
|
429 |
+
|
430 |
+
try:
|
431 |
+
self._y, self.t = mth(self.f, self.jac or (lambda: None),
|
432 |
+
self._y, self.t, t,
|
433 |
+
self.f_params, self.jac_params)
|
434 |
+
except SystemError as e:
|
435 |
+
# f2py issue with tuple returns, see ticket 1187.
|
436 |
+
raise ValueError(
|
437 |
+
'Function to integrate must not return a tuple.'
|
438 |
+
) from e
|
439 |
+
|
440 |
+
return self._y
|
441 |
+
|
442 |
+
def successful(self):
|
443 |
+
"""Check if integration was successful."""
|
444 |
+
try:
|
445 |
+
self._integrator
|
446 |
+
except AttributeError:
|
447 |
+
self.set_integrator('')
|
448 |
+
return self._integrator.success == 1
|
449 |
+
|
450 |
+
def get_return_code(self):
|
451 |
+
"""Extracts the return code for the integration to enable better control
|
452 |
+
if the integration fails.
|
453 |
+
|
454 |
+
In general, a return code > 0 implies success, while a return code < 0
|
455 |
+
implies failure.
|
456 |
+
|
457 |
+
Notes
|
458 |
+
-----
|
459 |
+
This section describes possible return codes and their meaning, for available
|
460 |
+
integrators that can be selected by `set_integrator` method.
|
461 |
+
|
462 |
+
"vode"
|
463 |
+
|
464 |
+
=========== =======
|
465 |
+
Return Code Message
|
466 |
+
=========== =======
|
467 |
+
2 Integration successful.
|
468 |
+
-1 Excess work done on this call. (Perhaps wrong MF.)
|
469 |
+
-2 Excess accuracy requested. (Tolerances too small.)
|
470 |
+
-3 Illegal input detected. (See printed message.)
|
471 |
+
-4 Repeated error test failures. (Check all input.)
|
472 |
+
-5 Repeated convergence failures. (Perhaps bad Jacobian
|
473 |
+
supplied or wrong choice of MF or tolerances.)
|
474 |
+
-6 Error weight became zero during problem. (Solution
|
475 |
+
component i vanished, and ATOL or ATOL(i) = 0.)
|
476 |
+
=========== =======
|
477 |
+
|
478 |
+
"zvode"
|
479 |
+
|
480 |
+
=========== =======
|
481 |
+
Return Code Message
|
482 |
+
=========== =======
|
483 |
+
2 Integration successful.
|
484 |
+
-1 Excess work done on this call. (Perhaps wrong MF.)
|
485 |
+
-2 Excess accuracy requested. (Tolerances too small.)
|
486 |
+
-3 Illegal input detected. (See printed message.)
|
487 |
+
-4 Repeated error test failures. (Check all input.)
|
488 |
+
-5 Repeated convergence failures. (Perhaps bad Jacobian
|
489 |
+
supplied or wrong choice of MF or tolerances.)
|
490 |
+
-6 Error weight became zero during problem. (Solution
|
491 |
+
component i vanished, and ATOL or ATOL(i) = 0.)
|
492 |
+
=========== =======
|
493 |
+
|
494 |
+
"dopri5"
|
495 |
+
|
496 |
+
=========== =======
|
497 |
+
Return Code Message
|
498 |
+
=========== =======
|
499 |
+
1 Integration successful.
|
500 |
+
2 Integration successful (interrupted by solout).
|
501 |
+
-1 Input is not consistent.
|
502 |
+
-2 Larger nsteps is needed.
|
503 |
+
-3 Step size becomes too small.
|
504 |
+
-4 Problem is probably stiff (interrupted).
|
505 |
+
=========== =======
|
506 |
+
|
507 |
+
"dop853"
|
508 |
+
|
509 |
+
=========== =======
|
510 |
+
Return Code Message
|
511 |
+
=========== =======
|
512 |
+
1 Integration successful.
|
513 |
+
2 Integration successful (interrupted by solout).
|
514 |
+
-1 Input is not consistent.
|
515 |
+
-2 Larger nsteps is needed.
|
516 |
+
-3 Step size becomes too small.
|
517 |
+
-4 Problem is probably stiff (interrupted).
|
518 |
+
=========== =======
|
519 |
+
|
520 |
+
"lsoda"
|
521 |
+
|
522 |
+
=========== =======
|
523 |
+
Return Code Message
|
524 |
+
=========== =======
|
525 |
+
2 Integration successful.
|
526 |
+
-1 Excess work done on this call (perhaps wrong Dfun type).
|
527 |
+
-2 Excess accuracy requested (tolerances too small).
|
528 |
+
-3 Illegal input detected (internal error).
|
529 |
+
-4 Repeated error test failures (internal error).
|
530 |
+
-5 Repeated convergence failures (perhaps bad Jacobian or tolerances).
|
531 |
+
-6 Error weight became zero during problem.
|
532 |
+
-7 Internal workspace insufficient to finish (internal error).
|
533 |
+
=========== =======
|
534 |
+
"""
|
535 |
+
try:
|
536 |
+
self._integrator
|
537 |
+
except AttributeError:
|
538 |
+
self.set_integrator('')
|
539 |
+
return self._integrator.istate
|
540 |
+
|
541 |
+
def set_f_params(self, *args):
|
542 |
+
"""Set extra parameters for user-supplied function f."""
|
543 |
+
self.f_params = args
|
544 |
+
return self
|
545 |
+
|
546 |
+
def set_jac_params(self, *args):
|
547 |
+
"""Set extra parameters for user-supplied function jac."""
|
548 |
+
self.jac_params = args
|
549 |
+
return self
|
550 |
+
|
551 |
+
def set_solout(self, solout):
|
552 |
+
"""
|
553 |
+
Set callable to be called at every successful integration step.
|
554 |
+
|
555 |
+
Parameters
|
556 |
+
----------
|
557 |
+
solout : callable
|
558 |
+
``solout(t, y)`` is called at each internal integrator step,
|
559 |
+
t is a scalar providing the current independent position
|
560 |
+
y is the current solution ``y.shape == (n,)``
|
561 |
+
solout should return -1 to stop integration
|
562 |
+
otherwise it should return None or 0
|
563 |
+
|
564 |
+
"""
|
565 |
+
if self._integrator.supports_solout:
|
566 |
+
self._integrator.set_solout(solout)
|
567 |
+
if self._y is not None:
|
568 |
+
self._integrator.reset(len(self._y), self.jac is not None)
|
569 |
+
else:
|
570 |
+
raise ValueError("selected integrator does not support solout,"
|
571 |
+
" choose another one")
|
572 |
+
|
573 |
+
|
574 |
+
def _transform_banded_jac(bjac):
|
575 |
+
"""
|
576 |
+
Convert a real matrix of the form (for example)
|
577 |
+
|
578 |
+
[0 0 A B] [0 0 0 B]
|
579 |
+
[0 0 C D] [0 0 A D]
|
580 |
+
[E F G H] to [0 F C H]
|
581 |
+
[I J K L] [E J G L]
|
582 |
+
[I 0 K 0]
|
583 |
+
|
584 |
+
That is, every other column is shifted up one.
|
585 |
+
"""
|
586 |
+
# Shift every other column.
|
587 |
+
newjac = zeros((bjac.shape[0] + 1, bjac.shape[1]))
|
588 |
+
newjac[1:, ::2] = bjac[:, ::2]
|
589 |
+
newjac[:-1, 1::2] = bjac[:, 1::2]
|
590 |
+
return newjac
|
591 |
+
|
592 |
+
|
593 |
+
class complex_ode(ode):
|
594 |
+
"""
|
595 |
+
A wrapper of ode for complex systems.
|
596 |
+
|
597 |
+
This functions similarly as `ode`, but re-maps a complex-valued
|
598 |
+
equation system to a real-valued one before using the integrators.
|
599 |
+
|
600 |
+
Parameters
|
601 |
+
----------
|
602 |
+
f : callable ``f(t, y, *f_args)``
|
603 |
+
Rhs of the equation. t is a scalar, ``y.shape == (n,)``.
|
604 |
+
``f_args`` is set by calling ``set_f_params(*args)``.
|
605 |
+
jac : callable ``jac(t, y, *jac_args)``
|
606 |
+
Jacobian of the rhs, ``jac[i,j] = d f[i] / d y[j]``.
|
607 |
+
``jac_args`` is set by calling ``set_f_params(*args)``.
|
608 |
+
|
609 |
+
Attributes
|
610 |
+
----------
|
611 |
+
t : float
|
612 |
+
Current time.
|
613 |
+
y : ndarray
|
614 |
+
Current variable values.
|
615 |
+
|
616 |
+
Examples
|
617 |
+
--------
|
618 |
+
For usage examples, see `ode`.
|
619 |
+
|
620 |
+
"""
|
621 |
+
|
622 |
+
def __init__(self, f, jac=None):
|
623 |
+
self.cf = f
|
624 |
+
self.cjac = jac
|
625 |
+
if jac is None:
|
626 |
+
ode.__init__(self, self._wrap, None)
|
627 |
+
else:
|
628 |
+
ode.__init__(self, self._wrap, self._wrap_jac)
|
629 |
+
|
630 |
+
def _wrap(self, t, y, *f_args):
|
631 |
+
f = self.cf(*((t, y[::2] + 1j * y[1::2]) + f_args))
|
632 |
+
# self.tmp is a real-valued array containing the interleaved
|
633 |
+
# real and imaginary parts of f.
|
634 |
+
self.tmp[::2] = real(f)
|
635 |
+
self.tmp[1::2] = imag(f)
|
636 |
+
return self.tmp
|
637 |
+
|
638 |
+
def _wrap_jac(self, t, y, *jac_args):
|
639 |
+
# jac is the complex Jacobian computed by the user-defined function.
|
640 |
+
jac = self.cjac(*((t, y[::2] + 1j * y[1::2]) + jac_args))
|
641 |
+
|
642 |
+
# jac_tmp is the real version of the complex Jacobian. Each complex
|
643 |
+
# entry in jac, say 2+3j, becomes a 2x2 block of the form
|
644 |
+
# [2 -3]
|
645 |
+
# [3 2]
|
646 |
+
jac_tmp = zeros((2 * jac.shape[0], 2 * jac.shape[1]))
|
647 |
+
jac_tmp[1::2, 1::2] = jac_tmp[::2, ::2] = real(jac)
|
648 |
+
jac_tmp[1::2, ::2] = imag(jac)
|
649 |
+
jac_tmp[::2, 1::2] = -jac_tmp[1::2, ::2]
|
650 |
+
|
651 |
+
ml = getattr(self._integrator, 'ml', None)
|
652 |
+
mu = getattr(self._integrator, 'mu', None)
|
653 |
+
if ml is not None or mu is not None:
|
654 |
+
# Jacobian is banded. The user's Jacobian function has computed
|
655 |
+
# the complex Jacobian in packed format. The corresponding
|
656 |
+
# real-valued version has every other column shifted up.
|
657 |
+
jac_tmp = _transform_banded_jac(jac_tmp)
|
658 |
+
|
659 |
+
return jac_tmp
|
660 |
+
|
661 |
+
@property
|
662 |
+
def y(self):
|
663 |
+
return self._y[::2] + 1j * self._y[1::2]
|
664 |
+
|
665 |
+
def set_integrator(self, name, **integrator_params):
|
666 |
+
"""
|
667 |
+
Set integrator by name.
|
668 |
+
|
669 |
+
Parameters
|
670 |
+
----------
|
671 |
+
name : str
|
672 |
+
Name of the integrator
|
673 |
+
**integrator_params
|
674 |
+
Additional parameters for the integrator.
|
675 |
+
"""
|
676 |
+
if name == 'zvode':
|
677 |
+
raise ValueError("zvode must be used with ode, not complex_ode")
|
678 |
+
|
679 |
+
lband = integrator_params.get('lband')
|
680 |
+
uband = integrator_params.get('uband')
|
681 |
+
if lband is not None or uband is not None:
|
682 |
+
# The Jacobian is banded. Override the user-supplied bandwidths
|
683 |
+
# (which are for the complex Jacobian) with the bandwidths of
|
684 |
+
# the corresponding real-valued Jacobian wrapper of the complex
|
685 |
+
# Jacobian.
|
686 |
+
integrator_params['lband'] = 2 * (lband or 0) + 1
|
687 |
+
integrator_params['uband'] = 2 * (uband or 0) + 1
|
688 |
+
|
689 |
+
return ode.set_integrator(self, name, **integrator_params)
|
690 |
+
|
691 |
+
def set_initial_value(self, y, t=0.0):
|
692 |
+
"""Set initial conditions y(t) = y."""
|
693 |
+
y = asarray(y)
|
694 |
+
self.tmp = zeros(y.size * 2, 'float')
|
695 |
+
self.tmp[::2] = real(y)
|
696 |
+
self.tmp[1::2] = imag(y)
|
697 |
+
return ode.set_initial_value(self, self.tmp, t)
|
698 |
+
|
699 |
+
def integrate(self, t, step=False, relax=False):
|
700 |
+
"""Find y=y(t), set y as an initial condition, and return y.
|
701 |
+
|
702 |
+
Parameters
|
703 |
+
----------
|
704 |
+
t : float
|
705 |
+
The endpoint of the integration step.
|
706 |
+
step : bool
|
707 |
+
If True, and if the integrator supports the step method,
|
708 |
+
then perform a single integration step and return.
|
709 |
+
This parameter is provided in order to expose internals of
|
710 |
+
the implementation, and should not be changed from its default
|
711 |
+
value in most cases.
|
712 |
+
relax : bool
|
713 |
+
If True and if the integrator supports the run_relax method,
|
714 |
+
then integrate until t_1 >= t and return. ``relax`` is not
|
715 |
+
referenced if ``step=True``.
|
716 |
+
This parameter is provided in order to expose internals of
|
717 |
+
the implementation, and should not be changed from its default
|
718 |
+
value in most cases.
|
719 |
+
|
720 |
+
Returns
|
721 |
+
-------
|
722 |
+
y : float
|
723 |
+
The integrated value at t
|
724 |
+
"""
|
725 |
+
y = ode.integrate(self, t, step, relax)
|
726 |
+
return y[::2] + 1j * y[1::2]
|
727 |
+
|
728 |
+
def set_solout(self, solout):
|
729 |
+
"""
|
730 |
+
Set callable to be called at every successful integration step.
|
731 |
+
|
732 |
+
Parameters
|
733 |
+
----------
|
734 |
+
solout : callable
|
735 |
+
``solout(t, y)`` is called at each internal integrator step,
|
736 |
+
t is a scalar providing the current independent position
|
737 |
+
y is the current solution ``y.shape == (n,)``
|
738 |
+
solout should return -1 to stop integration
|
739 |
+
otherwise it should return None or 0
|
740 |
+
|
741 |
+
"""
|
742 |
+
if self._integrator.supports_solout:
|
743 |
+
self._integrator.set_solout(solout, complex=True)
|
744 |
+
else:
|
745 |
+
raise TypeError("selected integrator does not support solouta,"
|
746 |
+
+ "choose another one")
|
747 |
+
|
748 |
+
|
749 |
+
# ------------------------------------------------------------------------------
|
750 |
+
# ODE integrators
|
751 |
+
# ------------------------------------------------------------------------------
|
752 |
+
|
753 |
+
def find_integrator(name):
|
754 |
+
for cl in IntegratorBase.integrator_classes:
|
755 |
+
if re.match(name, cl.__name__, re.I):
|
756 |
+
return cl
|
757 |
+
return None
|
758 |
+
|
759 |
+
|
760 |
+
class IntegratorConcurrencyError(RuntimeError):
|
761 |
+
"""
|
762 |
+
Failure due to concurrent usage of an integrator that can be used
|
763 |
+
only for a single problem at a time.
|
764 |
+
|
765 |
+
"""
|
766 |
+
|
767 |
+
def __init__(self, name):
|
768 |
+
msg = ("Integrator `%s` can be used to solve only a single problem "
|
769 |
+
"at a time. If you want to integrate multiple problems, "
|
770 |
+
"consider using a different integrator "
|
771 |
+
"(see `ode.set_integrator`)") % name
|
772 |
+
RuntimeError.__init__(self, msg)
|
773 |
+
|
774 |
+
|
775 |
+
class IntegratorBase:
|
776 |
+
runner = None # runner is None => integrator is not available
|
777 |
+
success = None # success==1 if integrator was called successfully
|
778 |
+
istate = None # istate > 0 means success, istate < 0 means failure
|
779 |
+
supports_run_relax = None
|
780 |
+
supports_step = None
|
781 |
+
supports_solout = False
|
782 |
+
integrator_classes = []
|
783 |
+
scalar = float
|
784 |
+
|
785 |
+
def acquire_new_handle(self):
|
786 |
+
# Some of the integrators have internal state (ancient
|
787 |
+
# Fortran...), and so only one instance can use them at a time.
|
788 |
+
# We keep track of this, and fail when concurrent usage is tried.
|
789 |
+
self.__class__.active_global_handle += 1
|
790 |
+
self.handle = self.__class__.active_global_handle
|
791 |
+
|
792 |
+
def check_handle(self):
|
793 |
+
if self.handle is not self.__class__.active_global_handle:
|
794 |
+
raise IntegratorConcurrencyError(self.__class__.__name__)
|
795 |
+
|
796 |
+
def reset(self, n, has_jac):
|
797 |
+
"""Prepare integrator for call: allocate memory, set flags, etc.
|
798 |
+
n - number of equations.
|
799 |
+
has_jac - if user has supplied function for evaluating Jacobian.
|
800 |
+
"""
|
801 |
+
|
802 |
+
def run(self, f, jac, y0, t0, t1, f_params, jac_params):
|
803 |
+
"""Integrate from t=t0 to t=t1 using y0 as an initial condition.
|
804 |
+
Return 2-tuple (y1,t1) where y1 is the result and t=t1
|
805 |
+
defines the stoppage coordinate of the result.
|
806 |
+
"""
|
807 |
+
raise NotImplementedError('all integrators must define '
|
808 |
+
'run(f, jac, t0, t1, y0, f_params, jac_params)')
|
809 |
+
|
810 |
+
def step(self, f, jac, y0, t0, t1, f_params, jac_params):
|
811 |
+
"""Make one integration step and return (y1,t1)."""
|
812 |
+
raise NotImplementedError('%s does not support step() method' %
|
813 |
+
self.__class__.__name__)
|
814 |
+
|
815 |
+
def run_relax(self, f, jac, y0, t0, t1, f_params, jac_params):
|
816 |
+
"""Integrate from t=t0 to t>=t1 and return (y1,t)."""
|
817 |
+
raise NotImplementedError('%s does not support run_relax() method' %
|
818 |
+
self.__class__.__name__)
|
819 |
+
|
820 |
+
# XXX: __str__ method for getting visual state of the integrator
|
821 |
+
|
822 |
+
|
823 |
+
def _vode_banded_jac_wrapper(jacfunc, ml, jac_params):
|
824 |
+
"""
|
825 |
+
Wrap a banded Jacobian function with a function that pads
|
826 |
+
the Jacobian with `ml` rows of zeros.
|
827 |
+
"""
|
828 |
+
|
829 |
+
def jac_wrapper(t, y):
|
830 |
+
jac = asarray(jacfunc(t, y, *jac_params))
|
831 |
+
padded_jac = vstack((jac, zeros((ml, jac.shape[1]))))
|
832 |
+
return padded_jac
|
833 |
+
|
834 |
+
return jac_wrapper
|
835 |
+
|
836 |
+
|
837 |
+
class vode(IntegratorBase):
|
838 |
+
runner = getattr(_vode, 'dvode', None)
|
839 |
+
|
840 |
+
messages = {-1: 'Excess work done on this call. (Perhaps wrong MF.)',
|
841 |
+
-2: 'Excess accuracy requested. (Tolerances too small.)',
|
842 |
+
-3: 'Illegal input detected. (See printed message.)',
|
843 |
+
-4: 'Repeated error test failures. (Check all input.)',
|
844 |
+
-5: 'Repeated convergence failures. (Perhaps bad'
|
845 |
+
' Jacobian supplied or wrong choice of MF or tolerances.)',
|
846 |
+
-6: 'Error weight became zero during problem. (Solution'
|
847 |
+
' component i vanished, and ATOL or ATOL(i) = 0.)'
|
848 |
+
}
|
849 |
+
supports_run_relax = 1
|
850 |
+
supports_step = 1
|
851 |
+
active_global_handle = 0
|
852 |
+
|
853 |
+
def __init__(self,
|
854 |
+
method='adams',
|
855 |
+
with_jacobian=False,
|
856 |
+
rtol=1e-6, atol=1e-12,
|
857 |
+
lband=None, uband=None,
|
858 |
+
order=12,
|
859 |
+
nsteps=500,
|
860 |
+
max_step=0.0, # corresponds to infinite
|
861 |
+
min_step=0.0,
|
862 |
+
first_step=0.0, # determined by solver
|
863 |
+
):
|
864 |
+
|
865 |
+
if re.match(method, r'adams', re.I):
|
866 |
+
self.meth = 1
|
867 |
+
elif re.match(method, r'bdf', re.I):
|
868 |
+
self.meth = 2
|
869 |
+
else:
|
870 |
+
raise ValueError('Unknown integration method %s' % method)
|
871 |
+
self.with_jacobian = with_jacobian
|
872 |
+
self.rtol = rtol
|
873 |
+
self.atol = atol
|
874 |
+
self.mu = uband
|
875 |
+
self.ml = lband
|
876 |
+
|
877 |
+
self.order = order
|
878 |
+
self.nsteps = nsteps
|
879 |
+
self.max_step = max_step
|
880 |
+
self.min_step = min_step
|
881 |
+
self.first_step = first_step
|
882 |
+
self.success = 1
|
883 |
+
|
884 |
+
self.initialized = False
|
885 |
+
|
886 |
+
def _determine_mf_and_set_bands(self, has_jac):
|
887 |
+
"""
|
888 |
+
Determine the `MF` parameter (Method Flag) for the Fortran subroutine `dvode`.
|
889 |
+
|
890 |
+
In the Fortran code, the legal values of `MF` are:
|
891 |
+
10, 11, 12, 13, 14, 15, 20, 21, 22, 23, 24, 25,
|
892 |
+
-11, -12, -14, -15, -21, -22, -24, -25
|
893 |
+
but this Python wrapper does not use negative values.
|
894 |
+
|
895 |
+
Returns
|
896 |
+
|
897 |
+
mf = 10*self.meth + miter
|
898 |
+
|
899 |
+
self.meth is the linear multistep method:
|
900 |
+
self.meth == 1: method="adams"
|
901 |
+
self.meth == 2: method="bdf"
|
902 |
+
|
903 |
+
miter is the correction iteration method:
|
904 |
+
miter == 0: Functional iteration; no Jacobian involved.
|
905 |
+
miter == 1: Chord iteration with user-supplied full Jacobian.
|
906 |
+
miter == 2: Chord iteration with internally computed full Jacobian.
|
907 |
+
miter == 3: Chord iteration with internally computed diagonal Jacobian.
|
908 |
+
miter == 4: Chord iteration with user-supplied banded Jacobian.
|
909 |
+
miter == 5: Chord iteration with internally computed banded Jacobian.
|
910 |
+
|
911 |
+
Side effects: If either self.mu or self.ml is not None and the other is None,
|
912 |
+
then the one that is None is set to 0.
|
913 |
+
"""
|
914 |
+
|
915 |
+
jac_is_banded = self.mu is not None or self.ml is not None
|
916 |
+
if jac_is_banded:
|
917 |
+
if self.mu is None:
|
918 |
+
self.mu = 0
|
919 |
+
if self.ml is None:
|
920 |
+
self.ml = 0
|
921 |
+
|
922 |
+
# has_jac is True if the user provided a Jacobian function.
|
923 |
+
if has_jac:
|
924 |
+
if jac_is_banded:
|
925 |
+
miter = 4
|
926 |
+
else:
|
927 |
+
miter = 1
|
928 |
+
else:
|
929 |
+
if jac_is_banded:
|
930 |
+
if self.ml == self.mu == 0:
|
931 |
+
miter = 3 # Chord iteration with internal diagonal Jacobian.
|
932 |
+
else:
|
933 |
+
miter = 5 # Chord iteration with internal banded Jacobian.
|
934 |
+
else:
|
935 |
+
# self.with_jacobian is set by the user in
|
936 |
+
# the call to ode.set_integrator.
|
937 |
+
if self.with_jacobian:
|
938 |
+
miter = 2 # Chord iteration with internal full Jacobian.
|
939 |
+
else:
|
940 |
+
miter = 0 # Functional iteration; no Jacobian involved.
|
941 |
+
|
942 |
+
mf = 10 * self.meth + miter
|
943 |
+
return mf
|
944 |
+
|
945 |
+
def reset(self, n, has_jac):
|
946 |
+
mf = self._determine_mf_and_set_bands(has_jac)
|
947 |
+
|
948 |
+
if mf == 10:
|
949 |
+
lrw = 20 + 16 * n
|
950 |
+
elif mf in [11, 12]:
|
951 |
+
lrw = 22 + 16 * n + 2 * n * n
|
952 |
+
elif mf == 13:
|
953 |
+
lrw = 22 + 17 * n
|
954 |
+
elif mf in [14, 15]:
|
955 |
+
lrw = 22 + 18 * n + (3 * self.ml + 2 * self.mu) * n
|
956 |
+
elif mf == 20:
|
957 |
+
lrw = 20 + 9 * n
|
958 |
+
elif mf in [21, 22]:
|
959 |
+
lrw = 22 + 9 * n + 2 * n * n
|
960 |
+
elif mf == 23:
|
961 |
+
lrw = 22 + 10 * n
|
962 |
+
elif mf in [24, 25]:
|
963 |
+
lrw = 22 + 11 * n + (3 * self.ml + 2 * self.mu) * n
|
964 |
+
else:
|
965 |
+
raise ValueError('Unexpected mf=%s' % mf)
|
966 |
+
|
967 |
+
if mf % 10 in [0, 3]:
|
968 |
+
liw = 30
|
969 |
+
else:
|
970 |
+
liw = 30 + n
|
971 |
+
|
972 |
+
rwork = zeros((lrw,), float)
|
973 |
+
rwork[4] = self.first_step
|
974 |
+
rwork[5] = self.max_step
|
975 |
+
rwork[6] = self.min_step
|
976 |
+
self.rwork = rwork
|
977 |
+
|
978 |
+
iwork = zeros((liw,), _vode_int_dtype)
|
979 |
+
if self.ml is not None:
|
980 |
+
iwork[0] = self.ml
|
981 |
+
if self.mu is not None:
|
982 |
+
iwork[1] = self.mu
|
983 |
+
iwork[4] = self.order
|
984 |
+
iwork[5] = self.nsteps
|
985 |
+
iwork[6] = 2 # mxhnil
|
986 |
+
self.iwork = iwork
|
987 |
+
|
988 |
+
self.call_args = [self.rtol, self.atol, 1, 1,
|
989 |
+
self.rwork, self.iwork, mf]
|
990 |
+
self.success = 1
|
991 |
+
self.initialized = False
|
992 |
+
|
993 |
+
def run(self, f, jac, y0, t0, t1, f_params, jac_params):
|
994 |
+
if self.initialized:
|
995 |
+
self.check_handle()
|
996 |
+
else:
|
997 |
+
self.initialized = True
|
998 |
+
self.acquire_new_handle()
|
999 |
+
|
1000 |
+
if self.ml is not None and self.ml > 0:
|
1001 |
+
# Banded Jacobian. Wrap the user-provided function with one
|
1002 |
+
# that pads the Jacobian array with the extra `self.ml` rows
|
1003 |
+
# required by the f2py-generated wrapper.
|
1004 |
+
jac = _vode_banded_jac_wrapper(jac, self.ml, jac_params)
|
1005 |
+
|
1006 |
+
args = ((f, jac, y0, t0, t1) + tuple(self.call_args) +
|
1007 |
+
(f_params, jac_params))
|
1008 |
+
y1, t, istate = self.runner(*args)
|
1009 |
+
self.istate = istate
|
1010 |
+
if istate < 0:
|
1011 |
+
unexpected_istate_msg = f'Unexpected istate={istate:d}'
|
1012 |
+
warnings.warn('{:s}: {:s}'.format(self.__class__.__name__,
|
1013 |
+
self.messages.get(istate, unexpected_istate_msg)),
|
1014 |
+
stacklevel=2)
|
1015 |
+
self.success = 0
|
1016 |
+
else:
|
1017 |
+
self.call_args[3] = 2 # upgrade istate from 1 to 2
|
1018 |
+
self.istate = 2
|
1019 |
+
return y1, t
|
1020 |
+
|
1021 |
+
def step(self, *args):
|
1022 |
+
itask = self.call_args[2]
|
1023 |
+
self.call_args[2] = 2
|
1024 |
+
r = self.run(*args)
|
1025 |
+
self.call_args[2] = itask
|
1026 |
+
return r
|
1027 |
+
|
1028 |
+
def run_relax(self, *args):
|
1029 |
+
itask = self.call_args[2]
|
1030 |
+
self.call_args[2] = 3
|
1031 |
+
r = self.run(*args)
|
1032 |
+
self.call_args[2] = itask
|
1033 |
+
return r
|
1034 |
+
|
1035 |
+
|
1036 |
+
if vode.runner is not None:
|
1037 |
+
IntegratorBase.integrator_classes.append(vode)
|
1038 |
+
|
1039 |
+
|
1040 |
+
class zvode(vode):
|
1041 |
+
runner = getattr(_vode, 'zvode', None)
|
1042 |
+
|
1043 |
+
supports_run_relax = 1
|
1044 |
+
supports_step = 1
|
1045 |
+
scalar = complex
|
1046 |
+
active_global_handle = 0
|
1047 |
+
|
1048 |
+
def reset(self, n, has_jac):
|
1049 |
+
mf = self._determine_mf_and_set_bands(has_jac)
|
1050 |
+
|
1051 |
+
if mf in (10,):
|
1052 |
+
lzw = 15 * n
|
1053 |
+
elif mf in (11, 12):
|
1054 |
+
lzw = 15 * n + 2 * n ** 2
|
1055 |
+
elif mf in (-11, -12):
|
1056 |
+
lzw = 15 * n + n ** 2
|
1057 |
+
elif mf in (13,):
|
1058 |
+
lzw = 16 * n
|
1059 |
+
elif mf in (14, 15):
|
1060 |
+
lzw = 17 * n + (3 * self.ml + 2 * self.mu) * n
|
1061 |
+
elif mf in (-14, -15):
|
1062 |
+
lzw = 16 * n + (2 * self.ml + self.mu) * n
|
1063 |
+
elif mf in (20,):
|
1064 |
+
lzw = 8 * n
|
1065 |
+
elif mf in (21, 22):
|
1066 |
+
lzw = 8 * n + 2 * n ** 2
|
1067 |
+
elif mf in (-21, -22):
|
1068 |
+
lzw = 8 * n + n ** 2
|
1069 |
+
elif mf in (23,):
|
1070 |
+
lzw = 9 * n
|
1071 |
+
elif mf in (24, 25):
|
1072 |
+
lzw = 10 * n + (3 * self.ml + 2 * self.mu) * n
|
1073 |
+
elif mf in (-24, -25):
|
1074 |
+
lzw = 9 * n + (2 * self.ml + self.mu) * n
|
1075 |
+
|
1076 |
+
lrw = 20 + n
|
1077 |
+
|
1078 |
+
if mf % 10 in (0, 3):
|
1079 |
+
liw = 30
|
1080 |
+
else:
|
1081 |
+
liw = 30 + n
|
1082 |
+
|
1083 |
+
zwork = zeros((lzw,), complex)
|
1084 |
+
self.zwork = zwork
|
1085 |
+
|
1086 |
+
rwork = zeros((lrw,), float)
|
1087 |
+
rwork[4] = self.first_step
|
1088 |
+
rwork[5] = self.max_step
|
1089 |
+
rwork[6] = self.min_step
|
1090 |
+
self.rwork = rwork
|
1091 |
+
|
1092 |
+
iwork = zeros((liw,), _vode_int_dtype)
|
1093 |
+
if self.ml is not None:
|
1094 |
+
iwork[0] = self.ml
|
1095 |
+
if self.mu is not None:
|
1096 |
+
iwork[1] = self.mu
|
1097 |
+
iwork[4] = self.order
|
1098 |
+
iwork[5] = self.nsteps
|
1099 |
+
iwork[6] = 2 # mxhnil
|
1100 |
+
self.iwork = iwork
|
1101 |
+
|
1102 |
+
self.call_args = [self.rtol, self.atol, 1, 1,
|
1103 |
+
self.zwork, self.rwork, self.iwork, mf]
|
1104 |
+
self.success = 1
|
1105 |
+
self.initialized = False
|
1106 |
+
|
1107 |
+
|
1108 |
+
if zvode.runner is not None:
|
1109 |
+
IntegratorBase.integrator_classes.append(zvode)
|
1110 |
+
|
1111 |
+
|
1112 |
+
class dopri5(IntegratorBase):
|
1113 |
+
runner = getattr(_dop, 'dopri5', None)
|
1114 |
+
name = 'dopri5'
|
1115 |
+
supports_solout = True
|
1116 |
+
|
1117 |
+
messages = {1: 'computation successful',
|
1118 |
+
2: 'computation successful (interrupted by solout)',
|
1119 |
+
-1: 'input is not consistent',
|
1120 |
+
-2: 'larger nsteps is needed',
|
1121 |
+
-3: 'step size becomes too small',
|
1122 |
+
-4: 'problem is probably stiff (interrupted)',
|
1123 |
+
}
|
1124 |
+
|
1125 |
+
def __init__(self,
|
1126 |
+
rtol=1e-6, atol=1e-12,
|
1127 |
+
nsteps=500,
|
1128 |
+
max_step=0.0,
|
1129 |
+
first_step=0.0, # determined by solver
|
1130 |
+
safety=0.9,
|
1131 |
+
ifactor=10.0,
|
1132 |
+
dfactor=0.2,
|
1133 |
+
beta=0.0,
|
1134 |
+
method=None,
|
1135 |
+
verbosity=-1, # no messages if negative
|
1136 |
+
):
|
1137 |
+
self.rtol = rtol
|
1138 |
+
self.atol = atol
|
1139 |
+
self.nsteps = nsteps
|
1140 |
+
self.max_step = max_step
|
1141 |
+
self.first_step = first_step
|
1142 |
+
self.safety = safety
|
1143 |
+
self.ifactor = ifactor
|
1144 |
+
self.dfactor = dfactor
|
1145 |
+
self.beta = beta
|
1146 |
+
self.verbosity = verbosity
|
1147 |
+
self.success = 1
|
1148 |
+
self.set_solout(None)
|
1149 |
+
|
1150 |
+
def set_solout(self, solout, complex=False):
|
1151 |
+
self.solout = solout
|
1152 |
+
self.solout_cmplx = complex
|
1153 |
+
if solout is None:
|
1154 |
+
self.iout = 0
|
1155 |
+
else:
|
1156 |
+
self.iout = 1
|
1157 |
+
|
1158 |
+
def reset(self, n, has_jac):
|
1159 |
+
work = zeros((8 * n + 21,), float)
|
1160 |
+
work[1] = self.safety
|
1161 |
+
work[2] = self.dfactor
|
1162 |
+
work[3] = self.ifactor
|
1163 |
+
work[4] = self.beta
|
1164 |
+
work[5] = self.max_step
|
1165 |
+
work[6] = self.first_step
|
1166 |
+
self.work = work
|
1167 |
+
iwork = zeros((21,), _dop_int_dtype)
|
1168 |
+
iwork[0] = self.nsteps
|
1169 |
+
iwork[2] = self.verbosity
|
1170 |
+
self.iwork = iwork
|
1171 |
+
self.call_args = [self.rtol, self.atol, self._solout,
|
1172 |
+
self.iout, self.work, self.iwork]
|
1173 |
+
self.success = 1
|
1174 |
+
|
1175 |
+
def run(self, f, jac, y0, t0, t1, f_params, jac_params):
|
1176 |
+
x, y, iwork, istate = self.runner(*((f, t0, y0, t1) +
|
1177 |
+
tuple(self.call_args) + (f_params,)))
|
1178 |
+
self.istate = istate
|
1179 |
+
if istate < 0:
|
1180 |
+
unexpected_istate_msg = f'Unexpected istate={istate:d}'
|
1181 |
+
warnings.warn('{:s}: {:s}'.format(self.__class__.__name__,
|
1182 |
+
self.messages.get(istate, unexpected_istate_msg)),
|
1183 |
+
stacklevel=2)
|
1184 |
+
self.success = 0
|
1185 |
+
return y, x
|
1186 |
+
|
1187 |
+
def _solout(self, nr, xold, x, y, nd, icomp, con):
|
1188 |
+
if self.solout is not None:
|
1189 |
+
if self.solout_cmplx:
|
1190 |
+
y = y[::2] + 1j * y[1::2]
|
1191 |
+
return self.solout(x, y)
|
1192 |
+
else:
|
1193 |
+
return 1
|
1194 |
+
|
1195 |
+
|
1196 |
+
if dopri5.runner is not None:
|
1197 |
+
IntegratorBase.integrator_classes.append(dopri5)
|
1198 |
+
|
1199 |
+
|
1200 |
+
class dop853(dopri5):
|
1201 |
+
runner = getattr(_dop, 'dop853', None)
|
1202 |
+
name = 'dop853'
|
1203 |
+
|
1204 |
+
def __init__(self,
|
1205 |
+
rtol=1e-6, atol=1e-12,
|
1206 |
+
nsteps=500,
|
1207 |
+
max_step=0.0,
|
1208 |
+
first_step=0.0, # determined by solver
|
1209 |
+
safety=0.9,
|
1210 |
+
ifactor=6.0,
|
1211 |
+
dfactor=0.3,
|
1212 |
+
beta=0.0,
|
1213 |
+
method=None,
|
1214 |
+
verbosity=-1, # no messages if negative
|
1215 |
+
):
|
1216 |
+
super().__init__(rtol, atol, nsteps, max_step, first_step, safety,
|
1217 |
+
ifactor, dfactor, beta, method, verbosity)
|
1218 |
+
|
1219 |
+
def reset(self, n, has_jac):
|
1220 |
+
work = zeros((11 * n + 21,), float)
|
1221 |
+
work[1] = self.safety
|
1222 |
+
work[2] = self.dfactor
|
1223 |
+
work[3] = self.ifactor
|
1224 |
+
work[4] = self.beta
|
1225 |
+
work[5] = self.max_step
|
1226 |
+
work[6] = self.first_step
|
1227 |
+
self.work = work
|
1228 |
+
iwork = zeros((21,), _dop_int_dtype)
|
1229 |
+
iwork[0] = self.nsteps
|
1230 |
+
iwork[2] = self.verbosity
|
1231 |
+
self.iwork = iwork
|
1232 |
+
self.call_args = [self.rtol, self.atol, self._solout,
|
1233 |
+
self.iout, self.work, self.iwork]
|
1234 |
+
self.success = 1
|
1235 |
+
|
1236 |
+
|
1237 |
+
if dop853.runner is not None:
|
1238 |
+
IntegratorBase.integrator_classes.append(dop853)
|
1239 |
+
|
1240 |
+
|
1241 |
+
class lsoda(IntegratorBase):
|
1242 |
+
runner = getattr(_lsoda, 'lsoda', None)
|
1243 |
+
active_global_handle = 0
|
1244 |
+
|
1245 |
+
messages = {
|
1246 |
+
2: "Integration successful.",
|
1247 |
+
-1: "Excess work done on this call (perhaps wrong Dfun type).",
|
1248 |
+
-2: "Excess accuracy requested (tolerances too small).",
|
1249 |
+
-3: "Illegal input detected (internal error).",
|
1250 |
+
-4: "Repeated error test failures (internal error).",
|
1251 |
+
-5: "Repeated convergence failures (perhaps bad Jacobian or tolerances).",
|
1252 |
+
-6: "Error weight became zero during problem.",
|
1253 |
+
-7: "Internal workspace insufficient to finish (internal error)."
|
1254 |
+
}
|
1255 |
+
|
1256 |
+
def __init__(self,
|
1257 |
+
with_jacobian=False,
|
1258 |
+
rtol=1e-6, atol=1e-12,
|
1259 |
+
lband=None, uband=None,
|
1260 |
+
nsteps=500,
|
1261 |
+
max_step=0.0, # corresponds to infinite
|
1262 |
+
min_step=0.0,
|
1263 |
+
first_step=0.0, # determined by solver
|
1264 |
+
ixpr=0,
|
1265 |
+
max_hnil=0,
|
1266 |
+
max_order_ns=12,
|
1267 |
+
max_order_s=5,
|
1268 |
+
method=None
|
1269 |
+
):
|
1270 |
+
|
1271 |
+
self.with_jacobian = with_jacobian
|
1272 |
+
self.rtol = rtol
|
1273 |
+
self.atol = atol
|
1274 |
+
self.mu = uband
|
1275 |
+
self.ml = lband
|
1276 |
+
|
1277 |
+
self.max_order_ns = max_order_ns
|
1278 |
+
self.max_order_s = max_order_s
|
1279 |
+
self.nsteps = nsteps
|
1280 |
+
self.max_step = max_step
|
1281 |
+
self.min_step = min_step
|
1282 |
+
self.first_step = first_step
|
1283 |
+
self.ixpr = ixpr
|
1284 |
+
self.max_hnil = max_hnil
|
1285 |
+
self.success = 1
|
1286 |
+
|
1287 |
+
self.initialized = False
|
1288 |
+
|
1289 |
+
def reset(self, n, has_jac):
|
1290 |
+
# Calculate parameters for Fortran subroutine dvode.
|
1291 |
+
if has_jac:
|
1292 |
+
if self.mu is None and self.ml is None:
|
1293 |
+
jt = 1
|
1294 |
+
else:
|
1295 |
+
if self.mu is None:
|
1296 |
+
self.mu = 0
|
1297 |
+
if self.ml is None:
|
1298 |
+
self.ml = 0
|
1299 |
+
jt = 4
|
1300 |
+
else:
|
1301 |
+
if self.mu is None and self.ml is None:
|
1302 |
+
jt = 2
|
1303 |
+
else:
|
1304 |
+
if self.mu is None:
|
1305 |
+
self.mu = 0
|
1306 |
+
if self.ml is None:
|
1307 |
+
self.ml = 0
|
1308 |
+
jt = 5
|
1309 |
+
lrn = 20 + (self.max_order_ns + 4) * n
|
1310 |
+
if jt in [1, 2]:
|
1311 |
+
lrs = 22 + (self.max_order_s + 4) * n + n * n
|
1312 |
+
elif jt in [4, 5]:
|
1313 |
+
lrs = 22 + (self.max_order_s + 5 + 2 * self.ml + self.mu) * n
|
1314 |
+
else:
|
1315 |
+
raise ValueError('Unexpected jt=%s' % jt)
|
1316 |
+
lrw = max(lrn, lrs)
|
1317 |
+
liw = 20 + n
|
1318 |
+
rwork = zeros((lrw,), float)
|
1319 |
+
rwork[4] = self.first_step
|
1320 |
+
rwork[5] = self.max_step
|
1321 |
+
rwork[6] = self.min_step
|
1322 |
+
self.rwork = rwork
|
1323 |
+
iwork = zeros((liw,), _lsoda_int_dtype)
|
1324 |
+
if self.ml is not None:
|
1325 |
+
iwork[0] = self.ml
|
1326 |
+
if self.mu is not None:
|
1327 |
+
iwork[1] = self.mu
|
1328 |
+
iwork[4] = self.ixpr
|
1329 |
+
iwork[5] = self.nsteps
|
1330 |
+
iwork[6] = self.max_hnil
|
1331 |
+
iwork[7] = self.max_order_ns
|
1332 |
+
iwork[8] = self.max_order_s
|
1333 |
+
self.iwork = iwork
|
1334 |
+
self.call_args = [self.rtol, self.atol, 1, 1,
|
1335 |
+
self.rwork, self.iwork, jt]
|
1336 |
+
self.success = 1
|
1337 |
+
self.initialized = False
|
1338 |
+
|
1339 |
+
def run(self, f, jac, y0, t0, t1, f_params, jac_params):
|
1340 |
+
if self.initialized:
|
1341 |
+
self.check_handle()
|
1342 |
+
else:
|
1343 |
+
self.initialized = True
|
1344 |
+
self.acquire_new_handle()
|
1345 |
+
args = [f, y0, t0, t1] + self.call_args[:-1] + \
|
1346 |
+
[jac, self.call_args[-1], f_params, 0, jac_params]
|
1347 |
+
y1, t, istate = self.runner(*args)
|
1348 |
+
self.istate = istate
|
1349 |
+
if istate < 0:
|
1350 |
+
unexpected_istate_msg = f'Unexpected istate={istate:d}'
|
1351 |
+
warnings.warn('{:s}: {:s}'.format(self.__class__.__name__,
|
1352 |
+
self.messages.get(istate, unexpected_istate_msg)),
|
1353 |
+
stacklevel=2)
|
1354 |
+
self.success = 0
|
1355 |
+
else:
|
1356 |
+
self.call_args[3] = 2 # upgrade istate from 1 to 2
|
1357 |
+
self.istate = 2
|
1358 |
+
return y1, t
|
1359 |
+
|
1360 |
+
def step(self, *args):
|
1361 |
+
itask = self.call_args[2]
|
1362 |
+
self.call_args[2] = 2
|
1363 |
+
r = self.run(*args)
|
1364 |
+
self.call_args[2] = itask
|
1365 |
+
return r
|
1366 |
+
|
1367 |
+
def run_relax(self, *args):
|
1368 |
+
itask = self.call_args[2]
|
1369 |
+
self.call_args[2] = 3
|
1370 |
+
r = self.run(*args)
|
1371 |
+
self.call_args[2] = itask
|
1372 |
+
return r
|
1373 |
+
|
1374 |
+
|
1375 |
+
if lsoda.runner:
|
1376 |
+
IntegratorBase.integrator_classes.append(lsoda)
|
venv/lib/python3.10/site-packages/scipy/integrate/_odepack.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (83.6 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_odepack_py.py
ADDED
@@ -0,0 +1,262 @@
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|
1 |
+
# Author: Travis Oliphant
|
2 |
+
|
3 |
+
__all__ = ['odeint', 'ODEintWarning']
|
4 |
+
|
5 |
+
import numpy as np
|
6 |
+
from . import _odepack
|
7 |
+
from copy import copy
|
8 |
+
import warnings
|
9 |
+
|
10 |
+
|
11 |
+
class ODEintWarning(Warning):
|
12 |
+
"""Warning raised during the execution of `odeint`."""
|
13 |
+
pass
|
14 |
+
|
15 |
+
|
16 |
+
_msgs = {2: "Integration successful.",
|
17 |
+
1: "Nothing was done; the integration time was 0.",
|
18 |
+
-1: "Excess work done on this call (perhaps wrong Dfun type).",
|
19 |
+
-2: "Excess accuracy requested (tolerances too small).",
|
20 |
+
-3: "Illegal input detected (internal error).",
|
21 |
+
-4: "Repeated error test failures (internal error).",
|
22 |
+
-5: "Repeated convergence failures (perhaps bad Jacobian or tolerances).",
|
23 |
+
-6: "Error weight became zero during problem.",
|
24 |
+
-7: "Internal workspace insufficient to finish (internal error).",
|
25 |
+
-8: "Run terminated (internal error)."
|
26 |
+
}
|
27 |
+
|
28 |
+
|
29 |
+
def odeint(func, y0, t, args=(), Dfun=None, col_deriv=0, full_output=0,
|
30 |
+
ml=None, mu=None, rtol=None, atol=None, tcrit=None, h0=0.0,
|
31 |
+
hmax=0.0, hmin=0.0, ixpr=0, mxstep=0, mxhnil=0, mxordn=12,
|
32 |
+
mxords=5, printmessg=0, tfirst=False):
|
33 |
+
"""
|
34 |
+
Integrate a system of ordinary differential equations.
|
35 |
+
|
36 |
+
.. note:: For new code, use `scipy.integrate.solve_ivp` to solve a
|
37 |
+
differential equation.
|
38 |
+
|
39 |
+
Solve a system of ordinary differential equations using lsoda from the
|
40 |
+
FORTRAN library odepack.
|
41 |
+
|
42 |
+
Solves the initial value problem for stiff or non-stiff systems
|
43 |
+
of first order ode-s::
|
44 |
+
|
45 |
+
dy/dt = func(y, t, ...) [or func(t, y, ...)]
|
46 |
+
|
47 |
+
where y can be a vector.
|
48 |
+
|
49 |
+
.. note:: By default, the required order of the first two arguments of
|
50 |
+
`func` are in the opposite order of the arguments in the system
|
51 |
+
definition function used by the `scipy.integrate.ode` class and
|
52 |
+
the function `scipy.integrate.solve_ivp`. To use a function with
|
53 |
+
the signature ``func(t, y, ...)``, the argument `tfirst` must be
|
54 |
+
set to ``True``.
|
55 |
+
|
56 |
+
Parameters
|
57 |
+
----------
|
58 |
+
func : callable(y, t, ...) or callable(t, y, ...)
|
59 |
+
Computes the derivative of y at t.
|
60 |
+
If the signature is ``callable(t, y, ...)``, then the argument
|
61 |
+
`tfirst` must be set ``True``.
|
62 |
+
y0 : array
|
63 |
+
Initial condition on y (can be a vector).
|
64 |
+
t : array
|
65 |
+
A sequence of time points for which to solve for y. The initial
|
66 |
+
value point should be the first element of this sequence.
|
67 |
+
This sequence must be monotonically increasing or monotonically
|
68 |
+
decreasing; repeated values are allowed.
|
69 |
+
args : tuple, optional
|
70 |
+
Extra arguments to pass to function.
|
71 |
+
Dfun : callable(y, t, ...) or callable(t, y, ...)
|
72 |
+
Gradient (Jacobian) of `func`.
|
73 |
+
If the signature is ``callable(t, y, ...)``, then the argument
|
74 |
+
`tfirst` must be set ``True``.
|
75 |
+
col_deriv : bool, optional
|
76 |
+
True if `Dfun` defines derivatives down columns (faster),
|
77 |
+
otherwise `Dfun` should define derivatives across rows.
|
78 |
+
full_output : bool, optional
|
79 |
+
True if to return a dictionary of optional outputs as the second output
|
80 |
+
printmessg : bool, optional
|
81 |
+
Whether to print the convergence message
|
82 |
+
tfirst : bool, optional
|
83 |
+
If True, the first two arguments of `func` (and `Dfun`, if given)
|
84 |
+
must ``t, y`` instead of the default ``y, t``.
|
85 |
+
|
86 |
+
.. versionadded:: 1.1.0
|
87 |
+
|
88 |
+
Returns
|
89 |
+
-------
|
90 |
+
y : array, shape (len(t), len(y0))
|
91 |
+
Array containing the value of y for each desired time in t,
|
92 |
+
with the initial value `y0` in the first row.
|
93 |
+
infodict : dict, only returned if full_output == True
|
94 |
+
Dictionary containing additional output information
|
95 |
+
|
96 |
+
======= ============================================================
|
97 |
+
key meaning
|
98 |
+
======= ============================================================
|
99 |
+
'hu' vector of step sizes successfully used for each time step
|
100 |
+
'tcur' vector with the value of t reached for each time step
|
101 |
+
(will always be at least as large as the input times)
|
102 |
+
'tolsf' vector of tolerance scale factors, greater than 1.0,
|
103 |
+
computed when a request for too much accuracy was detected
|
104 |
+
'tsw' value of t at the time of the last method switch
|
105 |
+
(given for each time step)
|
106 |
+
'nst' cumulative number of time steps
|
107 |
+
'nfe' cumulative number of function evaluations for each time step
|
108 |
+
'nje' cumulative number of jacobian evaluations for each time step
|
109 |
+
'nqu' a vector of method orders for each successful step
|
110 |
+
'imxer' index of the component of largest magnitude in the
|
111 |
+
weighted local error vector (e / ewt) on an error return, -1
|
112 |
+
otherwise
|
113 |
+
'lenrw' the length of the double work array required
|
114 |
+
'leniw' the length of integer work array required
|
115 |
+
'mused' a vector of method indicators for each successful time step:
|
116 |
+
1: adams (nonstiff), 2: bdf (stiff)
|
117 |
+
======= ============================================================
|
118 |
+
|
119 |
+
Other Parameters
|
120 |
+
----------------
|
121 |
+
ml, mu : int, optional
|
122 |
+
If either of these are not None or non-negative, then the
|
123 |
+
Jacobian is assumed to be banded. These give the number of
|
124 |
+
lower and upper non-zero diagonals in this banded matrix.
|
125 |
+
For the banded case, `Dfun` should return a matrix whose
|
126 |
+
rows contain the non-zero bands (starting with the lowest diagonal).
|
127 |
+
Thus, the return matrix `jac` from `Dfun` should have shape
|
128 |
+
``(ml + mu + 1, len(y0))`` when ``ml >=0`` or ``mu >=0``.
|
129 |
+
The data in `jac` must be stored such that ``jac[i - j + mu, j]``
|
130 |
+
holds the derivative of the ``i``\\ th equation with respect to the
|
131 |
+
``j``\\ th state variable. If `col_deriv` is True, the transpose of
|
132 |
+
this `jac` must be returned.
|
133 |
+
rtol, atol : float, optional
|
134 |
+
The input parameters `rtol` and `atol` determine the error
|
135 |
+
control performed by the solver. The solver will control the
|
136 |
+
vector, e, of estimated local errors in y, according to an
|
137 |
+
inequality of the form ``max-norm of (e / ewt) <= 1``,
|
138 |
+
where ewt is a vector of positive error weights computed as
|
139 |
+
``ewt = rtol * abs(y) + atol``.
|
140 |
+
rtol and atol can be either vectors the same length as y or scalars.
|
141 |
+
Defaults to 1.49012e-8.
|
142 |
+
tcrit : ndarray, optional
|
143 |
+
Vector of critical points (e.g., singularities) where integration
|
144 |
+
care should be taken.
|
145 |
+
h0 : float, (0: solver-determined), optional
|
146 |
+
The step size to be attempted on the first step.
|
147 |
+
hmax : float, (0: solver-determined), optional
|
148 |
+
The maximum absolute step size allowed.
|
149 |
+
hmin : float, (0: solver-determined), optional
|
150 |
+
The minimum absolute step size allowed.
|
151 |
+
ixpr : bool, optional
|
152 |
+
Whether to generate extra printing at method switches.
|
153 |
+
mxstep : int, (0: solver-determined), optional
|
154 |
+
Maximum number of (internally defined) steps allowed for each
|
155 |
+
integration point in t.
|
156 |
+
mxhnil : int, (0: solver-determined), optional
|
157 |
+
Maximum number of messages printed.
|
158 |
+
mxordn : int, (0: solver-determined), optional
|
159 |
+
Maximum order to be allowed for the non-stiff (Adams) method.
|
160 |
+
mxords : int, (0: solver-determined), optional
|
161 |
+
Maximum order to be allowed for the stiff (BDF) method.
|
162 |
+
|
163 |
+
See Also
|
164 |
+
--------
|
165 |
+
solve_ivp : solve an initial value problem for a system of ODEs
|
166 |
+
ode : a more object-oriented integrator based on VODE
|
167 |
+
quad : for finding the area under a curve
|
168 |
+
|
169 |
+
Examples
|
170 |
+
--------
|
171 |
+
The second order differential equation for the angle `theta` of a
|
172 |
+
pendulum acted on by gravity with friction can be written::
|
173 |
+
|
174 |
+
theta''(t) + b*theta'(t) + c*sin(theta(t)) = 0
|
175 |
+
|
176 |
+
where `b` and `c` are positive constants, and a prime (') denotes a
|
177 |
+
derivative. To solve this equation with `odeint`, we must first convert
|
178 |
+
it to a system of first order equations. By defining the angular
|
179 |
+
velocity ``omega(t) = theta'(t)``, we obtain the system::
|
180 |
+
|
181 |
+
theta'(t) = omega(t)
|
182 |
+
omega'(t) = -b*omega(t) - c*sin(theta(t))
|
183 |
+
|
184 |
+
Let `y` be the vector [`theta`, `omega`]. We implement this system
|
185 |
+
in Python as:
|
186 |
+
|
187 |
+
>>> import numpy as np
|
188 |
+
>>> def pend(y, t, b, c):
|
189 |
+
... theta, omega = y
|
190 |
+
... dydt = [omega, -b*omega - c*np.sin(theta)]
|
191 |
+
... return dydt
|
192 |
+
...
|
193 |
+
|
194 |
+
We assume the constants are `b` = 0.25 and `c` = 5.0:
|
195 |
+
|
196 |
+
>>> b = 0.25
|
197 |
+
>>> c = 5.0
|
198 |
+
|
199 |
+
For initial conditions, we assume the pendulum is nearly vertical
|
200 |
+
with `theta(0)` = `pi` - 0.1, and is initially at rest, so
|
201 |
+
`omega(0)` = 0. Then the vector of initial conditions is
|
202 |
+
|
203 |
+
>>> y0 = [np.pi - 0.1, 0.0]
|
204 |
+
|
205 |
+
We will generate a solution at 101 evenly spaced samples in the interval
|
206 |
+
0 <= `t` <= 10. So our array of times is:
|
207 |
+
|
208 |
+
>>> t = np.linspace(0, 10, 101)
|
209 |
+
|
210 |
+
Call `odeint` to generate the solution. To pass the parameters
|
211 |
+
`b` and `c` to `pend`, we give them to `odeint` using the `args`
|
212 |
+
argument.
|
213 |
+
|
214 |
+
>>> from scipy.integrate import odeint
|
215 |
+
>>> sol = odeint(pend, y0, t, args=(b, c))
|
216 |
+
|
217 |
+
The solution is an array with shape (101, 2). The first column
|
218 |
+
is `theta(t)`, and the second is `omega(t)`. The following code
|
219 |
+
plots both components.
|
220 |
+
|
221 |
+
>>> import matplotlib.pyplot as plt
|
222 |
+
>>> plt.plot(t, sol[:, 0], 'b', label='theta(t)')
|
223 |
+
>>> plt.plot(t, sol[:, 1], 'g', label='omega(t)')
|
224 |
+
>>> plt.legend(loc='best')
|
225 |
+
>>> plt.xlabel('t')
|
226 |
+
>>> plt.grid()
|
227 |
+
>>> plt.show()
|
228 |
+
"""
|
229 |
+
|
230 |
+
if ml is None:
|
231 |
+
ml = -1 # changed to zero inside function call
|
232 |
+
if mu is None:
|
233 |
+
mu = -1 # changed to zero inside function call
|
234 |
+
|
235 |
+
dt = np.diff(t)
|
236 |
+
if not ((dt >= 0).all() or (dt <= 0).all()):
|
237 |
+
raise ValueError("The values in t must be monotonically increasing "
|
238 |
+
"or monotonically decreasing; repeated values are "
|
239 |
+
"allowed.")
|
240 |
+
|
241 |
+
t = copy(t)
|
242 |
+
y0 = copy(y0)
|
243 |
+
output = _odepack.odeint(func, y0, t, args, Dfun, col_deriv, ml, mu,
|
244 |
+
full_output, rtol, atol, tcrit, h0, hmax, hmin,
|
245 |
+
ixpr, mxstep, mxhnil, mxordn, mxords,
|
246 |
+
int(bool(tfirst)))
|
247 |
+
if output[-1] < 0:
|
248 |
+
warning_msg = (f"{_msgs[output[-1]]} Run with full_output = 1 to "
|
249 |
+
f"get quantitative information.")
|
250 |
+
warnings.warn(warning_msg, ODEintWarning, stacklevel=2)
|
251 |
+
elif printmessg:
|
252 |
+
warning_msg = _msgs[output[-1]]
|
253 |
+
warnings.warn(warning_msg, ODEintWarning, stacklevel=2)
|
254 |
+
|
255 |
+
if full_output:
|
256 |
+
output[1]['message'] = _msgs[output[-1]]
|
257 |
+
|
258 |
+
output = output[:-1]
|
259 |
+
if len(output) == 1:
|
260 |
+
return output[0]
|
261 |
+
else:
|
262 |
+
return output
|
venv/lib/python3.10/site-packages/scipy/integrate/_quad_vec.py
ADDED
@@ -0,0 +1,656 @@
|
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|
|
|
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|
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|
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|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
import sys
|
2 |
+
import copy
|
3 |
+
import heapq
|
4 |
+
import collections
|
5 |
+
import functools
|
6 |
+
|
7 |
+
import numpy as np
|
8 |
+
|
9 |
+
from scipy._lib._util import MapWrapper, _FunctionWrapper
|
10 |
+
|
11 |
+
|
12 |
+
class LRUDict(collections.OrderedDict):
|
13 |
+
def __init__(self, max_size):
|
14 |
+
self.__max_size = max_size
|
15 |
+
|
16 |
+
def __setitem__(self, key, value):
|
17 |
+
existing_key = (key in self)
|
18 |
+
super().__setitem__(key, value)
|
19 |
+
if existing_key:
|
20 |
+
self.move_to_end(key)
|
21 |
+
elif len(self) > self.__max_size:
|
22 |
+
self.popitem(last=False)
|
23 |
+
|
24 |
+
def update(self, other):
|
25 |
+
# Not needed below
|
26 |
+
raise NotImplementedError()
|
27 |
+
|
28 |
+
|
29 |
+
class SemiInfiniteFunc:
|
30 |
+
"""
|
31 |
+
Argument transform from (start, +-oo) to (0, 1)
|
32 |
+
"""
|
33 |
+
def __init__(self, func, start, infty):
|
34 |
+
self._func = func
|
35 |
+
self._start = start
|
36 |
+
self._sgn = -1 if infty < 0 else 1
|
37 |
+
|
38 |
+
# Overflow threshold for the 1/t**2 factor
|
39 |
+
self._tmin = sys.float_info.min**0.5
|
40 |
+
|
41 |
+
def get_t(self, x):
|
42 |
+
z = self._sgn * (x - self._start) + 1
|
43 |
+
if z == 0:
|
44 |
+
# Can happen only if point not in range
|
45 |
+
return np.inf
|
46 |
+
return 1 / z
|
47 |
+
|
48 |
+
def __call__(self, t):
|
49 |
+
if t < self._tmin:
|
50 |
+
return 0.0
|
51 |
+
else:
|
52 |
+
x = self._start + self._sgn * (1 - t) / t
|
53 |
+
f = self._func(x)
|
54 |
+
return self._sgn * (f / t) / t
|
55 |
+
|
56 |
+
|
57 |
+
class DoubleInfiniteFunc:
|
58 |
+
"""
|
59 |
+
Argument transform from (-oo, oo) to (-1, 1)
|
60 |
+
"""
|
61 |
+
def __init__(self, func):
|
62 |
+
self._func = func
|
63 |
+
|
64 |
+
# Overflow threshold for the 1/t**2 factor
|
65 |
+
self._tmin = sys.float_info.min**0.5
|
66 |
+
|
67 |
+
def get_t(self, x):
|
68 |
+
s = -1 if x < 0 else 1
|
69 |
+
return s / (abs(x) + 1)
|
70 |
+
|
71 |
+
def __call__(self, t):
|
72 |
+
if abs(t) < self._tmin:
|
73 |
+
return 0.0
|
74 |
+
else:
|
75 |
+
x = (1 - abs(t)) / t
|
76 |
+
f = self._func(x)
|
77 |
+
return (f / t) / t
|
78 |
+
|
79 |
+
|
80 |
+
def _max_norm(x):
|
81 |
+
return np.amax(abs(x))
|
82 |
+
|
83 |
+
|
84 |
+
def _get_sizeof(obj):
|
85 |
+
try:
|
86 |
+
return sys.getsizeof(obj)
|
87 |
+
except TypeError:
|
88 |
+
# occurs on pypy
|
89 |
+
if hasattr(obj, '__sizeof__'):
|
90 |
+
return int(obj.__sizeof__())
|
91 |
+
return 64
|
92 |
+
|
93 |
+
|
94 |
+
class _Bunch:
|
95 |
+
def __init__(self, **kwargs):
|
96 |
+
self.__keys = kwargs.keys()
|
97 |
+
self.__dict__.update(**kwargs)
|
98 |
+
|
99 |
+
def __repr__(self):
|
100 |
+
return "_Bunch({})".format(", ".join(f"{k}={repr(self.__dict__[k])}"
|
101 |
+
for k in self.__keys))
|
102 |
+
|
103 |
+
|
104 |
+
def quad_vec(f, a, b, epsabs=1e-200, epsrel=1e-8, norm='2', cache_size=100e6,
|
105 |
+
limit=10000, workers=1, points=None, quadrature=None, full_output=False,
|
106 |
+
*, args=()):
|
107 |
+
r"""Adaptive integration of a vector-valued function.
|
108 |
+
|
109 |
+
Parameters
|
110 |
+
----------
|
111 |
+
f : callable
|
112 |
+
Vector-valued function f(x) to integrate.
|
113 |
+
a : float
|
114 |
+
Initial point.
|
115 |
+
b : float
|
116 |
+
Final point.
|
117 |
+
epsabs : float, optional
|
118 |
+
Absolute tolerance.
|
119 |
+
epsrel : float, optional
|
120 |
+
Relative tolerance.
|
121 |
+
norm : {'max', '2'}, optional
|
122 |
+
Vector norm to use for error estimation.
|
123 |
+
cache_size : int, optional
|
124 |
+
Number of bytes to use for memoization.
|
125 |
+
limit : float or int, optional
|
126 |
+
An upper bound on the number of subintervals used in the adaptive
|
127 |
+
algorithm.
|
128 |
+
workers : int or map-like callable, optional
|
129 |
+
If `workers` is an integer, part of the computation is done in
|
130 |
+
parallel subdivided to this many tasks (using
|
131 |
+
:class:`python:multiprocessing.pool.Pool`).
|
132 |
+
Supply `-1` to use all cores available to the Process.
|
133 |
+
Alternatively, supply a map-like callable, such as
|
134 |
+
:meth:`python:multiprocessing.pool.Pool.map` for evaluating the
|
135 |
+
population in parallel.
|
136 |
+
This evaluation is carried out as ``workers(func, iterable)``.
|
137 |
+
points : list, optional
|
138 |
+
List of additional breakpoints.
|
139 |
+
quadrature : {'gk21', 'gk15', 'trapezoid'}, optional
|
140 |
+
Quadrature rule to use on subintervals.
|
141 |
+
Options: 'gk21' (Gauss-Kronrod 21-point rule),
|
142 |
+
'gk15' (Gauss-Kronrod 15-point rule),
|
143 |
+
'trapezoid' (composite trapezoid rule).
|
144 |
+
Default: 'gk21' for finite intervals and 'gk15' for (semi-)infinite
|
145 |
+
full_output : bool, optional
|
146 |
+
Return an additional ``info`` dictionary.
|
147 |
+
args : tuple, optional
|
148 |
+
Extra arguments to pass to function, if any.
|
149 |
+
|
150 |
+
.. versionadded:: 1.8.0
|
151 |
+
|
152 |
+
Returns
|
153 |
+
-------
|
154 |
+
res : {float, array-like}
|
155 |
+
Estimate for the result
|
156 |
+
err : float
|
157 |
+
Error estimate for the result in the given norm
|
158 |
+
info : dict
|
159 |
+
Returned only when ``full_output=True``.
|
160 |
+
Info dictionary. Is an object with the attributes:
|
161 |
+
|
162 |
+
success : bool
|
163 |
+
Whether integration reached target precision.
|
164 |
+
status : int
|
165 |
+
Indicator for convergence, success (0),
|
166 |
+
failure (1), and failure due to rounding error (2).
|
167 |
+
neval : int
|
168 |
+
Number of function evaluations.
|
169 |
+
intervals : ndarray, shape (num_intervals, 2)
|
170 |
+
Start and end points of subdivision intervals.
|
171 |
+
integrals : ndarray, shape (num_intervals, ...)
|
172 |
+
Integral for each interval.
|
173 |
+
Note that at most ``cache_size`` values are recorded,
|
174 |
+
and the array may contains *nan* for missing items.
|
175 |
+
errors : ndarray, shape (num_intervals,)
|
176 |
+
Estimated integration error for each interval.
|
177 |
+
|
178 |
+
Notes
|
179 |
+
-----
|
180 |
+
The algorithm mainly follows the implementation of QUADPACK's
|
181 |
+
DQAG* algorithms, implementing global error control and adaptive
|
182 |
+
subdivision.
|
183 |
+
|
184 |
+
The algorithm here has some differences to the QUADPACK approach:
|
185 |
+
|
186 |
+
Instead of subdividing one interval at a time, the algorithm
|
187 |
+
subdivides N intervals with largest errors at once. This enables
|
188 |
+
(partial) parallelization of the integration.
|
189 |
+
|
190 |
+
The logic of subdividing "next largest" intervals first is then
|
191 |
+
not implemented, and we rely on the above extension to avoid
|
192 |
+
concentrating on "small" intervals only.
|
193 |
+
|
194 |
+
The Wynn epsilon table extrapolation is not used (QUADPACK uses it
|
195 |
+
for infinite intervals). This is because the algorithm here is
|
196 |
+
supposed to work on vector-valued functions, in an user-specified
|
197 |
+
norm, and the extension of the epsilon algorithm to this case does
|
198 |
+
not appear to be widely agreed. For max-norm, using elementwise
|
199 |
+
Wynn epsilon could be possible, but we do not do this here with
|
200 |
+
the hope that the epsilon extrapolation is mainly useful in
|
201 |
+
special cases.
|
202 |
+
|
203 |
+
References
|
204 |
+
----------
|
205 |
+
[1] R. Piessens, E. de Doncker, QUADPACK (1983).
|
206 |
+
|
207 |
+
Examples
|
208 |
+
--------
|
209 |
+
We can compute integrations of a vector-valued function:
|
210 |
+
|
211 |
+
>>> from scipy.integrate import quad_vec
|
212 |
+
>>> import numpy as np
|
213 |
+
>>> import matplotlib.pyplot as plt
|
214 |
+
>>> alpha = np.linspace(0.0, 2.0, num=30)
|
215 |
+
>>> f = lambda x: x**alpha
|
216 |
+
>>> x0, x1 = 0, 2
|
217 |
+
>>> y, err = quad_vec(f, x0, x1)
|
218 |
+
>>> plt.plot(alpha, y)
|
219 |
+
>>> plt.xlabel(r"$\alpha$")
|
220 |
+
>>> plt.ylabel(r"$\int_{0}^{2} x^\alpha dx$")
|
221 |
+
>>> plt.show()
|
222 |
+
|
223 |
+
"""
|
224 |
+
a = float(a)
|
225 |
+
b = float(b)
|
226 |
+
|
227 |
+
if args:
|
228 |
+
if not isinstance(args, tuple):
|
229 |
+
args = (args,)
|
230 |
+
|
231 |
+
# create a wrapped function to allow the use of map and Pool.map
|
232 |
+
f = _FunctionWrapper(f, args)
|
233 |
+
|
234 |
+
# Use simple transformations to deal with integrals over infinite
|
235 |
+
# intervals.
|
236 |
+
kwargs = dict(epsabs=epsabs,
|
237 |
+
epsrel=epsrel,
|
238 |
+
norm=norm,
|
239 |
+
cache_size=cache_size,
|
240 |
+
limit=limit,
|
241 |
+
workers=workers,
|
242 |
+
points=points,
|
243 |
+
quadrature='gk15' if quadrature is None else quadrature,
|
244 |
+
full_output=full_output)
|
245 |
+
if np.isfinite(a) and np.isinf(b):
|
246 |
+
f2 = SemiInfiniteFunc(f, start=a, infty=b)
|
247 |
+
if points is not None:
|
248 |
+
kwargs['points'] = tuple(f2.get_t(xp) for xp in points)
|
249 |
+
return quad_vec(f2, 0, 1, **kwargs)
|
250 |
+
elif np.isfinite(b) and np.isinf(a):
|
251 |
+
f2 = SemiInfiniteFunc(f, start=b, infty=a)
|
252 |
+
if points is not None:
|
253 |
+
kwargs['points'] = tuple(f2.get_t(xp) for xp in points)
|
254 |
+
res = quad_vec(f2, 0, 1, **kwargs)
|
255 |
+
return (-res[0],) + res[1:]
|
256 |
+
elif np.isinf(a) and np.isinf(b):
|
257 |
+
sgn = -1 if b < a else 1
|
258 |
+
|
259 |
+
# NB. explicitly split integral at t=0, which separates
|
260 |
+
# the positive and negative sides
|
261 |
+
f2 = DoubleInfiniteFunc(f)
|
262 |
+
if points is not None:
|
263 |
+
kwargs['points'] = (0,) + tuple(f2.get_t(xp) for xp in points)
|
264 |
+
else:
|
265 |
+
kwargs['points'] = (0,)
|
266 |
+
|
267 |
+
if a != b:
|
268 |
+
res = quad_vec(f2, -1, 1, **kwargs)
|
269 |
+
else:
|
270 |
+
res = quad_vec(f2, 1, 1, **kwargs)
|
271 |
+
|
272 |
+
return (res[0]*sgn,) + res[1:]
|
273 |
+
elif not (np.isfinite(a) and np.isfinite(b)):
|
274 |
+
raise ValueError(f"invalid integration bounds a={a}, b={b}")
|
275 |
+
|
276 |
+
norm_funcs = {
|
277 |
+
None: _max_norm,
|
278 |
+
'max': _max_norm,
|
279 |
+
'2': np.linalg.norm
|
280 |
+
}
|
281 |
+
if callable(norm):
|
282 |
+
norm_func = norm
|
283 |
+
else:
|
284 |
+
norm_func = norm_funcs[norm]
|
285 |
+
|
286 |
+
parallel_count = 128
|
287 |
+
min_intervals = 2
|
288 |
+
|
289 |
+
try:
|
290 |
+
_quadrature = {None: _quadrature_gk21,
|
291 |
+
'gk21': _quadrature_gk21,
|
292 |
+
'gk15': _quadrature_gk15,
|
293 |
+
'trapz': _quadrature_trapezoid, # alias for backcompat
|
294 |
+
'trapezoid': _quadrature_trapezoid}[quadrature]
|
295 |
+
except KeyError as e:
|
296 |
+
raise ValueError(f"unknown quadrature {quadrature!r}") from e
|
297 |
+
|
298 |
+
# Initial interval set
|
299 |
+
if points is None:
|
300 |
+
initial_intervals = [(a, b)]
|
301 |
+
else:
|
302 |
+
prev = a
|
303 |
+
initial_intervals = []
|
304 |
+
for p in sorted(points):
|
305 |
+
p = float(p)
|
306 |
+
if not (a < p < b) or p == prev:
|
307 |
+
continue
|
308 |
+
initial_intervals.append((prev, p))
|
309 |
+
prev = p
|
310 |
+
initial_intervals.append((prev, b))
|
311 |
+
|
312 |
+
global_integral = None
|
313 |
+
global_error = None
|
314 |
+
rounding_error = None
|
315 |
+
interval_cache = None
|
316 |
+
intervals = []
|
317 |
+
neval = 0
|
318 |
+
|
319 |
+
for x1, x2 in initial_intervals:
|
320 |
+
ig, err, rnd = _quadrature(x1, x2, f, norm_func)
|
321 |
+
neval += _quadrature.num_eval
|
322 |
+
|
323 |
+
if global_integral is None:
|
324 |
+
if isinstance(ig, (float, complex)):
|
325 |
+
# Specialize for scalars
|
326 |
+
if norm_func in (_max_norm, np.linalg.norm):
|
327 |
+
norm_func = abs
|
328 |
+
|
329 |
+
global_integral = ig
|
330 |
+
global_error = float(err)
|
331 |
+
rounding_error = float(rnd)
|
332 |
+
|
333 |
+
cache_count = cache_size // _get_sizeof(ig)
|
334 |
+
interval_cache = LRUDict(cache_count)
|
335 |
+
else:
|
336 |
+
global_integral += ig
|
337 |
+
global_error += err
|
338 |
+
rounding_error += rnd
|
339 |
+
|
340 |
+
interval_cache[(x1, x2)] = copy.copy(ig)
|
341 |
+
intervals.append((-err, x1, x2))
|
342 |
+
|
343 |
+
heapq.heapify(intervals)
|
344 |
+
|
345 |
+
CONVERGED = 0
|
346 |
+
NOT_CONVERGED = 1
|
347 |
+
ROUNDING_ERROR = 2
|
348 |
+
NOT_A_NUMBER = 3
|
349 |
+
|
350 |
+
status_msg = {
|
351 |
+
CONVERGED: "Target precision reached.",
|
352 |
+
NOT_CONVERGED: "Target precision not reached.",
|
353 |
+
ROUNDING_ERROR: "Target precision could not be reached due to rounding error.",
|
354 |
+
NOT_A_NUMBER: "Non-finite values encountered."
|
355 |
+
}
|
356 |
+
|
357 |
+
# Process intervals
|
358 |
+
with MapWrapper(workers) as mapwrapper:
|
359 |
+
ier = NOT_CONVERGED
|
360 |
+
|
361 |
+
while intervals and len(intervals) < limit:
|
362 |
+
# Select intervals with largest errors for subdivision
|
363 |
+
tol = max(epsabs, epsrel*norm_func(global_integral))
|
364 |
+
|
365 |
+
to_process = []
|
366 |
+
err_sum = 0
|
367 |
+
|
368 |
+
for j in range(parallel_count):
|
369 |
+
if not intervals:
|
370 |
+
break
|
371 |
+
|
372 |
+
if j > 0 and err_sum > global_error - tol/8:
|
373 |
+
# avoid unnecessary parallel splitting
|
374 |
+
break
|
375 |
+
|
376 |
+
interval = heapq.heappop(intervals)
|
377 |
+
|
378 |
+
neg_old_err, a, b = interval
|
379 |
+
old_int = interval_cache.pop((a, b), None)
|
380 |
+
to_process.append(
|
381 |
+
((-neg_old_err, a, b, old_int), f, norm_func, _quadrature)
|
382 |
+
)
|
383 |
+
err_sum += -neg_old_err
|
384 |
+
|
385 |
+
# Subdivide intervals
|
386 |
+
for parts in mapwrapper(_subdivide_interval, to_process):
|
387 |
+
dint, derr, dround_err, subint, dneval = parts
|
388 |
+
neval += dneval
|
389 |
+
global_integral += dint
|
390 |
+
global_error += derr
|
391 |
+
rounding_error += dround_err
|
392 |
+
for x in subint:
|
393 |
+
x1, x2, ig, err = x
|
394 |
+
interval_cache[(x1, x2)] = ig
|
395 |
+
heapq.heappush(intervals, (-err, x1, x2))
|
396 |
+
|
397 |
+
# Termination check
|
398 |
+
if len(intervals) >= min_intervals:
|
399 |
+
tol = max(epsabs, epsrel*norm_func(global_integral))
|
400 |
+
if global_error < tol/8:
|
401 |
+
ier = CONVERGED
|
402 |
+
break
|
403 |
+
if global_error < rounding_error:
|
404 |
+
ier = ROUNDING_ERROR
|
405 |
+
break
|
406 |
+
|
407 |
+
if not (np.isfinite(global_error) and np.isfinite(rounding_error)):
|
408 |
+
ier = NOT_A_NUMBER
|
409 |
+
break
|
410 |
+
|
411 |
+
res = global_integral
|
412 |
+
err = global_error + rounding_error
|
413 |
+
|
414 |
+
if full_output:
|
415 |
+
res_arr = np.asarray(res)
|
416 |
+
dummy = np.full(res_arr.shape, np.nan, dtype=res_arr.dtype)
|
417 |
+
integrals = np.array([interval_cache.get((z[1], z[2]), dummy)
|
418 |
+
for z in intervals], dtype=res_arr.dtype)
|
419 |
+
errors = np.array([-z[0] for z in intervals])
|
420 |
+
intervals = np.array([[z[1], z[2]] for z in intervals])
|
421 |
+
|
422 |
+
info = _Bunch(neval=neval,
|
423 |
+
success=(ier == CONVERGED),
|
424 |
+
status=ier,
|
425 |
+
message=status_msg[ier],
|
426 |
+
intervals=intervals,
|
427 |
+
integrals=integrals,
|
428 |
+
errors=errors)
|
429 |
+
return (res, err, info)
|
430 |
+
else:
|
431 |
+
return (res, err)
|
432 |
+
|
433 |
+
|
434 |
+
def _subdivide_interval(args):
|
435 |
+
interval, f, norm_func, _quadrature = args
|
436 |
+
old_err, a, b, old_int = interval
|
437 |
+
|
438 |
+
c = 0.5 * (a + b)
|
439 |
+
|
440 |
+
# Left-hand side
|
441 |
+
if getattr(_quadrature, 'cache_size', 0) > 0:
|
442 |
+
f = functools.lru_cache(_quadrature.cache_size)(f)
|
443 |
+
|
444 |
+
s1, err1, round1 = _quadrature(a, c, f, norm_func)
|
445 |
+
dneval = _quadrature.num_eval
|
446 |
+
s2, err2, round2 = _quadrature(c, b, f, norm_func)
|
447 |
+
dneval += _quadrature.num_eval
|
448 |
+
if old_int is None:
|
449 |
+
old_int, _, _ = _quadrature(a, b, f, norm_func)
|
450 |
+
dneval += _quadrature.num_eval
|
451 |
+
|
452 |
+
if getattr(_quadrature, 'cache_size', 0) > 0:
|
453 |
+
dneval = f.cache_info().misses
|
454 |
+
|
455 |
+
dint = s1 + s2 - old_int
|
456 |
+
derr = err1 + err2 - old_err
|
457 |
+
dround_err = round1 + round2
|
458 |
+
|
459 |
+
subintervals = ((a, c, s1, err1), (c, b, s2, err2))
|
460 |
+
return dint, derr, dround_err, subintervals, dneval
|
461 |
+
|
462 |
+
|
463 |
+
def _quadrature_trapezoid(x1, x2, f, norm_func):
|
464 |
+
"""
|
465 |
+
Composite trapezoid quadrature
|
466 |
+
"""
|
467 |
+
x3 = 0.5*(x1 + x2)
|
468 |
+
f1 = f(x1)
|
469 |
+
f2 = f(x2)
|
470 |
+
f3 = f(x3)
|
471 |
+
|
472 |
+
s2 = 0.25 * (x2 - x1) * (f1 + 2*f3 + f2)
|
473 |
+
|
474 |
+
round_err = 0.25 * abs(x2 - x1) * (float(norm_func(f1))
|
475 |
+
+ 2*float(norm_func(f3))
|
476 |
+
+ float(norm_func(f2))) * 2e-16
|
477 |
+
|
478 |
+
s1 = 0.5 * (x2 - x1) * (f1 + f2)
|
479 |
+
err = 1/3 * float(norm_func(s1 - s2))
|
480 |
+
return s2, err, round_err
|
481 |
+
|
482 |
+
|
483 |
+
_quadrature_trapezoid.cache_size = 3 * 3
|
484 |
+
_quadrature_trapezoid.num_eval = 3
|
485 |
+
|
486 |
+
|
487 |
+
def _quadrature_gk(a, b, f, norm_func, x, w, v):
|
488 |
+
"""
|
489 |
+
Generic Gauss-Kronrod quadrature
|
490 |
+
"""
|
491 |
+
|
492 |
+
fv = [0.0]*len(x)
|
493 |
+
|
494 |
+
c = 0.5 * (a + b)
|
495 |
+
h = 0.5 * (b - a)
|
496 |
+
|
497 |
+
# Gauss-Kronrod
|
498 |
+
s_k = 0.0
|
499 |
+
s_k_abs = 0.0
|
500 |
+
for i in range(len(x)):
|
501 |
+
ff = f(c + h*x[i])
|
502 |
+
fv[i] = ff
|
503 |
+
|
504 |
+
vv = v[i]
|
505 |
+
|
506 |
+
# \int f(x)
|
507 |
+
s_k += vv * ff
|
508 |
+
# \int |f(x)|
|
509 |
+
s_k_abs += vv * abs(ff)
|
510 |
+
|
511 |
+
# Gauss
|
512 |
+
s_g = 0.0
|
513 |
+
for i in range(len(w)):
|
514 |
+
s_g += w[i] * fv[2*i + 1]
|
515 |
+
|
516 |
+
# Quadrature of abs-deviation from average
|
517 |
+
s_k_dabs = 0.0
|
518 |
+
y0 = s_k / 2.0
|
519 |
+
for i in range(len(x)):
|
520 |
+
# \int |f(x) - y0|
|
521 |
+
s_k_dabs += v[i] * abs(fv[i] - y0)
|
522 |
+
|
523 |
+
# Use similar error estimation as quadpack
|
524 |
+
err = float(norm_func((s_k - s_g) * h))
|
525 |
+
dabs = float(norm_func(s_k_dabs * h))
|
526 |
+
if dabs != 0 and err != 0:
|
527 |
+
err = dabs * min(1.0, (200 * err / dabs)**1.5)
|
528 |
+
|
529 |
+
eps = sys.float_info.epsilon
|
530 |
+
round_err = float(norm_func(50 * eps * h * s_k_abs))
|
531 |
+
|
532 |
+
if round_err > sys.float_info.min:
|
533 |
+
err = max(err, round_err)
|
534 |
+
|
535 |
+
return h * s_k, err, round_err
|
536 |
+
|
537 |
+
|
538 |
+
def _quadrature_gk21(a, b, f, norm_func):
|
539 |
+
"""
|
540 |
+
Gauss-Kronrod 21 quadrature with error estimate
|
541 |
+
"""
|
542 |
+
# Gauss-Kronrod points
|
543 |
+
x = (0.995657163025808080735527280689003,
|
544 |
+
0.973906528517171720077964012084452,
|
545 |
+
0.930157491355708226001207180059508,
|
546 |
+
0.865063366688984510732096688423493,
|
547 |
+
0.780817726586416897063717578345042,
|
548 |
+
0.679409568299024406234327365114874,
|
549 |
+
0.562757134668604683339000099272694,
|
550 |
+
0.433395394129247190799265943165784,
|
551 |
+
0.294392862701460198131126603103866,
|
552 |
+
0.148874338981631210884826001129720,
|
553 |
+
0,
|
554 |
+
-0.148874338981631210884826001129720,
|
555 |
+
-0.294392862701460198131126603103866,
|
556 |
+
-0.433395394129247190799265943165784,
|
557 |
+
-0.562757134668604683339000099272694,
|
558 |
+
-0.679409568299024406234327365114874,
|
559 |
+
-0.780817726586416897063717578345042,
|
560 |
+
-0.865063366688984510732096688423493,
|
561 |
+
-0.930157491355708226001207180059508,
|
562 |
+
-0.973906528517171720077964012084452,
|
563 |
+
-0.995657163025808080735527280689003)
|
564 |
+
|
565 |
+
# 10-point weights
|
566 |
+
w = (0.066671344308688137593568809893332,
|
567 |
+
0.149451349150580593145776339657697,
|
568 |
+
0.219086362515982043995534934228163,
|
569 |
+
0.269266719309996355091226921569469,
|
570 |
+
0.295524224714752870173892994651338,
|
571 |
+
0.295524224714752870173892994651338,
|
572 |
+
0.269266719309996355091226921569469,
|
573 |
+
0.219086362515982043995534934228163,
|
574 |
+
0.149451349150580593145776339657697,
|
575 |
+
0.066671344308688137593568809893332)
|
576 |
+
|
577 |
+
# 21-point weights
|
578 |
+
v = (0.011694638867371874278064396062192,
|
579 |
+
0.032558162307964727478818972459390,
|
580 |
+
0.054755896574351996031381300244580,
|
581 |
+
0.075039674810919952767043140916190,
|
582 |
+
0.093125454583697605535065465083366,
|
583 |
+
0.109387158802297641899210590325805,
|
584 |
+
0.123491976262065851077958109831074,
|
585 |
+
0.134709217311473325928054001771707,
|
586 |
+
0.142775938577060080797094273138717,
|
587 |
+
0.147739104901338491374841515972068,
|
588 |
+
0.149445554002916905664936468389821,
|
589 |
+
0.147739104901338491374841515972068,
|
590 |
+
0.142775938577060080797094273138717,
|
591 |
+
0.134709217311473325928054001771707,
|
592 |
+
0.123491976262065851077958109831074,
|
593 |
+
0.109387158802297641899210590325805,
|
594 |
+
0.093125454583697605535065465083366,
|
595 |
+
0.075039674810919952767043140916190,
|
596 |
+
0.054755896574351996031381300244580,
|
597 |
+
0.032558162307964727478818972459390,
|
598 |
+
0.011694638867371874278064396062192)
|
599 |
+
|
600 |
+
return _quadrature_gk(a, b, f, norm_func, x, w, v)
|
601 |
+
|
602 |
+
|
603 |
+
_quadrature_gk21.num_eval = 21
|
604 |
+
|
605 |
+
|
606 |
+
def _quadrature_gk15(a, b, f, norm_func):
|
607 |
+
"""
|
608 |
+
Gauss-Kronrod 15 quadrature with error estimate
|
609 |
+
"""
|
610 |
+
# Gauss-Kronrod points
|
611 |
+
x = (0.991455371120812639206854697526329,
|
612 |
+
0.949107912342758524526189684047851,
|
613 |
+
0.864864423359769072789712788640926,
|
614 |
+
0.741531185599394439863864773280788,
|
615 |
+
0.586087235467691130294144838258730,
|
616 |
+
0.405845151377397166906606412076961,
|
617 |
+
0.207784955007898467600689403773245,
|
618 |
+
0.000000000000000000000000000000000,
|
619 |
+
-0.207784955007898467600689403773245,
|
620 |
+
-0.405845151377397166906606412076961,
|
621 |
+
-0.586087235467691130294144838258730,
|
622 |
+
-0.741531185599394439863864773280788,
|
623 |
+
-0.864864423359769072789712788640926,
|
624 |
+
-0.949107912342758524526189684047851,
|
625 |
+
-0.991455371120812639206854697526329)
|
626 |
+
|
627 |
+
# 7-point weights
|
628 |
+
w = (0.129484966168869693270611432679082,
|
629 |
+
0.279705391489276667901467771423780,
|
630 |
+
0.381830050505118944950369775488975,
|
631 |
+
0.417959183673469387755102040816327,
|
632 |
+
0.381830050505118944950369775488975,
|
633 |
+
0.279705391489276667901467771423780,
|
634 |
+
0.129484966168869693270611432679082)
|
635 |
+
|
636 |
+
# 15-point weights
|
637 |
+
v = (0.022935322010529224963732008058970,
|
638 |
+
0.063092092629978553290700663189204,
|
639 |
+
0.104790010322250183839876322541518,
|
640 |
+
0.140653259715525918745189590510238,
|
641 |
+
0.169004726639267902826583426598550,
|
642 |
+
0.190350578064785409913256402421014,
|
643 |
+
0.204432940075298892414161999234649,
|
644 |
+
0.209482141084727828012999174891714,
|
645 |
+
0.204432940075298892414161999234649,
|
646 |
+
0.190350578064785409913256402421014,
|
647 |
+
0.169004726639267902826583426598550,
|
648 |
+
0.140653259715525918745189590510238,
|
649 |
+
0.104790010322250183839876322541518,
|
650 |
+
0.063092092629978553290700663189204,
|
651 |
+
0.022935322010529224963732008058970)
|
652 |
+
|
653 |
+
return _quadrature_gk(a, b, f, norm_func, x, w, v)
|
654 |
+
|
655 |
+
|
656 |
+
_quadrature_gk15.num_eval = 15
|
venv/lib/python3.10/site-packages/scipy/integrate/_quadpack.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (116 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_quadpack_py.py
ADDED
@@ -0,0 +1,1291 @@
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|
1 |
+
# Author: Travis Oliphant 2001
|
2 |
+
# Author: Nathan Woods 2013 (nquad &c)
|
3 |
+
import sys
|
4 |
+
import warnings
|
5 |
+
from functools import partial
|
6 |
+
|
7 |
+
from . import _quadpack
|
8 |
+
import numpy as np
|
9 |
+
|
10 |
+
__all__ = ["quad", "dblquad", "tplquad", "nquad", "IntegrationWarning"]
|
11 |
+
|
12 |
+
|
13 |
+
error = _quadpack.error
|
14 |
+
|
15 |
+
class IntegrationWarning(UserWarning):
|
16 |
+
"""
|
17 |
+
Warning on issues during integration.
|
18 |
+
"""
|
19 |
+
pass
|
20 |
+
|
21 |
+
|
22 |
+
def quad(func, a, b, args=(), full_output=0, epsabs=1.49e-8, epsrel=1.49e-8,
|
23 |
+
limit=50, points=None, weight=None, wvar=None, wopts=None, maxp1=50,
|
24 |
+
limlst=50, complex_func=False):
|
25 |
+
"""
|
26 |
+
Compute a definite integral.
|
27 |
+
|
28 |
+
Integrate func from `a` to `b` (possibly infinite interval) using a
|
29 |
+
technique from the Fortran library QUADPACK.
|
30 |
+
|
31 |
+
Parameters
|
32 |
+
----------
|
33 |
+
func : {function, scipy.LowLevelCallable}
|
34 |
+
A Python function or method to integrate. If `func` takes many
|
35 |
+
arguments, it is integrated along the axis corresponding to the
|
36 |
+
first argument.
|
37 |
+
|
38 |
+
If the user desires improved integration performance, then `f` may
|
39 |
+
be a `scipy.LowLevelCallable` with one of the signatures::
|
40 |
+
|
41 |
+
double func(double x)
|
42 |
+
double func(double x, void *user_data)
|
43 |
+
double func(int n, double *xx)
|
44 |
+
double func(int n, double *xx, void *user_data)
|
45 |
+
|
46 |
+
The ``user_data`` is the data contained in the `scipy.LowLevelCallable`.
|
47 |
+
In the call forms with ``xx``, ``n`` is the length of the ``xx``
|
48 |
+
array which contains ``xx[0] == x`` and the rest of the items are
|
49 |
+
numbers contained in the ``args`` argument of quad.
|
50 |
+
|
51 |
+
In addition, certain ctypes call signatures are supported for
|
52 |
+
backward compatibility, but those should not be used in new code.
|
53 |
+
a : float
|
54 |
+
Lower limit of integration (use -numpy.inf for -infinity).
|
55 |
+
b : float
|
56 |
+
Upper limit of integration (use numpy.inf for +infinity).
|
57 |
+
args : tuple, optional
|
58 |
+
Extra arguments to pass to `func`.
|
59 |
+
full_output : int, optional
|
60 |
+
Non-zero to return a dictionary of integration information.
|
61 |
+
If non-zero, warning messages are also suppressed and the
|
62 |
+
message is appended to the output tuple.
|
63 |
+
complex_func : bool, optional
|
64 |
+
Indicate if the function's (`func`) return type is real
|
65 |
+
(``complex_func=False``: default) or complex (``complex_func=True``).
|
66 |
+
In both cases, the function's argument is real.
|
67 |
+
If full_output is also non-zero, the `infodict`, `message`, and
|
68 |
+
`explain` for the real and complex components are returned in
|
69 |
+
a dictionary with keys "real output" and "imag output".
|
70 |
+
|
71 |
+
Returns
|
72 |
+
-------
|
73 |
+
y : float
|
74 |
+
The integral of func from `a` to `b`.
|
75 |
+
abserr : float
|
76 |
+
An estimate of the absolute error in the result.
|
77 |
+
infodict : dict
|
78 |
+
A dictionary containing additional information.
|
79 |
+
message
|
80 |
+
A convergence message.
|
81 |
+
explain
|
82 |
+
Appended only with 'cos' or 'sin' weighting and infinite
|
83 |
+
integration limits, it contains an explanation of the codes in
|
84 |
+
infodict['ierlst']
|
85 |
+
|
86 |
+
Other Parameters
|
87 |
+
----------------
|
88 |
+
epsabs : float or int, optional
|
89 |
+
Absolute error tolerance. Default is 1.49e-8. `quad` tries to obtain
|
90 |
+
an accuracy of ``abs(i-result) <= max(epsabs, epsrel*abs(i))``
|
91 |
+
where ``i`` = integral of `func` from `a` to `b`, and ``result`` is the
|
92 |
+
numerical approximation. See `epsrel` below.
|
93 |
+
epsrel : float or int, optional
|
94 |
+
Relative error tolerance. Default is 1.49e-8.
|
95 |
+
If ``epsabs <= 0``, `epsrel` must be greater than both 5e-29
|
96 |
+
and ``50 * (machine epsilon)``. See `epsabs` above.
|
97 |
+
limit : float or int, optional
|
98 |
+
An upper bound on the number of subintervals used in the adaptive
|
99 |
+
algorithm.
|
100 |
+
points : (sequence of floats,ints), optional
|
101 |
+
A sequence of break points in the bounded integration interval
|
102 |
+
where local difficulties of the integrand may occur (e.g.,
|
103 |
+
singularities, discontinuities). The sequence does not have
|
104 |
+
to be sorted. Note that this option cannot be used in conjunction
|
105 |
+
with ``weight``.
|
106 |
+
weight : float or int, optional
|
107 |
+
String indicating weighting function. Full explanation for this
|
108 |
+
and the remaining arguments can be found below.
|
109 |
+
wvar : optional
|
110 |
+
Variables for use with weighting functions.
|
111 |
+
wopts : optional
|
112 |
+
Optional input for reusing Chebyshev moments.
|
113 |
+
maxp1 : float or int, optional
|
114 |
+
An upper bound on the number of Chebyshev moments.
|
115 |
+
limlst : int, optional
|
116 |
+
Upper bound on the number of cycles (>=3) for use with a sinusoidal
|
117 |
+
weighting and an infinite end-point.
|
118 |
+
|
119 |
+
See Also
|
120 |
+
--------
|
121 |
+
dblquad : double integral
|
122 |
+
tplquad : triple integral
|
123 |
+
nquad : n-dimensional integrals (uses `quad` recursively)
|
124 |
+
fixed_quad : fixed-order Gaussian quadrature
|
125 |
+
quadrature : adaptive Gaussian quadrature
|
126 |
+
odeint : ODE integrator
|
127 |
+
ode : ODE integrator
|
128 |
+
simpson : integrator for sampled data
|
129 |
+
romb : integrator for sampled data
|
130 |
+
scipy.special : for coefficients and roots of orthogonal polynomials
|
131 |
+
|
132 |
+
Notes
|
133 |
+
-----
|
134 |
+
For valid results, the integral must converge; behavior for divergent
|
135 |
+
integrals is not guaranteed.
|
136 |
+
|
137 |
+
**Extra information for quad() inputs and outputs**
|
138 |
+
|
139 |
+
If full_output is non-zero, then the third output argument
|
140 |
+
(infodict) is a dictionary with entries as tabulated below. For
|
141 |
+
infinite limits, the range is transformed to (0,1) and the
|
142 |
+
optional outputs are given with respect to this transformed range.
|
143 |
+
Let M be the input argument limit and let K be infodict['last'].
|
144 |
+
The entries are:
|
145 |
+
|
146 |
+
'neval'
|
147 |
+
The number of function evaluations.
|
148 |
+
'last'
|
149 |
+
The number, K, of subintervals produced in the subdivision process.
|
150 |
+
'alist'
|
151 |
+
A rank-1 array of length M, the first K elements of which are the
|
152 |
+
left end points of the subintervals in the partition of the
|
153 |
+
integration range.
|
154 |
+
'blist'
|
155 |
+
A rank-1 array of length M, the first K elements of which are the
|
156 |
+
right end points of the subintervals.
|
157 |
+
'rlist'
|
158 |
+
A rank-1 array of length M, the first K elements of which are the
|
159 |
+
integral approximations on the subintervals.
|
160 |
+
'elist'
|
161 |
+
A rank-1 array of length M, the first K elements of which are the
|
162 |
+
moduli of the absolute error estimates on the subintervals.
|
163 |
+
'iord'
|
164 |
+
A rank-1 integer array of length M, the first L elements of
|
165 |
+
which are pointers to the error estimates over the subintervals
|
166 |
+
with ``L=K`` if ``K<=M/2+2`` or ``L=M+1-K`` otherwise. Let I be the
|
167 |
+
sequence ``infodict['iord']`` and let E be the sequence
|
168 |
+
``infodict['elist']``. Then ``E[I[1]], ..., E[I[L]]`` forms a
|
169 |
+
decreasing sequence.
|
170 |
+
|
171 |
+
If the input argument points is provided (i.e., it is not None),
|
172 |
+
the following additional outputs are placed in the output
|
173 |
+
dictionary. Assume the points sequence is of length P.
|
174 |
+
|
175 |
+
'pts'
|
176 |
+
A rank-1 array of length P+2 containing the integration limits
|
177 |
+
and the break points of the intervals in ascending order.
|
178 |
+
This is an array giving the subintervals over which integration
|
179 |
+
will occur.
|
180 |
+
'level'
|
181 |
+
A rank-1 integer array of length M (=limit), containing the
|
182 |
+
subdivision levels of the subintervals, i.e., if (aa,bb) is a
|
183 |
+
subinterval of ``(pts[1], pts[2])`` where ``pts[0]`` and ``pts[2]``
|
184 |
+
are adjacent elements of ``infodict['pts']``, then (aa,bb) has level l
|
185 |
+
if ``|bb-aa| = |pts[2]-pts[1]| * 2**(-l)``.
|
186 |
+
'ndin'
|
187 |
+
A rank-1 integer array of length P+2. After the first integration
|
188 |
+
over the intervals (pts[1], pts[2]), the error estimates over some
|
189 |
+
of the intervals may have been increased artificially in order to
|
190 |
+
put their subdivision forward. This array has ones in slots
|
191 |
+
corresponding to the subintervals for which this happens.
|
192 |
+
|
193 |
+
**Weighting the integrand**
|
194 |
+
|
195 |
+
The input variables, *weight* and *wvar*, are used to weight the
|
196 |
+
integrand by a select list of functions. Different integration
|
197 |
+
methods are used to compute the integral with these weighting
|
198 |
+
functions, and these do not support specifying break points. The
|
199 |
+
possible values of weight and the corresponding weighting functions are.
|
200 |
+
|
201 |
+
========== =================================== =====================
|
202 |
+
``weight`` Weight function used ``wvar``
|
203 |
+
========== =================================== =====================
|
204 |
+
'cos' cos(w*x) wvar = w
|
205 |
+
'sin' sin(w*x) wvar = w
|
206 |
+
'alg' g(x) = ((x-a)**alpha)*((b-x)**beta) wvar = (alpha, beta)
|
207 |
+
'alg-loga' g(x)*log(x-a) wvar = (alpha, beta)
|
208 |
+
'alg-logb' g(x)*log(b-x) wvar = (alpha, beta)
|
209 |
+
'alg-log' g(x)*log(x-a)*log(b-x) wvar = (alpha, beta)
|
210 |
+
'cauchy' 1/(x-c) wvar = c
|
211 |
+
========== =================================== =====================
|
212 |
+
|
213 |
+
wvar holds the parameter w, (alpha, beta), or c depending on the weight
|
214 |
+
selected. In these expressions, a and b are the integration limits.
|
215 |
+
|
216 |
+
For the 'cos' and 'sin' weighting, additional inputs and outputs are
|
217 |
+
available.
|
218 |
+
|
219 |
+
For finite integration limits, the integration is performed using a
|
220 |
+
Clenshaw-Curtis method which uses Chebyshev moments. For repeated
|
221 |
+
calculations, these moments are saved in the output dictionary:
|
222 |
+
|
223 |
+
'momcom'
|
224 |
+
The maximum level of Chebyshev moments that have been computed,
|
225 |
+
i.e., if ``M_c`` is ``infodict['momcom']`` then the moments have been
|
226 |
+
computed for intervals of length ``|b-a| * 2**(-l)``,
|
227 |
+
``l=0,1,...,M_c``.
|
228 |
+
'nnlog'
|
229 |
+
A rank-1 integer array of length M(=limit), containing the
|
230 |
+
subdivision levels of the subintervals, i.e., an element of this
|
231 |
+
array is equal to l if the corresponding subinterval is
|
232 |
+
``|b-a|* 2**(-l)``.
|
233 |
+
'chebmo'
|
234 |
+
A rank-2 array of shape (25, maxp1) containing the computed
|
235 |
+
Chebyshev moments. These can be passed on to an integration
|
236 |
+
over the same interval by passing this array as the second
|
237 |
+
element of the sequence wopts and passing infodict['momcom'] as
|
238 |
+
the first element.
|
239 |
+
|
240 |
+
If one of the integration limits is infinite, then a Fourier integral is
|
241 |
+
computed (assuming w neq 0). If full_output is 1 and a numerical error
|
242 |
+
is encountered, besides the error message attached to the output tuple,
|
243 |
+
a dictionary is also appended to the output tuple which translates the
|
244 |
+
error codes in the array ``info['ierlst']`` to English messages. The
|
245 |
+
output information dictionary contains the following entries instead of
|
246 |
+
'last', 'alist', 'blist', 'rlist', and 'elist':
|
247 |
+
|
248 |
+
'lst'
|
249 |
+
The number of subintervals needed for the integration (call it ``K_f``).
|
250 |
+
'rslst'
|
251 |
+
A rank-1 array of length M_f=limlst, whose first ``K_f`` elements
|
252 |
+
contain the integral contribution over the interval
|
253 |
+
``(a+(k-1)c, a+kc)`` where ``c = (2*floor(|w|) + 1) * pi / |w|``
|
254 |
+
and ``k=1,2,...,K_f``.
|
255 |
+
'erlst'
|
256 |
+
A rank-1 array of length ``M_f`` containing the error estimate
|
257 |
+
corresponding to the interval in the same position in
|
258 |
+
``infodict['rslist']``.
|
259 |
+
'ierlst'
|
260 |
+
A rank-1 integer array of length ``M_f`` containing an error flag
|
261 |
+
corresponding to the interval in the same position in
|
262 |
+
``infodict['rslist']``. See the explanation dictionary (last entry
|
263 |
+
in the output tuple) for the meaning of the codes.
|
264 |
+
|
265 |
+
|
266 |
+
**Details of QUADPACK level routines**
|
267 |
+
|
268 |
+
`quad` calls routines from the FORTRAN library QUADPACK. This section
|
269 |
+
provides details on the conditions for each routine to be called and a
|
270 |
+
short description of each routine. The routine called depends on
|
271 |
+
`weight`, `points` and the integration limits `a` and `b`.
|
272 |
+
|
273 |
+
================ ============== ========== =====================
|
274 |
+
QUADPACK routine `weight` `points` infinite bounds
|
275 |
+
================ ============== ========== =====================
|
276 |
+
qagse None No No
|
277 |
+
qagie None No Yes
|
278 |
+
qagpe None Yes No
|
279 |
+
qawoe 'sin', 'cos' No No
|
280 |
+
qawfe 'sin', 'cos' No either `a` or `b`
|
281 |
+
qawse 'alg*' No No
|
282 |
+
qawce 'cauchy' No No
|
283 |
+
================ ============== ========== =====================
|
284 |
+
|
285 |
+
The following provides a short description from [1]_ for each
|
286 |
+
routine.
|
287 |
+
|
288 |
+
qagse
|
289 |
+
is an integrator based on globally adaptive interval
|
290 |
+
subdivision in connection with extrapolation, which will
|
291 |
+
eliminate the effects of integrand singularities of
|
292 |
+
several types.
|
293 |
+
qagie
|
294 |
+
handles integration over infinite intervals. The infinite range is
|
295 |
+
mapped onto a finite interval and subsequently the same strategy as
|
296 |
+
in ``QAGS`` is applied.
|
297 |
+
qagpe
|
298 |
+
serves the same purposes as QAGS, but also allows the
|
299 |
+
user to provide explicit information about the location
|
300 |
+
and type of trouble-spots i.e. the abscissae of internal
|
301 |
+
singularities, discontinuities and other difficulties of
|
302 |
+
the integrand function.
|
303 |
+
qawoe
|
304 |
+
is an integrator for the evaluation of
|
305 |
+
:math:`\\int^b_a \\cos(\\omega x)f(x)dx` or
|
306 |
+
:math:`\\int^b_a \\sin(\\omega x)f(x)dx`
|
307 |
+
over a finite interval [a,b], where :math:`\\omega` and :math:`f`
|
308 |
+
are specified by the user. The rule evaluation component is based
|
309 |
+
on the modified Clenshaw-Curtis technique
|
310 |
+
|
311 |
+
An adaptive subdivision scheme is used in connection
|
312 |
+
with an extrapolation procedure, which is a modification
|
313 |
+
of that in ``QAGS`` and allows the algorithm to deal with
|
314 |
+
singularities in :math:`f(x)`.
|
315 |
+
qawfe
|
316 |
+
calculates the Fourier transform
|
317 |
+
:math:`\\int^\\infty_a \\cos(\\omega x)f(x)dx` or
|
318 |
+
:math:`\\int^\\infty_a \\sin(\\omega x)f(x)dx`
|
319 |
+
for user-provided :math:`\\omega` and :math:`f`. The procedure of
|
320 |
+
``QAWO`` is applied on successive finite intervals, and convergence
|
321 |
+
acceleration by means of the :math:`\\varepsilon`-algorithm is applied
|
322 |
+
to the series of integral approximations.
|
323 |
+
qawse
|
324 |
+
approximate :math:`\\int^b_a w(x)f(x)dx`, with :math:`a < b` where
|
325 |
+
:math:`w(x) = (x-a)^{\\alpha}(b-x)^{\\beta}v(x)` with
|
326 |
+
:math:`\\alpha,\\beta > -1`, where :math:`v(x)` may be one of the
|
327 |
+
following functions: :math:`1`, :math:`\\log(x-a)`, :math:`\\log(b-x)`,
|
328 |
+
:math:`\\log(x-a)\\log(b-x)`.
|
329 |
+
|
330 |
+
The user specifies :math:`\\alpha`, :math:`\\beta` and the type of the
|
331 |
+
function :math:`v`. A globally adaptive subdivision strategy is
|
332 |
+
applied, with modified Clenshaw-Curtis integration on those
|
333 |
+
subintervals which contain `a` or `b`.
|
334 |
+
qawce
|
335 |
+
compute :math:`\\int^b_a f(x) / (x-c)dx` where the integral must be
|
336 |
+
interpreted as a Cauchy principal value integral, for user specified
|
337 |
+
:math:`c` and :math:`f`. The strategy is globally adaptive. Modified
|
338 |
+
Clenshaw-Curtis integration is used on those intervals containing the
|
339 |
+
point :math:`x = c`.
|
340 |
+
|
341 |
+
**Integration of Complex Function of a Real Variable**
|
342 |
+
|
343 |
+
A complex valued function, :math:`f`, of a real variable can be written as
|
344 |
+
:math:`f = g + ih`. Similarly, the integral of :math:`f` can be
|
345 |
+
written as
|
346 |
+
|
347 |
+
.. math::
|
348 |
+
\\int_a^b f(x) dx = \\int_a^b g(x) dx + i\\int_a^b h(x) dx
|
349 |
+
|
350 |
+
assuming that the integrals of :math:`g` and :math:`h` exist
|
351 |
+
over the interval :math:`[a,b]` [2]_. Therefore, ``quad`` integrates
|
352 |
+
complex-valued functions by integrating the real and imaginary components
|
353 |
+
separately.
|
354 |
+
|
355 |
+
|
356 |
+
References
|
357 |
+
----------
|
358 |
+
|
359 |
+
.. [1] Piessens, Robert; de Doncker-Kapenga, Elise;
|
360 |
+
Überhuber, Christoph W.; Kahaner, David (1983).
|
361 |
+
QUADPACK: A subroutine package for automatic integration.
|
362 |
+
Springer-Verlag.
|
363 |
+
ISBN 978-3-540-12553-2.
|
364 |
+
|
365 |
+
.. [2] McCullough, Thomas; Phillips, Keith (1973).
|
366 |
+
Foundations of Analysis in the Complex Plane.
|
367 |
+
Holt Rinehart Winston.
|
368 |
+
ISBN 0-03-086370-8
|
369 |
+
|
370 |
+
Examples
|
371 |
+
--------
|
372 |
+
Calculate :math:`\\int^4_0 x^2 dx` and compare with an analytic result
|
373 |
+
|
374 |
+
>>> from scipy import integrate
|
375 |
+
>>> import numpy as np
|
376 |
+
>>> x2 = lambda x: x**2
|
377 |
+
>>> integrate.quad(x2, 0, 4)
|
378 |
+
(21.333333333333332, 2.3684757858670003e-13)
|
379 |
+
>>> print(4**3 / 3.) # analytical result
|
380 |
+
21.3333333333
|
381 |
+
|
382 |
+
Calculate :math:`\\int^\\infty_0 e^{-x} dx`
|
383 |
+
|
384 |
+
>>> invexp = lambda x: np.exp(-x)
|
385 |
+
>>> integrate.quad(invexp, 0, np.inf)
|
386 |
+
(1.0, 5.842605999138044e-11)
|
387 |
+
|
388 |
+
Calculate :math:`\\int^1_0 a x \\,dx` for :math:`a = 1, 3`
|
389 |
+
|
390 |
+
>>> f = lambda x, a: a*x
|
391 |
+
>>> y, err = integrate.quad(f, 0, 1, args=(1,))
|
392 |
+
>>> y
|
393 |
+
0.5
|
394 |
+
>>> y, err = integrate.quad(f, 0, 1, args=(3,))
|
395 |
+
>>> y
|
396 |
+
1.5
|
397 |
+
|
398 |
+
Calculate :math:`\\int^1_0 x^2 + y^2 dx` with ctypes, holding
|
399 |
+
y parameter as 1::
|
400 |
+
|
401 |
+
testlib.c =>
|
402 |
+
double func(int n, double args[n]){
|
403 |
+
return args[0]*args[0] + args[1]*args[1];}
|
404 |
+
compile to library testlib.*
|
405 |
+
|
406 |
+
::
|
407 |
+
|
408 |
+
from scipy import integrate
|
409 |
+
import ctypes
|
410 |
+
lib = ctypes.CDLL('/home/.../testlib.*') #use absolute path
|
411 |
+
lib.func.restype = ctypes.c_double
|
412 |
+
lib.func.argtypes = (ctypes.c_int,ctypes.c_double)
|
413 |
+
integrate.quad(lib.func,0,1,(1))
|
414 |
+
#(1.3333333333333333, 1.4802973661668752e-14)
|
415 |
+
print((1.0**3/3.0 + 1.0) - (0.0**3/3.0 + 0.0)) #Analytic result
|
416 |
+
# 1.3333333333333333
|
417 |
+
|
418 |
+
Be aware that pulse shapes and other sharp features as compared to the
|
419 |
+
size of the integration interval may not be integrated correctly using
|
420 |
+
this method. A simplified example of this limitation is integrating a
|
421 |
+
y-axis reflected step function with many zero values within the integrals
|
422 |
+
bounds.
|
423 |
+
|
424 |
+
>>> y = lambda x: 1 if x<=0 else 0
|
425 |
+
>>> integrate.quad(y, -1, 1)
|
426 |
+
(1.0, 1.1102230246251565e-14)
|
427 |
+
>>> integrate.quad(y, -1, 100)
|
428 |
+
(1.0000000002199108, 1.0189464580163188e-08)
|
429 |
+
>>> integrate.quad(y, -1, 10000)
|
430 |
+
(0.0, 0.0)
|
431 |
+
|
432 |
+
"""
|
433 |
+
if not isinstance(args, tuple):
|
434 |
+
args = (args,)
|
435 |
+
|
436 |
+
# check the limits of integration: \int_a^b, expect a < b
|
437 |
+
flip, a, b = b < a, min(a, b), max(a, b)
|
438 |
+
|
439 |
+
if complex_func:
|
440 |
+
def imfunc(x, *args):
|
441 |
+
return func(x, *args).imag
|
442 |
+
|
443 |
+
def refunc(x, *args):
|
444 |
+
return func(x, *args).real
|
445 |
+
|
446 |
+
re_retval = quad(refunc, a, b, args, full_output, epsabs,
|
447 |
+
epsrel, limit, points, weight, wvar, wopts,
|
448 |
+
maxp1, limlst, complex_func=False)
|
449 |
+
im_retval = quad(imfunc, a, b, args, full_output, epsabs,
|
450 |
+
epsrel, limit, points, weight, wvar, wopts,
|
451 |
+
maxp1, limlst, complex_func=False)
|
452 |
+
integral = re_retval[0] + 1j*im_retval[0]
|
453 |
+
error_estimate = re_retval[1] + 1j*im_retval[1]
|
454 |
+
retval = integral, error_estimate
|
455 |
+
if full_output:
|
456 |
+
msgexp = {}
|
457 |
+
msgexp["real"] = re_retval[2:]
|
458 |
+
msgexp["imag"] = im_retval[2:]
|
459 |
+
retval = retval + (msgexp,)
|
460 |
+
|
461 |
+
return retval
|
462 |
+
|
463 |
+
if weight is None:
|
464 |
+
retval = _quad(func, a, b, args, full_output, epsabs, epsrel, limit,
|
465 |
+
points)
|
466 |
+
else:
|
467 |
+
if points is not None:
|
468 |
+
msg = ("Break points cannot be specified when using weighted integrand.\n"
|
469 |
+
"Continuing, ignoring specified points.")
|
470 |
+
warnings.warn(msg, IntegrationWarning, stacklevel=2)
|
471 |
+
retval = _quad_weight(func, a, b, args, full_output, epsabs, epsrel,
|
472 |
+
limlst, limit, maxp1, weight, wvar, wopts)
|
473 |
+
|
474 |
+
if flip:
|
475 |
+
retval = (-retval[0],) + retval[1:]
|
476 |
+
|
477 |
+
ier = retval[-1]
|
478 |
+
if ier == 0:
|
479 |
+
return retval[:-1]
|
480 |
+
|
481 |
+
msgs = {80: "A Python error occurred possibly while calling the function.",
|
482 |
+
1: f"The maximum number of subdivisions ({limit}) has been achieved.\n "
|
483 |
+
f"If increasing the limit yields no improvement it is advised to "
|
484 |
+
f"analyze \n the integrand in order to determine the difficulties. "
|
485 |
+
f"If the position of a \n local difficulty can be determined "
|
486 |
+
f"(singularity, discontinuity) one will \n probably gain from "
|
487 |
+
f"splitting up the interval and calling the integrator \n on the "
|
488 |
+
f"subranges. Perhaps a special-purpose integrator should be used.",
|
489 |
+
2: "The occurrence of roundoff error is detected, which prevents \n "
|
490 |
+
"the requested tolerance from being achieved. "
|
491 |
+
"The error may be \n underestimated.",
|
492 |
+
3: "Extremely bad integrand behavior occurs at some points of the\n "
|
493 |
+
"integration interval.",
|
494 |
+
4: "The algorithm does not converge. Roundoff error is detected\n "
|
495 |
+
"in the extrapolation table. It is assumed that the requested "
|
496 |
+
"tolerance\n cannot be achieved, and that the returned result "
|
497 |
+
"(if full_output = 1) is \n the best which can be obtained.",
|
498 |
+
5: "The integral is probably divergent, or slowly convergent.",
|
499 |
+
6: "The input is invalid.",
|
500 |
+
7: "Abnormal termination of the routine. The estimates for result\n "
|
501 |
+
"and error are less reliable. It is assumed that the requested "
|
502 |
+
"accuracy\n has not been achieved.",
|
503 |
+
'unknown': "Unknown error."}
|
504 |
+
|
505 |
+
if weight in ['cos','sin'] and (b == np.inf or a == -np.inf):
|
506 |
+
msgs[1] = (
|
507 |
+
"The maximum number of cycles allowed has been achieved., e.e.\n of "
|
508 |
+
"subintervals (a+(k-1)c, a+kc) where c = (2*int(abs(omega)+1))\n "
|
509 |
+
"*pi/abs(omega), for k = 1, 2, ..., lst. "
|
510 |
+
"One can allow more cycles by increasing the value of limlst. "
|
511 |
+
"Look at info['ierlst'] with full_output=1."
|
512 |
+
)
|
513 |
+
msgs[4] = (
|
514 |
+
"The extrapolation table constructed for convergence acceleration\n of "
|
515 |
+
"the series formed by the integral contributions over the cycles, \n does "
|
516 |
+
"not converge to within the requested accuracy. "
|
517 |
+
"Look at \n info['ierlst'] with full_output=1."
|
518 |
+
)
|
519 |
+
msgs[7] = (
|
520 |
+
"Bad integrand behavior occurs within one or more of the cycles.\n "
|
521 |
+
"Location and type of the difficulty involved can be determined from \n "
|
522 |
+
"the vector info['ierlist'] obtained with full_output=1."
|
523 |
+
)
|
524 |
+
explain = {1: "The maximum number of subdivisions (= limit) has been \n "
|
525 |
+
"achieved on this cycle.",
|
526 |
+
2: "The occurrence of roundoff error is detected and prevents\n "
|
527 |
+
"the tolerance imposed on this cycle from being achieved.",
|
528 |
+
3: "Extremely bad integrand behavior occurs at some points of\n "
|
529 |
+
"this cycle.",
|
530 |
+
4: "The integral over this cycle does not converge (to within the "
|
531 |
+
"required accuracy) due to roundoff in the extrapolation "
|
532 |
+
"procedure invoked on this cycle. It is assumed that the result "
|
533 |
+
"on this interval is the best which can be obtained.",
|
534 |
+
5: "The integral over this cycle is probably divergent or "
|
535 |
+
"slowly convergent."}
|
536 |
+
|
537 |
+
try:
|
538 |
+
msg = msgs[ier]
|
539 |
+
except KeyError:
|
540 |
+
msg = msgs['unknown']
|
541 |
+
|
542 |
+
if ier in [1,2,3,4,5,7]:
|
543 |
+
if full_output:
|
544 |
+
if weight in ['cos', 'sin'] and (b == np.inf or a == -np.inf):
|
545 |
+
return retval[:-1] + (msg, explain)
|
546 |
+
else:
|
547 |
+
return retval[:-1] + (msg,)
|
548 |
+
else:
|
549 |
+
warnings.warn(msg, IntegrationWarning, stacklevel=2)
|
550 |
+
return retval[:-1]
|
551 |
+
|
552 |
+
elif ier == 6: # Forensic decision tree when QUADPACK throws ier=6
|
553 |
+
if epsabs <= 0: # Small error tolerance - applies to all methods
|
554 |
+
if epsrel < max(50 * sys.float_info.epsilon, 5e-29):
|
555 |
+
msg = ("If 'epsabs'<=0, 'epsrel' must be greater than both"
|
556 |
+
" 5e-29 and 50*(machine epsilon).")
|
557 |
+
elif weight in ['sin', 'cos'] and (abs(a) + abs(b) == np.inf):
|
558 |
+
msg = ("Sine or cosine weighted integrals with infinite domain"
|
559 |
+
" must have 'epsabs'>0.")
|
560 |
+
|
561 |
+
elif weight is None:
|
562 |
+
if points is None: # QAGSE/QAGIE
|
563 |
+
msg = ("Invalid 'limit' argument. There must be"
|
564 |
+
" at least one subinterval")
|
565 |
+
else: # QAGPE
|
566 |
+
if not (min(a, b) <= min(points) <= max(points) <= max(a, b)):
|
567 |
+
msg = ("All break points in 'points' must lie within the"
|
568 |
+
" integration limits.")
|
569 |
+
elif len(points) >= limit:
|
570 |
+
msg = (f"Number of break points ({len(points):d}) "
|
571 |
+
f"must be less than subinterval limit ({limit:d})")
|
572 |
+
|
573 |
+
else:
|
574 |
+
if maxp1 < 1:
|
575 |
+
msg = "Chebyshev moment limit maxp1 must be >=1."
|
576 |
+
|
577 |
+
elif weight in ('cos', 'sin') and abs(a+b) == np.inf: # QAWFE
|
578 |
+
msg = "Cycle limit limlst must be >=3."
|
579 |
+
|
580 |
+
elif weight.startswith('alg'): # QAWSE
|
581 |
+
if min(wvar) < -1:
|
582 |
+
msg = "wvar parameters (alpha, beta) must both be >= -1."
|
583 |
+
if b < a:
|
584 |
+
msg = "Integration limits a, b must satistfy a<b."
|
585 |
+
|
586 |
+
elif weight == 'cauchy' and wvar in (a, b):
|
587 |
+
msg = ("Parameter 'wvar' must not equal"
|
588 |
+
" integration limits 'a' or 'b'.")
|
589 |
+
|
590 |
+
raise ValueError(msg)
|
591 |
+
|
592 |
+
|
593 |
+
def _quad(func,a,b,args,full_output,epsabs,epsrel,limit,points):
|
594 |
+
infbounds = 0
|
595 |
+
if (b != np.inf and a != -np.inf):
|
596 |
+
pass # standard integration
|
597 |
+
elif (b == np.inf and a != -np.inf):
|
598 |
+
infbounds = 1
|
599 |
+
bound = a
|
600 |
+
elif (b == np.inf and a == -np.inf):
|
601 |
+
infbounds = 2
|
602 |
+
bound = 0 # ignored
|
603 |
+
elif (b != np.inf and a == -np.inf):
|
604 |
+
infbounds = -1
|
605 |
+
bound = b
|
606 |
+
else:
|
607 |
+
raise RuntimeError("Infinity comparisons don't work for you.")
|
608 |
+
|
609 |
+
if points is None:
|
610 |
+
if infbounds == 0:
|
611 |
+
return _quadpack._qagse(func,a,b,args,full_output,epsabs,epsrel,limit)
|
612 |
+
else:
|
613 |
+
return _quadpack._qagie(func, bound, infbounds, args, full_output,
|
614 |
+
epsabs, epsrel, limit)
|
615 |
+
else:
|
616 |
+
if infbounds != 0:
|
617 |
+
raise ValueError("Infinity inputs cannot be used with break points.")
|
618 |
+
else:
|
619 |
+
#Duplicates force function evaluation at singular points
|
620 |
+
the_points = np.unique(points)
|
621 |
+
the_points = the_points[a < the_points]
|
622 |
+
the_points = the_points[the_points < b]
|
623 |
+
the_points = np.concatenate((the_points, (0., 0.)))
|
624 |
+
return _quadpack._qagpe(func, a, b, the_points, args, full_output,
|
625 |
+
epsabs, epsrel, limit)
|
626 |
+
|
627 |
+
|
628 |
+
def _quad_weight(func, a, b, args, full_output, epsabs, epsrel,
|
629 |
+
limlst, limit, maxp1,weight, wvar, wopts):
|
630 |
+
if weight not in ['cos','sin','alg','alg-loga','alg-logb','alg-log','cauchy']:
|
631 |
+
raise ValueError("%s not a recognized weighting function." % weight)
|
632 |
+
|
633 |
+
strdict = {'cos':1,'sin':2,'alg':1,'alg-loga':2,'alg-logb':3,'alg-log':4}
|
634 |
+
|
635 |
+
if weight in ['cos','sin']:
|
636 |
+
integr = strdict[weight]
|
637 |
+
if (b != np.inf and a != -np.inf): # finite limits
|
638 |
+
if wopts is None: # no precomputed Chebyshev moments
|
639 |
+
return _quadpack._qawoe(func, a, b, wvar, integr, args, full_output,
|
640 |
+
epsabs, epsrel, limit, maxp1,1)
|
641 |
+
else: # precomputed Chebyshev moments
|
642 |
+
momcom = wopts[0]
|
643 |
+
chebcom = wopts[1]
|
644 |
+
return _quadpack._qawoe(func, a, b, wvar, integr, args,
|
645 |
+
full_output,epsabs, epsrel, limit, maxp1, 2,
|
646 |
+
momcom, chebcom)
|
647 |
+
|
648 |
+
elif (b == np.inf and a != -np.inf):
|
649 |
+
return _quadpack._qawfe(func, a, wvar, integr, args, full_output,
|
650 |
+
epsabs, limlst, limit, maxp1)
|
651 |
+
elif (b != np.inf and a == -np.inf): # remap function and interval
|
652 |
+
if weight == 'cos':
|
653 |
+
def thefunc(x,*myargs):
|
654 |
+
y = -x
|
655 |
+
func = myargs[0]
|
656 |
+
myargs = (y,) + myargs[1:]
|
657 |
+
return func(*myargs)
|
658 |
+
else:
|
659 |
+
def thefunc(x,*myargs):
|
660 |
+
y = -x
|
661 |
+
func = myargs[0]
|
662 |
+
myargs = (y,) + myargs[1:]
|
663 |
+
return -func(*myargs)
|
664 |
+
args = (func,) + args
|
665 |
+
return _quadpack._qawfe(thefunc, -b, wvar, integr, args,
|
666 |
+
full_output, epsabs, limlst, limit, maxp1)
|
667 |
+
else:
|
668 |
+
raise ValueError("Cannot integrate with this weight from -Inf to +Inf.")
|
669 |
+
else:
|
670 |
+
if a in [-np.inf, np.inf] or b in [-np.inf, np.inf]:
|
671 |
+
message = "Cannot integrate with this weight over an infinite interval."
|
672 |
+
raise ValueError(message)
|
673 |
+
|
674 |
+
if weight.startswith('alg'):
|
675 |
+
integr = strdict[weight]
|
676 |
+
return _quadpack._qawse(func, a, b, wvar, integr, args,
|
677 |
+
full_output, epsabs, epsrel, limit)
|
678 |
+
else: # weight == 'cauchy'
|
679 |
+
return _quadpack._qawce(func, a, b, wvar, args, full_output,
|
680 |
+
epsabs, epsrel, limit)
|
681 |
+
|
682 |
+
|
683 |
+
def dblquad(func, a, b, gfun, hfun, args=(), epsabs=1.49e-8, epsrel=1.49e-8):
|
684 |
+
"""
|
685 |
+
Compute a double integral.
|
686 |
+
|
687 |
+
Return the double (definite) integral of ``func(y, x)`` from ``x = a..b``
|
688 |
+
and ``y = gfun(x)..hfun(x)``.
|
689 |
+
|
690 |
+
Parameters
|
691 |
+
----------
|
692 |
+
func : callable
|
693 |
+
A Python function or method of at least two variables: y must be the
|
694 |
+
first argument and x the second argument.
|
695 |
+
a, b : float
|
696 |
+
The limits of integration in x: `a` < `b`
|
697 |
+
gfun : callable or float
|
698 |
+
The lower boundary curve in y which is a function taking a single
|
699 |
+
floating point argument (x) and returning a floating point result
|
700 |
+
or a float indicating a constant boundary curve.
|
701 |
+
hfun : callable or float
|
702 |
+
The upper boundary curve in y (same requirements as `gfun`).
|
703 |
+
args : sequence, optional
|
704 |
+
Extra arguments to pass to `func`.
|
705 |
+
epsabs : float, optional
|
706 |
+
Absolute tolerance passed directly to the inner 1-D quadrature
|
707 |
+
integration. Default is 1.49e-8. ``dblquad`` tries to obtain
|
708 |
+
an accuracy of ``abs(i-result) <= max(epsabs, epsrel*abs(i))``
|
709 |
+
where ``i`` = inner integral of ``func(y, x)`` from ``gfun(x)``
|
710 |
+
to ``hfun(x)``, and ``result`` is the numerical approximation.
|
711 |
+
See `epsrel` below.
|
712 |
+
epsrel : float, optional
|
713 |
+
Relative tolerance of the inner 1-D integrals. Default is 1.49e-8.
|
714 |
+
If ``epsabs <= 0``, `epsrel` must be greater than both 5e-29
|
715 |
+
and ``50 * (machine epsilon)``. See `epsabs` above.
|
716 |
+
|
717 |
+
Returns
|
718 |
+
-------
|
719 |
+
y : float
|
720 |
+
The resultant integral.
|
721 |
+
abserr : float
|
722 |
+
An estimate of the error.
|
723 |
+
|
724 |
+
See Also
|
725 |
+
--------
|
726 |
+
quad : single integral
|
727 |
+
tplquad : triple integral
|
728 |
+
nquad : N-dimensional integrals
|
729 |
+
fixed_quad : fixed-order Gaussian quadrature
|
730 |
+
quadrature : adaptive Gaussian quadrature
|
731 |
+
odeint : ODE integrator
|
732 |
+
ode : ODE integrator
|
733 |
+
simpson : integrator for sampled data
|
734 |
+
romb : integrator for sampled data
|
735 |
+
scipy.special : for coefficients and roots of orthogonal polynomials
|
736 |
+
|
737 |
+
|
738 |
+
Notes
|
739 |
+
-----
|
740 |
+
For valid results, the integral must converge; behavior for divergent
|
741 |
+
integrals is not guaranteed.
|
742 |
+
|
743 |
+
**Details of QUADPACK level routines**
|
744 |
+
|
745 |
+
`quad` calls routines from the FORTRAN library QUADPACK. This section
|
746 |
+
provides details on the conditions for each routine to be called and a
|
747 |
+
short description of each routine. For each level of integration, ``qagse``
|
748 |
+
is used for finite limits or ``qagie`` is used if either limit (or both!)
|
749 |
+
are infinite. The following provides a short description from [1]_ for each
|
750 |
+
routine.
|
751 |
+
|
752 |
+
qagse
|
753 |
+
is an integrator based on globally adaptive interval
|
754 |
+
subdivision in connection with extrapolation, which will
|
755 |
+
eliminate the effects of integrand singularities of
|
756 |
+
several types.
|
757 |
+
qagie
|
758 |
+
handles integration over infinite intervals. The infinite range is
|
759 |
+
mapped onto a finite interval and subsequently the same strategy as
|
760 |
+
in ``QAGS`` is applied.
|
761 |
+
|
762 |
+
References
|
763 |
+
----------
|
764 |
+
|
765 |
+
.. [1] Piessens, Robert; de Doncker-Kapenga, Elise;
|
766 |
+
Überhuber, Christoph W.; Kahaner, David (1983).
|
767 |
+
QUADPACK: A subroutine package for automatic integration.
|
768 |
+
Springer-Verlag.
|
769 |
+
ISBN 978-3-540-12553-2.
|
770 |
+
|
771 |
+
Examples
|
772 |
+
--------
|
773 |
+
Compute the double integral of ``x * y**2`` over the box
|
774 |
+
``x`` ranging from 0 to 2 and ``y`` ranging from 0 to 1.
|
775 |
+
That is, :math:`\\int^{x=2}_{x=0} \\int^{y=1}_{y=0} x y^2 \\,dy \\,dx`.
|
776 |
+
|
777 |
+
>>> import numpy as np
|
778 |
+
>>> from scipy import integrate
|
779 |
+
>>> f = lambda y, x: x*y**2
|
780 |
+
>>> integrate.dblquad(f, 0, 2, 0, 1)
|
781 |
+
(0.6666666666666667, 7.401486830834377e-15)
|
782 |
+
|
783 |
+
Calculate :math:`\\int^{x=\\pi/4}_{x=0} \\int^{y=\\cos(x)}_{y=\\sin(x)} 1
|
784 |
+
\\,dy \\,dx`.
|
785 |
+
|
786 |
+
>>> f = lambda y, x: 1
|
787 |
+
>>> integrate.dblquad(f, 0, np.pi/4, np.sin, np.cos)
|
788 |
+
(0.41421356237309503, 1.1083280054755938e-14)
|
789 |
+
|
790 |
+
Calculate :math:`\\int^{x=1}_{x=0} \\int^{y=2-x}_{y=x} a x y \\,dy \\,dx`
|
791 |
+
for :math:`a=1, 3`.
|
792 |
+
|
793 |
+
>>> f = lambda y, x, a: a*x*y
|
794 |
+
>>> integrate.dblquad(f, 0, 1, lambda x: x, lambda x: 2-x, args=(1,))
|
795 |
+
(0.33333333333333337, 5.551115123125783e-15)
|
796 |
+
>>> integrate.dblquad(f, 0, 1, lambda x: x, lambda x: 2-x, args=(3,))
|
797 |
+
(0.9999999999999999, 1.6653345369377348e-14)
|
798 |
+
|
799 |
+
Compute the two-dimensional Gaussian Integral, which is the integral of the
|
800 |
+
Gaussian function :math:`f(x,y) = e^{-(x^{2} + y^{2})}`, over
|
801 |
+
:math:`(-\\infty,+\\infty)`. That is, compute the integral
|
802 |
+
:math:`\\iint^{+\\infty}_{-\\infty} e^{-(x^{2} + y^{2})} \\,dy\\,dx`.
|
803 |
+
|
804 |
+
>>> f = lambda x, y: np.exp(-(x ** 2 + y ** 2))
|
805 |
+
>>> integrate.dblquad(f, -np.inf, np.inf, -np.inf, np.inf)
|
806 |
+
(3.141592653589777, 2.5173086737433208e-08)
|
807 |
+
|
808 |
+
"""
|
809 |
+
|
810 |
+
def temp_ranges(*args):
|
811 |
+
return [gfun(args[0]) if callable(gfun) else gfun,
|
812 |
+
hfun(args[0]) if callable(hfun) else hfun]
|
813 |
+
|
814 |
+
return nquad(func, [temp_ranges, [a, b]], args=args,
|
815 |
+
opts={"epsabs": epsabs, "epsrel": epsrel})
|
816 |
+
|
817 |
+
|
818 |
+
def tplquad(func, a, b, gfun, hfun, qfun, rfun, args=(), epsabs=1.49e-8,
|
819 |
+
epsrel=1.49e-8):
|
820 |
+
"""
|
821 |
+
Compute a triple (definite) integral.
|
822 |
+
|
823 |
+
Return the triple integral of ``func(z, y, x)`` from ``x = a..b``,
|
824 |
+
``y = gfun(x)..hfun(x)``, and ``z = qfun(x,y)..rfun(x,y)``.
|
825 |
+
|
826 |
+
Parameters
|
827 |
+
----------
|
828 |
+
func : function
|
829 |
+
A Python function or method of at least three variables in the
|
830 |
+
order (z, y, x).
|
831 |
+
a, b : float
|
832 |
+
The limits of integration in x: `a` < `b`
|
833 |
+
gfun : function or float
|
834 |
+
The lower boundary curve in y which is a function taking a single
|
835 |
+
floating point argument (x) and returning a floating point result
|
836 |
+
or a float indicating a constant boundary curve.
|
837 |
+
hfun : function or float
|
838 |
+
The upper boundary curve in y (same requirements as `gfun`).
|
839 |
+
qfun : function or float
|
840 |
+
The lower boundary surface in z. It must be a function that takes
|
841 |
+
two floats in the order (x, y) and returns a float or a float
|
842 |
+
indicating a constant boundary surface.
|
843 |
+
rfun : function or float
|
844 |
+
The upper boundary surface in z. (Same requirements as `qfun`.)
|
845 |
+
args : tuple, optional
|
846 |
+
Extra arguments to pass to `func`.
|
847 |
+
epsabs : float, optional
|
848 |
+
Absolute tolerance passed directly to the innermost 1-D quadrature
|
849 |
+
integration. Default is 1.49e-8.
|
850 |
+
epsrel : float, optional
|
851 |
+
Relative tolerance of the innermost 1-D integrals. Default is 1.49e-8.
|
852 |
+
|
853 |
+
Returns
|
854 |
+
-------
|
855 |
+
y : float
|
856 |
+
The resultant integral.
|
857 |
+
abserr : float
|
858 |
+
An estimate of the error.
|
859 |
+
|
860 |
+
See Also
|
861 |
+
--------
|
862 |
+
quad : Adaptive quadrature using QUADPACK
|
863 |
+
quadrature : Adaptive Gaussian quadrature
|
864 |
+
fixed_quad : Fixed-order Gaussian quadrature
|
865 |
+
dblquad : Double integrals
|
866 |
+
nquad : N-dimensional integrals
|
867 |
+
romb : Integrators for sampled data
|
868 |
+
simpson : Integrators for sampled data
|
869 |
+
ode : ODE integrators
|
870 |
+
odeint : ODE integrators
|
871 |
+
scipy.special : For coefficients and roots of orthogonal polynomials
|
872 |
+
|
873 |
+
Notes
|
874 |
+
-----
|
875 |
+
For valid results, the integral must converge; behavior for divergent
|
876 |
+
integrals is not guaranteed.
|
877 |
+
|
878 |
+
**Details of QUADPACK level routines**
|
879 |
+
|
880 |
+
`quad` calls routines from the FORTRAN library QUADPACK. This section
|
881 |
+
provides details on the conditions for each routine to be called and a
|
882 |
+
short description of each routine. For each level of integration, ``qagse``
|
883 |
+
is used for finite limits or ``qagie`` is used, if either limit (or both!)
|
884 |
+
are infinite. The following provides a short description from [1]_ for each
|
885 |
+
routine.
|
886 |
+
|
887 |
+
qagse
|
888 |
+
is an integrator based on globally adaptive interval
|
889 |
+
subdivision in connection with extrapolation, which will
|
890 |
+
eliminate the effects of integrand singularities of
|
891 |
+
several types.
|
892 |
+
qagie
|
893 |
+
handles integration over infinite intervals. The infinite range is
|
894 |
+
mapped onto a finite interval and subsequently the same strategy as
|
895 |
+
in ``QAGS`` is applied.
|
896 |
+
|
897 |
+
References
|
898 |
+
----------
|
899 |
+
|
900 |
+
.. [1] Piessens, Robert; de Doncker-Kapenga, Elise;
|
901 |
+
Überhuber, Christoph W.; Kahaner, David (1983).
|
902 |
+
QUADPACK: A subroutine package for automatic integration.
|
903 |
+
Springer-Verlag.
|
904 |
+
ISBN 978-3-540-12553-2.
|
905 |
+
|
906 |
+
Examples
|
907 |
+
--------
|
908 |
+
Compute the triple integral of ``x * y * z``, over ``x`` ranging
|
909 |
+
from 1 to 2, ``y`` ranging from 2 to 3, ``z`` ranging from 0 to 1.
|
910 |
+
That is, :math:`\\int^{x=2}_{x=1} \\int^{y=3}_{y=2} \\int^{z=1}_{z=0} x y z
|
911 |
+
\\,dz \\,dy \\,dx`.
|
912 |
+
|
913 |
+
>>> import numpy as np
|
914 |
+
>>> from scipy import integrate
|
915 |
+
>>> f = lambda z, y, x: x*y*z
|
916 |
+
>>> integrate.tplquad(f, 1, 2, 2, 3, 0, 1)
|
917 |
+
(1.8749999999999998, 3.3246447942574074e-14)
|
918 |
+
|
919 |
+
Calculate :math:`\\int^{x=1}_{x=0} \\int^{y=1-2x}_{y=0}
|
920 |
+
\\int^{z=1-x-2y}_{z=0} x y z \\,dz \\,dy \\,dx`.
|
921 |
+
Note: `qfun`/`rfun` takes arguments in the order (x, y), even though ``f``
|
922 |
+
takes arguments in the order (z, y, x).
|
923 |
+
|
924 |
+
>>> f = lambda z, y, x: x*y*z
|
925 |
+
>>> integrate.tplquad(f, 0, 1, 0, lambda x: 1-2*x, 0, lambda x, y: 1-x-2*y)
|
926 |
+
(0.05416666666666668, 2.1774196738157757e-14)
|
927 |
+
|
928 |
+
Calculate :math:`\\int^{x=1}_{x=0} \\int^{y=1}_{y=0} \\int^{z=1}_{z=0}
|
929 |
+
a x y z \\,dz \\,dy \\,dx` for :math:`a=1, 3`.
|
930 |
+
|
931 |
+
>>> f = lambda z, y, x, a: a*x*y*z
|
932 |
+
>>> integrate.tplquad(f, 0, 1, 0, 1, 0, 1, args=(1,))
|
933 |
+
(0.125, 5.527033708952211e-15)
|
934 |
+
>>> integrate.tplquad(f, 0, 1, 0, 1, 0, 1, args=(3,))
|
935 |
+
(0.375, 1.6581101126856635e-14)
|
936 |
+
|
937 |
+
Compute the three-dimensional Gaussian Integral, which is the integral of
|
938 |
+
the Gaussian function :math:`f(x,y,z) = e^{-(x^{2} + y^{2} + z^{2})}`, over
|
939 |
+
:math:`(-\\infty,+\\infty)`. That is, compute the integral
|
940 |
+
:math:`\\iiint^{+\\infty}_{-\\infty} e^{-(x^{2} + y^{2} + z^{2})} \\,dz
|
941 |
+
\\,dy\\,dx`.
|
942 |
+
|
943 |
+
>>> f = lambda x, y, z: np.exp(-(x ** 2 + y ** 2 + z ** 2))
|
944 |
+
>>> integrate.tplquad(f, -np.inf, np.inf, -np.inf, np.inf, -np.inf, np.inf)
|
945 |
+
(5.568327996830833, 4.4619078828029765e-08)
|
946 |
+
|
947 |
+
"""
|
948 |
+
# f(z, y, x)
|
949 |
+
# qfun/rfun(x, y)
|
950 |
+
# gfun/hfun(x)
|
951 |
+
# nquad will hand (y, x, t0, ...) to ranges0
|
952 |
+
# nquad will hand (x, t0, ...) to ranges1
|
953 |
+
# Only qfun / rfun is different API...
|
954 |
+
|
955 |
+
def ranges0(*args):
|
956 |
+
return [qfun(args[1], args[0]) if callable(qfun) else qfun,
|
957 |
+
rfun(args[1], args[0]) if callable(rfun) else rfun]
|
958 |
+
|
959 |
+
def ranges1(*args):
|
960 |
+
return [gfun(args[0]) if callable(gfun) else gfun,
|
961 |
+
hfun(args[0]) if callable(hfun) else hfun]
|
962 |
+
|
963 |
+
ranges = [ranges0, ranges1, [a, b]]
|
964 |
+
return nquad(func, ranges, args=args,
|
965 |
+
opts={"epsabs": epsabs, "epsrel": epsrel})
|
966 |
+
|
967 |
+
|
968 |
+
def nquad(func, ranges, args=None, opts=None, full_output=False):
|
969 |
+
r"""
|
970 |
+
Integration over multiple variables.
|
971 |
+
|
972 |
+
Wraps `quad` to enable integration over multiple variables.
|
973 |
+
Various options allow improved integration of discontinuous functions, as
|
974 |
+
well as the use of weighted integration, and generally finer control of the
|
975 |
+
integration process.
|
976 |
+
|
977 |
+
Parameters
|
978 |
+
----------
|
979 |
+
func : {callable, scipy.LowLevelCallable}
|
980 |
+
The function to be integrated. Has arguments of ``x0, ... xn``,
|
981 |
+
``t0, ... tm``, where integration is carried out over ``x0, ... xn``,
|
982 |
+
which must be floats. Where ``t0, ... tm`` are extra arguments
|
983 |
+
passed in args.
|
984 |
+
Function signature should be ``func(x0, x1, ..., xn, t0, t1, ..., tm)``.
|
985 |
+
Integration is carried out in order. That is, integration over ``x0``
|
986 |
+
is the innermost integral, and ``xn`` is the outermost.
|
987 |
+
|
988 |
+
If the user desires improved integration performance, then `f` may
|
989 |
+
be a `scipy.LowLevelCallable` with one of the signatures::
|
990 |
+
|
991 |
+
double func(int n, double *xx)
|
992 |
+
double func(int n, double *xx, void *user_data)
|
993 |
+
|
994 |
+
where ``n`` is the number of variables and args. The ``xx`` array
|
995 |
+
contains the coordinates and extra arguments. ``user_data`` is the data
|
996 |
+
contained in the `scipy.LowLevelCallable`.
|
997 |
+
ranges : iterable object
|
998 |
+
Each element of ranges may be either a sequence of 2 numbers, or else
|
999 |
+
a callable that returns such a sequence. ``ranges[0]`` corresponds to
|
1000 |
+
integration over x0, and so on. If an element of ranges is a callable,
|
1001 |
+
then it will be called with all of the integration arguments available,
|
1002 |
+
as well as any parametric arguments. e.g., if
|
1003 |
+
``func = f(x0, x1, x2, t0, t1)``, then ``ranges[0]`` may be defined as
|
1004 |
+
either ``(a, b)`` or else as ``(a, b) = range0(x1, x2, t0, t1)``.
|
1005 |
+
args : iterable object, optional
|
1006 |
+
Additional arguments ``t0, ... tn``, required by ``func``, ``ranges``,
|
1007 |
+
and ``opts``.
|
1008 |
+
opts : iterable object or dict, optional
|
1009 |
+
Options to be passed to `quad`. May be empty, a dict, or
|
1010 |
+
a sequence of dicts or functions that return a dict. If empty, the
|
1011 |
+
default options from scipy.integrate.quad are used. If a dict, the same
|
1012 |
+
options are used for all levels of integraion. If a sequence, then each
|
1013 |
+
element of the sequence corresponds to a particular integration. e.g.,
|
1014 |
+
``opts[0]`` corresponds to integration over ``x0``, and so on. If a
|
1015 |
+
callable, the signature must be the same as for ``ranges``. The
|
1016 |
+
available options together with their default values are:
|
1017 |
+
|
1018 |
+
- epsabs = 1.49e-08
|
1019 |
+
- epsrel = 1.49e-08
|
1020 |
+
- limit = 50
|
1021 |
+
- points = None
|
1022 |
+
- weight = None
|
1023 |
+
- wvar = None
|
1024 |
+
- wopts = None
|
1025 |
+
|
1026 |
+
For more information on these options, see `quad`.
|
1027 |
+
|
1028 |
+
full_output : bool, optional
|
1029 |
+
Partial implementation of ``full_output`` from scipy.integrate.quad.
|
1030 |
+
The number of integrand function evaluations ``neval`` can be obtained
|
1031 |
+
by setting ``full_output=True`` when calling nquad.
|
1032 |
+
|
1033 |
+
Returns
|
1034 |
+
-------
|
1035 |
+
result : float
|
1036 |
+
The result of the integration.
|
1037 |
+
abserr : float
|
1038 |
+
The maximum of the estimates of the absolute error in the various
|
1039 |
+
integration results.
|
1040 |
+
out_dict : dict, optional
|
1041 |
+
A dict containing additional information on the integration.
|
1042 |
+
|
1043 |
+
See Also
|
1044 |
+
--------
|
1045 |
+
quad : 1-D numerical integration
|
1046 |
+
dblquad, tplquad : double and triple integrals
|
1047 |
+
fixed_quad : fixed-order Gaussian quadrature
|
1048 |
+
quadrature : adaptive Gaussian quadrature
|
1049 |
+
|
1050 |
+
Notes
|
1051 |
+
-----
|
1052 |
+
For valid results, the integral must converge; behavior for divergent
|
1053 |
+
integrals is not guaranteed.
|
1054 |
+
|
1055 |
+
**Details of QUADPACK level routines**
|
1056 |
+
|
1057 |
+
`nquad` calls routines from the FORTRAN library QUADPACK. This section
|
1058 |
+
provides details on the conditions for each routine to be called and a
|
1059 |
+
short description of each routine. The routine called depends on
|
1060 |
+
`weight`, `points` and the integration limits `a` and `b`.
|
1061 |
+
|
1062 |
+
================ ============== ========== =====================
|
1063 |
+
QUADPACK routine `weight` `points` infinite bounds
|
1064 |
+
================ ============== ========== =====================
|
1065 |
+
qagse None No No
|
1066 |
+
qagie None No Yes
|
1067 |
+
qagpe None Yes No
|
1068 |
+
qawoe 'sin', 'cos' No No
|
1069 |
+
qawfe 'sin', 'cos' No either `a` or `b`
|
1070 |
+
qawse 'alg*' No No
|
1071 |
+
qawce 'cauchy' No No
|
1072 |
+
================ ============== ========== =====================
|
1073 |
+
|
1074 |
+
The following provides a short description from [1]_ for each
|
1075 |
+
routine.
|
1076 |
+
|
1077 |
+
qagse
|
1078 |
+
is an integrator based on globally adaptive interval
|
1079 |
+
subdivision in connection with extrapolation, which will
|
1080 |
+
eliminate the effects of integrand singularities of
|
1081 |
+
several types.
|
1082 |
+
qagie
|
1083 |
+
handles integration over infinite intervals. The infinite range is
|
1084 |
+
mapped onto a finite interval and subsequently the same strategy as
|
1085 |
+
in ``QAGS`` is applied.
|
1086 |
+
qagpe
|
1087 |
+
serves the same purposes as QAGS, but also allows the
|
1088 |
+
user to provide explicit information about the location
|
1089 |
+
and type of trouble-spots i.e. the abscissae of internal
|
1090 |
+
singularities, discontinuities and other difficulties of
|
1091 |
+
the integrand function.
|
1092 |
+
qawoe
|
1093 |
+
is an integrator for the evaluation of
|
1094 |
+
:math:`\int^b_a \cos(\omega x)f(x)dx` or
|
1095 |
+
:math:`\int^b_a \sin(\omega x)f(x)dx`
|
1096 |
+
over a finite interval [a,b], where :math:`\omega` and :math:`f`
|
1097 |
+
are specified by the user. The rule evaluation component is based
|
1098 |
+
on the modified Clenshaw-Curtis technique
|
1099 |
+
|
1100 |
+
An adaptive subdivision scheme is used in connection
|
1101 |
+
with an extrapolation procedure, which is a modification
|
1102 |
+
of that in ``QAGS`` and allows the algorithm to deal with
|
1103 |
+
singularities in :math:`f(x)`.
|
1104 |
+
qawfe
|
1105 |
+
calculates the Fourier transform
|
1106 |
+
:math:`\int^\infty_a \cos(\omega x)f(x)dx` or
|
1107 |
+
:math:`\int^\infty_a \sin(\omega x)f(x)dx`
|
1108 |
+
for user-provided :math:`\omega` and :math:`f`. The procedure of
|
1109 |
+
``QAWO`` is applied on successive finite intervals, and convergence
|
1110 |
+
acceleration by means of the :math:`\varepsilon`-algorithm is applied
|
1111 |
+
to the series of integral approximations.
|
1112 |
+
qawse
|
1113 |
+
approximate :math:`\int^b_a w(x)f(x)dx`, with :math:`a < b` where
|
1114 |
+
:math:`w(x) = (x-a)^{\alpha}(b-x)^{\beta}v(x)` with
|
1115 |
+
:math:`\alpha,\beta > -1`, where :math:`v(x)` may be one of the
|
1116 |
+
following functions: :math:`1`, :math:`\log(x-a)`, :math:`\log(b-x)`,
|
1117 |
+
:math:`\log(x-a)\log(b-x)`.
|
1118 |
+
|
1119 |
+
The user specifies :math:`\alpha`, :math:`\beta` and the type of the
|
1120 |
+
function :math:`v`. A globally adaptive subdivision strategy is
|
1121 |
+
applied, with modified Clenshaw-Curtis integration on those
|
1122 |
+
subintervals which contain `a` or `b`.
|
1123 |
+
qawce
|
1124 |
+
compute :math:`\int^b_a f(x) / (x-c)dx` where the integral must be
|
1125 |
+
interpreted as a Cauchy principal value integral, for user specified
|
1126 |
+
:math:`c` and :math:`f`. The strategy is globally adaptive. Modified
|
1127 |
+
Clenshaw-Curtis integration is used on those intervals containing the
|
1128 |
+
point :math:`x = c`.
|
1129 |
+
|
1130 |
+
References
|
1131 |
+
----------
|
1132 |
+
|
1133 |
+
.. [1] Piessens, Robert; de Doncker-Kapenga, Elise;
|
1134 |
+
Überhuber, Christoph W.; Kahaner, David (1983).
|
1135 |
+
QUADPACK: A subroutine package for automatic integration.
|
1136 |
+
Springer-Verlag.
|
1137 |
+
ISBN 978-3-540-12553-2.
|
1138 |
+
|
1139 |
+
Examples
|
1140 |
+
--------
|
1141 |
+
Calculate
|
1142 |
+
|
1143 |
+
.. math::
|
1144 |
+
|
1145 |
+
\int^{1}_{-0.15} \int^{0.8}_{0.13} \int^{1}_{-1} \int^{1}_{0}
|
1146 |
+
f(x_0, x_1, x_2, x_3) \,dx_0 \,dx_1 \,dx_2 \,dx_3 ,
|
1147 |
+
|
1148 |
+
where
|
1149 |
+
|
1150 |
+
.. math::
|
1151 |
+
|
1152 |
+
f(x_0, x_1, x_2, x_3) = \begin{cases}
|
1153 |
+
x_0^2+x_1 x_2-x_3^3+ \sin{x_0}+1 & (x_0-0.2 x_3-0.5-0.25 x_1 > 0) \\
|
1154 |
+
x_0^2+x_1 x_2-x_3^3+ \sin{x_0}+0 & (x_0-0.2 x_3-0.5-0.25 x_1 \leq 0)
|
1155 |
+
\end{cases} .
|
1156 |
+
|
1157 |
+
>>> import numpy as np
|
1158 |
+
>>> from scipy import integrate
|
1159 |
+
>>> func = lambda x0,x1,x2,x3 : x0**2 + x1*x2 - x3**3 + np.sin(x0) + (
|
1160 |
+
... 1 if (x0-.2*x3-.5-.25*x1>0) else 0)
|
1161 |
+
>>> def opts0(*args, **kwargs):
|
1162 |
+
... return {'points':[0.2*args[2] + 0.5 + 0.25*args[0]]}
|
1163 |
+
>>> integrate.nquad(func, [[0,1], [-1,1], [.13,.8], [-.15,1]],
|
1164 |
+
... opts=[opts0,{},{},{}], full_output=True)
|
1165 |
+
(1.5267454070738633, 2.9437360001402324e-14, {'neval': 388962})
|
1166 |
+
|
1167 |
+
Calculate
|
1168 |
+
|
1169 |
+
.. math::
|
1170 |
+
|
1171 |
+
\int^{t_0+t_1+1}_{t_0+t_1-1}
|
1172 |
+
\int^{x_2+t_0^2 t_1^3+1}_{x_2+t_0^2 t_1^3-1}
|
1173 |
+
\int^{t_0 x_1+t_1 x_2+1}_{t_0 x_1+t_1 x_2-1}
|
1174 |
+
f(x_0,x_1, x_2,t_0,t_1)
|
1175 |
+
\,dx_0 \,dx_1 \,dx_2,
|
1176 |
+
|
1177 |
+
where
|
1178 |
+
|
1179 |
+
.. math::
|
1180 |
+
|
1181 |
+
f(x_0, x_1, x_2, t_0, t_1) = \begin{cases}
|
1182 |
+
x_0 x_2^2 + \sin{x_1}+2 & (x_0+t_1 x_1-t_0 > 0) \\
|
1183 |
+
x_0 x_2^2 +\sin{x_1}+1 & (x_0+t_1 x_1-t_0 \leq 0)
|
1184 |
+
\end{cases}
|
1185 |
+
|
1186 |
+
and :math:`(t_0, t_1) = (0, 1)` .
|
1187 |
+
|
1188 |
+
>>> def func2(x0, x1, x2, t0, t1):
|
1189 |
+
... return x0*x2**2 + np.sin(x1) + 1 + (1 if x0+t1*x1-t0>0 else 0)
|
1190 |
+
>>> def lim0(x1, x2, t0, t1):
|
1191 |
+
... return [t0*x1 + t1*x2 - 1, t0*x1 + t1*x2 + 1]
|
1192 |
+
>>> def lim1(x2, t0, t1):
|
1193 |
+
... return [x2 + t0**2*t1**3 - 1, x2 + t0**2*t1**3 + 1]
|
1194 |
+
>>> def lim2(t0, t1):
|
1195 |
+
... return [t0 + t1 - 1, t0 + t1 + 1]
|
1196 |
+
>>> def opts0(x1, x2, t0, t1):
|
1197 |
+
... return {'points' : [t0 - t1*x1]}
|
1198 |
+
>>> def opts1(x2, t0, t1):
|
1199 |
+
... return {}
|
1200 |
+
>>> def opts2(t0, t1):
|
1201 |
+
... return {}
|
1202 |
+
>>> integrate.nquad(func2, [lim0, lim1, lim2], args=(0,1),
|
1203 |
+
... opts=[opts0, opts1, opts2])
|
1204 |
+
(36.099919226771625, 1.8546948553373528e-07)
|
1205 |
+
|
1206 |
+
"""
|
1207 |
+
depth = len(ranges)
|
1208 |
+
ranges = [rng if callable(rng) else _RangeFunc(rng) for rng in ranges]
|
1209 |
+
if args is None:
|
1210 |
+
args = ()
|
1211 |
+
if opts is None:
|
1212 |
+
opts = [dict([])] * depth
|
1213 |
+
|
1214 |
+
if isinstance(opts, dict):
|
1215 |
+
opts = [_OptFunc(opts)] * depth
|
1216 |
+
else:
|
1217 |
+
opts = [opt if callable(opt) else _OptFunc(opt) for opt in opts]
|
1218 |
+
return _NQuad(func, ranges, opts, full_output).integrate(*args)
|
1219 |
+
|
1220 |
+
|
1221 |
+
class _RangeFunc:
|
1222 |
+
def __init__(self, range_):
|
1223 |
+
self.range_ = range_
|
1224 |
+
|
1225 |
+
def __call__(self, *args):
|
1226 |
+
"""Return stored value.
|
1227 |
+
|
1228 |
+
*args needed because range_ can be float or func, and is called with
|
1229 |
+
variable number of parameters.
|
1230 |
+
"""
|
1231 |
+
return self.range_
|
1232 |
+
|
1233 |
+
|
1234 |
+
class _OptFunc:
|
1235 |
+
def __init__(self, opt):
|
1236 |
+
self.opt = opt
|
1237 |
+
|
1238 |
+
def __call__(self, *args):
|
1239 |
+
"""Return stored dict."""
|
1240 |
+
return self.opt
|
1241 |
+
|
1242 |
+
|
1243 |
+
class _NQuad:
|
1244 |
+
def __init__(self, func, ranges, opts, full_output):
|
1245 |
+
self.abserr = 0
|
1246 |
+
self.func = func
|
1247 |
+
self.ranges = ranges
|
1248 |
+
self.opts = opts
|
1249 |
+
self.maxdepth = len(ranges)
|
1250 |
+
self.full_output = full_output
|
1251 |
+
if self.full_output:
|
1252 |
+
self.out_dict = {'neval': 0}
|
1253 |
+
|
1254 |
+
def integrate(self, *args, **kwargs):
|
1255 |
+
depth = kwargs.pop('depth', 0)
|
1256 |
+
if kwargs:
|
1257 |
+
raise ValueError('unexpected kwargs')
|
1258 |
+
|
1259 |
+
# Get the integration range and options for this depth.
|
1260 |
+
ind = -(depth + 1)
|
1261 |
+
fn_range = self.ranges[ind]
|
1262 |
+
low, high = fn_range(*args)
|
1263 |
+
fn_opt = self.opts[ind]
|
1264 |
+
opt = dict(fn_opt(*args))
|
1265 |
+
|
1266 |
+
if 'points' in opt:
|
1267 |
+
opt['points'] = [x for x in opt['points'] if low <= x <= high]
|
1268 |
+
if depth + 1 == self.maxdepth:
|
1269 |
+
f = self.func
|
1270 |
+
else:
|
1271 |
+
f = partial(self.integrate, depth=depth+1)
|
1272 |
+
quad_r = quad(f, low, high, args=args, full_output=self.full_output,
|
1273 |
+
**opt)
|
1274 |
+
value = quad_r[0]
|
1275 |
+
abserr = quad_r[1]
|
1276 |
+
if self.full_output:
|
1277 |
+
infodict = quad_r[2]
|
1278 |
+
# The 'neval' parameter in full_output returns the total
|
1279 |
+
# number of times the integrand function was evaluated.
|
1280 |
+
# Therefore, only the innermost integration loop counts.
|
1281 |
+
if depth + 1 == self.maxdepth:
|
1282 |
+
self.out_dict['neval'] += infodict['neval']
|
1283 |
+
self.abserr = max(self.abserr, abserr)
|
1284 |
+
if depth > 0:
|
1285 |
+
return value
|
1286 |
+
else:
|
1287 |
+
# Final result of N-D integration with error
|
1288 |
+
if self.full_output:
|
1289 |
+
return value, self.abserr, self.out_dict
|
1290 |
+
else:
|
1291 |
+
return value, self.abserr
|
venv/lib/python3.10/site-packages/scipy/integrate/_quadrature.py
ADDED
@@ -0,0 +1,1830 @@
|
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|
1 |
+
from __future__ import annotations
|
2 |
+
from typing import TYPE_CHECKING, Callable, Any, cast
|
3 |
+
import numpy as np
|
4 |
+
import numpy.typing as npt
|
5 |
+
import math
|
6 |
+
import warnings
|
7 |
+
from collections import namedtuple
|
8 |
+
|
9 |
+
from scipy.special import roots_legendre
|
10 |
+
from scipy.special import gammaln, logsumexp
|
11 |
+
from scipy._lib._util import _rng_spawn
|
12 |
+
from scipy._lib.deprecation import (_NoValue, _deprecate_positional_args,
|
13 |
+
_deprecated)
|
14 |
+
|
15 |
+
|
16 |
+
__all__ = ['fixed_quad', 'quadrature', 'romberg', 'romb',
|
17 |
+
'trapezoid', 'trapz', 'simps', 'simpson',
|
18 |
+
'cumulative_trapezoid', 'cumtrapz', 'newton_cotes',
|
19 |
+
'qmc_quad', 'AccuracyWarning', 'cumulative_simpson']
|
20 |
+
|
21 |
+
|
22 |
+
def trapezoid(y, x=None, dx=1.0, axis=-1):
|
23 |
+
r"""
|
24 |
+
Integrate along the given axis using the composite trapezoidal rule.
|
25 |
+
|
26 |
+
If `x` is provided, the integration happens in sequence along its
|
27 |
+
elements - they are not sorted.
|
28 |
+
|
29 |
+
Integrate `y` (`x`) along each 1d slice on the given axis, compute
|
30 |
+
:math:`\int y(x) dx`.
|
31 |
+
When `x` is specified, this integrates along the parametric curve,
|
32 |
+
computing :math:`\int_t y(t) dt =
|
33 |
+
\int_t y(t) \left.\frac{dx}{dt}\right|_{x=x(t)} dt`.
|
34 |
+
|
35 |
+
Parameters
|
36 |
+
----------
|
37 |
+
y : array_like
|
38 |
+
Input array to integrate.
|
39 |
+
x : array_like, optional
|
40 |
+
The sample points corresponding to the `y` values. If `x` is None,
|
41 |
+
the sample points are assumed to be evenly spaced `dx` apart. The
|
42 |
+
default is None.
|
43 |
+
dx : scalar, optional
|
44 |
+
The spacing between sample points when `x` is None. The default is 1.
|
45 |
+
axis : int, optional
|
46 |
+
The axis along which to integrate.
|
47 |
+
|
48 |
+
Returns
|
49 |
+
-------
|
50 |
+
trapezoid : float or ndarray
|
51 |
+
Definite integral of `y` = n-dimensional array as approximated along
|
52 |
+
a single axis by the trapezoidal rule. If `y` is a 1-dimensional array,
|
53 |
+
then the result is a float. If `n` is greater than 1, then the result
|
54 |
+
is an `n`-1 dimensional array.
|
55 |
+
|
56 |
+
See Also
|
57 |
+
--------
|
58 |
+
cumulative_trapezoid, simpson, romb
|
59 |
+
|
60 |
+
Notes
|
61 |
+
-----
|
62 |
+
Image [2]_ illustrates trapezoidal rule -- y-axis locations of points
|
63 |
+
will be taken from `y` array, by default x-axis distances between
|
64 |
+
points will be 1.0, alternatively they can be provided with `x` array
|
65 |
+
or with `dx` scalar. Return value will be equal to combined area under
|
66 |
+
the red lines.
|
67 |
+
|
68 |
+
References
|
69 |
+
----------
|
70 |
+
.. [1] Wikipedia page: https://en.wikipedia.org/wiki/Trapezoidal_rule
|
71 |
+
|
72 |
+
.. [2] Illustration image:
|
73 |
+
https://en.wikipedia.org/wiki/File:Composite_trapezoidal_rule_illustration.png
|
74 |
+
|
75 |
+
Examples
|
76 |
+
--------
|
77 |
+
Use the trapezoidal rule on evenly spaced points:
|
78 |
+
|
79 |
+
>>> import numpy as np
|
80 |
+
>>> from scipy import integrate
|
81 |
+
>>> integrate.trapezoid([1, 2, 3])
|
82 |
+
4.0
|
83 |
+
|
84 |
+
The spacing between sample points can be selected by either the
|
85 |
+
``x`` or ``dx`` arguments:
|
86 |
+
|
87 |
+
>>> integrate.trapezoid([1, 2, 3], x=[4, 6, 8])
|
88 |
+
8.0
|
89 |
+
>>> integrate.trapezoid([1, 2, 3], dx=2)
|
90 |
+
8.0
|
91 |
+
|
92 |
+
Using a decreasing ``x`` corresponds to integrating in reverse:
|
93 |
+
|
94 |
+
>>> integrate.trapezoid([1, 2, 3], x=[8, 6, 4])
|
95 |
+
-8.0
|
96 |
+
|
97 |
+
More generally ``x`` is used to integrate along a parametric curve. We can
|
98 |
+
estimate the integral :math:`\int_0^1 x^2 = 1/3` using:
|
99 |
+
|
100 |
+
>>> x = np.linspace(0, 1, num=50)
|
101 |
+
>>> y = x**2
|
102 |
+
>>> integrate.trapezoid(y, x)
|
103 |
+
0.33340274885464394
|
104 |
+
|
105 |
+
Or estimate the area of a circle, noting we repeat the sample which closes
|
106 |
+
the curve:
|
107 |
+
|
108 |
+
>>> theta = np.linspace(0, 2 * np.pi, num=1000, endpoint=True)
|
109 |
+
>>> integrate.trapezoid(np.cos(theta), x=np.sin(theta))
|
110 |
+
3.141571941375841
|
111 |
+
|
112 |
+
``trapezoid`` can be applied along a specified axis to do multiple
|
113 |
+
computations in one call:
|
114 |
+
|
115 |
+
>>> a = np.arange(6).reshape(2, 3)
|
116 |
+
>>> a
|
117 |
+
array([[0, 1, 2],
|
118 |
+
[3, 4, 5]])
|
119 |
+
>>> integrate.trapezoid(a, axis=0)
|
120 |
+
array([1.5, 2.5, 3.5])
|
121 |
+
>>> integrate.trapezoid(a, axis=1)
|
122 |
+
array([2., 8.])
|
123 |
+
"""
|
124 |
+
y = np.asanyarray(y)
|
125 |
+
if x is None:
|
126 |
+
d = dx
|
127 |
+
else:
|
128 |
+
x = np.asanyarray(x)
|
129 |
+
if x.ndim == 1:
|
130 |
+
d = np.diff(x)
|
131 |
+
# reshape to correct shape
|
132 |
+
shape = [1]*y.ndim
|
133 |
+
shape[axis] = d.shape[0]
|
134 |
+
d = d.reshape(shape)
|
135 |
+
else:
|
136 |
+
d = np.diff(x, axis=axis)
|
137 |
+
nd = y.ndim
|
138 |
+
slice1 = [slice(None)]*nd
|
139 |
+
slice2 = [slice(None)]*nd
|
140 |
+
slice1[axis] = slice(1, None)
|
141 |
+
slice2[axis] = slice(None, -1)
|
142 |
+
try:
|
143 |
+
ret = (d * (y[tuple(slice1)] + y[tuple(slice2)]) / 2.0).sum(axis)
|
144 |
+
except ValueError:
|
145 |
+
# Operations didn't work, cast to ndarray
|
146 |
+
d = np.asarray(d)
|
147 |
+
y = np.asarray(y)
|
148 |
+
ret = np.add.reduce(d * (y[tuple(slice1)]+y[tuple(slice2)])/2.0, axis)
|
149 |
+
return ret
|
150 |
+
|
151 |
+
|
152 |
+
# Note: alias kept for backwards compatibility. Rename was done
|
153 |
+
# because trapz is a slur in colloquial English (see gh-12924).
|
154 |
+
def trapz(y, x=None, dx=1.0, axis=-1):
|
155 |
+
"""An alias of `trapezoid`.
|
156 |
+
|
157 |
+
`trapz` is kept for backwards compatibility. For new code, prefer
|
158 |
+
`trapezoid` instead.
|
159 |
+
"""
|
160 |
+
msg = ("'scipy.integrate.trapz' is deprecated in favour of "
|
161 |
+
"'scipy.integrate.trapezoid' and will be removed in SciPy 1.14.0")
|
162 |
+
warnings.warn(msg, DeprecationWarning, stacklevel=2)
|
163 |
+
return trapezoid(y, x=x, dx=dx, axis=axis)
|
164 |
+
|
165 |
+
|
166 |
+
class AccuracyWarning(Warning):
|
167 |
+
pass
|
168 |
+
|
169 |
+
|
170 |
+
if TYPE_CHECKING:
|
171 |
+
# workaround for mypy function attributes see:
|
172 |
+
# https://github.com/python/mypy/issues/2087#issuecomment-462726600
|
173 |
+
from typing import Protocol
|
174 |
+
|
175 |
+
class CacheAttributes(Protocol):
|
176 |
+
cache: dict[int, tuple[Any, Any]]
|
177 |
+
else:
|
178 |
+
CacheAttributes = Callable
|
179 |
+
|
180 |
+
|
181 |
+
def cache_decorator(func: Callable) -> CacheAttributes:
|
182 |
+
return cast(CacheAttributes, func)
|
183 |
+
|
184 |
+
|
185 |
+
@cache_decorator
|
186 |
+
def _cached_roots_legendre(n):
|
187 |
+
"""
|
188 |
+
Cache roots_legendre results to speed up calls of the fixed_quad
|
189 |
+
function.
|
190 |
+
"""
|
191 |
+
if n in _cached_roots_legendre.cache:
|
192 |
+
return _cached_roots_legendre.cache[n]
|
193 |
+
|
194 |
+
_cached_roots_legendre.cache[n] = roots_legendre(n)
|
195 |
+
return _cached_roots_legendre.cache[n]
|
196 |
+
|
197 |
+
|
198 |
+
_cached_roots_legendre.cache = dict()
|
199 |
+
|
200 |
+
|
201 |
+
def fixed_quad(func, a, b, args=(), n=5):
|
202 |
+
"""
|
203 |
+
Compute a definite integral using fixed-order Gaussian quadrature.
|
204 |
+
|
205 |
+
Integrate `func` from `a` to `b` using Gaussian quadrature of
|
206 |
+
order `n`.
|
207 |
+
|
208 |
+
Parameters
|
209 |
+
----------
|
210 |
+
func : callable
|
211 |
+
A Python function or method to integrate (must accept vector inputs).
|
212 |
+
If integrating a vector-valued function, the returned array must have
|
213 |
+
shape ``(..., len(x))``.
|
214 |
+
a : float
|
215 |
+
Lower limit of integration.
|
216 |
+
b : float
|
217 |
+
Upper limit of integration.
|
218 |
+
args : tuple, optional
|
219 |
+
Extra arguments to pass to function, if any.
|
220 |
+
n : int, optional
|
221 |
+
Order of quadrature integration. Default is 5.
|
222 |
+
|
223 |
+
Returns
|
224 |
+
-------
|
225 |
+
val : float
|
226 |
+
Gaussian quadrature approximation to the integral
|
227 |
+
none : None
|
228 |
+
Statically returned value of None
|
229 |
+
|
230 |
+
See Also
|
231 |
+
--------
|
232 |
+
quad : adaptive quadrature using QUADPACK
|
233 |
+
dblquad : double integrals
|
234 |
+
tplquad : triple integrals
|
235 |
+
romberg : adaptive Romberg quadrature
|
236 |
+
quadrature : adaptive Gaussian quadrature
|
237 |
+
romb : integrators for sampled data
|
238 |
+
simpson : integrators for sampled data
|
239 |
+
cumulative_trapezoid : cumulative integration for sampled data
|
240 |
+
ode : ODE integrator
|
241 |
+
odeint : ODE integrator
|
242 |
+
|
243 |
+
Examples
|
244 |
+
--------
|
245 |
+
>>> from scipy import integrate
|
246 |
+
>>> import numpy as np
|
247 |
+
>>> f = lambda x: x**8
|
248 |
+
>>> integrate.fixed_quad(f, 0.0, 1.0, n=4)
|
249 |
+
(0.1110884353741496, None)
|
250 |
+
>>> integrate.fixed_quad(f, 0.0, 1.0, n=5)
|
251 |
+
(0.11111111111111102, None)
|
252 |
+
>>> print(1/9.0) # analytical result
|
253 |
+
0.1111111111111111
|
254 |
+
|
255 |
+
>>> integrate.fixed_quad(np.cos, 0.0, np.pi/2, n=4)
|
256 |
+
(0.9999999771971152, None)
|
257 |
+
>>> integrate.fixed_quad(np.cos, 0.0, np.pi/2, n=5)
|
258 |
+
(1.000000000039565, None)
|
259 |
+
>>> np.sin(np.pi/2)-np.sin(0) # analytical result
|
260 |
+
1.0
|
261 |
+
|
262 |
+
"""
|
263 |
+
x, w = _cached_roots_legendre(n)
|
264 |
+
x = np.real(x)
|
265 |
+
if np.isinf(a) or np.isinf(b):
|
266 |
+
raise ValueError("Gaussian quadrature is only available for "
|
267 |
+
"finite limits.")
|
268 |
+
y = (b-a)*(x+1)/2.0 + a
|
269 |
+
return (b-a)/2.0 * np.sum(w*func(y, *args), axis=-1), None
|
270 |
+
|
271 |
+
|
272 |
+
def vectorize1(func, args=(), vec_func=False):
|
273 |
+
"""Vectorize the call to a function.
|
274 |
+
|
275 |
+
This is an internal utility function used by `romberg` and
|
276 |
+
`quadrature` to create a vectorized version of a function.
|
277 |
+
|
278 |
+
If `vec_func` is True, the function `func` is assumed to take vector
|
279 |
+
arguments.
|
280 |
+
|
281 |
+
Parameters
|
282 |
+
----------
|
283 |
+
func : callable
|
284 |
+
User defined function.
|
285 |
+
args : tuple, optional
|
286 |
+
Extra arguments for the function.
|
287 |
+
vec_func : bool, optional
|
288 |
+
True if the function func takes vector arguments.
|
289 |
+
|
290 |
+
Returns
|
291 |
+
-------
|
292 |
+
vfunc : callable
|
293 |
+
A function that will take a vector argument and return the
|
294 |
+
result.
|
295 |
+
|
296 |
+
"""
|
297 |
+
if vec_func:
|
298 |
+
def vfunc(x):
|
299 |
+
return func(x, *args)
|
300 |
+
else:
|
301 |
+
def vfunc(x):
|
302 |
+
if np.isscalar(x):
|
303 |
+
return func(x, *args)
|
304 |
+
x = np.asarray(x)
|
305 |
+
# call with first point to get output type
|
306 |
+
y0 = func(x[0], *args)
|
307 |
+
n = len(x)
|
308 |
+
dtype = getattr(y0, 'dtype', type(y0))
|
309 |
+
output = np.empty((n,), dtype=dtype)
|
310 |
+
output[0] = y0
|
311 |
+
for i in range(1, n):
|
312 |
+
output[i] = func(x[i], *args)
|
313 |
+
return output
|
314 |
+
return vfunc
|
315 |
+
|
316 |
+
|
317 |
+
@_deprecated("`scipy.integrate.quadrature` is deprecated as of SciPy 1.12.0"
|
318 |
+
"and will be removed in SciPy 1.15.0. Please use"
|
319 |
+
"`scipy.integrate.quad` instead.")
|
320 |
+
def quadrature(func, a, b, args=(), tol=1.49e-8, rtol=1.49e-8, maxiter=50,
|
321 |
+
vec_func=True, miniter=1):
|
322 |
+
"""
|
323 |
+
Compute a definite integral using fixed-tolerance Gaussian quadrature.
|
324 |
+
|
325 |
+
.. deprecated:: 1.12.0
|
326 |
+
|
327 |
+
This function is deprecated as of SciPy 1.12.0 and will be removed
|
328 |
+
in SciPy 1.15.0. Please use `scipy.integrate.quad` instead.
|
329 |
+
|
330 |
+
Integrate `func` from `a` to `b` using Gaussian quadrature
|
331 |
+
with absolute tolerance `tol`.
|
332 |
+
|
333 |
+
Parameters
|
334 |
+
----------
|
335 |
+
func : function
|
336 |
+
A Python function or method to integrate.
|
337 |
+
a : float
|
338 |
+
Lower limit of integration.
|
339 |
+
b : float
|
340 |
+
Upper limit of integration.
|
341 |
+
args : tuple, optional
|
342 |
+
Extra arguments to pass to function.
|
343 |
+
tol, rtol : float, optional
|
344 |
+
Iteration stops when error between last two iterates is less than
|
345 |
+
`tol` OR the relative change is less than `rtol`.
|
346 |
+
maxiter : int, optional
|
347 |
+
Maximum order of Gaussian quadrature.
|
348 |
+
vec_func : bool, optional
|
349 |
+
True or False if func handles arrays as arguments (is
|
350 |
+
a "vector" function). Default is True.
|
351 |
+
miniter : int, optional
|
352 |
+
Minimum order of Gaussian quadrature.
|
353 |
+
|
354 |
+
Returns
|
355 |
+
-------
|
356 |
+
val : float
|
357 |
+
Gaussian quadrature approximation (within tolerance) to integral.
|
358 |
+
err : float
|
359 |
+
Difference between last two estimates of the integral.
|
360 |
+
|
361 |
+
See Also
|
362 |
+
--------
|
363 |
+
romberg : adaptive Romberg quadrature
|
364 |
+
fixed_quad : fixed-order Gaussian quadrature
|
365 |
+
quad : adaptive quadrature using QUADPACK
|
366 |
+
dblquad : double integrals
|
367 |
+
tplquad : triple integrals
|
368 |
+
romb : integrator for sampled data
|
369 |
+
simpson : integrator for sampled data
|
370 |
+
cumulative_trapezoid : cumulative integration for sampled data
|
371 |
+
ode : ODE integrator
|
372 |
+
odeint : ODE integrator
|
373 |
+
|
374 |
+
Examples
|
375 |
+
--------
|
376 |
+
>>> from scipy import integrate
|
377 |
+
>>> import numpy as np
|
378 |
+
>>> f = lambda x: x**8
|
379 |
+
>>> integrate.quadrature(f, 0.0, 1.0)
|
380 |
+
(0.11111111111111106, 4.163336342344337e-17)
|
381 |
+
>>> print(1/9.0) # analytical result
|
382 |
+
0.1111111111111111
|
383 |
+
|
384 |
+
>>> integrate.quadrature(np.cos, 0.0, np.pi/2)
|
385 |
+
(0.9999999999999536, 3.9611425250996035e-11)
|
386 |
+
>>> np.sin(np.pi/2)-np.sin(0) # analytical result
|
387 |
+
1.0
|
388 |
+
|
389 |
+
"""
|
390 |
+
if not isinstance(args, tuple):
|
391 |
+
args = (args,)
|
392 |
+
vfunc = vectorize1(func, args, vec_func=vec_func)
|
393 |
+
val = np.inf
|
394 |
+
err = np.inf
|
395 |
+
maxiter = max(miniter+1, maxiter)
|
396 |
+
for n in range(miniter, maxiter+1):
|
397 |
+
newval = fixed_quad(vfunc, a, b, (), n)[0]
|
398 |
+
err = abs(newval-val)
|
399 |
+
val = newval
|
400 |
+
|
401 |
+
if err < tol or err < rtol*abs(val):
|
402 |
+
break
|
403 |
+
else:
|
404 |
+
warnings.warn(
|
405 |
+
"maxiter (%d) exceeded. Latest difference = %e" % (maxiter, err),
|
406 |
+
AccuracyWarning, stacklevel=2
|
407 |
+
)
|
408 |
+
return val, err
|
409 |
+
|
410 |
+
|
411 |
+
def tupleset(t, i, value):
|
412 |
+
l = list(t)
|
413 |
+
l[i] = value
|
414 |
+
return tuple(l)
|
415 |
+
|
416 |
+
|
417 |
+
# Note: alias kept for backwards compatibility. Rename was done
|
418 |
+
# because cumtrapz is a slur in colloquial English (see gh-12924).
|
419 |
+
def cumtrapz(y, x=None, dx=1.0, axis=-1, initial=None):
|
420 |
+
"""An alias of `cumulative_trapezoid`.
|
421 |
+
|
422 |
+
`cumtrapz` is kept for backwards compatibility. For new code, prefer
|
423 |
+
`cumulative_trapezoid` instead.
|
424 |
+
"""
|
425 |
+
msg = ("'scipy.integrate.cumtrapz' is deprecated in favour of "
|
426 |
+
"'scipy.integrate.cumulative_trapezoid' and will be removed "
|
427 |
+
"in SciPy 1.14.0")
|
428 |
+
warnings.warn(msg, DeprecationWarning, stacklevel=2)
|
429 |
+
return cumulative_trapezoid(y, x=x, dx=dx, axis=axis, initial=initial)
|
430 |
+
|
431 |
+
|
432 |
+
def cumulative_trapezoid(y, x=None, dx=1.0, axis=-1, initial=None):
|
433 |
+
"""
|
434 |
+
Cumulatively integrate y(x) using the composite trapezoidal rule.
|
435 |
+
|
436 |
+
Parameters
|
437 |
+
----------
|
438 |
+
y : array_like
|
439 |
+
Values to integrate.
|
440 |
+
x : array_like, optional
|
441 |
+
The coordinate to integrate along. If None (default), use spacing `dx`
|
442 |
+
between consecutive elements in `y`.
|
443 |
+
dx : float, optional
|
444 |
+
Spacing between elements of `y`. Only used if `x` is None.
|
445 |
+
axis : int, optional
|
446 |
+
Specifies the axis to cumulate. Default is -1 (last axis).
|
447 |
+
initial : scalar, optional
|
448 |
+
If given, insert this value at the beginning of the returned result.
|
449 |
+
0 or None are the only values accepted. Default is None, which means
|
450 |
+
`res` has one element less than `y` along the axis of integration.
|
451 |
+
|
452 |
+
.. deprecated:: 1.12.0
|
453 |
+
The option for non-zero inputs for `initial` will be deprecated in
|
454 |
+
SciPy 1.15.0. After this time, a ValueError will be raised if
|
455 |
+
`initial` is not None or 0.
|
456 |
+
|
457 |
+
Returns
|
458 |
+
-------
|
459 |
+
res : ndarray
|
460 |
+
The result of cumulative integration of `y` along `axis`.
|
461 |
+
If `initial` is None, the shape is such that the axis of integration
|
462 |
+
has one less value than `y`. If `initial` is given, the shape is equal
|
463 |
+
to that of `y`.
|
464 |
+
|
465 |
+
See Also
|
466 |
+
--------
|
467 |
+
numpy.cumsum, numpy.cumprod
|
468 |
+
cumulative_simpson : cumulative integration using Simpson's 1/3 rule
|
469 |
+
quad : adaptive quadrature using QUADPACK
|
470 |
+
romberg : adaptive Romberg quadrature
|
471 |
+
quadrature : adaptive Gaussian quadrature
|
472 |
+
fixed_quad : fixed-order Gaussian quadrature
|
473 |
+
dblquad : double integrals
|
474 |
+
tplquad : triple integrals
|
475 |
+
romb : integrators for sampled data
|
476 |
+
ode : ODE integrators
|
477 |
+
odeint : ODE integrators
|
478 |
+
|
479 |
+
Examples
|
480 |
+
--------
|
481 |
+
>>> from scipy import integrate
|
482 |
+
>>> import numpy as np
|
483 |
+
>>> import matplotlib.pyplot as plt
|
484 |
+
|
485 |
+
>>> x = np.linspace(-2, 2, num=20)
|
486 |
+
>>> y = x
|
487 |
+
>>> y_int = integrate.cumulative_trapezoid(y, x, initial=0)
|
488 |
+
>>> plt.plot(x, y_int, 'ro', x, y[0] + 0.5 * x**2, 'b-')
|
489 |
+
>>> plt.show()
|
490 |
+
|
491 |
+
"""
|
492 |
+
y = np.asarray(y)
|
493 |
+
if y.shape[axis] == 0:
|
494 |
+
raise ValueError("At least one point is required along `axis`.")
|
495 |
+
if x is None:
|
496 |
+
d = dx
|
497 |
+
else:
|
498 |
+
x = np.asarray(x)
|
499 |
+
if x.ndim == 1:
|
500 |
+
d = np.diff(x)
|
501 |
+
# reshape to correct shape
|
502 |
+
shape = [1] * y.ndim
|
503 |
+
shape[axis] = -1
|
504 |
+
d = d.reshape(shape)
|
505 |
+
elif len(x.shape) != len(y.shape):
|
506 |
+
raise ValueError("If given, shape of x must be 1-D or the "
|
507 |
+
"same as y.")
|
508 |
+
else:
|
509 |
+
d = np.diff(x, axis=axis)
|
510 |
+
|
511 |
+
if d.shape[axis] != y.shape[axis] - 1:
|
512 |
+
raise ValueError("If given, length of x along axis must be the "
|
513 |
+
"same as y.")
|
514 |
+
|
515 |
+
nd = len(y.shape)
|
516 |
+
slice1 = tupleset((slice(None),)*nd, axis, slice(1, None))
|
517 |
+
slice2 = tupleset((slice(None),)*nd, axis, slice(None, -1))
|
518 |
+
res = np.cumsum(d * (y[slice1] + y[slice2]) / 2.0, axis=axis)
|
519 |
+
|
520 |
+
if initial is not None:
|
521 |
+
if initial != 0:
|
522 |
+
warnings.warn(
|
523 |
+
"The option for values for `initial` other than None or 0 is "
|
524 |
+
"deprecated as of SciPy 1.12.0 and will raise a value error in"
|
525 |
+
" SciPy 1.15.0.",
|
526 |
+
DeprecationWarning, stacklevel=2
|
527 |
+
)
|
528 |
+
if not np.isscalar(initial):
|
529 |
+
raise ValueError("`initial` parameter should be a scalar.")
|
530 |
+
|
531 |
+
shape = list(res.shape)
|
532 |
+
shape[axis] = 1
|
533 |
+
res = np.concatenate([np.full(shape, initial, dtype=res.dtype), res],
|
534 |
+
axis=axis)
|
535 |
+
|
536 |
+
return res
|
537 |
+
|
538 |
+
|
539 |
+
def _basic_simpson(y, start, stop, x, dx, axis):
|
540 |
+
nd = len(y.shape)
|
541 |
+
if start is None:
|
542 |
+
start = 0
|
543 |
+
step = 2
|
544 |
+
slice_all = (slice(None),)*nd
|
545 |
+
slice0 = tupleset(slice_all, axis, slice(start, stop, step))
|
546 |
+
slice1 = tupleset(slice_all, axis, slice(start+1, stop+1, step))
|
547 |
+
slice2 = tupleset(slice_all, axis, slice(start+2, stop+2, step))
|
548 |
+
|
549 |
+
if x is None: # Even-spaced Simpson's rule.
|
550 |
+
result = np.sum(y[slice0] + 4.0*y[slice1] + y[slice2], axis=axis)
|
551 |
+
result *= dx / 3.0
|
552 |
+
else:
|
553 |
+
# Account for possibly different spacings.
|
554 |
+
# Simpson's rule changes a bit.
|
555 |
+
h = np.diff(x, axis=axis)
|
556 |
+
sl0 = tupleset(slice_all, axis, slice(start, stop, step))
|
557 |
+
sl1 = tupleset(slice_all, axis, slice(start+1, stop+1, step))
|
558 |
+
h0 = h[sl0].astype(float, copy=False)
|
559 |
+
h1 = h[sl1].astype(float, copy=False)
|
560 |
+
hsum = h0 + h1
|
561 |
+
hprod = h0 * h1
|
562 |
+
h0divh1 = np.true_divide(h0, h1, out=np.zeros_like(h0), where=h1 != 0)
|
563 |
+
tmp = hsum/6.0 * (y[slice0] *
|
564 |
+
(2.0 - np.true_divide(1.0, h0divh1,
|
565 |
+
out=np.zeros_like(h0divh1),
|
566 |
+
where=h0divh1 != 0)) +
|
567 |
+
y[slice1] * (hsum *
|
568 |
+
np.true_divide(hsum, hprod,
|
569 |
+
out=np.zeros_like(hsum),
|
570 |
+
where=hprod != 0)) +
|
571 |
+
y[slice2] * (2.0 - h0divh1))
|
572 |
+
result = np.sum(tmp, axis=axis)
|
573 |
+
return result
|
574 |
+
|
575 |
+
|
576 |
+
# Note: alias kept for backwards compatibility. simps was renamed to simpson
|
577 |
+
# because the former is a slur in colloquial English (see gh-12924).
|
578 |
+
def simps(y, x=None, dx=1.0, axis=-1, even=_NoValue):
|
579 |
+
"""An alias of `simpson`.
|
580 |
+
|
581 |
+
`simps` is kept for backwards compatibility. For new code, prefer
|
582 |
+
`simpson` instead.
|
583 |
+
"""
|
584 |
+
msg = ("'scipy.integrate.simps' is deprecated in favour of "
|
585 |
+
"'scipy.integrate.simpson' and will be removed in SciPy 1.14.0")
|
586 |
+
warnings.warn(msg, DeprecationWarning, stacklevel=2)
|
587 |
+
# we don't deprecate positional use as the wrapper is going away completely
|
588 |
+
return simpson(y, x=x, dx=dx, axis=axis, even=even)
|
589 |
+
|
590 |
+
|
591 |
+
@_deprecate_positional_args(version="1.14")
|
592 |
+
def simpson(y, *, x=None, dx=1.0, axis=-1, even=_NoValue):
|
593 |
+
"""
|
594 |
+
Integrate y(x) using samples along the given axis and the composite
|
595 |
+
Simpson's rule. If x is None, spacing of dx is assumed.
|
596 |
+
|
597 |
+
If there are an even number of samples, N, then there are an odd
|
598 |
+
number of intervals (N-1), but Simpson's rule requires an even number
|
599 |
+
of intervals. The parameter 'even' controls how this is handled.
|
600 |
+
|
601 |
+
Parameters
|
602 |
+
----------
|
603 |
+
y : array_like
|
604 |
+
Array to be integrated.
|
605 |
+
x : array_like, optional
|
606 |
+
If given, the points at which `y` is sampled.
|
607 |
+
dx : float, optional
|
608 |
+
Spacing of integration points along axis of `x`. Only used when
|
609 |
+
`x` is None. Default is 1.
|
610 |
+
axis : int, optional
|
611 |
+
Axis along which to integrate. Default is the last axis.
|
612 |
+
even : {None, 'simpson', 'avg', 'first', 'last'}, optional
|
613 |
+
'avg' : Average two results:
|
614 |
+
1) use the first N-2 intervals with
|
615 |
+
a trapezoidal rule on the last interval and
|
616 |
+
2) use the last
|
617 |
+
N-2 intervals with a trapezoidal rule on the first interval.
|
618 |
+
|
619 |
+
'first' : Use Simpson's rule for the first N-2 intervals with
|
620 |
+
a trapezoidal rule on the last interval.
|
621 |
+
|
622 |
+
'last' : Use Simpson's rule for the last N-2 intervals with a
|
623 |
+
trapezoidal rule on the first interval.
|
624 |
+
|
625 |
+
None : equivalent to 'simpson' (default)
|
626 |
+
|
627 |
+
'simpson' : Use Simpson's rule for the first N-2 intervals with the
|
628 |
+
addition of a 3-point parabolic segment for the last
|
629 |
+
interval using equations outlined by Cartwright [1]_.
|
630 |
+
If the axis to be integrated over only has two points then
|
631 |
+
the integration falls back to a trapezoidal integration.
|
632 |
+
|
633 |
+
.. versionadded:: 1.11.0
|
634 |
+
|
635 |
+
.. versionchanged:: 1.11.0
|
636 |
+
The newly added 'simpson' option is now the default as it is more
|
637 |
+
accurate in most situations.
|
638 |
+
|
639 |
+
.. deprecated:: 1.11.0
|
640 |
+
Parameter `even` is deprecated and will be removed in SciPy
|
641 |
+
1.14.0. After this time the behaviour for an even number of
|
642 |
+
points will follow that of `even='simpson'`.
|
643 |
+
|
644 |
+
Returns
|
645 |
+
-------
|
646 |
+
float
|
647 |
+
The estimated integral computed with the composite Simpson's rule.
|
648 |
+
|
649 |
+
See Also
|
650 |
+
--------
|
651 |
+
quad : adaptive quadrature using QUADPACK
|
652 |
+
romberg : adaptive Romberg quadrature
|
653 |
+
quadrature : adaptive Gaussian quadrature
|
654 |
+
fixed_quad : fixed-order Gaussian quadrature
|
655 |
+
dblquad : double integrals
|
656 |
+
tplquad : triple integrals
|
657 |
+
romb : integrators for sampled data
|
658 |
+
cumulative_trapezoid : cumulative integration for sampled data
|
659 |
+
cumulative_simpson : cumulative integration using Simpson's 1/3 rule
|
660 |
+
ode : ODE integrators
|
661 |
+
odeint : ODE integrators
|
662 |
+
|
663 |
+
Notes
|
664 |
+
-----
|
665 |
+
For an odd number of samples that are equally spaced the result is
|
666 |
+
exact if the function is a polynomial of order 3 or less. If
|
667 |
+
the samples are not equally spaced, then the result is exact only
|
668 |
+
if the function is a polynomial of order 2 or less.
|
669 |
+
|
670 |
+
References
|
671 |
+
----------
|
672 |
+
.. [1] Cartwright, Kenneth V. Simpson's Rule Cumulative Integration with
|
673 |
+
MS Excel and Irregularly-spaced Data. Journal of Mathematical
|
674 |
+
Sciences and Mathematics Education. 12 (2): 1-9
|
675 |
+
|
676 |
+
Examples
|
677 |
+
--------
|
678 |
+
>>> from scipy import integrate
|
679 |
+
>>> import numpy as np
|
680 |
+
>>> x = np.arange(0, 10)
|
681 |
+
>>> y = np.arange(0, 10)
|
682 |
+
|
683 |
+
>>> integrate.simpson(y, x=x)
|
684 |
+
40.5
|
685 |
+
|
686 |
+
>>> y = np.power(x, 3)
|
687 |
+
>>> integrate.simpson(y, x=x)
|
688 |
+
1640.5
|
689 |
+
>>> integrate.quad(lambda x: x**3, 0, 9)[0]
|
690 |
+
1640.25
|
691 |
+
|
692 |
+
>>> integrate.simpson(y, x=x, even='first')
|
693 |
+
1644.5
|
694 |
+
|
695 |
+
"""
|
696 |
+
y = np.asarray(y)
|
697 |
+
nd = len(y.shape)
|
698 |
+
N = y.shape[axis]
|
699 |
+
last_dx = dx
|
700 |
+
first_dx = dx
|
701 |
+
returnshape = 0
|
702 |
+
if x is not None:
|
703 |
+
x = np.asarray(x)
|
704 |
+
if len(x.shape) == 1:
|
705 |
+
shapex = [1] * nd
|
706 |
+
shapex[axis] = x.shape[0]
|
707 |
+
saveshape = x.shape
|
708 |
+
returnshape = 1
|
709 |
+
x = x.reshape(tuple(shapex))
|
710 |
+
elif len(x.shape) != len(y.shape):
|
711 |
+
raise ValueError("If given, shape of x must be 1-D or the "
|
712 |
+
"same as y.")
|
713 |
+
if x.shape[axis] != N:
|
714 |
+
raise ValueError("If given, length of x along axis must be the "
|
715 |
+
"same as y.")
|
716 |
+
|
717 |
+
# even keyword parameter is deprecated
|
718 |
+
if even is not _NoValue:
|
719 |
+
warnings.warn(
|
720 |
+
"The 'even' keyword is deprecated as of SciPy 1.11.0 and will be "
|
721 |
+
"removed in SciPy 1.14.0",
|
722 |
+
DeprecationWarning, stacklevel=2
|
723 |
+
)
|
724 |
+
|
725 |
+
if N % 2 == 0:
|
726 |
+
val = 0.0
|
727 |
+
result = 0.0
|
728 |
+
slice_all = (slice(None),) * nd
|
729 |
+
|
730 |
+
# default is 'simpson'
|
731 |
+
even = even if even not in (_NoValue, None) else "simpson"
|
732 |
+
|
733 |
+
if even not in ['avg', 'last', 'first', 'simpson']:
|
734 |
+
raise ValueError(
|
735 |
+
"Parameter 'even' must be 'simpson', "
|
736 |
+
"'avg', 'last', or 'first'."
|
737 |
+
)
|
738 |
+
|
739 |
+
if N == 2:
|
740 |
+
# need at least 3 points in integration axis to form parabolic
|
741 |
+
# segment. If there are two points then any of 'avg', 'first',
|
742 |
+
# 'last' should give the same result.
|
743 |
+
slice1 = tupleset(slice_all, axis, -1)
|
744 |
+
slice2 = tupleset(slice_all, axis, -2)
|
745 |
+
if x is not None:
|
746 |
+
last_dx = x[slice1] - x[slice2]
|
747 |
+
val += 0.5 * last_dx * (y[slice1] + y[slice2])
|
748 |
+
|
749 |
+
# calculation is finished. Set `even` to None to skip other
|
750 |
+
# scenarios
|
751 |
+
even = None
|
752 |
+
|
753 |
+
if even == 'simpson':
|
754 |
+
# use Simpson's rule on first intervals
|
755 |
+
result = _basic_simpson(y, 0, N-3, x, dx, axis)
|
756 |
+
|
757 |
+
slice1 = tupleset(slice_all, axis, -1)
|
758 |
+
slice2 = tupleset(slice_all, axis, -2)
|
759 |
+
slice3 = tupleset(slice_all, axis, -3)
|
760 |
+
|
761 |
+
h = np.asarray([dx, dx], dtype=np.float64)
|
762 |
+
if x is not None:
|
763 |
+
# grab the last two spacings from the appropriate axis
|
764 |
+
hm2 = tupleset(slice_all, axis, slice(-2, -1, 1))
|
765 |
+
hm1 = tupleset(slice_all, axis, slice(-1, None, 1))
|
766 |
+
|
767 |
+
diffs = np.float64(np.diff(x, axis=axis))
|
768 |
+
h = [np.squeeze(diffs[hm2], axis=axis),
|
769 |
+
np.squeeze(diffs[hm1], axis=axis)]
|
770 |
+
|
771 |
+
# This is the correction for the last interval according to
|
772 |
+
# Cartwright.
|
773 |
+
# However, I used the equations given at
|
774 |
+
# https://en.wikipedia.org/wiki/Simpson%27s_rule#Composite_Simpson's_rule_for_irregularly_spaced_data
|
775 |
+
# A footnote on Wikipedia says:
|
776 |
+
# Cartwright 2017, Equation 8. The equation in Cartwright is
|
777 |
+
# calculating the first interval whereas the equations in the
|
778 |
+
# Wikipedia article are adjusting for the last integral. If the
|
779 |
+
# proper algebraic substitutions are made, the equation results in
|
780 |
+
# the values shown.
|
781 |
+
num = 2 * h[1] ** 2 + 3 * h[0] * h[1]
|
782 |
+
den = 6 * (h[1] + h[0])
|
783 |
+
alpha = np.true_divide(
|
784 |
+
num,
|
785 |
+
den,
|
786 |
+
out=np.zeros_like(den),
|
787 |
+
where=den != 0
|
788 |
+
)
|
789 |
+
|
790 |
+
num = h[1] ** 2 + 3.0 * h[0] * h[1]
|
791 |
+
den = 6 * h[0]
|
792 |
+
beta = np.true_divide(
|
793 |
+
num,
|
794 |
+
den,
|
795 |
+
out=np.zeros_like(den),
|
796 |
+
where=den != 0
|
797 |
+
)
|
798 |
+
|
799 |
+
num = 1 * h[1] ** 3
|
800 |
+
den = 6 * h[0] * (h[0] + h[1])
|
801 |
+
eta = np.true_divide(
|
802 |
+
num,
|
803 |
+
den,
|
804 |
+
out=np.zeros_like(den),
|
805 |
+
where=den != 0
|
806 |
+
)
|
807 |
+
|
808 |
+
result += alpha*y[slice1] + beta*y[slice2] - eta*y[slice3]
|
809 |
+
|
810 |
+
# The following code (down to result=result+val) can be removed
|
811 |
+
# once the 'even' keyword is removed.
|
812 |
+
|
813 |
+
# Compute using Simpson's rule on first intervals
|
814 |
+
if even in ['avg', 'first']:
|
815 |
+
slice1 = tupleset(slice_all, axis, -1)
|
816 |
+
slice2 = tupleset(slice_all, axis, -2)
|
817 |
+
if x is not None:
|
818 |
+
last_dx = x[slice1] - x[slice2]
|
819 |
+
val += 0.5*last_dx*(y[slice1]+y[slice2])
|
820 |
+
result = _basic_simpson(y, 0, N-3, x, dx, axis)
|
821 |
+
# Compute using Simpson's rule on last set of intervals
|
822 |
+
if even in ['avg', 'last']:
|
823 |
+
slice1 = tupleset(slice_all, axis, 0)
|
824 |
+
slice2 = tupleset(slice_all, axis, 1)
|
825 |
+
if x is not None:
|
826 |
+
first_dx = x[tuple(slice2)] - x[tuple(slice1)]
|
827 |
+
val += 0.5*first_dx*(y[slice2]+y[slice1])
|
828 |
+
result += _basic_simpson(y, 1, N-2, x, dx, axis)
|
829 |
+
if even == 'avg':
|
830 |
+
val /= 2.0
|
831 |
+
result /= 2.0
|
832 |
+
result = result + val
|
833 |
+
else:
|
834 |
+
result = _basic_simpson(y, 0, N-2, x, dx, axis)
|
835 |
+
if returnshape:
|
836 |
+
x = x.reshape(saveshape)
|
837 |
+
return result
|
838 |
+
|
839 |
+
|
840 |
+
def _cumulatively_sum_simpson_integrals(
|
841 |
+
y: np.ndarray,
|
842 |
+
dx: np.ndarray,
|
843 |
+
integration_func: Callable[[np.ndarray, np.ndarray], np.ndarray],
|
844 |
+
) -> np.ndarray:
|
845 |
+
"""Calculate cumulative sum of Simpson integrals.
|
846 |
+
Takes as input the integration function to be used.
|
847 |
+
The integration_func is assumed to return the cumulative sum using
|
848 |
+
composite Simpson's rule. Assumes the axis of summation is -1.
|
849 |
+
"""
|
850 |
+
sub_integrals_h1 = integration_func(y, dx)
|
851 |
+
sub_integrals_h2 = integration_func(y[..., ::-1], dx[..., ::-1])[..., ::-1]
|
852 |
+
|
853 |
+
shape = list(sub_integrals_h1.shape)
|
854 |
+
shape[-1] += 1
|
855 |
+
sub_integrals = np.empty(shape)
|
856 |
+
sub_integrals[..., :-1:2] = sub_integrals_h1[..., ::2]
|
857 |
+
sub_integrals[..., 1::2] = sub_integrals_h2[..., ::2]
|
858 |
+
# Integral over last subinterval can only be calculated from
|
859 |
+
# formula for h2
|
860 |
+
sub_integrals[..., -1] = sub_integrals_h2[..., -1]
|
861 |
+
res = np.cumsum(sub_integrals, axis=-1)
|
862 |
+
return res
|
863 |
+
|
864 |
+
|
865 |
+
def _cumulative_simpson_equal_intervals(y: np.ndarray, dx: np.ndarray) -> np.ndarray:
|
866 |
+
"""Calculate the Simpson integrals for all h1 intervals assuming equal interval
|
867 |
+
widths. The function can also be used to calculate the integral for all
|
868 |
+
h2 intervals by reversing the inputs, `y` and `dx`.
|
869 |
+
"""
|
870 |
+
d = dx[..., :-1]
|
871 |
+
f1 = y[..., :-2]
|
872 |
+
f2 = y[..., 1:-1]
|
873 |
+
f3 = y[..., 2:]
|
874 |
+
|
875 |
+
# Calculate integral over the subintervals (eqn (10) of Reference [2])
|
876 |
+
return d / 3 * (5 * f1 / 4 + 2 * f2 - f3 / 4)
|
877 |
+
|
878 |
+
|
879 |
+
def _cumulative_simpson_unequal_intervals(y: np.ndarray, dx: np.ndarray) -> np.ndarray:
|
880 |
+
"""Calculate the Simpson integrals for all h1 intervals assuming unequal interval
|
881 |
+
widths. The function can also be used to calculate the integral for all
|
882 |
+
h2 intervals by reversing the inputs, `y` and `dx`.
|
883 |
+
"""
|
884 |
+
x21 = dx[..., :-1]
|
885 |
+
x32 = dx[..., 1:]
|
886 |
+
f1 = y[..., :-2]
|
887 |
+
f2 = y[..., 1:-1]
|
888 |
+
f3 = y[..., 2:]
|
889 |
+
|
890 |
+
x31 = x21 + x32
|
891 |
+
x21_x31 = x21/x31
|
892 |
+
x21_x32 = x21/x32
|
893 |
+
x21x21_x31x32 = x21_x31 * x21_x32
|
894 |
+
|
895 |
+
# Calculate integral over the subintervals (eqn (8) of Reference [2])
|
896 |
+
coeff1 = 3 - x21_x31
|
897 |
+
coeff2 = 3 + x21x21_x31x32 + x21_x31
|
898 |
+
coeff3 = -x21x21_x31x32
|
899 |
+
|
900 |
+
return x21/6 * (coeff1*f1 + coeff2*f2 + coeff3*f3)
|
901 |
+
|
902 |
+
|
903 |
+
def _ensure_float_array(arr: npt.ArrayLike) -> np.ndarray:
|
904 |
+
arr = np.asarray(arr)
|
905 |
+
if np.issubdtype(arr.dtype, np.integer):
|
906 |
+
arr = arr.astype(float, copy=False)
|
907 |
+
return arr
|
908 |
+
|
909 |
+
|
910 |
+
def cumulative_simpson(y, *, x=None, dx=1.0, axis=-1, initial=None):
|
911 |
+
r"""
|
912 |
+
Cumulatively integrate y(x) using the composite Simpson's 1/3 rule.
|
913 |
+
The integral of the samples at every point is calculated by assuming a
|
914 |
+
quadratic relationship between each point and the two adjacent points.
|
915 |
+
|
916 |
+
Parameters
|
917 |
+
----------
|
918 |
+
y : array_like
|
919 |
+
Values to integrate. Requires at least one point along `axis`. If two or fewer
|
920 |
+
points are provided along `axis`, Simpson's integration is not possible and the
|
921 |
+
result is calculated with `cumulative_trapezoid`.
|
922 |
+
x : array_like, optional
|
923 |
+
The coordinate to integrate along. Must have the same shape as `y` or
|
924 |
+
must be 1D with the same length as `y` along `axis`. `x` must also be
|
925 |
+
strictly increasing along `axis`.
|
926 |
+
If `x` is None (default), integration is performed using spacing `dx`
|
927 |
+
between consecutive elements in `y`.
|
928 |
+
dx : scalar or array_like, optional
|
929 |
+
Spacing between elements of `y`. Only used if `x` is None. Can either
|
930 |
+
be a float, or an array with the same shape as `y`, but of length one along
|
931 |
+
`axis`. Default is 1.0.
|
932 |
+
axis : int, optional
|
933 |
+
Specifies the axis to integrate along. Default is -1 (last axis).
|
934 |
+
initial : scalar or array_like, optional
|
935 |
+
If given, insert this value at the beginning of the returned result,
|
936 |
+
and add it to the rest of the result. Default is None, which means no
|
937 |
+
value at ``x[0]`` is returned and `res` has one element less than `y`
|
938 |
+
along the axis of integration. Can either be a float, or an array with
|
939 |
+
the same shape as `y`, but of length one along `axis`.
|
940 |
+
|
941 |
+
Returns
|
942 |
+
-------
|
943 |
+
res : ndarray
|
944 |
+
The result of cumulative integration of `y` along `axis`.
|
945 |
+
If `initial` is None, the shape is such that the axis of integration
|
946 |
+
has one less value than `y`. If `initial` is given, the shape is equal
|
947 |
+
to that of `y`.
|
948 |
+
|
949 |
+
See Also
|
950 |
+
--------
|
951 |
+
numpy.cumsum
|
952 |
+
cumulative_trapezoid : cumulative integration using the composite
|
953 |
+
trapezoidal rule
|
954 |
+
simpson : integrator for sampled data using the Composite Simpson's Rule
|
955 |
+
|
956 |
+
Notes
|
957 |
+
-----
|
958 |
+
|
959 |
+
.. versionadded:: 1.12.0
|
960 |
+
|
961 |
+
The composite Simpson's 1/3 method can be used to approximate the definite
|
962 |
+
integral of a sampled input function :math:`y(x)` [1]_. The method assumes
|
963 |
+
a quadratic relationship over the interval containing any three consecutive
|
964 |
+
sampled points.
|
965 |
+
|
966 |
+
Consider three consecutive points:
|
967 |
+
:math:`(x_1, y_1), (x_2, y_2), (x_3, y_3)`.
|
968 |
+
|
969 |
+
Assuming a quadratic relationship over the three points, the integral over
|
970 |
+
the subinterval between :math:`x_1` and :math:`x_2` is given by formula
|
971 |
+
(8) of [2]_:
|
972 |
+
|
973 |
+
.. math::
|
974 |
+
\int_{x_1}^{x_2} y(x) dx\ &= \frac{x_2-x_1}{6}\left[\
|
975 |
+
\left\{3-\frac{x_2-x_1}{x_3-x_1}\right\} y_1 + \
|
976 |
+
\left\{3 + \frac{(x_2-x_1)^2}{(x_3-x_2)(x_3-x_1)} + \
|
977 |
+
\frac{x_2-x_1}{x_3-x_1}\right\} y_2\\
|
978 |
+
- \frac{(x_2-x_1)^2}{(x_3-x_2)(x_3-x_1)} y_3\right]
|
979 |
+
|
980 |
+
The integral between :math:`x_2` and :math:`x_3` is given by swapping
|
981 |
+
appearances of :math:`x_1` and :math:`x_3`. The integral is estimated
|
982 |
+
separately for each subinterval and then cumulatively summed to obtain
|
983 |
+
the final result.
|
984 |
+
|
985 |
+
For samples that are equally spaced, the result is exact if the function
|
986 |
+
is a polynomial of order three or less [1]_ and the number of subintervals
|
987 |
+
is even. Otherwise, the integral is exact for polynomials of order two or
|
988 |
+
less.
|
989 |
+
|
990 |
+
References
|
991 |
+
----------
|
992 |
+
.. [1] Wikipedia page: https://en.wikipedia.org/wiki/Simpson's_rule
|
993 |
+
.. [2] Cartwright, Kenneth V. Simpson's Rule Cumulative Integration with
|
994 |
+
MS Excel and Irregularly-spaced Data. Journal of Mathematical
|
995 |
+
Sciences and Mathematics Education. 12 (2): 1-9
|
996 |
+
|
997 |
+
Examples
|
998 |
+
--------
|
999 |
+
>>> from scipy import integrate
|
1000 |
+
>>> import numpy as np
|
1001 |
+
>>> import matplotlib.pyplot as plt
|
1002 |
+
>>> x = np.linspace(-2, 2, num=20)
|
1003 |
+
>>> y = x**2
|
1004 |
+
>>> y_int = integrate.cumulative_simpson(y, x=x, initial=0)
|
1005 |
+
>>> fig, ax = plt.subplots()
|
1006 |
+
>>> ax.plot(x, y_int, 'ro', x, x**3/3 - (x[0])**3/3, 'b-')
|
1007 |
+
>>> ax.grid()
|
1008 |
+
>>> plt.show()
|
1009 |
+
|
1010 |
+
The output of `cumulative_simpson` is similar to that of iteratively
|
1011 |
+
calling `simpson` with successively higher upper limits of integration, but
|
1012 |
+
not identical.
|
1013 |
+
|
1014 |
+
>>> def cumulative_simpson_reference(y, x):
|
1015 |
+
... return np.asarray([integrate.simpson(y[:i], x=x[:i])
|
1016 |
+
... for i in range(2, len(y) + 1)])
|
1017 |
+
>>>
|
1018 |
+
>>> rng = np.random.default_rng(354673834679465)
|
1019 |
+
>>> x, y = rng.random(size=(2, 10))
|
1020 |
+
>>> x.sort()
|
1021 |
+
>>>
|
1022 |
+
>>> res = integrate.cumulative_simpson(y, x=x)
|
1023 |
+
>>> ref = cumulative_simpson_reference(y, x)
|
1024 |
+
>>> equal = np.abs(res - ref) < 1e-15
|
1025 |
+
>>> equal # not equal when `simpson` has even number of subintervals
|
1026 |
+
array([False, True, False, True, False, True, False, True, True])
|
1027 |
+
|
1028 |
+
This is expected: because `cumulative_simpson` has access to more
|
1029 |
+
information than `simpson`, it can typically produce more accurate
|
1030 |
+
estimates of the underlying integral over subintervals.
|
1031 |
+
|
1032 |
+
"""
|
1033 |
+
y = _ensure_float_array(y)
|
1034 |
+
|
1035 |
+
# validate `axis` and standardize to work along the last axis
|
1036 |
+
original_y = y
|
1037 |
+
original_shape = y.shape
|
1038 |
+
try:
|
1039 |
+
y = np.swapaxes(y, axis, -1)
|
1040 |
+
except IndexError as e:
|
1041 |
+
message = f"`axis={axis}` is not valid for `y` with `y.ndim={y.ndim}`."
|
1042 |
+
raise ValueError(message) from e
|
1043 |
+
if y.shape[-1] < 3:
|
1044 |
+
res = cumulative_trapezoid(original_y, x, dx=dx, axis=axis, initial=None)
|
1045 |
+
res = np.swapaxes(res, axis, -1)
|
1046 |
+
|
1047 |
+
elif x is not None:
|
1048 |
+
x = _ensure_float_array(x)
|
1049 |
+
message = ("If given, shape of `x` must be the same as `y` or 1-D with "
|
1050 |
+
"the same length as `y` along `axis`.")
|
1051 |
+
if not (x.shape == original_shape
|
1052 |
+
or (x.ndim == 1 and len(x) == original_shape[axis])):
|
1053 |
+
raise ValueError(message)
|
1054 |
+
|
1055 |
+
x = np.broadcast_to(x, y.shape) if x.ndim == 1 else np.swapaxes(x, axis, -1)
|
1056 |
+
dx = np.diff(x, axis=-1)
|
1057 |
+
if np.any(dx <= 0):
|
1058 |
+
raise ValueError("Input x must be strictly increasing.")
|
1059 |
+
res = _cumulatively_sum_simpson_integrals(
|
1060 |
+
y, dx, _cumulative_simpson_unequal_intervals
|
1061 |
+
)
|
1062 |
+
|
1063 |
+
else:
|
1064 |
+
dx = _ensure_float_array(dx)
|
1065 |
+
final_dx_shape = tupleset(original_shape, axis, original_shape[axis] - 1)
|
1066 |
+
alt_input_dx_shape = tupleset(original_shape, axis, 1)
|
1067 |
+
message = ("If provided, `dx` must either be a scalar or have the same "
|
1068 |
+
"shape as `y` but with only 1 point along `axis`.")
|
1069 |
+
if not (dx.ndim == 0 or dx.shape == alt_input_dx_shape):
|
1070 |
+
raise ValueError(message)
|
1071 |
+
dx = np.broadcast_to(dx, final_dx_shape)
|
1072 |
+
dx = np.swapaxes(dx, axis, -1)
|
1073 |
+
res = _cumulatively_sum_simpson_integrals(
|
1074 |
+
y, dx, _cumulative_simpson_equal_intervals
|
1075 |
+
)
|
1076 |
+
|
1077 |
+
if initial is not None:
|
1078 |
+
initial = _ensure_float_array(initial)
|
1079 |
+
alt_initial_input_shape = tupleset(original_shape, axis, 1)
|
1080 |
+
message = ("If provided, `initial` must either be a scalar or have the "
|
1081 |
+
"same shape as `y` but with only 1 point along `axis`.")
|
1082 |
+
if not (initial.ndim == 0 or initial.shape == alt_initial_input_shape):
|
1083 |
+
raise ValueError(message)
|
1084 |
+
initial = np.broadcast_to(initial, alt_initial_input_shape)
|
1085 |
+
initial = np.swapaxes(initial, axis, -1)
|
1086 |
+
|
1087 |
+
res += initial
|
1088 |
+
res = np.concatenate((initial, res), axis=-1)
|
1089 |
+
|
1090 |
+
res = np.swapaxes(res, -1, axis)
|
1091 |
+
return res
|
1092 |
+
|
1093 |
+
|
1094 |
+
def romb(y, dx=1.0, axis=-1, show=False):
|
1095 |
+
"""
|
1096 |
+
Romberg integration using samples of a function.
|
1097 |
+
|
1098 |
+
Parameters
|
1099 |
+
----------
|
1100 |
+
y : array_like
|
1101 |
+
A vector of ``2**k + 1`` equally-spaced samples of a function.
|
1102 |
+
dx : float, optional
|
1103 |
+
The sample spacing. Default is 1.
|
1104 |
+
axis : int, optional
|
1105 |
+
The axis along which to integrate. Default is -1 (last axis).
|
1106 |
+
show : bool, optional
|
1107 |
+
When `y` is a single 1-D array, then if this argument is True
|
1108 |
+
print the table showing Richardson extrapolation from the
|
1109 |
+
samples. Default is False.
|
1110 |
+
|
1111 |
+
Returns
|
1112 |
+
-------
|
1113 |
+
romb : ndarray
|
1114 |
+
The integrated result for `axis`.
|
1115 |
+
|
1116 |
+
See Also
|
1117 |
+
--------
|
1118 |
+
quad : adaptive quadrature using QUADPACK
|
1119 |
+
romberg : adaptive Romberg quadrature
|
1120 |
+
quadrature : adaptive Gaussian quadrature
|
1121 |
+
fixed_quad : fixed-order Gaussian quadrature
|
1122 |
+
dblquad : double integrals
|
1123 |
+
tplquad : triple integrals
|
1124 |
+
simpson : integrators for sampled data
|
1125 |
+
cumulative_trapezoid : cumulative integration for sampled data
|
1126 |
+
ode : ODE integrators
|
1127 |
+
odeint : ODE integrators
|
1128 |
+
|
1129 |
+
Examples
|
1130 |
+
--------
|
1131 |
+
>>> from scipy import integrate
|
1132 |
+
>>> import numpy as np
|
1133 |
+
>>> x = np.arange(10, 14.25, 0.25)
|
1134 |
+
>>> y = np.arange(3, 12)
|
1135 |
+
|
1136 |
+
>>> integrate.romb(y)
|
1137 |
+
56.0
|
1138 |
+
|
1139 |
+
>>> y = np.sin(np.power(x, 2.5))
|
1140 |
+
>>> integrate.romb(y)
|
1141 |
+
-0.742561336672229
|
1142 |
+
|
1143 |
+
>>> integrate.romb(y, show=True)
|
1144 |
+
Richardson Extrapolation Table for Romberg Integration
|
1145 |
+
======================================================
|
1146 |
+
-0.81576
|
1147 |
+
4.63862 6.45674
|
1148 |
+
-1.10581 -3.02062 -3.65245
|
1149 |
+
-2.57379 -3.06311 -3.06595 -3.05664
|
1150 |
+
-1.34093 -0.92997 -0.78776 -0.75160 -0.74256
|
1151 |
+
======================================================
|
1152 |
+
-0.742561336672229 # may vary
|
1153 |
+
|
1154 |
+
"""
|
1155 |
+
y = np.asarray(y)
|
1156 |
+
nd = len(y.shape)
|
1157 |
+
Nsamps = y.shape[axis]
|
1158 |
+
Ninterv = Nsamps-1
|
1159 |
+
n = 1
|
1160 |
+
k = 0
|
1161 |
+
while n < Ninterv:
|
1162 |
+
n <<= 1
|
1163 |
+
k += 1
|
1164 |
+
if n != Ninterv:
|
1165 |
+
raise ValueError("Number of samples must be one plus a "
|
1166 |
+
"non-negative power of 2.")
|
1167 |
+
|
1168 |
+
R = {}
|
1169 |
+
slice_all = (slice(None),) * nd
|
1170 |
+
slice0 = tupleset(slice_all, axis, 0)
|
1171 |
+
slicem1 = tupleset(slice_all, axis, -1)
|
1172 |
+
h = Ninterv * np.asarray(dx, dtype=float)
|
1173 |
+
R[(0, 0)] = (y[slice0] + y[slicem1])/2.0*h
|
1174 |
+
slice_R = slice_all
|
1175 |
+
start = stop = step = Ninterv
|
1176 |
+
for i in range(1, k+1):
|
1177 |
+
start >>= 1
|
1178 |
+
slice_R = tupleset(slice_R, axis, slice(start, stop, step))
|
1179 |
+
step >>= 1
|
1180 |
+
R[(i, 0)] = 0.5*(R[(i-1, 0)] + h*y[slice_R].sum(axis=axis))
|
1181 |
+
for j in range(1, i+1):
|
1182 |
+
prev = R[(i, j-1)]
|
1183 |
+
R[(i, j)] = prev + (prev-R[(i-1, j-1)]) / ((1 << (2*j))-1)
|
1184 |
+
h /= 2.0
|
1185 |
+
|
1186 |
+
if show:
|
1187 |
+
if not np.isscalar(R[(0, 0)]):
|
1188 |
+
print("*** Printing table only supported for integrals" +
|
1189 |
+
" of a single data set.")
|
1190 |
+
else:
|
1191 |
+
try:
|
1192 |
+
precis = show[0]
|
1193 |
+
except (TypeError, IndexError):
|
1194 |
+
precis = 5
|
1195 |
+
try:
|
1196 |
+
width = show[1]
|
1197 |
+
except (TypeError, IndexError):
|
1198 |
+
width = 8
|
1199 |
+
formstr = "%%%d.%df" % (width, precis)
|
1200 |
+
|
1201 |
+
title = "Richardson Extrapolation Table for Romberg Integration"
|
1202 |
+
print(title, "=" * len(title), sep="\n", end="\n")
|
1203 |
+
for i in range(k+1):
|
1204 |
+
for j in range(i+1):
|
1205 |
+
print(formstr % R[(i, j)], end=" ")
|
1206 |
+
print()
|
1207 |
+
print("=" * len(title))
|
1208 |
+
|
1209 |
+
return R[(k, k)]
|
1210 |
+
|
1211 |
+
# Romberg quadratures for numeric integration.
|
1212 |
+
#
|
1213 |
+
# Written by Scott M. Ransom <[email protected]>
|
1214 |
+
# last revision: 14 Nov 98
|
1215 |
+
#
|
1216 |
+
# Cosmetic changes by Konrad Hinsen <[email protected]>
|
1217 |
+
# last revision: 1999-7-21
|
1218 |
+
#
|
1219 |
+
# Adapted to SciPy by Travis Oliphant <[email protected]>
|
1220 |
+
# last revision: Dec 2001
|
1221 |
+
|
1222 |
+
|
1223 |
+
def _difftrap(function, interval, numtraps):
|
1224 |
+
"""
|
1225 |
+
Perform part of the trapezoidal rule to integrate a function.
|
1226 |
+
Assume that we had called difftrap with all lower powers-of-2
|
1227 |
+
starting with 1. Calling difftrap only returns the summation
|
1228 |
+
of the new ordinates. It does _not_ multiply by the width
|
1229 |
+
of the trapezoids. This must be performed by the caller.
|
1230 |
+
'function' is the function to evaluate (must accept vector arguments).
|
1231 |
+
'interval' is a sequence with lower and upper limits
|
1232 |
+
of integration.
|
1233 |
+
'numtraps' is the number of trapezoids to use (must be a
|
1234 |
+
power-of-2).
|
1235 |
+
"""
|
1236 |
+
if numtraps <= 0:
|
1237 |
+
raise ValueError("numtraps must be > 0 in difftrap().")
|
1238 |
+
elif numtraps == 1:
|
1239 |
+
return 0.5*(function(interval[0])+function(interval[1]))
|
1240 |
+
else:
|
1241 |
+
numtosum = numtraps/2
|
1242 |
+
h = float(interval[1]-interval[0])/numtosum
|
1243 |
+
lox = interval[0] + 0.5 * h
|
1244 |
+
points = lox + h * np.arange(numtosum)
|
1245 |
+
s = np.sum(function(points), axis=0)
|
1246 |
+
return s
|
1247 |
+
|
1248 |
+
|
1249 |
+
def _romberg_diff(b, c, k):
|
1250 |
+
"""
|
1251 |
+
Compute the differences for the Romberg quadrature corrections.
|
1252 |
+
See Forman Acton's "Real Computing Made Real," p 143.
|
1253 |
+
"""
|
1254 |
+
tmp = 4.0**k
|
1255 |
+
return (tmp * c - b)/(tmp - 1.0)
|
1256 |
+
|
1257 |
+
|
1258 |
+
def _printresmat(function, interval, resmat):
|
1259 |
+
# Print the Romberg result matrix.
|
1260 |
+
i = j = 0
|
1261 |
+
print('Romberg integration of', repr(function), end=' ')
|
1262 |
+
print('from', interval)
|
1263 |
+
print('')
|
1264 |
+
print('%6s %9s %9s' % ('Steps', 'StepSize', 'Results'))
|
1265 |
+
for i in range(len(resmat)):
|
1266 |
+
print('%6d %9f' % (2**i, (interval[1]-interval[0])/(2.**i)), end=' ')
|
1267 |
+
for j in range(i+1):
|
1268 |
+
print('%9f' % (resmat[i][j]), end=' ')
|
1269 |
+
print('')
|
1270 |
+
print('')
|
1271 |
+
print('The final result is', resmat[i][j], end=' ')
|
1272 |
+
print('after', 2**(len(resmat)-1)+1, 'function evaluations.')
|
1273 |
+
|
1274 |
+
|
1275 |
+
@_deprecated("`scipy.integrate.romberg` is deprecated as of SciPy 1.12.0"
|
1276 |
+
"and will be removed in SciPy 1.15.0. Please use"
|
1277 |
+
"`scipy.integrate.quad` instead.")
|
1278 |
+
def romberg(function, a, b, args=(), tol=1.48e-8, rtol=1.48e-8, show=False,
|
1279 |
+
divmax=10, vec_func=False):
|
1280 |
+
"""
|
1281 |
+
Romberg integration of a callable function or method.
|
1282 |
+
|
1283 |
+
.. deprecated:: 1.12.0
|
1284 |
+
|
1285 |
+
This function is deprecated as of SciPy 1.12.0 and will be removed
|
1286 |
+
in SciPy 1.15.0. Please use `scipy.integrate.quad` instead.
|
1287 |
+
|
1288 |
+
Returns the integral of `function` (a function of one variable)
|
1289 |
+
over the interval (`a`, `b`).
|
1290 |
+
|
1291 |
+
If `show` is 1, the triangular array of the intermediate results
|
1292 |
+
will be printed. If `vec_func` is True (default is False), then
|
1293 |
+
`function` is assumed to support vector arguments.
|
1294 |
+
|
1295 |
+
Parameters
|
1296 |
+
----------
|
1297 |
+
function : callable
|
1298 |
+
Function to be integrated.
|
1299 |
+
a : float
|
1300 |
+
Lower limit of integration.
|
1301 |
+
b : float
|
1302 |
+
Upper limit of integration.
|
1303 |
+
|
1304 |
+
Returns
|
1305 |
+
-------
|
1306 |
+
results : float
|
1307 |
+
Result of the integration.
|
1308 |
+
|
1309 |
+
Other Parameters
|
1310 |
+
----------------
|
1311 |
+
args : tuple, optional
|
1312 |
+
Extra arguments to pass to function. Each element of `args` will
|
1313 |
+
be passed as a single argument to `func`. Default is to pass no
|
1314 |
+
extra arguments.
|
1315 |
+
tol, rtol : float, optional
|
1316 |
+
The desired absolute and relative tolerances. Defaults are 1.48e-8.
|
1317 |
+
show : bool, optional
|
1318 |
+
Whether to print the results. Default is False.
|
1319 |
+
divmax : int, optional
|
1320 |
+
Maximum order of extrapolation. Default is 10.
|
1321 |
+
vec_func : bool, optional
|
1322 |
+
Whether `func` handles arrays as arguments (i.e., whether it is a
|
1323 |
+
"vector" function). Default is False.
|
1324 |
+
|
1325 |
+
See Also
|
1326 |
+
--------
|
1327 |
+
fixed_quad : Fixed-order Gaussian quadrature.
|
1328 |
+
quad : Adaptive quadrature using QUADPACK.
|
1329 |
+
dblquad : Double integrals.
|
1330 |
+
tplquad : Triple integrals.
|
1331 |
+
romb : Integrators for sampled data.
|
1332 |
+
simpson : Integrators for sampled data.
|
1333 |
+
cumulative_trapezoid : Cumulative integration for sampled data.
|
1334 |
+
ode : ODE integrator.
|
1335 |
+
odeint : ODE integrator.
|
1336 |
+
|
1337 |
+
References
|
1338 |
+
----------
|
1339 |
+
.. [1] 'Romberg's method' https://en.wikipedia.org/wiki/Romberg%27s_method
|
1340 |
+
|
1341 |
+
Examples
|
1342 |
+
--------
|
1343 |
+
Integrate a gaussian from 0 to 1 and compare to the error function.
|
1344 |
+
|
1345 |
+
>>> from scipy import integrate
|
1346 |
+
>>> from scipy.special import erf
|
1347 |
+
>>> import numpy as np
|
1348 |
+
>>> gaussian = lambda x: 1/np.sqrt(np.pi) * np.exp(-x**2)
|
1349 |
+
>>> result = integrate.romberg(gaussian, 0, 1, show=True)
|
1350 |
+
Romberg integration of <function vfunc at ...> from [0, 1]
|
1351 |
+
|
1352 |
+
::
|
1353 |
+
|
1354 |
+
Steps StepSize Results
|
1355 |
+
1 1.000000 0.385872
|
1356 |
+
2 0.500000 0.412631 0.421551
|
1357 |
+
4 0.250000 0.419184 0.421368 0.421356
|
1358 |
+
8 0.125000 0.420810 0.421352 0.421350 0.421350
|
1359 |
+
16 0.062500 0.421215 0.421350 0.421350 0.421350 0.421350
|
1360 |
+
32 0.031250 0.421317 0.421350 0.421350 0.421350 0.421350 0.421350
|
1361 |
+
|
1362 |
+
The final result is 0.421350396475 after 33 function evaluations.
|
1363 |
+
|
1364 |
+
>>> print("%g %g" % (2*result, erf(1)))
|
1365 |
+
0.842701 0.842701
|
1366 |
+
|
1367 |
+
"""
|
1368 |
+
if np.isinf(a) or np.isinf(b):
|
1369 |
+
raise ValueError("Romberg integration only available "
|
1370 |
+
"for finite limits.")
|
1371 |
+
vfunc = vectorize1(function, args, vec_func=vec_func)
|
1372 |
+
n = 1
|
1373 |
+
interval = [a, b]
|
1374 |
+
intrange = b - a
|
1375 |
+
ordsum = _difftrap(vfunc, interval, n)
|
1376 |
+
result = intrange * ordsum
|
1377 |
+
resmat = [[result]]
|
1378 |
+
err = np.inf
|
1379 |
+
last_row = resmat[0]
|
1380 |
+
for i in range(1, divmax+1):
|
1381 |
+
n *= 2
|
1382 |
+
ordsum += _difftrap(vfunc, interval, n)
|
1383 |
+
row = [intrange * ordsum / n]
|
1384 |
+
for k in range(i):
|
1385 |
+
row.append(_romberg_diff(last_row[k], row[k], k+1))
|
1386 |
+
result = row[i]
|
1387 |
+
lastresult = last_row[i-1]
|
1388 |
+
if show:
|
1389 |
+
resmat.append(row)
|
1390 |
+
err = abs(result - lastresult)
|
1391 |
+
if err < tol or err < rtol * abs(result):
|
1392 |
+
break
|
1393 |
+
last_row = row
|
1394 |
+
else:
|
1395 |
+
warnings.warn(
|
1396 |
+
"divmax (%d) exceeded. Latest difference = %e" % (divmax, err),
|
1397 |
+
AccuracyWarning, stacklevel=2)
|
1398 |
+
|
1399 |
+
if show:
|
1400 |
+
_printresmat(vfunc, interval, resmat)
|
1401 |
+
return result
|
1402 |
+
|
1403 |
+
|
1404 |
+
# Coefficients for Newton-Cotes quadrature
|
1405 |
+
#
|
1406 |
+
# These are the points being used
|
1407 |
+
# to construct the local interpolating polynomial
|
1408 |
+
# a are the weights for Newton-Cotes integration
|
1409 |
+
# B is the error coefficient.
|
1410 |
+
# error in these coefficients grows as N gets larger.
|
1411 |
+
# or as samples are closer and closer together
|
1412 |
+
|
1413 |
+
# You can use maxima to find these rational coefficients
|
1414 |
+
# for equally spaced data using the commands
|
1415 |
+
# a(i,N) := (integrate(product(r-j,j,0,i-1) * product(r-j,j,i+1,N),r,0,N)
|
1416 |
+
# / ((N-i)! * i!) * (-1)^(N-i));
|
1417 |
+
# Be(N) := N^(N+2)/(N+2)! * (N/(N+3) - sum((i/N)^(N+2)*a(i,N),i,0,N));
|
1418 |
+
# Bo(N) := N^(N+1)/(N+1)! * (N/(N+2) - sum((i/N)^(N+1)*a(i,N),i,0,N));
|
1419 |
+
# B(N) := (if (mod(N,2)=0) then Be(N) else Bo(N));
|
1420 |
+
#
|
1421 |
+
# pre-computed for equally-spaced weights
|
1422 |
+
#
|
1423 |
+
# num_a, den_a, int_a, num_B, den_B = _builtincoeffs[N]
|
1424 |
+
#
|
1425 |
+
# a = num_a*array(int_a)/den_a
|
1426 |
+
# B = num_B*1.0 / den_B
|
1427 |
+
#
|
1428 |
+
# integrate(f(x),x,x_0,x_N) = dx*sum(a*f(x_i)) + B*(dx)^(2k+3) f^(2k+2)(x*)
|
1429 |
+
# where k = N // 2
|
1430 |
+
#
|
1431 |
+
_builtincoeffs = {
|
1432 |
+
1: (1,2,[1,1],-1,12),
|
1433 |
+
2: (1,3,[1,4,1],-1,90),
|
1434 |
+
3: (3,8,[1,3,3,1],-3,80),
|
1435 |
+
4: (2,45,[7,32,12,32,7],-8,945),
|
1436 |
+
5: (5,288,[19,75,50,50,75,19],-275,12096),
|
1437 |
+
6: (1,140,[41,216,27,272,27,216,41],-9,1400),
|
1438 |
+
7: (7,17280,[751,3577,1323,2989,2989,1323,3577,751],-8183,518400),
|
1439 |
+
8: (4,14175,[989,5888,-928,10496,-4540,10496,-928,5888,989],
|
1440 |
+
-2368,467775),
|
1441 |
+
9: (9,89600,[2857,15741,1080,19344,5778,5778,19344,1080,
|
1442 |
+
15741,2857], -4671, 394240),
|
1443 |
+
10: (5,299376,[16067,106300,-48525,272400,-260550,427368,
|
1444 |
+
-260550,272400,-48525,106300,16067],
|
1445 |
+
-673175, 163459296),
|
1446 |
+
11: (11,87091200,[2171465,13486539,-3237113, 25226685,-9595542,
|
1447 |
+
15493566,15493566,-9595542,25226685,-3237113,
|
1448 |
+
13486539,2171465], -2224234463, 237758976000),
|
1449 |
+
12: (1, 5255250, [1364651,9903168,-7587864,35725120,-51491295,
|
1450 |
+
87516288,-87797136,87516288,-51491295,35725120,
|
1451 |
+
-7587864,9903168,1364651], -3012, 875875),
|
1452 |
+
13: (13, 402361344000,[8181904909, 56280729661, -31268252574,
|
1453 |
+
156074417954,-151659573325,206683437987,
|
1454 |
+
-43111992612,-43111992612,206683437987,
|
1455 |
+
-151659573325,156074417954,-31268252574,
|
1456 |
+
56280729661,8181904909], -2639651053,
|
1457 |
+
344881152000),
|
1458 |
+
14: (7, 2501928000, [90241897,710986864,-770720657,3501442784,
|
1459 |
+
-6625093363,12630121616,-16802270373,19534438464,
|
1460 |
+
-16802270373,12630121616,-6625093363,3501442784,
|
1461 |
+
-770720657,710986864,90241897], -3740727473,
|
1462 |
+
1275983280000)
|
1463 |
+
}
|
1464 |
+
|
1465 |
+
|
1466 |
+
def newton_cotes(rn, equal=0):
|
1467 |
+
r"""
|
1468 |
+
Return weights and error coefficient for Newton-Cotes integration.
|
1469 |
+
|
1470 |
+
Suppose we have (N+1) samples of f at the positions
|
1471 |
+
x_0, x_1, ..., x_N. Then an N-point Newton-Cotes formula for the
|
1472 |
+
integral between x_0 and x_N is:
|
1473 |
+
|
1474 |
+
:math:`\int_{x_0}^{x_N} f(x)dx = \Delta x \sum_{i=0}^{N} a_i f(x_i)
|
1475 |
+
+ B_N (\Delta x)^{N+2} f^{N+1} (\xi)`
|
1476 |
+
|
1477 |
+
where :math:`\xi \in [x_0,x_N]`
|
1478 |
+
and :math:`\Delta x = \frac{x_N-x_0}{N}` is the average samples spacing.
|
1479 |
+
|
1480 |
+
If the samples are equally-spaced and N is even, then the error
|
1481 |
+
term is :math:`B_N (\Delta x)^{N+3} f^{N+2}(\xi)`.
|
1482 |
+
|
1483 |
+
Parameters
|
1484 |
+
----------
|
1485 |
+
rn : int
|
1486 |
+
The integer order for equally-spaced data or the relative positions of
|
1487 |
+
the samples with the first sample at 0 and the last at N, where N+1 is
|
1488 |
+
the length of `rn`. N is the order of the Newton-Cotes integration.
|
1489 |
+
equal : int, optional
|
1490 |
+
Set to 1 to enforce equally spaced data.
|
1491 |
+
|
1492 |
+
Returns
|
1493 |
+
-------
|
1494 |
+
an : ndarray
|
1495 |
+
1-D array of weights to apply to the function at the provided sample
|
1496 |
+
positions.
|
1497 |
+
B : float
|
1498 |
+
Error coefficient.
|
1499 |
+
|
1500 |
+
Notes
|
1501 |
+
-----
|
1502 |
+
Normally, the Newton-Cotes rules are used on smaller integration
|
1503 |
+
regions and a composite rule is used to return the total integral.
|
1504 |
+
|
1505 |
+
Examples
|
1506 |
+
--------
|
1507 |
+
Compute the integral of sin(x) in [0, :math:`\pi`]:
|
1508 |
+
|
1509 |
+
>>> from scipy.integrate import newton_cotes
|
1510 |
+
>>> import numpy as np
|
1511 |
+
>>> def f(x):
|
1512 |
+
... return np.sin(x)
|
1513 |
+
>>> a = 0
|
1514 |
+
>>> b = np.pi
|
1515 |
+
>>> exact = 2
|
1516 |
+
>>> for N in [2, 4, 6, 8, 10]:
|
1517 |
+
... x = np.linspace(a, b, N + 1)
|
1518 |
+
... an, B = newton_cotes(N, 1)
|
1519 |
+
... dx = (b - a) / N
|
1520 |
+
... quad = dx * np.sum(an * f(x))
|
1521 |
+
... error = abs(quad - exact)
|
1522 |
+
... print('{:2d} {:10.9f} {:.5e}'.format(N, quad, error))
|
1523 |
+
...
|
1524 |
+
2 2.094395102 9.43951e-02
|
1525 |
+
4 1.998570732 1.42927e-03
|
1526 |
+
6 2.000017814 1.78136e-05
|
1527 |
+
8 1.999999835 1.64725e-07
|
1528 |
+
10 2.000000001 1.14677e-09
|
1529 |
+
|
1530 |
+
"""
|
1531 |
+
try:
|
1532 |
+
N = len(rn)-1
|
1533 |
+
if equal:
|
1534 |
+
rn = np.arange(N+1)
|
1535 |
+
elif np.all(np.diff(rn) == 1):
|
1536 |
+
equal = 1
|
1537 |
+
except Exception:
|
1538 |
+
N = rn
|
1539 |
+
rn = np.arange(N+1)
|
1540 |
+
equal = 1
|
1541 |
+
|
1542 |
+
if equal and N in _builtincoeffs:
|
1543 |
+
na, da, vi, nb, db = _builtincoeffs[N]
|
1544 |
+
an = na * np.array(vi, dtype=float) / da
|
1545 |
+
return an, float(nb)/db
|
1546 |
+
|
1547 |
+
if (rn[0] != 0) or (rn[-1] != N):
|
1548 |
+
raise ValueError("The sample positions must start at 0"
|
1549 |
+
" and end at N")
|
1550 |
+
yi = rn / float(N)
|
1551 |
+
ti = 2 * yi - 1
|
1552 |
+
nvec = np.arange(N+1)
|
1553 |
+
C = ti ** nvec[:, np.newaxis]
|
1554 |
+
Cinv = np.linalg.inv(C)
|
1555 |
+
# improve precision of result
|
1556 |
+
for i in range(2):
|
1557 |
+
Cinv = 2*Cinv - Cinv.dot(C).dot(Cinv)
|
1558 |
+
vec = 2.0 / (nvec[::2]+1)
|
1559 |
+
ai = Cinv[:, ::2].dot(vec) * (N / 2.)
|
1560 |
+
|
1561 |
+
if (N % 2 == 0) and equal:
|
1562 |
+
BN = N/(N+3.)
|
1563 |
+
power = N+2
|
1564 |
+
else:
|
1565 |
+
BN = N/(N+2.)
|
1566 |
+
power = N+1
|
1567 |
+
|
1568 |
+
BN = BN - np.dot(yi**power, ai)
|
1569 |
+
p1 = power+1
|
1570 |
+
fac = power*math.log(N) - gammaln(p1)
|
1571 |
+
fac = math.exp(fac)
|
1572 |
+
return ai, BN*fac
|
1573 |
+
|
1574 |
+
|
1575 |
+
def _qmc_quad_iv(func, a, b, n_points, n_estimates, qrng, log):
|
1576 |
+
|
1577 |
+
# lazy import to avoid issues with partially-initialized submodule
|
1578 |
+
if not hasattr(qmc_quad, 'qmc'):
|
1579 |
+
from scipy import stats
|
1580 |
+
qmc_quad.stats = stats
|
1581 |
+
else:
|
1582 |
+
stats = qmc_quad.stats
|
1583 |
+
|
1584 |
+
if not callable(func):
|
1585 |
+
message = "`func` must be callable."
|
1586 |
+
raise TypeError(message)
|
1587 |
+
|
1588 |
+
# a, b will be modified, so copy. Oh well if it's copied twice.
|
1589 |
+
a = np.atleast_1d(a).copy()
|
1590 |
+
b = np.atleast_1d(b).copy()
|
1591 |
+
a, b = np.broadcast_arrays(a, b)
|
1592 |
+
dim = a.shape[0]
|
1593 |
+
|
1594 |
+
try:
|
1595 |
+
func((a + b) / 2)
|
1596 |
+
except Exception as e:
|
1597 |
+
message = ("`func` must evaluate the integrand at points within "
|
1598 |
+
"the integration range; e.g. `func( (a + b) / 2)` "
|
1599 |
+
"must return the integrand at the centroid of the "
|
1600 |
+
"integration volume.")
|
1601 |
+
raise ValueError(message) from e
|
1602 |
+
|
1603 |
+
try:
|
1604 |
+
func(np.array([a, b]).T)
|
1605 |
+
vfunc = func
|
1606 |
+
except Exception as e:
|
1607 |
+
message = ("Exception encountered when attempting vectorized call to "
|
1608 |
+
f"`func`: {e}. For better performance, `func` should "
|
1609 |
+
"accept two-dimensional array `x` with shape `(len(a), "
|
1610 |
+
"n_points)` and return an array of the integrand value at "
|
1611 |
+
"each of the `n_points.")
|
1612 |
+
warnings.warn(message, stacklevel=3)
|
1613 |
+
|
1614 |
+
def vfunc(x):
|
1615 |
+
return np.apply_along_axis(func, axis=-1, arr=x)
|
1616 |
+
|
1617 |
+
n_points_int = np.int64(n_points)
|
1618 |
+
if n_points != n_points_int:
|
1619 |
+
message = "`n_points` must be an integer."
|
1620 |
+
raise TypeError(message)
|
1621 |
+
|
1622 |
+
n_estimates_int = np.int64(n_estimates)
|
1623 |
+
if n_estimates != n_estimates_int:
|
1624 |
+
message = "`n_estimates` must be an integer."
|
1625 |
+
raise TypeError(message)
|
1626 |
+
|
1627 |
+
if qrng is None:
|
1628 |
+
qrng = stats.qmc.Halton(dim)
|
1629 |
+
elif not isinstance(qrng, stats.qmc.QMCEngine):
|
1630 |
+
message = "`qrng` must be an instance of scipy.stats.qmc.QMCEngine."
|
1631 |
+
raise TypeError(message)
|
1632 |
+
|
1633 |
+
if qrng.d != a.shape[0]:
|
1634 |
+
message = ("`qrng` must be initialized with dimensionality equal to "
|
1635 |
+
"the number of variables in `a`, i.e., "
|
1636 |
+
"`qrng.random().shape[-1]` must equal `a.shape[0]`.")
|
1637 |
+
raise ValueError(message)
|
1638 |
+
|
1639 |
+
rng_seed = getattr(qrng, 'rng_seed', None)
|
1640 |
+
rng = stats._qmc.check_random_state(rng_seed)
|
1641 |
+
|
1642 |
+
if log not in {True, False}:
|
1643 |
+
message = "`log` must be boolean (`True` or `False`)."
|
1644 |
+
raise TypeError(message)
|
1645 |
+
|
1646 |
+
return (vfunc, a, b, n_points_int, n_estimates_int, qrng, rng, log, stats)
|
1647 |
+
|
1648 |
+
|
1649 |
+
QMCQuadResult = namedtuple('QMCQuadResult', ['integral', 'standard_error'])
|
1650 |
+
|
1651 |
+
|
1652 |
+
def qmc_quad(func, a, b, *, n_estimates=8, n_points=1024, qrng=None,
|
1653 |
+
log=False):
|
1654 |
+
"""
|
1655 |
+
Compute an integral in N-dimensions using Quasi-Monte Carlo quadrature.
|
1656 |
+
|
1657 |
+
Parameters
|
1658 |
+
----------
|
1659 |
+
func : callable
|
1660 |
+
The integrand. Must accept a single argument ``x``, an array which
|
1661 |
+
specifies the point(s) at which to evaluate the scalar-valued
|
1662 |
+
integrand, and return the value(s) of the integrand.
|
1663 |
+
For efficiency, the function should be vectorized to accept an array of
|
1664 |
+
shape ``(d, n_points)``, where ``d`` is the number of variables (i.e.
|
1665 |
+
the dimensionality of the function domain) and `n_points` is the number
|
1666 |
+
of quadrature points, and return an array of shape ``(n_points,)``,
|
1667 |
+
the integrand at each quadrature point.
|
1668 |
+
a, b : array-like
|
1669 |
+
One-dimensional arrays specifying the lower and upper integration
|
1670 |
+
limits, respectively, of each of the ``d`` variables.
|
1671 |
+
n_estimates, n_points : int, optional
|
1672 |
+
`n_estimates` (default: 8) statistically independent QMC samples, each
|
1673 |
+
of `n_points` (default: 1024) points, will be generated by `qrng`.
|
1674 |
+
The total number of points at which the integrand `func` will be
|
1675 |
+
evaluated is ``n_points * n_estimates``. See Notes for details.
|
1676 |
+
qrng : `~scipy.stats.qmc.QMCEngine`, optional
|
1677 |
+
An instance of the QMCEngine from which to sample QMC points.
|
1678 |
+
The QMCEngine must be initialized to a number of dimensions ``d``
|
1679 |
+
corresponding with the number of variables ``x1, ..., xd`` passed to
|
1680 |
+
`func`.
|
1681 |
+
The provided QMCEngine is used to produce the first integral estimate.
|
1682 |
+
If `n_estimates` is greater than one, additional QMCEngines are
|
1683 |
+
spawned from the first (with scrambling enabled, if it is an option.)
|
1684 |
+
If a QMCEngine is not provided, the default `scipy.stats.qmc.Halton`
|
1685 |
+
will be initialized with the number of dimensions determine from
|
1686 |
+
the length of `a`.
|
1687 |
+
log : boolean, default: False
|
1688 |
+
When set to True, `func` returns the log of the integrand, and
|
1689 |
+
the result object contains the log of the integral.
|
1690 |
+
|
1691 |
+
Returns
|
1692 |
+
-------
|
1693 |
+
result : object
|
1694 |
+
A result object with attributes:
|
1695 |
+
|
1696 |
+
integral : float
|
1697 |
+
The estimate of the integral.
|
1698 |
+
standard_error :
|
1699 |
+
The error estimate. See Notes for interpretation.
|
1700 |
+
|
1701 |
+
Notes
|
1702 |
+
-----
|
1703 |
+
Values of the integrand at each of the `n_points` points of a QMC sample
|
1704 |
+
are used to produce an estimate of the integral. This estimate is drawn
|
1705 |
+
from a population of possible estimates of the integral, the value of
|
1706 |
+
which we obtain depends on the particular points at which the integral
|
1707 |
+
was evaluated. We perform this process `n_estimates` times, each time
|
1708 |
+
evaluating the integrand at different scrambled QMC points, effectively
|
1709 |
+
drawing i.i.d. random samples from the population of integral estimates.
|
1710 |
+
The sample mean :math:`m` of these integral estimates is an
|
1711 |
+
unbiased estimator of the true value of the integral, and the standard
|
1712 |
+
error of the mean :math:`s` of these estimates may be used to generate
|
1713 |
+
confidence intervals using the t distribution with ``n_estimates - 1``
|
1714 |
+
degrees of freedom. Perhaps counter-intuitively, increasing `n_points`
|
1715 |
+
while keeping the total number of function evaluation points
|
1716 |
+
``n_points * n_estimates`` fixed tends to reduce the actual error, whereas
|
1717 |
+
increasing `n_estimates` tends to decrease the error estimate.
|
1718 |
+
|
1719 |
+
Examples
|
1720 |
+
--------
|
1721 |
+
QMC quadrature is particularly useful for computing integrals in higher
|
1722 |
+
dimensions. An example integrand is the probability density function
|
1723 |
+
of a multivariate normal distribution.
|
1724 |
+
|
1725 |
+
>>> import numpy as np
|
1726 |
+
>>> from scipy import stats
|
1727 |
+
>>> dim = 8
|
1728 |
+
>>> mean = np.zeros(dim)
|
1729 |
+
>>> cov = np.eye(dim)
|
1730 |
+
>>> def func(x):
|
1731 |
+
... # `multivariate_normal` expects the _last_ axis to correspond with
|
1732 |
+
... # the dimensionality of the space, so `x` must be transposed
|
1733 |
+
... return stats.multivariate_normal.pdf(x.T, mean, cov)
|
1734 |
+
|
1735 |
+
To compute the integral over the unit hypercube:
|
1736 |
+
|
1737 |
+
>>> from scipy.integrate import qmc_quad
|
1738 |
+
>>> a = np.zeros(dim)
|
1739 |
+
>>> b = np.ones(dim)
|
1740 |
+
>>> rng = np.random.default_rng()
|
1741 |
+
>>> qrng = stats.qmc.Halton(d=dim, seed=rng)
|
1742 |
+
>>> n_estimates = 8
|
1743 |
+
>>> res = qmc_quad(func, a, b, n_estimates=n_estimates, qrng=qrng)
|
1744 |
+
>>> res.integral, res.standard_error
|
1745 |
+
(0.00018429555666024108, 1.0389431116001344e-07)
|
1746 |
+
|
1747 |
+
A two-sided, 99% confidence interval for the integral may be estimated
|
1748 |
+
as:
|
1749 |
+
|
1750 |
+
>>> t = stats.t(df=n_estimates-1, loc=res.integral,
|
1751 |
+
... scale=res.standard_error)
|
1752 |
+
>>> t.interval(0.99)
|
1753 |
+
(0.0001839319802536469, 0.00018465913306683527)
|
1754 |
+
|
1755 |
+
Indeed, the value reported by `scipy.stats.multivariate_normal` is
|
1756 |
+
within this range.
|
1757 |
+
|
1758 |
+
>>> stats.multivariate_normal.cdf(b, mean, cov, lower_limit=a)
|
1759 |
+
0.00018430867675187443
|
1760 |
+
|
1761 |
+
"""
|
1762 |
+
args = _qmc_quad_iv(func, a, b, n_points, n_estimates, qrng, log)
|
1763 |
+
func, a, b, n_points, n_estimates, qrng, rng, log, stats = args
|
1764 |
+
|
1765 |
+
def sum_product(integrands, dA, log=False):
|
1766 |
+
if log:
|
1767 |
+
return logsumexp(integrands) + np.log(dA)
|
1768 |
+
else:
|
1769 |
+
return np.sum(integrands * dA)
|
1770 |
+
|
1771 |
+
def mean(estimates, log=False):
|
1772 |
+
if log:
|
1773 |
+
return logsumexp(estimates) - np.log(n_estimates)
|
1774 |
+
else:
|
1775 |
+
return np.mean(estimates)
|
1776 |
+
|
1777 |
+
def std(estimates, m=None, ddof=0, log=False):
|
1778 |
+
m = m or mean(estimates, log)
|
1779 |
+
if log:
|
1780 |
+
estimates, m = np.broadcast_arrays(estimates, m)
|
1781 |
+
temp = np.vstack((estimates, m + np.pi * 1j))
|
1782 |
+
diff = logsumexp(temp, axis=0)
|
1783 |
+
return np.real(0.5 * (logsumexp(2 * diff)
|
1784 |
+
- np.log(n_estimates - ddof)))
|
1785 |
+
else:
|
1786 |
+
return np.std(estimates, ddof=ddof)
|
1787 |
+
|
1788 |
+
def sem(estimates, m=None, s=None, log=False):
|
1789 |
+
m = m or mean(estimates, log)
|
1790 |
+
s = s or std(estimates, m, ddof=1, log=log)
|
1791 |
+
if log:
|
1792 |
+
return s - 0.5*np.log(n_estimates)
|
1793 |
+
else:
|
1794 |
+
return s / np.sqrt(n_estimates)
|
1795 |
+
|
1796 |
+
# The sign of the integral depends on the order of the limits. Fix this by
|
1797 |
+
# ensuring that lower bounds are indeed lower and setting sign of resulting
|
1798 |
+
# integral manually
|
1799 |
+
if np.any(a == b):
|
1800 |
+
message = ("A lower limit was equal to an upper limit, so the value "
|
1801 |
+
"of the integral is zero by definition.")
|
1802 |
+
warnings.warn(message, stacklevel=2)
|
1803 |
+
return QMCQuadResult(-np.inf if log else 0, 0)
|
1804 |
+
|
1805 |
+
i_swap = b < a
|
1806 |
+
sign = (-1)**(i_swap.sum(axis=-1)) # odd # of swaps -> negative
|
1807 |
+
a[i_swap], b[i_swap] = b[i_swap], a[i_swap]
|
1808 |
+
|
1809 |
+
A = np.prod(b - a)
|
1810 |
+
dA = A / n_points
|
1811 |
+
|
1812 |
+
estimates = np.zeros(n_estimates)
|
1813 |
+
rngs = _rng_spawn(qrng.rng, n_estimates)
|
1814 |
+
for i in range(n_estimates):
|
1815 |
+
# Generate integral estimate
|
1816 |
+
sample = qrng.random(n_points)
|
1817 |
+
# The rationale for transposing is that this allows users to easily
|
1818 |
+
# unpack `x` into separate variables, if desired. This is consistent
|
1819 |
+
# with the `xx` array passed into the `scipy.integrate.nquad` `func`.
|
1820 |
+
x = stats.qmc.scale(sample, a, b).T # (n_dim, n_points)
|
1821 |
+
integrands = func(x)
|
1822 |
+
estimates[i] = sum_product(integrands, dA, log)
|
1823 |
+
|
1824 |
+
# Get a new, independently-scrambled QRNG for next time
|
1825 |
+
qrng = type(qrng)(seed=rngs[i], **qrng._init_quad)
|
1826 |
+
|
1827 |
+
integral = mean(estimates, log)
|
1828 |
+
standard_error = sem(estimates, m=integral, log=log)
|
1829 |
+
integral = integral + np.pi*1j if (log and sign < 0) else integral*sign
|
1830 |
+
return QMCQuadResult(integral, standard_error)
|
venv/lib/python3.10/site-packages/scipy/integrate/_tanhsinh.py
ADDED
@@ -0,0 +1,1231 @@
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|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
1 |
+
# mypy: disable-error-code="attr-defined"
|
2 |
+
import numpy as np
|
3 |
+
from scipy import special
|
4 |
+
import scipy._lib._elementwise_iterative_method as eim
|
5 |
+
from scipy._lib._util import _RichResult
|
6 |
+
|
7 |
+
# todo:
|
8 |
+
# figure out warning situation
|
9 |
+
# address https://github.com/scipy/scipy/pull/18650#discussion_r1233032521
|
10 |
+
# without `minweight`, we are also suppressing infinities within the interval.
|
11 |
+
# Is that OK? If so, we can probably get rid of `status=3`.
|
12 |
+
# Add heuristic to stop when improvement is too slow / antithrashing
|
13 |
+
# support singularities? interval subdivision? this feature will be added
|
14 |
+
# eventually, but do we adjust the interface now?
|
15 |
+
# When doing log-integration, should the tolerances control the error of the
|
16 |
+
# log-integral or the error of the integral? The trouble is that `log`
|
17 |
+
# inherently looses some precision so it may not be possible to refine
|
18 |
+
# the integral further. Example: 7th moment of stats.f(15, 20)
|
19 |
+
# respect function evaluation limit?
|
20 |
+
# make public?
|
21 |
+
|
22 |
+
|
23 |
+
def _tanhsinh(f, a, b, *, args=(), log=False, maxfun=None, maxlevel=None,
|
24 |
+
minlevel=2, atol=None, rtol=None, preserve_shape=False,
|
25 |
+
callback=None):
|
26 |
+
"""Evaluate a convergent integral numerically using tanh-sinh quadrature.
|
27 |
+
|
28 |
+
In practice, tanh-sinh quadrature achieves quadratic convergence for
|
29 |
+
many integrands: the number of accurate *digits* scales roughly linearly
|
30 |
+
with the number of function evaluations [1]_.
|
31 |
+
|
32 |
+
Either or both of the limits of integration may be infinite, and
|
33 |
+
singularities at the endpoints are acceptable. Divergent integrals and
|
34 |
+
integrands with non-finite derivatives or singularities within an interval
|
35 |
+
are out of scope, but the latter may be evaluated be calling `_tanhsinh` on
|
36 |
+
each sub-interval separately.
|
37 |
+
|
38 |
+
Parameters
|
39 |
+
----------
|
40 |
+
f : callable
|
41 |
+
The function to be integrated. The signature must be::
|
42 |
+
func(x: ndarray, *fargs) -> ndarray
|
43 |
+
where each element of ``x`` is a finite real and ``fargs`` is a tuple,
|
44 |
+
which may contain an arbitrary number of arrays that are broadcastable
|
45 |
+
with `x`. ``func`` must be an elementwise-scalar function; see
|
46 |
+
documentation of parameter `preserve_shape` for details.
|
47 |
+
If ``func`` returns a value with complex dtype when evaluated at
|
48 |
+
either endpoint, subsequent arguments ``x`` will have complex dtype
|
49 |
+
(but zero imaginary part).
|
50 |
+
a, b : array_like
|
51 |
+
Real lower and upper limits of integration. Must be broadcastable.
|
52 |
+
Elements may be infinite.
|
53 |
+
args : tuple, optional
|
54 |
+
Additional positional arguments to be passed to `func`. Must be arrays
|
55 |
+
broadcastable with `a` and `b`. If the callable to be integrated
|
56 |
+
requires arguments that are not broadcastable with `a` and `b`, wrap
|
57 |
+
that callable with `f`. See Examples.
|
58 |
+
log : bool, default: False
|
59 |
+
Setting to True indicates that `f` returns the log of the integrand
|
60 |
+
and that `atol` and `rtol` are expressed as the logs of the absolute
|
61 |
+
and relative errors. In this case, the result object will contain the
|
62 |
+
log of the integral and error. This is useful for integrands for which
|
63 |
+
numerical underflow or overflow would lead to inaccuracies.
|
64 |
+
When ``log=True``, the integrand (the exponential of `f`) must be real,
|
65 |
+
but it may be negative, in which case the log of the integrand is a
|
66 |
+
complex number with an imaginary part that is an odd multiple of π.
|
67 |
+
maxlevel : int, default: 10
|
68 |
+
The maximum refinement level of the algorithm.
|
69 |
+
|
70 |
+
At the zeroth level, `f` is called once, performing 16 function
|
71 |
+
evaluations. At each subsequent level, `f` is called once more,
|
72 |
+
approximately doubling the number of function evaluations that have
|
73 |
+
been performed. Accordingly, for many integrands, each successive level
|
74 |
+
will double the number of accurate digits in the result (up to the
|
75 |
+
limits of floating point precision).
|
76 |
+
|
77 |
+
The algorithm will terminate after completing level `maxlevel` or after
|
78 |
+
another termination condition is satisfied, whichever comes first.
|
79 |
+
minlevel : int, default: 2
|
80 |
+
The level at which to begin iteration (default: 2). This does not
|
81 |
+
change the total number of function evaluations or the abscissae at
|
82 |
+
which the function is evaluated; it changes only the *number of times*
|
83 |
+
`f` is called. If ``minlevel=k``, then the integrand is evaluated at
|
84 |
+
all abscissae from levels ``0`` through ``k`` in a single call.
|
85 |
+
Note that if `minlevel` exceeds `maxlevel`, the provided `minlevel` is
|
86 |
+
ignored, and `minlevel` is set equal to `maxlevel`.
|
87 |
+
atol, rtol : float, optional
|
88 |
+
Absolute termination tolerance (default: 0) and relative termination
|
89 |
+
tolerance (default: ``eps**0.75``, where ``eps`` is the precision of
|
90 |
+
the result dtype), respectively. The error estimate is as
|
91 |
+
described in [1]_ Section 5. While not theoretically rigorous or
|
92 |
+
conservative, it is said to work well in practice. Must be non-negative
|
93 |
+
and finite if `log` is False, and must be expressed as the log of a
|
94 |
+
non-negative and finite number if `log` is True.
|
95 |
+
preserve_shape : bool, default: False
|
96 |
+
In the following, "arguments of `f`" refers to the array ``x`` and
|
97 |
+
any arrays within ``fargs``. Let ``shape`` be the broadcasted shape
|
98 |
+
of `a`, `b`, and all elements of `args` (which is conceptually
|
99 |
+
distinct from ``fargs`` passed into `f`).
|
100 |
+
|
101 |
+
- When ``preserve_shape=False`` (default), `f` must accept arguments
|
102 |
+
of *any* broadcastable shapes.
|
103 |
+
|
104 |
+
- When ``preserve_shape=True``, `f` must accept arguments of shape
|
105 |
+
``shape`` *or* ``shape + (n,)``, where ``(n,)`` is the number of
|
106 |
+
abscissae at which the function is being evaluated.
|
107 |
+
|
108 |
+
In either case, for each scalar element ``xi`` within `x`, the array
|
109 |
+
returned by `f` must include the scalar ``f(xi)`` at the same index.
|
110 |
+
Consequently, the shape of the output is always the shape of the input
|
111 |
+
``x``.
|
112 |
+
|
113 |
+
See Examples.
|
114 |
+
|
115 |
+
callback : callable, optional
|
116 |
+
An optional user-supplied function to be called before the first
|
117 |
+
iteration and after each iteration.
|
118 |
+
Called as ``callback(res)``, where ``res`` is a ``_RichResult``
|
119 |
+
similar to that returned by `_differentiate` (but containing the
|
120 |
+
current iterate's values of all variables). If `callback` raises a
|
121 |
+
``StopIteration``, the algorithm will terminate immediately and
|
122 |
+
`_tanhsinh` will return a result object.
|
123 |
+
|
124 |
+
Returns
|
125 |
+
-------
|
126 |
+
res : _RichResult
|
127 |
+
An instance of `scipy._lib._util._RichResult` with the following
|
128 |
+
attributes. (The descriptions are written as though the values will be
|
129 |
+
scalars; however, if `func` returns an array, the outputs will be
|
130 |
+
arrays of the same shape.)
|
131 |
+
success : bool
|
132 |
+
``True`` when the algorithm terminated successfully (status ``0``).
|
133 |
+
status : int
|
134 |
+
An integer representing the exit status of the algorithm.
|
135 |
+
``0`` : The algorithm converged to the specified tolerances.
|
136 |
+
``-1`` : (unused)
|
137 |
+
``-2`` : The maximum number of iterations was reached.
|
138 |
+
``-3`` : A non-finite value was encountered.
|
139 |
+
``-4`` : Iteration was terminated by `callback`.
|
140 |
+
``1`` : The algorithm is proceeding normally (in `callback` only).
|
141 |
+
integral : float
|
142 |
+
An estimate of the integral
|
143 |
+
error : float
|
144 |
+
An estimate of the error. Only available if level two or higher
|
145 |
+
has been completed; otherwise NaN.
|
146 |
+
maxlevel : int
|
147 |
+
The maximum refinement level used.
|
148 |
+
nfev : int
|
149 |
+
The number of points at which `func` was evaluated.
|
150 |
+
|
151 |
+
See Also
|
152 |
+
--------
|
153 |
+
quad, quadrature
|
154 |
+
|
155 |
+
Notes
|
156 |
+
-----
|
157 |
+
Implements the algorithm as described in [1]_ with minor adaptations for
|
158 |
+
finite-precision arithmetic, including some described by [2]_ and [3]_. The
|
159 |
+
tanh-sinh scheme was originally introduced in [4]_.
|
160 |
+
|
161 |
+
Due to floating-point error in the abscissae, the function may be evaluated
|
162 |
+
at the endpoints of the interval during iterations. The values returned by
|
163 |
+
the function at the endpoints will be ignored.
|
164 |
+
|
165 |
+
References
|
166 |
+
----------
|
167 |
+
[1] Bailey, David H., Karthik Jeyabalan, and Xiaoye S. Li. "A comparison of
|
168 |
+
three high-precision quadrature schemes." Experimental Mathematics 14.3
|
169 |
+
(2005): 317-329.
|
170 |
+
[2] Vanherck, Joren, Bart Sorée, and Wim Magnus. "Tanh-sinh quadrature for
|
171 |
+
single and multiple integration using floating-point arithmetic."
|
172 |
+
arXiv preprint arXiv:2007.15057 (2020).
|
173 |
+
[3] van Engelen, Robert A. "Improving the Double Exponential Quadrature
|
174 |
+
Tanh-Sinh, Sinh-Sinh and Exp-Sinh Formulas."
|
175 |
+
https://www.genivia.com/files/qthsh.pdf
|
176 |
+
[4] Takahasi, Hidetosi, and Masatake Mori. "Double exponential formulas for
|
177 |
+
numerical integration." Publications of the Research Institute for
|
178 |
+
Mathematical Sciences 9.3 (1974): 721-741.
|
179 |
+
|
180 |
+
Example
|
181 |
+
-------
|
182 |
+
Evaluate the Gaussian integral:
|
183 |
+
|
184 |
+
>>> import numpy as np
|
185 |
+
>>> from scipy.integrate._tanhsinh import _tanhsinh
|
186 |
+
>>> def f(x):
|
187 |
+
... return np.exp(-x**2)
|
188 |
+
>>> res = _tanhsinh(f, -np.inf, np.inf)
|
189 |
+
>>> res.integral # true value is np.sqrt(np.pi), 1.7724538509055159
|
190 |
+
1.7724538509055159
|
191 |
+
>>> res.error # actual error is 0
|
192 |
+
4.0007963937534104e-16
|
193 |
+
|
194 |
+
The value of the Gaussian function (bell curve) is nearly zero for
|
195 |
+
arguments sufficiently far from zero, so the value of the integral
|
196 |
+
over a finite interval is nearly the same.
|
197 |
+
|
198 |
+
>>> _tanhsinh(f, -20, 20).integral
|
199 |
+
1.772453850905518
|
200 |
+
|
201 |
+
However, with unfavorable integration limits, the integration scheme
|
202 |
+
may not be able to find the important region.
|
203 |
+
|
204 |
+
>>> _tanhsinh(f, -np.inf, 1000).integral
|
205 |
+
4.500490856620352
|
206 |
+
|
207 |
+
In such cases, or when there are singularities within the interval,
|
208 |
+
break the integral into parts with endpoints at the important points.
|
209 |
+
|
210 |
+
>>> _tanhsinh(f, -np.inf, 0).integral + _tanhsinh(f, 0, 1000).integral
|
211 |
+
1.772453850905404
|
212 |
+
|
213 |
+
For integration involving very large or very small magnitudes, use
|
214 |
+
log-integration. (For illustrative purposes, the following example shows a
|
215 |
+
case in which both regular and log-integration work, but for more extreme
|
216 |
+
limits of integration, log-integration would avoid the underflow
|
217 |
+
experienced when evaluating the integral normally.)
|
218 |
+
|
219 |
+
>>> res = _tanhsinh(f, 20, 30, rtol=1e-10)
|
220 |
+
>>> res.integral, res.error
|
221 |
+
4.7819613911309014e-176, 4.670364401645202e-187
|
222 |
+
>>> def log_f(x):
|
223 |
+
... return -x**2
|
224 |
+
>>> np.exp(res.integral), np.exp(res.error)
|
225 |
+
4.7819613911306924e-176, 4.670364401645093e-187
|
226 |
+
|
227 |
+
The limits of integration and elements of `args` may be broadcastable
|
228 |
+
arrays, and integration is performed elementwise.
|
229 |
+
|
230 |
+
>>> from scipy import stats
|
231 |
+
>>> dist = stats.gausshyper(13.8, 3.12, 2.51, 5.18)
|
232 |
+
>>> a, b = dist.support()
|
233 |
+
>>> x = np.linspace(a, b, 100)
|
234 |
+
>>> res = _tanhsinh(dist.pdf, a, x)
|
235 |
+
>>> ref = dist.cdf(x)
|
236 |
+
>>> np.allclose(res.integral, ref)
|
237 |
+
|
238 |
+
By default, `preserve_shape` is False, and therefore the callable
|
239 |
+
`f` may be called with arrays of any broadcastable shapes.
|
240 |
+
For example:
|
241 |
+
|
242 |
+
>>> shapes = []
|
243 |
+
>>> def f(x, c):
|
244 |
+
... shape = np.broadcast_shapes(x.shape, c.shape)
|
245 |
+
... shapes.append(shape)
|
246 |
+
... return np.sin(c*x)
|
247 |
+
>>>
|
248 |
+
>>> c = [1, 10, 30, 100]
|
249 |
+
>>> res = _tanhsinh(f, 0, 1, args=(c,), minlevel=1)
|
250 |
+
>>> shapes
|
251 |
+
[(4,), (4, 66), (3, 64), (2, 128), (1, 256)]
|
252 |
+
|
253 |
+
To understand where these shapes are coming from - and to better
|
254 |
+
understand how `_tanhsinh` computes accurate results - note that
|
255 |
+
higher values of ``c`` correspond with higher frequency sinusoids.
|
256 |
+
The higher frequency sinusoids make the integrand more complicated,
|
257 |
+
so more function evaluations are required to achieve the target
|
258 |
+
accuracy:
|
259 |
+
|
260 |
+
>>> res.nfev
|
261 |
+
array([ 67, 131, 259, 515])
|
262 |
+
|
263 |
+
The initial ``shape``, ``(4,)``, corresponds with evaluating the
|
264 |
+
integrand at a single abscissa and all four frequencies; this is used
|
265 |
+
for input validation and to determine the size and dtype of the arrays
|
266 |
+
that store results. The next shape corresponds with evaluating the
|
267 |
+
integrand at an initial grid of abscissae and all four frequencies.
|
268 |
+
Successive calls to the function double the total number of abscissae at
|
269 |
+
which the function has been evaluated. However, in later function
|
270 |
+
evaluations, the integrand is evaluated at fewer frequencies because
|
271 |
+
the corresponding integral has already converged to the required
|
272 |
+
tolerance. This saves function evaluations to improve performance, but
|
273 |
+
it requires the function to accept arguments of any shape.
|
274 |
+
|
275 |
+
"Vector-valued" integrands, such as those written for use with
|
276 |
+
`scipy.integrate.quad_vec`, are unlikely to satisfy this requirement.
|
277 |
+
For example, consider
|
278 |
+
|
279 |
+
>>> def f(x):
|
280 |
+
... return [x, np.sin(10*x), np.cos(30*x), x*np.sin(100*x)**2]
|
281 |
+
|
282 |
+
This integrand is not compatible with `_tanhsinh` as written; for instance,
|
283 |
+
the shape of the output will not be the same as the shape of ``x``. Such a
|
284 |
+
function *could* be converted to a compatible form with the introduction of
|
285 |
+
additional parameters, but this would be inconvenient. In such cases,
|
286 |
+
a simpler solution would be to use `preserve_shape`.
|
287 |
+
|
288 |
+
>>> shapes = []
|
289 |
+
>>> def f(x):
|
290 |
+
... shapes.append(x.shape)
|
291 |
+
... x0, x1, x2, x3 = x
|
292 |
+
... return [x0, np.sin(10*x1), np.cos(30*x2), x3*np.sin(100*x3)]
|
293 |
+
>>>
|
294 |
+
>>> a = np.zeros(4)
|
295 |
+
>>> res = _tanhsinh(f, a, 1, preserve_shape=True)
|
296 |
+
>>> shapes
|
297 |
+
[(4,), (4, 66), (4, 64), (4, 128), (4, 256)]
|
298 |
+
|
299 |
+
Here, the broadcasted shape of `a` and `b` is ``(4,)``. With
|
300 |
+
``preserve_shape=True``, the function may be called with argument
|
301 |
+
``x`` of shape ``(4,)`` or ``(4, n)``, and this is what we observe.
|
302 |
+
|
303 |
+
"""
|
304 |
+
(f, a, b, log, maxfun, maxlevel, minlevel,
|
305 |
+
atol, rtol, args, preserve_shape, callback) = _tanhsinh_iv(
|
306 |
+
f, a, b, log, maxfun, maxlevel, minlevel, atol,
|
307 |
+
rtol, args, preserve_shape, callback)
|
308 |
+
|
309 |
+
# Initialization
|
310 |
+
# `eim._initialize` does several important jobs, including
|
311 |
+
# ensuring that limits, each of the `args`, and the output of `f`
|
312 |
+
# broadcast correctly and are of consistent types. To save a function
|
313 |
+
# evaluation, I pass the midpoint of the integration interval. This comes
|
314 |
+
# at a cost of some gymnastics to ensure that the midpoint has the right
|
315 |
+
# shape and dtype. Did you know that 0d and >0d arrays follow different
|
316 |
+
# type promotion rules?
|
317 |
+
with np.errstate(over='ignore', invalid='ignore', divide='ignore'):
|
318 |
+
c = ((a.ravel() + b.ravel())/2).reshape(a.shape)
|
319 |
+
inf_a, inf_b = np.isinf(a), np.isinf(b)
|
320 |
+
c[inf_a] = b[inf_a] - 1 # takes care of infinite a
|
321 |
+
c[inf_b] = a[inf_b] + 1 # takes care of infinite b
|
322 |
+
c[inf_a & inf_b] = 0 # takes care of infinite a and b
|
323 |
+
temp = eim._initialize(f, (c,), args, complex_ok=True,
|
324 |
+
preserve_shape=preserve_shape)
|
325 |
+
f, xs, fs, args, shape, dtype = temp
|
326 |
+
a = np.broadcast_to(a, shape).astype(dtype).ravel()
|
327 |
+
b = np.broadcast_to(b, shape).astype(dtype).ravel()
|
328 |
+
|
329 |
+
# Transform improper integrals
|
330 |
+
a, b, a0, negative, abinf, ainf, binf = _transform_integrals(a, b)
|
331 |
+
|
332 |
+
# Define variables we'll need
|
333 |
+
nit, nfev = 0, 1 # one function evaluation performed above
|
334 |
+
zero = -np.inf if log else 0
|
335 |
+
pi = dtype.type(np.pi)
|
336 |
+
maxiter = maxlevel - minlevel + 1
|
337 |
+
eps = np.finfo(dtype).eps
|
338 |
+
if rtol is None:
|
339 |
+
rtol = 0.75*np.log(eps) if log else eps**0.75
|
340 |
+
|
341 |
+
Sn = np.full(shape, zero, dtype=dtype).ravel() # latest integral estimate
|
342 |
+
Sn[np.isnan(a) | np.isnan(b) | np.isnan(fs[0])] = np.nan
|
343 |
+
Sk = np.empty_like(Sn).reshape(-1, 1)[:, 0:0] # all integral estimates
|
344 |
+
aerr = np.full(shape, np.nan, dtype=dtype).ravel() # absolute error
|
345 |
+
status = np.full(shape, eim._EINPROGRESS, dtype=int).ravel()
|
346 |
+
h0 = np.real(_get_base_step(dtype=dtype)) # base step
|
347 |
+
|
348 |
+
# For term `d4` of error estimate ([1] Section 5), we need to keep the
|
349 |
+
# most extreme abscissae and corresponding `fj`s, `wj`s in Euler-Maclaurin
|
350 |
+
# sum. Here, we initialize these variables.
|
351 |
+
xr0 = np.full(shape, -np.inf, dtype=dtype).ravel()
|
352 |
+
fr0 = np.full(shape, np.nan, dtype=dtype).ravel()
|
353 |
+
wr0 = np.zeros(shape, dtype=dtype).ravel()
|
354 |
+
xl0 = np.full(shape, np.inf, dtype=dtype).ravel()
|
355 |
+
fl0 = np.full(shape, np.nan, dtype=dtype).ravel()
|
356 |
+
wl0 = np.zeros(shape, dtype=dtype).ravel()
|
357 |
+
d4 = np.zeros(shape, dtype=dtype).ravel()
|
358 |
+
|
359 |
+
work = _RichResult(
|
360 |
+
Sn=Sn, Sk=Sk, aerr=aerr, h=h0, log=log, dtype=dtype, pi=pi, eps=eps,
|
361 |
+
a=a.reshape(-1, 1), b=b.reshape(-1, 1), # integration limits
|
362 |
+
n=minlevel, nit=nit, nfev=nfev, status=status, # iter/eval counts
|
363 |
+
xr0=xr0, fr0=fr0, wr0=wr0, xl0=xl0, fl0=fl0, wl0=wl0, d4=d4, # err est
|
364 |
+
ainf=ainf, binf=binf, abinf=abinf, a0=a0.reshape(-1, 1)) # transforms
|
365 |
+
# Constant scalars don't need to be put in `work` unless they need to be
|
366 |
+
# passed outside `tanhsinh`. Examples: atol, rtol, h0, minlevel.
|
367 |
+
|
368 |
+
# Correspondence between terms in the `work` object and the result
|
369 |
+
res_work_pairs = [('status', 'status'), ('integral', 'Sn'),
|
370 |
+
('error', 'aerr'), ('nit', 'nit'), ('nfev', 'nfev')]
|
371 |
+
|
372 |
+
def pre_func_eval(work):
|
373 |
+
# Determine abscissae at which to evaluate `f`
|
374 |
+
work.h = h0 / 2**work.n
|
375 |
+
xjc, wj = _get_pairs(work.n, h0, dtype=work.dtype,
|
376 |
+
inclusive=(work.n == minlevel))
|
377 |
+
work.xj, work.wj = _transform_to_limits(xjc, wj, work.a, work.b)
|
378 |
+
|
379 |
+
# Perform abscissae substitutions for infinite limits of integration
|
380 |
+
xj = work.xj.copy()
|
381 |
+
xj[work.abinf] = xj[work.abinf] / (1 - xj[work.abinf]**2)
|
382 |
+
xj[work.binf] = 1/xj[work.binf] - 1 + work.a0[work.binf]
|
383 |
+
xj[work.ainf] *= -1
|
384 |
+
return xj
|
385 |
+
|
386 |
+
def post_func_eval(x, fj, work):
|
387 |
+
# Weight integrand as required by substitutions for infinite limits
|
388 |
+
if work.log:
|
389 |
+
fj[work.abinf] += (np.log(1 + work.xj[work.abinf] ** 2)
|
390 |
+
- 2*np.log(1 - work.xj[work.abinf] ** 2))
|
391 |
+
fj[work.binf] -= 2 * np.log(work.xj[work.binf])
|
392 |
+
else:
|
393 |
+
fj[work.abinf] *= ((1 + work.xj[work.abinf]**2) /
|
394 |
+
(1 - work.xj[work.abinf]**2)**2)
|
395 |
+
fj[work.binf] *= work.xj[work.binf]**-2.
|
396 |
+
|
397 |
+
# Estimate integral with Euler-Maclaurin Sum
|
398 |
+
fjwj, Sn = _euler_maclaurin_sum(fj, work)
|
399 |
+
if work.Sk.shape[-1]:
|
400 |
+
Snm1 = work.Sk[:, -1]
|
401 |
+
Sn = (special.logsumexp([Snm1 - np.log(2), Sn], axis=0) if log
|
402 |
+
else Snm1 / 2 + Sn)
|
403 |
+
|
404 |
+
work.fjwj = fjwj
|
405 |
+
work.Sn = Sn
|
406 |
+
|
407 |
+
def check_termination(work):
|
408 |
+
"""Terminate due to convergence or encountering non-finite values"""
|
409 |
+
stop = np.zeros(work.Sn.shape, dtype=bool)
|
410 |
+
|
411 |
+
# Terminate before first iteration if integration limits are equal
|
412 |
+
if work.nit == 0:
|
413 |
+
i = (work.a == work.b).ravel() # ravel singleton dimension
|
414 |
+
zero = -np.inf if log else 0
|
415 |
+
work.Sn[i] = zero
|
416 |
+
work.aerr[i] = zero
|
417 |
+
work.status[i] = eim._ECONVERGED
|
418 |
+
stop[i] = True
|
419 |
+
else:
|
420 |
+
# Terminate if convergence criterion is met
|
421 |
+
work.rerr, work.aerr = _estimate_error(work)
|
422 |
+
i = ((work.rerr < rtol) | (work.rerr + np.real(work.Sn) < atol) if log
|
423 |
+
else (work.rerr < rtol) | (work.rerr * abs(work.Sn) < atol))
|
424 |
+
work.status[i] = eim._ECONVERGED
|
425 |
+
stop[i] = True
|
426 |
+
|
427 |
+
# Terminate if integral estimate becomes invalid
|
428 |
+
if log:
|
429 |
+
i = (np.isposinf(np.real(work.Sn)) | np.isnan(work.Sn)) & ~stop
|
430 |
+
else:
|
431 |
+
i = ~np.isfinite(work.Sn) & ~stop
|
432 |
+
work.status[i] = eim._EVALUEERR
|
433 |
+
stop[i] = True
|
434 |
+
|
435 |
+
return stop
|
436 |
+
|
437 |
+
def post_termination_check(work):
|
438 |
+
work.n += 1
|
439 |
+
work.Sk = np.concatenate((work.Sk, work.Sn[:, np.newaxis]), axis=-1)
|
440 |
+
return
|
441 |
+
|
442 |
+
def customize_result(res, shape):
|
443 |
+
# If the integration limits were such that b < a, we reversed them
|
444 |
+
# to perform the calculation, and the final result needs to be negated.
|
445 |
+
if log and np.any(negative):
|
446 |
+
pi = res['integral'].dtype.type(np.pi)
|
447 |
+
j = np.complex64(1j) # minimum complex type
|
448 |
+
res['integral'] = res['integral'] + negative*pi*j
|
449 |
+
else:
|
450 |
+
res['integral'][negative] *= -1
|
451 |
+
|
452 |
+
# For this algorithm, it seems more appropriate to report the maximum
|
453 |
+
# level rather than the number of iterations in which it was performed.
|
454 |
+
res['maxlevel'] = minlevel + res['nit'] - 1
|
455 |
+
res['maxlevel'][res['nit'] == 0] = -1
|
456 |
+
del res['nit']
|
457 |
+
return shape
|
458 |
+
|
459 |
+
# Suppress all warnings initially, since there are many places in the code
|
460 |
+
# for which this is expected behavior.
|
461 |
+
with np.errstate(over='ignore', invalid='ignore', divide='ignore'):
|
462 |
+
res = eim._loop(work, callback, shape, maxiter, f, args, dtype, pre_func_eval,
|
463 |
+
post_func_eval, check_termination, post_termination_check,
|
464 |
+
customize_result, res_work_pairs, preserve_shape)
|
465 |
+
return res
|
466 |
+
|
467 |
+
|
468 |
+
def _get_base_step(dtype=np.float64):
|
469 |
+
# Compute the base step length for the provided dtype. Theoretically, the
|
470 |
+
# Euler-Maclaurin sum is infinite, but it gets cut off when either the
|
471 |
+
# weights underflow or the abscissae cannot be distinguished from the
|
472 |
+
# limits of integration. The latter happens to occur first for float32 and
|
473 |
+
# float64, and it occurs when `xjc` (the abscissa complement)
|
474 |
+
# in `_compute_pair` underflows. We can solve for the argument `tmax` at
|
475 |
+
# which it will underflow using [2] Eq. 13.
|
476 |
+
fmin = 4*np.finfo(dtype).tiny # stay a little away from the limit
|
477 |
+
tmax = np.arcsinh(np.log(2/fmin - 1) / np.pi)
|
478 |
+
|
479 |
+
# Based on this, we can choose a base step size `h` for level 0.
|
480 |
+
# The number of function evaluations will be `2 + m*2^(k+1)`, where `k` is
|
481 |
+
# the level and `m` is an integer we get to choose. I choose
|
482 |
+
# m = _N_BASE_STEPS = `8` somewhat arbitrarily, but a rationale is that a
|
483 |
+
# power of 2 makes floating point arithmetic more predictable. It also
|
484 |
+
# results in a base step size close to `1`, which is what [1] uses (and I
|
485 |
+
# used here until I found [2] and these ideas settled).
|
486 |
+
h0 = tmax / _N_BASE_STEPS
|
487 |
+
return h0.astype(dtype)
|
488 |
+
|
489 |
+
|
490 |
+
_N_BASE_STEPS = 8
|
491 |
+
|
492 |
+
|
493 |
+
def _compute_pair(k, h0):
|
494 |
+
# Compute the abscissa-weight pairs for each level k. See [1] page 9.
|
495 |
+
|
496 |
+
# For now, we compute and store in 64-bit precision. If higher-precision
|
497 |
+
# data types become better supported, it would be good to compute these
|
498 |
+
# using the highest precision available. Or, once there is an Array API-
|
499 |
+
# compatible arbitrary precision array, we can compute at the required
|
500 |
+
# precision.
|
501 |
+
|
502 |
+
# "....each level k of abscissa-weight pairs uses h = 2 **-k"
|
503 |
+
# We adapt to floating point arithmetic using ideas of [2].
|
504 |
+
h = h0 / 2**k
|
505 |
+
max = _N_BASE_STEPS * 2**k
|
506 |
+
|
507 |
+
# For iterations after the first, "....the integrand function needs to be
|
508 |
+
# evaluated only at the odd-indexed abscissas at each level."
|
509 |
+
j = np.arange(max+1) if k == 0 else np.arange(1, max+1, 2)
|
510 |
+
jh = j * h
|
511 |
+
|
512 |
+
# "In this case... the weights wj = u1/cosh(u2)^2, where..."
|
513 |
+
pi_2 = np.pi / 2
|
514 |
+
u1 = pi_2*np.cosh(jh)
|
515 |
+
u2 = pi_2*np.sinh(jh)
|
516 |
+
# Denominators get big here. Overflow then underflow doesn't need warning.
|
517 |
+
# with np.errstate(under='ignore', over='ignore'):
|
518 |
+
wj = u1 / np.cosh(u2)**2
|
519 |
+
# "We actually store 1-xj = 1/(...)."
|
520 |
+
xjc = 1 / (np.exp(u2) * np.cosh(u2)) # complement of xj = np.tanh(u2)
|
521 |
+
|
522 |
+
# When level k == 0, the zeroth xj corresponds with xj = 0. To simplify
|
523 |
+
# code, the function will be evaluated there twice; each gets half weight.
|
524 |
+
wj[0] = wj[0] / 2 if k == 0 else wj[0]
|
525 |
+
|
526 |
+
return xjc, wj # store at full precision
|
527 |
+
|
528 |
+
|
529 |
+
def _pair_cache(k, h0):
|
530 |
+
# Cache the abscissa-weight pairs up to a specified level.
|
531 |
+
# Abscissae and weights of consecutive levels are concatenated.
|
532 |
+
# `index` records the indices that correspond with each level:
|
533 |
+
# `xjc[index[k]:index[k+1]` extracts the level `k` abscissae.
|
534 |
+
if h0 != _pair_cache.h0:
|
535 |
+
_pair_cache.xjc = np.empty(0)
|
536 |
+
_pair_cache.wj = np.empty(0)
|
537 |
+
_pair_cache.indices = [0]
|
538 |
+
|
539 |
+
xjcs = [_pair_cache.xjc]
|
540 |
+
wjs = [_pair_cache.wj]
|
541 |
+
|
542 |
+
for i in range(len(_pair_cache.indices)-1, k + 1):
|
543 |
+
xjc, wj = _compute_pair(i, h0)
|
544 |
+
xjcs.append(xjc)
|
545 |
+
wjs.append(wj)
|
546 |
+
_pair_cache.indices.append(_pair_cache.indices[-1] + len(xjc))
|
547 |
+
|
548 |
+
_pair_cache.xjc = np.concatenate(xjcs)
|
549 |
+
_pair_cache.wj = np.concatenate(wjs)
|
550 |
+
_pair_cache.h0 = h0
|
551 |
+
|
552 |
+
_pair_cache.xjc = np.empty(0)
|
553 |
+
_pair_cache.wj = np.empty(0)
|
554 |
+
_pair_cache.indices = [0]
|
555 |
+
_pair_cache.h0 = None
|
556 |
+
|
557 |
+
|
558 |
+
def _get_pairs(k, h0, inclusive=False, dtype=np.float64):
|
559 |
+
# Retrieve the specified abscissa-weight pairs from the cache
|
560 |
+
# If `inclusive`, return all up to and including the specified level
|
561 |
+
if len(_pair_cache.indices) <= k+2 or h0 != _pair_cache.h0:
|
562 |
+
_pair_cache(k, h0)
|
563 |
+
|
564 |
+
xjc = _pair_cache.xjc
|
565 |
+
wj = _pair_cache.wj
|
566 |
+
indices = _pair_cache.indices
|
567 |
+
|
568 |
+
start = 0 if inclusive else indices[k]
|
569 |
+
end = indices[k+1]
|
570 |
+
|
571 |
+
return xjc[start:end].astype(dtype), wj[start:end].astype(dtype)
|
572 |
+
|
573 |
+
|
574 |
+
def _transform_to_limits(xjc, wj, a, b):
|
575 |
+
# Transform integral according to user-specified limits. This is just
|
576 |
+
# math that follows from the fact that the standard limits are (-1, 1).
|
577 |
+
# Note: If we had stored xj instead of xjc, we would have
|
578 |
+
# xj = alpha * xj + beta, where beta = (a + b)/2
|
579 |
+
alpha = (b - a) / 2
|
580 |
+
xj = np.concatenate((-alpha * xjc + b, alpha * xjc + a), axis=-1)
|
581 |
+
wj = wj*alpha # arguments get broadcasted, so we can't use *=
|
582 |
+
wj = np.concatenate((wj, wj), axis=-1)
|
583 |
+
|
584 |
+
# Points at the boundaries can be generated due to finite precision
|
585 |
+
# arithmetic, but these function values aren't supposed to be included in
|
586 |
+
# the Euler-Maclaurin sum. Ideally we wouldn't evaluate the function at
|
587 |
+
# these points; however, we can't easily filter out points since this
|
588 |
+
# function is vectorized. Instead, zero the weights.
|
589 |
+
invalid = (xj <= a) | (xj >= b)
|
590 |
+
wj[invalid] = 0
|
591 |
+
return xj, wj
|
592 |
+
|
593 |
+
|
594 |
+
def _euler_maclaurin_sum(fj, work):
|
595 |
+
# Perform the Euler-Maclaurin Sum, [1] Section 4
|
596 |
+
|
597 |
+
# The error estimate needs to know the magnitude of the last term
|
598 |
+
# omitted from the Euler-Maclaurin sum. This is a bit involved because
|
599 |
+
# it may have been computed at a previous level. I sure hope it's worth
|
600 |
+
# all the trouble.
|
601 |
+
xr0, fr0, wr0 = work.xr0, work.fr0, work.wr0
|
602 |
+
xl0, fl0, wl0 = work.xl0, work.fl0, work.wl0
|
603 |
+
|
604 |
+
# It is much more convenient to work with the transposes of our work
|
605 |
+
# variables here.
|
606 |
+
xj, fj, wj = work.xj.T, fj.T, work.wj.T
|
607 |
+
n_x, n_active = xj.shape # number of abscissae, number of active elements
|
608 |
+
|
609 |
+
# We'll work with the left and right sides separately
|
610 |
+
xr, xl = xj.reshape(2, n_x // 2, n_active).copy() # this gets modified
|
611 |
+
fr, fl = fj.reshape(2, n_x // 2, n_active)
|
612 |
+
wr, wl = wj.reshape(2, n_x // 2, n_active)
|
613 |
+
|
614 |
+
invalid_r = ~np.isfinite(fr) | (wr == 0)
|
615 |
+
invalid_l = ~np.isfinite(fl) | (wl == 0)
|
616 |
+
|
617 |
+
# integer index of the maximum abscissa at this level
|
618 |
+
xr[invalid_r] = -np.inf
|
619 |
+
ir = np.argmax(xr, axis=0, keepdims=True)
|
620 |
+
# abscissa, function value, and weight at this index
|
621 |
+
xr_max = np.take_along_axis(xr, ir, axis=0)[0]
|
622 |
+
fr_max = np.take_along_axis(fr, ir, axis=0)[0]
|
623 |
+
wr_max = np.take_along_axis(wr, ir, axis=0)[0]
|
624 |
+
# boolean indices at which maximum abscissa at this level exceeds
|
625 |
+
# the incumbent maximum abscissa (from all previous levels)
|
626 |
+
j = xr_max > xr0
|
627 |
+
# Update record of the incumbent abscissa, function value, and weight
|
628 |
+
xr0[j] = xr_max[j]
|
629 |
+
fr0[j] = fr_max[j]
|
630 |
+
wr0[j] = wr_max[j]
|
631 |
+
|
632 |
+
# integer index of the minimum abscissa at this level
|
633 |
+
xl[invalid_l] = np.inf
|
634 |
+
il = np.argmin(xl, axis=0, keepdims=True)
|
635 |
+
# abscissa, function value, and weight at this index
|
636 |
+
xl_min = np.take_along_axis(xl, il, axis=0)[0]
|
637 |
+
fl_min = np.take_along_axis(fl, il, axis=0)[0]
|
638 |
+
wl_min = np.take_along_axis(wl, il, axis=0)[0]
|
639 |
+
# boolean indices at which minimum abscissa at this level is less than
|
640 |
+
# the incumbent minimum abscissa (from all previous levels)
|
641 |
+
j = xl_min < xl0
|
642 |
+
# Update record of the incumbent abscissa, function value, and weight
|
643 |
+
xl0[j] = xl_min[j]
|
644 |
+
fl0[j] = fl_min[j]
|
645 |
+
wl0[j] = wl_min[j]
|
646 |
+
fj = fj.T
|
647 |
+
|
648 |
+
# Compute the error estimate `d4` - the magnitude of the leftmost or
|
649 |
+
# rightmost term, whichever is greater.
|
650 |
+
flwl0 = fl0 + np.log(wl0) if work.log else fl0 * wl0 # leftmost term
|
651 |
+
frwr0 = fr0 + np.log(wr0) if work.log else fr0 * wr0 # rightmost term
|
652 |
+
magnitude = np.real if work.log else np.abs
|
653 |
+
work.d4 = np.maximum(magnitude(flwl0), magnitude(frwr0))
|
654 |
+
|
655 |
+
# There are two approaches to dealing with function values that are
|
656 |
+
# numerically infinite due to approaching a singularity - zero them, or
|
657 |
+
# replace them with the function value at the nearest non-infinite point.
|
658 |
+
# [3] pg. 22 suggests the latter, so let's do that given that we have the
|
659 |
+
# information.
|
660 |
+
fr0b = np.broadcast_to(fr0[np.newaxis, :], fr.shape)
|
661 |
+
fl0b = np.broadcast_to(fl0[np.newaxis, :], fl.shape)
|
662 |
+
fr[invalid_r] = fr0b[invalid_r]
|
663 |
+
fl[invalid_l] = fl0b[invalid_l]
|
664 |
+
|
665 |
+
# When wj is zero, log emits a warning
|
666 |
+
# with np.errstate(divide='ignore'):
|
667 |
+
fjwj = fj + np.log(work.wj) if work.log else fj * work.wj
|
668 |
+
|
669 |
+
# update integral estimate
|
670 |
+
Sn = (special.logsumexp(fjwj + np.log(work.h), axis=-1) if work.log
|
671 |
+
else np.sum(fjwj, axis=-1) * work.h)
|
672 |
+
|
673 |
+
work.xr0, work.fr0, work.wr0 = xr0, fr0, wr0
|
674 |
+
work.xl0, work.fl0, work.wl0 = xl0, fl0, wl0
|
675 |
+
|
676 |
+
return fjwj, Sn
|
677 |
+
|
678 |
+
|
679 |
+
def _estimate_error(work):
|
680 |
+
# Estimate the error according to [1] Section 5
|
681 |
+
|
682 |
+
if work.n == 0 or work.nit == 0:
|
683 |
+
# The paper says to use "one" as the error before it can be calculated.
|
684 |
+
# NaN seems to be more appropriate.
|
685 |
+
nan = np.full_like(work.Sn, np.nan)
|
686 |
+
return nan, nan
|
687 |
+
|
688 |
+
indices = _pair_cache.indices
|
689 |
+
|
690 |
+
n_active = len(work.Sn) # number of active elements
|
691 |
+
axis_kwargs = dict(axis=-1, keepdims=True)
|
692 |
+
|
693 |
+
# With a jump start (starting at level higher than 0), we haven't
|
694 |
+
# explicitly calculated the integral estimate at lower levels. But we have
|
695 |
+
# all the function value-weight products, so we can compute the
|
696 |
+
# lower-level estimates.
|
697 |
+
if work.Sk.shape[-1] == 0:
|
698 |
+
h = 2 * work.h # step size at this level
|
699 |
+
n_x = indices[work.n] # number of abscissa up to this level
|
700 |
+
# The right and left fjwj terms from all levels are concatenated along
|
701 |
+
# the last axis. Get out only the terms up to this level.
|
702 |
+
fjwj_rl = work.fjwj.reshape(n_active, 2, -1)
|
703 |
+
fjwj = fjwj_rl[:, :, :n_x].reshape(n_active, 2*n_x)
|
704 |
+
# Compute the Euler-Maclaurin sum at this level
|
705 |
+
Snm1 = (special.logsumexp(fjwj, **axis_kwargs) + np.log(h) if work.log
|
706 |
+
else np.sum(fjwj, **axis_kwargs) * h)
|
707 |
+
work.Sk = np.concatenate((Snm1, work.Sk), axis=-1)
|
708 |
+
|
709 |
+
if work.n == 1:
|
710 |
+
nan = np.full_like(work.Sn, np.nan)
|
711 |
+
return nan, nan
|
712 |
+
|
713 |
+
# The paper says not to calculate the error for n<=2, but it's not clear
|
714 |
+
# about whether it starts at level 0 or level 1. We start at level 0, so
|
715 |
+
# why not compute the error beginning in level 2?
|
716 |
+
if work.Sk.shape[-1] < 2:
|
717 |
+
h = 4 * work.h # step size at this level
|
718 |
+
n_x = indices[work.n-1] # number of abscissa up to this level
|
719 |
+
# The right and left fjwj terms from all levels are concatenated along
|
720 |
+
# the last axis. Get out only the terms up to this level.
|
721 |
+
fjwj_rl = work.fjwj.reshape(len(work.Sn), 2, -1)
|
722 |
+
fjwj = fjwj_rl[..., :n_x].reshape(n_active, 2*n_x)
|
723 |
+
# Compute the Euler-Maclaurin sum at this level
|
724 |
+
Snm2 = (special.logsumexp(fjwj, **axis_kwargs) + np.log(h) if work.log
|
725 |
+
else np.sum(fjwj, **axis_kwargs) * h)
|
726 |
+
work.Sk = np.concatenate((Snm2, work.Sk), axis=-1)
|
727 |
+
|
728 |
+
Snm2 = work.Sk[..., -2]
|
729 |
+
Snm1 = work.Sk[..., -1]
|
730 |
+
|
731 |
+
e1 = work.eps
|
732 |
+
|
733 |
+
if work.log:
|
734 |
+
log_e1 = np.log(e1)
|
735 |
+
# Currently, only real integrals are supported in log-scale. All
|
736 |
+
# complex values have imaginary part in increments of pi*j, which just
|
737 |
+
# carries sign information of the original integral, so use of
|
738 |
+
# `np.real` here is equivalent to absolute value in real scale.
|
739 |
+
d1 = np.real(special.logsumexp([work.Sn, Snm1 + work.pi*1j], axis=0))
|
740 |
+
d2 = np.real(special.logsumexp([work.Sn, Snm2 + work.pi*1j], axis=0))
|
741 |
+
d3 = log_e1 + np.max(np.real(work.fjwj), axis=-1)
|
742 |
+
d4 = work.d4
|
743 |
+
aerr = np.max([d1 ** 2 / d2, 2 * d1, d3, d4], axis=0)
|
744 |
+
rerr = np.maximum(log_e1, aerr - np.real(work.Sn))
|
745 |
+
else:
|
746 |
+
# Note: explicit computation of log10 of each of these is unnecessary.
|
747 |
+
d1 = np.abs(work.Sn - Snm1)
|
748 |
+
d2 = np.abs(work.Sn - Snm2)
|
749 |
+
d3 = e1 * np.max(np.abs(work.fjwj), axis=-1)
|
750 |
+
d4 = work.d4
|
751 |
+
# If `d1` is 0, no need to warn. This does the right thing.
|
752 |
+
# with np.errstate(divide='ignore'):
|
753 |
+
aerr = np.max([d1**(np.log(d1)/np.log(d2)), d1**2, d3, d4], axis=0)
|
754 |
+
rerr = np.maximum(e1, aerr/np.abs(work.Sn))
|
755 |
+
return rerr, aerr.reshape(work.Sn.shape)
|
756 |
+
|
757 |
+
|
758 |
+
def _transform_integrals(a, b):
|
759 |
+
# Transform integrals to a form with finite a < b
|
760 |
+
# For b < a, we reverse the limits and will multiply the final result by -1
|
761 |
+
# For infinite limit on the right, we use the substitution x = 1/t - 1 + a
|
762 |
+
# For infinite limit on the left, we substitute x = -x and treat as above
|
763 |
+
# For infinite limits, we substitute x = t / (1-t**2)
|
764 |
+
|
765 |
+
negative = b < a
|
766 |
+
a[negative], b[negative] = b[negative], a[negative]
|
767 |
+
|
768 |
+
abinf = np.isinf(a) & np.isinf(b)
|
769 |
+
a[abinf], b[abinf] = -1, 1
|
770 |
+
|
771 |
+
ainf = np.isinf(a)
|
772 |
+
a[ainf], b[ainf] = -b[ainf], -a[ainf]
|
773 |
+
|
774 |
+
binf = np.isinf(b)
|
775 |
+
a0 = a.copy()
|
776 |
+
a[binf], b[binf] = 0, 1
|
777 |
+
|
778 |
+
return a, b, a0, negative, abinf, ainf, binf
|
779 |
+
|
780 |
+
|
781 |
+
def _tanhsinh_iv(f, a, b, log, maxfun, maxlevel, minlevel,
|
782 |
+
atol, rtol, args, preserve_shape, callback):
|
783 |
+
# Input validation and standardization
|
784 |
+
|
785 |
+
message = '`f` must be callable.'
|
786 |
+
if not callable(f):
|
787 |
+
raise ValueError(message)
|
788 |
+
|
789 |
+
message = 'All elements of `a` and `b` must be real numbers.'
|
790 |
+
a, b = np.broadcast_arrays(a, b)
|
791 |
+
if np.any(np.iscomplex(a)) or np.any(np.iscomplex(b)):
|
792 |
+
raise ValueError(message)
|
793 |
+
|
794 |
+
message = '`log` must be True or False.'
|
795 |
+
if log not in {True, False}:
|
796 |
+
raise ValueError(message)
|
797 |
+
log = bool(log)
|
798 |
+
|
799 |
+
if atol is None:
|
800 |
+
atol = -np.inf if log else 0
|
801 |
+
|
802 |
+
rtol_temp = rtol if rtol is not None else 0.
|
803 |
+
|
804 |
+
params = np.asarray([atol, rtol_temp, 0.])
|
805 |
+
message = "`atol` and `rtol` must be real numbers."
|
806 |
+
if not np.issubdtype(params.dtype, np.floating):
|
807 |
+
raise ValueError(message)
|
808 |
+
|
809 |
+
if log:
|
810 |
+
message = '`atol` and `rtol` may not be positive infinity.'
|
811 |
+
if np.any(np.isposinf(params)):
|
812 |
+
raise ValueError(message)
|
813 |
+
else:
|
814 |
+
message = '`atol` and `rtol` must be non-negative and finite.'
|
815 |
+
if np.any(params < 0) or np.any(np.isinf(params)):
|
816 |
+
raise ValueError(message)
|
817 |
+
atol = params[0]
|
818 |
+
rtol = rtol if rtol is None else params[1]
|
819 |
+
|
820 |
+
BIGINT = float(2**62)
|
821 |
+
if maxfun is None and maxlevel is None:
|
822 |
+
maxlevel = 10
|
823 |
+
|
824 |
+
maxfun = BIGINT if maxfun is None else maxfun
|
825 |
+
maxlevel = BIGINT if maxlevel is None else maxlevel
|
826 |
+
|
827 |
+
message = '`maxfun`, `maxlevel`, and `minlevel` must be integers.'
|
828 |
+
params = np.asarray([maxfun, maxlevel, minlevel])
|
829 |
+
if not (np.issubdtype(params.dtype, np.number)
|
830 |
+
and np.all(np.isreal(params))
|
831 |
+
and np.all(params.astype(np.int64) == params)):
|
832 |
+
raise ValueError(message)
|
833 |
+
message = '`maxfun`, `maxlevel`, and `minlevel` must be non-negative.'
|
834 |
+
if np.any(params < 0):
|
835 |
+
raise ValueError(message)
|
836 |
+
maxfun, maxlevel, minlevel = params.astype(np.int64)
|
837 |
+
minlevel = min(minlevel, maxlevel)
|
838 |
+
|
839 |
+
if not np.iterable(args):
|
840 |
+
args = (args,)
|
841 |
+
|
842 |
+
message = '`preserve_shape` must be True or False.'
|
843 |
+
if preserve_shape not in {True, False}:
|
844 |
+
raise ValueError(message)
|
845 |
+
|
846 |
+
if callback is not None and not callable(callback):
|
847 |
+
raise ValueError('`callback` must be callable.')
|
848 |
+
|
849 |
+
return (f, a, b, log, maxfun, maxlevel, minlevel,
|
850 |
+
atol, rtol, args, preserve_shape, callback)
|
851 |
+
|
852 |
+
|
853 |
+
def _logsumexp(x, axis=0):
|
854 |
+
# logsumexp raises with empty array
|
855 |
+
x = np.asarray(x)
|
856 |
+
shape = list(x.shape)
|
857 |
+
if shape[axis] == 0:
|
858 |
+
shape.pop(axis)
|
859 |
+
return np.full(shape, fill_value=-np.inf, dtype=x.dtype)
|
860 |
+
else:
|
861 |
+
return special.logsumexp(x, axis=axis)
|
862 |
+
|
863 |
+
|
864 |
+
def _nsum_iv(f, a, b, step, args, log, maxterms, atol, rtol):
|
865 |
+
# Input validation and standardization
|
866 |
+
|
867 |
+
message = '`f` must be callable.'
|
868 |
+
if not callable(f):
|
869 |
+
raise ValueError(message)
|
870 |
+
|
871 |
+
message = 'All elements of `a`, `b`, and `step` must be real numbers.'
|
872 |
+
a, b, step = np.broadcast_arrays(a, b, step)
|
873 |
+
dtype = np.result_type(a.dtype, b.dtype, step.dtype)
|
874 |
+
if not np.issubdtype(dtype, np.number) or np.issubdtype(dtype, np.complexfloating):
|
875 |
+
raise ValueError(message)
|
876 |
+
|
877 |
+
valid_a = np.isfinite(a)
|
878 |
+
valid_b = b >= a # NaNs will be False
|
879 |
+
valid_step = np.isfinite(step) & (step > 0)
|
880 |
+
valid_abstep = valid_a & valid_b & valid_step
|
881 |
+
|
882 |
+
message = '`log` must be True or False.'
|
883 |
+
if log not in {True, False}:
|
884 |
+
raise ValueError(message)
|
885 |
+
|
886 |
+
if atol is None:
|
887 |
+
atol = -np.inf if log else 0
|
888 |
+
|
889 |
+
rtol_temp = rtol if rtol is not None else 0.
|
890 |
+
|
891 |
+
params = np.asarray([atol, rtol_temp, 0.])
|
892 |
+
message = "`atol` and `rtol` must be real numbers."
|
893 |
+
if not np.issubdtype(params.dtype, np.floating):
|
894 |
+
raise ValueError(message)
|
895 |
+
|
896 |
+
if log:
|
897 |
+
message = '`atol`, `rtol` may not be positive infinity or NaN.'
|
898 |
+
if np.any(np.isposinf(params) | np.isnan(params)):
|
899 |
+
raise ValueError(message)
|
900 |
+
else:
|
901 |
+
message = '`atol`, and `rtol` must be non-negative and finite.'
|
902 |
+
if np.any((params < 0) | (~np.isfinite(params))):
|
903 |
+
raise ValueError(message)
|
904 |
+
atol = params[0]
|
905 |
+
rtol = rtol if rtol is None else params[1]
|
906 |
+
|
907 |
+
maxterms_int = int(maxterms)
|
908 |
+
if maxterms_int != maxterms or maxterms < 0:
|
909 |
+
message = "`maxterms` must be a non-negative integer."
|
910 |
+
raise ValueError(message)
|
911 |
+
|
912 |
+
if not np.iterable(args):
|
913 |
+
args = (args,)
|
914 |
+
|
915 |
+
return f, a, b, step, valid_abstep, args, log, maxterms_int, atol, rtol
|
916 |
+
|
917 |
+
|
918 |
+
def _nsum(f, a, b, step=1, args=(), log=False, maxterms=int(2**20), atol=None,
|
919 |
+
rtol=None):
|
920 |
+
r"""Evaluate a convergent sum.
|
921 |
+
|
922 |
+
For finite `b`, this evaluates::
|
923 |
+
|
924 |
+
f(a + np.arange(n)*step).sum()
|
925 |
+
|
926 |
+
where ``n = int((b - a) / step) + 1``. If `f` is smooth, positive, and
|
927 |
+
monotone decreasing, `b` may be infinite, in which case the infinite sum
|
928 |
+
is approximated using integration.
|
929 |
+
|
930 |
+
Parameters
|
931 |
+
----------
|
932 |
+
f : callable
|
933 |
+
The function that evaluates terms to be summed. The signature must be::
|
934 |
+
|
935 |
+
f(x: ndarray, *args) -> ndarray
|
936 |
+
|
937 |
+
where each element of ``x`` is a finite real and ``args`` is a tuple,
|
938 |
+
which may contain an arbitrary number of arrays that are broadcastable
|
939 |
+
with `x`. `f` must represent a smooth, positive, and monotone decreasing
|
940 |
+
function of `x`; `_nsum` performs no checks to verify that these conditions
|
941 |
+
are met and may return erroneous results if they are violated.
|
942 |
+
a, b : array_like
|
943 |
+
Real lower and upper limits of summed terms. Must be broadcastable.
|
944 |
+
Each element of `a` must be finite and less than the corresponding
|
945 |
+
element in `b`, but elements of `b` may be infinite.
|
946 |
+
step : array_like
|
947 |
+
Finite, positive, real step between summed terms. Must be broadcastable
|
948 |
+
with `a` and `b`.
|
949 |
+
args : tuple, optional
|
950 |
+
Additional positional arguments to be passed to `f`. Must be arrays
|
951 |
+
broadcastable with `a`, `b`, and `step`. If the callable to be summed
|
952 |
+
requires arguments that are not broadcastable with `a`, `b`, and `step`,
|
953 |
+
wrap that callable with `f`. See Examples.
|
954 |
+
log : bool, default: False
|
955 |
+
Setting to True indicates that `f` returns the log of the terms
|
956 |
+
and that `atol` and `rtol` are expressed as the logs of the absolute
|
957 |
+
and relative errors. In this case, the result object will contain the
|
958 |
+
log of the sum and error. This is useful for summands for which
|
959 |
+
numerical underflow or overflow would lead to inaccuracies.
|
960 |
+
maxterms : int, default: 2**32
|
961 |
+
The maximum number of terms to evaluate when summing directly.
|
962 |
+
Additional function evaluations may be performed for input
|
963 |
+
validation and integral evaluation.
|
964 |
+
atol, rtol : float, optional
|
965 |
+
Absolute termination tolerance (default: 0) and relative termination
|
966 |
+
tolerance (default: ``eps**0.5``, where ``eps`` is the precision of
|
967 |
+
the result dtype), respectively. Must be non-negative
|
968 |
+
and finite if `log` is False, and must be expressed as the log of a
|
969 |
+
non-negative and finite number if `log` is True.
|
970 |
+
|
971 |
+
Returns
|
972 |
+
-------
|
973 |
+
res : _RichResult
|
974 |
+
An instance of `scipy._lib._util._RichResult` with the following
|
975 |
+
attributes. (The descriptions are written as though the values will be
|
976 |
+
scalars; however, if `func` returns an array, the outputs will be
|
977 |
+
|
978 |
+
arrays of the same shape.)
|
979 |
+
success : bool
|
980 |
+
``True`` when the algorithm terminated successfully (status ``0``).
|
981 |
+
status : int
|
982 |
+
An integer representing the exit status of the algorithm.
|
983 |
+
``0`` : The algorithm converged to the specified tolerances.
|
984 |
+
``-1`` : Element(s) of `a`, `b`, or `step` are invalid
|
985 |
+
``-2`` : Numerical integration reached its iteration limit; the sum may be divergent.
|
986 |
+
``-3`` : A non-finite value was encountered.
|
987 |
+
sum : float
|
988 |
+
An estimate of the sum.
|
989 |
+
error : float
|
990 |
+
An estimate of the absolute error, assuming all terms are non-negative.
|
991 |
+
nfev : int
|
992 |
+
The number of points at which `func` was evaluated.
|
993 |
+
|
994 |
+
See Also
|
995 |
+
--------
|
996 |
+
tanhsinh
|
997 |
+
|
998 |
+
Notes
|
999 |
+
-----
|
1000 |
+
The method implemented for infinite summation is related to the integral
|
1001 |
+
test for convergence of an infinite series: assuming `step` size 1 for
|
1002 |
+
simplicity of exposition, the sum of a monotone decreasing function is bounded by
|
1003 |
+
|
1004 |
+
.. math::
|
1005 |
+
|
1006 |
+
\int_u^\infty f(x) dx \leq \sum_{k=u}^\infty f(k) \leq \int_u^\infty f(x) dx + f(u)
|
1007 |
+
|
1008 |
+
Let :math:`a` represent `a`, :math:`n` represent `maxterms`, :math:`\epsilon_a`
|
1009 |
+
represent `atol`, and :math:`\epsilon_r` represent `rtol`.
|
1010 |
+
The implementation first evaluates the integral :math:`S_l=\int_a^\infty f(x) dx`
|
1011 |
+
as a lower bound of the infinite sum. Then, it seeks a value :math:`c > a` such
|
1012 |
+
that :math:`f(c) < \epsilon_a + S_l \epsilon_r`, if it exists; otherwise,
|
1013 |
+
let :math:`c = a + n`. Then the infinite sum is approximated as
|
1014 |
+
|
1015 |
+
.. math::
|
1016 |
+
|
1017 |
+
\sum_{k=a}^{c-1} f(k) + \int_c^\infty f(x) dx + f(c)/2
|
1018 |
+
|
1019 |
+
and the reported error is :math:`f(c)/2` plus the error estimate of
|
1020 |
+
numerical integration. The approach described above is generalized for non-unit
|
1021 |
+
`step` and finite `b` that is too large for direct evaluation of the sum,
|
1022 |
+
i.e. ``b - a + 1 > maxterms``.
|
1023 |
+
|
1024 |
+
References
|
1025 |
+
----------
|
1026 |
+
[1] Wikipedia. "Integral test for convergence."
|
1027 |
+
https://en.wikipedia.org/wiki/Integral_test_for_convergence
|
1028 |
+
|
1029 |
+
Examples
|
1030 |
+
--------
|
1031 |
+
Compute the infinite sum of the reciprocals of squared integers.
|
1032 |
+
|
1033 |
+
>>> import numpy as np
|
1034 |
+
>>> from scipy.integrate._tanhsinh import _nsum
|
1035 |
+
>>> res = _nsum(lambda k: 1/k**2, 1, np.inf, maxterms=1e3)
|
1036 |
+
>>> ref = np.pi**2/6 # true value
|
1037 |
+
>>> res.error # estimated error
|
1038 |
+
4.990014980029223e-07
|
1039 |
+
>>> (res.sum - ref)/ref # true error
|
1040 |
+
-1.0101760641302586e-10
|
1041 |
+
>>> res.nfev # number of points at which callable was evaluated
|
1042 |
+
1142
|
1043 |
+
|
1044 |
+
Compute the infinite sums of the reciprocals of integers raised to powers ``p``.
|
1045 |
+
|
1046 |
+
>>> from scipy import special
|
1047 |
+
>>> p = np.arange(2, 10)
|
1048 |
+
>>> res = _nsum(lambda k, p: 1/k**p, 1, np.inf, maxterms=1e3, args=(p,))
|
1049 |
+
>>> ref = special.zeta(p, 1)
|
1050 |
+
>>> np.allclose(res.sum, ref)
|
1051 |
+
True
|
1052 |
+
|
1053 |
+
""" # noqa: E501
|
1054 |
+
# Potential future work:
|
1055 |
+
# - more careful testing of when `b` is slightly less than `a` plus an
|
1056 |
+
# integer multiple of step (needed before this is public)
|
1057 |
+
# - improve error estimate of `_direct` sum
|
1058 |
+
# - add other methods for convergence acceleration (Richardson, epsilon)
|
1059 |
+
# - support infinite lower limit?
|
1060 |
+
# - support negative monotone increasing functions?
|
1061 |
+
# - b < a / negative step?
|
1062 |
+
# - complex-valued function?
|
1063 |
+
# - check for violations of monotonicity?
|
1064 |
+
|
1065 |
+
# Function-specific input validation / standardization
|
1066 |
+
tmp = _nsum_iv(f, a, b, step, args, log, maxterms, atol, rtol)
|
1067 |
+
f, a, b, step, valid_abstep, args, log, maxterms, atol, rtol = tmp
|
1068 |
+
|
1069 |
+
# Additional elementwise algorithm input validation / standardization
|
1070 |
+
tmp = eim._initialize(f, (a,), args, complex_ok=False)
|
1071 |
+
f, xs, fs, args, shape, dtype = tmp
|
1072 |
+
|
1073 |
+
# Finish preparing `a`, `b`, and `step` arrays
|
1074 |
+
a = xs[0]
|
1075 |
+
b = np.broadcast_to(b, shape).ravel().astype(dtype)
|
1076 |
+
step = np.broadcast_to(step, shape).ravel().astype(dtype)
|
1077 |
+
valid_abstep = np.broadcast_to(valid_abstep, shape).ravel()
|
1078 |
+
nterms = np.floor((b - a) / step)
|
1079 |
+
b = a + nterms*step
|
1080 |
+
|
1081 |
+
# Define constants
|
1082 |
+
eps = np.finfo(dtype).eps
|
1083 |
+
zero = np.asarray(-np.inf if log else 0, dtype=dtype)[()]
|
1084 |
+
if rtol is None:
|
1085 |
+
rtol = 0.5*np.log(eps) if log else eps**0.5
|
1086 |
+
constants = (dtype, log, eps, zero, rtol, atol, maxterms)
|
1087 |
+
|
1088 |
+
# Prepare result arrays
|
1089 |
+
S = np.empty_like(a)
|
1090 |
+
E = np.empty_like(a)
|
1091 |
+
status = np.zeros(len(a), dtype=int)
|
1092 |
+
nfev = np.ones(len(a), dtype=int) # one function evaluation above
|
1093 |
+
|
1094 |
+
# Branch for direct sum evaluation / integral approximation / invalid input
|
1095 |
+
i1 = (nterms + 1 <= maxterms) & valid_abstep
|
1096 |
+
i2 = (nterms + 1 > maxterms) & valid_abstep
|
1097 |
+
i3 = ~valid_abstep
|
1098 |
+
|
1099 |
+
if np.any(i1):
|
1100 |
+
args_direct = [arg[i1] for arg in args]
|
1101 |
+
tmp = _direct(f, a[i1], b[i1], step[i1], args_direct, constants)
|
1102 |
+
S[i1], E[i1] = tmp[:-1]
|
1103 |
+
nfev[i1] += tmp[-1]
|
1104 |
+
status[i1] = -3 * (~np.isfinite(S[i1]))
|
1105 |
+
|
1106 |
+
if np.any(i2):
|
1107 |
+
args_indirect = [arg[i2] for arg in args]
|
1108 |
+
tmp = _integral_bound(f, a[i2], b[i2], step[i2], args_indirect, constants)
|
1109 |
+
S[i2], E[i2], status[i2] = tmp[:-1]
|
1110 |
+
nfev[i2] += tmp[-1]
|
1111 |
+
|
1112 |
+
if np.any(i3):
|
1113 |
+
S[i3], E[i3] = np.nan, np.nan
|
1114 |
+
status[i3] = -1
|
1115 |
+
|
1116 |
+
# Return results
|
1117 |
+
S, E = S.reshape(shape)[()], E.reshape(shape)[()]
|
1118 |
+
status, nfev = status.reshape(shape)[()], nfev.reshape(shape)[()]
|
1119 |
+
return _RichResult(sum=S, error=E, status=status, success=status == 0,
|
1120 |
+
nfev=nfev)
|
1121 |
+
|
1122 |
+
|
1123 |
+
def _direct(f, a, b, step, args, constants, inclusive=True):
|
1124 |
+
# Directly evaluate the sum.
|
1125 |
+
|
1126 |
+
# When used in the context of distributions, `args` would contain the
|
1127 |
+
# distribution parameters. We have broadcasted for simplicity, but we could
|
1128 |
+
# reduce function evaluations when distribution parameters are the same but
|
1129 |
+
# sum limits differ. Roughly:
|
1130 |
+
# - compute the function at all points between min(a) and max(b),
|
1131 |
+
# - compute the cumulative sum,
|
1132 |
+
# - take the difference between elements of the cumulative sum
|
1133 |
+
# corresponding with b and a.
|
1134 |
+
# This is left to future enhancement
|
1135 |
+
|
1136 |
+
dtype, log, eps, zero, _, _, _ = constants
|
1137 |
+
|
1138 |
+
# To allow computation in a single vectorized call, find the maximum number
|
1139 |
+
# of points (over all slices) at which the function needs to be evaluated.
|
1140 |
+
# Note: if `inclusive` is `True`, then we want `1` more term in the sum.
|
1141 |
+
# I didn't think it was great style to use `True` as `1` in Python, so I
|
1142 |
+
# explicitly converted it to an `int` before using it.
|
1143 |
+
inclusive_adjustment = int(inclusive)
|
1144 |
+
steps = np.round((b - a) / step) + inclusive_adjustment
|
1145 |
+
# Equivalently, steps = np.round((b - a) / step) + inclusive
|
1146 |
+
max_steps = int(np.max(steps))
|
1147 |
+
|
1148 |
+
# In each slice, the function will be evaluated at the same number of points,
|
1149 |
+
# but excessive points (those beyond the right sum limit `b`) are replaced
|
1150 |
+
# with NaN to (potentially) reduce the time of these unnecessary calculations.
|
1151 |
+
# Use a new last axis for these calculations for consistency with other
|
1152 |
+
# elementwise algorithms.
|
1153 |
+
a2, b2, step2 = a[:, np.newaxis], b[:, np.newaxis], step[:, np.newaxis]
|
1154 |
+
args2 = [arg[:, np.newaxis] for arg in args]
|
1155 |
+
ks = a2 + np.arange(max_steps, dtype=dtype) * step2
|
1156 |
+
i_nan = ks >= (b2 + inclusive_adjustment*step2/2)
|
1157 |
+
ks[i_nan] = np.nan
|
1158 |
+
fs = f(ks, *args2)
|
1159 |
+
|
1160 |
+
# The function evaluated at NaN is NaN, and NaNs are zeroed in the sum.
|
1161 |
+
# In some cases it may be faster to loop over slices than to vectorize
|
1162 |
+
# like this. This is an optimization that can be added later.
|
1163 |
+
fs[i_nan] = zero
|
1164 |
+
nfev = max_steps - i_nan.sum(axis=-1)
|
1165 |
+
S = _logsumexp(fs, axis=-1) if log else np.sum(fs, axis=-1)
|
1166 |
+
# Rough, non-conservative error estimate. See gh-19667 for improvement ideas.
|
1167 |
+
E = np.real(S) + np.log(eps) if log else eps * abs(S)
|
1168 |
+
return S, E, nfev
|
1169 |
+
|
1170 |
+
|
1171 |
+
def _integral_bound(f, a, b, step, args, constants):
|
1172 |
+
# Estimate the sum with integral approximation
|
1173 |
+
dtype, log, _, _, rtol, atol, maxterms = constants
|
1174 |
+
log2 = np.log(2, dtype=dtype)
|
1175 |
+
|
1176 |
+
# Get a lower bound on the sum and compute effective absolute tolerance
|
1177 |
+
lb = _tanhsinh(f, a, b, args=args, atol=atol, rtol=rtol, log=log)
|
1178 |
+
tol = np.broadcast_to(atol, lb.integral.shape)
|
1179 |
+
tol = _logsumexp((tol, rtol + lb.integral)) if log else tol + rtol*lb.integral
|
1180 |
+
i_skip = lb.status < 0 # avoid unnecessary f_evals if integral is divergent
|
1181 |
+
tol[i_skip] = np.nan
|
1182 |
+
status = lb.status
|
1183 |
+
|
1184 |
+
# As in `_direct`, we'll need a temporary new axis for points
|
1185 |
+
# at which to evaluate the function. Append axis at the end for
|
1186 |
+
# consistency with other elementwise algorithms.
|
1187 |
+
a2 = a[..., np.newaxis]
|
1188 |
+
step2 = step[..., np.newaxis]
|
1189 |
+
args2 = [arg[..., np.newaxis] for arg in args]
|
1190 |
+
|
1191 |
+
# Find the location of a term that is less than the tolerance (if possible)
|
1192 |
+
log2maxterms = np.floor(np.log2(maxterms)) if maxterms else 0
|
1193 |
+
n_steps = np.concatenate([2**np.arange(0, log2maxterms), [maxterms]], dtype=dtype)
|
1194 |
+
nfev = len(n_steps)
|
1195 |
+
ks = a2 + n_steps * step2
|
1196 |
+
fks = f(ks, *args2)
|
1197 |
+
nt = np.minimum(np.sum(fks > tol[:, np.newaxis], axis=-1), n_steps.shape[-1]-1)
|
1198 |
+
n_steps = n_steps[nt]
|
1199 |
+
|
1200 |
+
# Directly evaluate the sum up to this term
|
1201 |
+
k = a + n_steps * step
|
1202 |
+
left, left_error, left_nfev = _direct(f, a, k, step, args,
|
1203 |
+
constants, inclusive=False)
|
1204 |
+
i_skip |= np.isposinf(left) # if sum is not finite, no sense in continuing
|
1205 |
+
status[np.isposinf(left)] = -3
|
1206 |
+
k[i_skip] = np.nan
|
1207 |
+
|
1208 |
+
# Use integration to estimate the remaining sum
|
1209 |
+
# Possible optimization for future work: if there were no terms less than
|
1210 |
+
# the tolerance, there is no need to compute the integral to better accuracy.
|
1211 |
+
# Something like:
|
1212 |
+
# atol = np.maximum(atol, np.minimum(fk/2 - fb/2))
|
1213 |
+
# rtol = np.maximum(rtol, np.minimum((fk/2 - fb/2)/left))
|
1214 |
+
# where `fk`/`fb` are currently calculated below.
|
1215 |
+
right = _tanhsinh(f, k, b, args=args, atol=atol, rtol=rtol, log=log)
|
1216 |
+
|
1217 |
+
# Calculate the full estimate and error from the pieces
|
1218 |
+
fk = fks[np.arange(len(fks)), nt]
|
1219 |
+
fb = f(b, *args)
|
1220 |
+
nfev += 1
|
1221 |
+
if log:
|
1222 |
+
log_step = np.log(step)
|
1223 |
+
S_terms = (left, right.integral - log_step, fk - log2, fb - log2)
|
1224 |
+
S = _logsumexp(S_terms, axis=0)
|
1225 |
+
E_terms = (left_error, right.error - log_step, fk-log2, fb-log2+np.pi*1j)
|
1226 |
+
E = _logsumexp(E_terms, axis=0).real
|
1227 |
+
else:
|
1228 |
+
S = left + right.integral/step + fk/2 + fb/2
|
1229 |
+
E = left_error + right.error/step + fk/2 - fb/2
|
1230 |
+
status[~i_skip] = right.status[~i_skip]
|
1231 |
+
return S, E, status, left_nfev + right.nfev + nfev + lb.nfev
|
venv/lib/python3.10/site-packages/scipy/integrate/_test_multivariate.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (16.9 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_test_odeint_banded.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (109 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/_vode.cpython-310-x86_64-linux-gnu.so
ADDED
Binary file (166 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/dop.py
ADDED
@@ -0,0 +1,18 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
# This file is not meant for public use and will be removed in SciPy v2.0.0.
|
2 |
+
|
3 |
+
from scipy._lib.deprecation import _sub_module_deprecation
|
4 |
+
|
5 |
+
__all__ = [ # noqa: F822
|
6 |
+
'dopri5',
|
7 |
+
'dop853'
|
8 |
+
]
|
9 |
+
|
10 |
+
|
11 |
+
def __dir__():
|
12 |
+
return __all__
|
13 |
+
|
14 |
+
|
15 |
+
def __getattr__(name):
|
16 |
+
return _sub_module_deprecation(sub_package="integrate", module="dop",
|
17 |
+
private_modules=["_dop"], all=__all__,
|
18 |
+
attribute=name)
|
venv/lib/python3.10/site-packages/scipy/integrate/lsoda.py
ADDED
@@ -0,0 +1,15 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
# This file is not meant for public use and will be removed in SciPy v2.0.0.
|
2 |
+
|
3 |
+
from scipy._lib.deprecation import _sub_module_deprecation
|
4 |
+
|
5 |
+
__all__ = ['lsoda'] # noqa: F822
|
6 |
+
|
7 |
+
|
8 |
+
def __dir__():
|
9 |
+
return __all__
|
10 |
+
|
11 |
+
|
12 |
+
def __getattr__(name):
|
13 |
+
return _sub_module_deprecation(sub_package="integrate", module="lsoda",
|
14 |
+
private_modules=["_lsoda"], all=__all__,
|
15 |
+
attribute=name)
|
venv/lib/python3.10/site-packages/scipy/integrate/odepack.py
ADDED
@@ -0,0 +1,17 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
# This file is not meant for public use and will be removed in SciPy v2.0.0.
|
2 |
+
# Use the `scipy.integrate` namespace for importing the functions
|
3 |
+
# included below.
|
4 |
+
|
5 |
+
from scipy._lib.deprecation import _sub_module_deprecation
|
6 |
+
|
7 |
+
__all__ = ['odeint', 'ODEintWarning'] # noqa: F822
|
8 |
+
|
9 |
+
|
10 |
+
def __dir__():
|
11 |
+
return __all__
|
12 |
+
|
13 |
+
|
14 |
+
def __getattr__(name):
|
15 |
+
return _sub_module_deprecation(sub_package="integrate", module="odepack",
|
16 |
+
private_modules=["_odepack_py"], all=__all__,
|
17 |
+
attribute=name)
|
venv/lib/python3.10/site-packages/scipy/integrate/quadpack.py
ADDED
@@ -0,0 +1,24 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
# This file is not meant for public use and will be removed in SciPy v2.0.0.
|
2 |
+
# Use the `scipy.integrate` namespace for importing the functions
|
3 |
+
# included below.
|
4 |
+
|
5 |
+
from scipy._lib.deprecation import _sub_module_deprecation
|
6 |
+
|
7 |
+
__all__ = [ # noqa: F822
|
8 |
+
"quad",
|
9 |
+
"dblquad",
|
10 |
+
"tplquad",
|
11 |
+
"nquad",
|
12 |
+
"IntegrationWarning",
|
13 |
+
"error",
|
14 |
+
]
|
15 |
+
|
16 |
+
|
17 |
+
def __dir__():
|
18 |
+
return __all__
|
19 |
+
|
20 |
+
|
21 |
+
def __getattr__(name):
|
22 |
+
return _sub_module_deprecation(sub_package="integrate", module="quadpack",
|
23 |
+
private_modules=["_quadpack_py"], all=__all__,
|
24 |
+
attribute=name)
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__init__.py
ADDED
File without changes
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/__init__.cpython-310.pyc
ADDED
Binary file (189 Bytes). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/test__quad_vec.cpython-310.pyc
ADDED
Binary file (6.55 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/test_banded_ode_solvers.cpython-310.pyc
ADDED
Binary file (5.27 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/test_quadpack.cpython-310.pyc
ADDED
Binary file (25.8 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/test_quadrature.cpython-310.pyc
ADDED
Binary file (29.1 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/__pycache__/test_tanhsinh.cpython-310.pyc
ADDED
Binary file (29.7 kB). View file
|
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test__quad_vec.py
ADDED
@@ -0,0 +1,209 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
import pytest
|
2 |
+
|
3 |
+
import numpy as np
|
4 |
+
from numpy.testing import assert_allclose
|
5 |
+
|
6 |
+
from scipy.integrate import quad_vec
|
7 |
+
|
8 |
+
from multiprocessing.dummy import Pool
|
9 |
+
|
10 |
+
|
11 |
+
quadrature_params = pytest.mark.parametrize(
|
12 |
+
'quadrature', [None, "gk15", "gk21", "trapezoid"])
|
13 |
+
|
14 |
+
|
15 |
+
@quadrature_params
|
16 |
+
def test_quad_vec_simple(quadrature):
|
17 |
+
n = np.arange(10)
|
18 |
+
def f(x):
|
19 |
+
return x ** n
|
20 |
+
for epsabs in [0.1, 1e-3, 1e-6]:
|
21 |
+
if quadrature == 'trapezoid' and epsabs < 1e-4:
|
22 |
+
# slow: skip
|
23 |
+
continue
|
24 |
+
|
25 |
+
kwargs = dict(epsabs=epsabs, quadrature=quadrature)
|
26 |
+
|
27 |
+
exact = 2**(n+1)/(n + 1)
|
28 |
+
|
29 |
+
res, err = quad_vec(f, 0, 2, norm='max', **kwargs)
|
30 |
+
assert_allclose(res, exact, rtol=0, atol=epsabs)
|
31 |
+
|
32 |
+
res, err = quad_vec(f, 0, 2, norm='2', **kwargs)
|
33 |
+
assert np.linalg.norm(res - exact) < epsabs
|
34 |
+
|
35 |
+
res, err = quad_vec(f, 0, 2, norm='max', points=(0.5, 1.0), **kwargs)
|
36 |
+
assert_allclose(res, exact, rtol=0, atol=epsabs)
|
37 |
+
|
38 |
+
res, err, *rest = quad_vec(f, 0, 2, norm='max',
|
39 |
+
epsrel=1e-8,
|
40 |
+
full_output=True,
|
41 |
+
limit=10000,
|
42 |
+
**kwargs)
|
43 |
+
assert_allclose(res, exact, rtol=0, atol=epsabs)
|
44 |
+
|
45 |
+
|
46 |
+
@quadrature_params
|
47 |
+
def test_quad_vec_simple_inf(quadrature):
|
48 |
+
def f(x):
|
49 |
+
return 1 / (1 + np.float64(x) ** 2)
|
50 |
+
|
51 |
+
for epsabs in [0.1, 1e-3, 1e-6]:
|
52 |
+
if quadrature == 'trapezoid' and epsabs < 1e-4:
|
53 |
+
# slow: skip
|
54 |
+
continue
|
55 |
+
|
56 |
+
kwargs = dict(norm='max', epsabs=epsabs, quadrature=quadrature)
|
57 |
+
|
58 |
+
res, err = quad_vec(f, 0, np.inf, **kwargs)
|
59 |
+
assert_allclose(res, np.pi/2, rtol=0, atol=max(epsabs, err))
|
60 |
+
|
61 |
+
res, err = quad_vec(f, 0, -np.inf, **kwargs)
|
62 |
+
assert_allclose(res, -np.pi/2, rtol=0, atol=max(epsabs, err))
|
63 |
+
|
64 |
+
res, err = quad_vec(f, -np.inf, 0, **kwargs)
|
65 |
+
assert_allclose(res, np.pi/2, rtol=0, atol=max(epsabs, err))
|
66 |
+
|
67 |
+
res, err = quad_vec(f, np.inf, 0, **kwargs)
|
68 |
+
assert_allclose(res, -np.pi/2, rtol=0, atol=max(epsabs, err))
|
69 |
+
|
70 |
+
res, err = quad_vec(f, -np.inf, np.inf, **kwargs)
|
71 |
+
assert_allclose(res, np.pi, rtol=0, atol=max(epsabs, err))
|
72 |
+
|
73 |
+
res, err = quad_vec(f, np.inf, -np.inf, **kwargs)
|
74 |
+
assert_allclose(res, -np.pi, rtol=0, atol=max(epsabs, err))
|
75 |
+
|
76 |
+
res, err = quad_vec(f, np.inf, np.inf, **kwargs)
|
77 |
+
assert_allclose(res, 0, rtol=0, atol=max(epsabs, err))
|
78 |
+
|
79 |
+
res, err = quad_vec(f, -np.inf, -np.inf, **kwargs)
|
80 |
+
assert_allclose(res, 0, rtol=0, atol=max(epsabs, err))
|
81 |
+
|
82 |
+
res, err = quad_vec(f, 0, np.inf, points=(1.0, 2.0), **kwargs)
|
83 |
+
assert_allclose(res, np.pi/2, rtol=0, atol=max(epsabs, err))
|
84 |
+
|
85 |
+
def f(x):
|
86 |
+
return np.sin(x + 2) / (1 + x ** 2)
|
87 |
+
exact = np.pi / np.e * np.sin(2)
|
88 |
+
epsabs = 1e-5
|
89 |
+
|
90 |
+
res, err, info = quad_vec(f, -np.inf, np.inf, limit=1000, norm='max', epsabs=epsabs,
|
91 |
+
quadrature=quadrature, full_output=True)
|
92 |
+
assert info.status == 1
|
93 |
+
assert_allclose(res, exact, rtol=0, atol=max(epsabs, 1.5 * err))
|
94 |
+
|
95 |
+
|
96 |
+
def test_quad_vec_args():
|
97 |
+
def f(x, a):
|
98 |
+
return x * (x + a) * np.arange(3)
|
99 |
+
a = 2
|
100 |
+
exact = np.array([0, 4/3, 8/3])
|
101 |
+
|
102 |
+
res, err = quad_vec(f, 0, 1, args=(a,))
|
103 |
+
assert_allclose(res, exact, rtol=0, atol=1e-4)
|
104 |
+
|
105 |
+
|
106 |
+
def _lorenzian(x):
|
107 |
+
return 1 / (1 + x**2)
|
108 |
+
|
109 |
+
|
110 |
+
def test_quad_vec_pool():
|
111 |
+
f = _lorenzian
|
112 |
+
res, err = quad_vec(f, -np.inf, np.inf, norm='max', epsabs=1e-4, workers=4)
|
113 |
+
assert_allclose(res, np.pi, rtol=0, atol=1e-4)
|
114 |
+
|
115 |
+
with Pool(10) as pool:
|
116 |
+
def f(x):
|
117 |
+
return 1 / (1 + x ** 2)
|
118 |
+
res, _ = quad_vec(f, -np.inf, np.inf, norm='max', epsabs=1e-4, workers=pool.map)
|
119 |
+
assert_allclose(res, np.pi, rtol=0, atol=1e-4)
|
120 |
+
|
121 |
+
|
122 |
+
def _func_with_args(x, a):
|
123 |
+
return x * (x + a) * np.arange(3)
|
124 |
+
|
125 |
+
|
126 |
+
@pytest.mark.parametrize('extra_args', [2, (2,)])
|
127 |
+
@pytest.mark.parametrize('workers', [1, 10])
|
128 |
+
def test_quad_vec_pool_args(extra_args, workers):
|
129 |
+
f = _func_with_args
|
130 |
+
exact = np.array([0, 4/3, 8/3])
|
131 |
+
|
132 |
+
res, err = quad_vec(f, 0, 1, args=extra_args, workers=workers)
|
133 |
+
assert_allclose(res, exact, rtol=0, atol=1e-4)
|
134 |
+
|
135 |
+
with Pool(workers) as pool:
|
136 |
+
res, err = quad_vec(f, 0, 1, args=extra_args, workers=pool.map)
|
137 |
+
assert_allclose(res, exact, rtol=0, atol=1e-4)
|
138 |
+
|
139 |
+
|
140 |
+
@quadrature_params
|
141 |
+
def test_num_eval(quadrature):
|
142 |
+
def f(x):
|
143 |
+
count[0] += 1
|
144 |
+
return x**5
|
145 |
+
|
146 |
+
count = [0]
|
147 |
+
res = quad_vec(f, 0, 1, norm='max', full_output=True, quadrature=quadrature)
|
148 |
+
assert res[2].neval == count[0]
|
149 |
+
|
150 |
+
|
151 |
+
def test_info():
|
152 |
+
def f(x):
|
153 |
+
return np.ones((3, 2, 1))
|
154 |
+
|
155 |
+
res, err, info = quad_vec(f, 0, 1, norm='max', full_output=True)
|
156 |
+
|
157 |
+
assert info.success is True
|
158 |
+
assert info.status == 0
|
159 |
+
assert info.message == 'Target precision reached.'
|
160 |
+
assert info.neval > 0
|
161 |
+
assert info.intervals.shape[1] == 2
|
162 |
+
assert info.integrals.shape == (info.intervals.shape[0], 3, 2, 1)
|
163 |
+
assert info.errors.shape == (info.intervals.shape[0],)
|
164 |
+
|
165 |
+
|
166 |
+
def test_nan_inf():
|
167 |
+
def f_nan(x):
|
168 |
+
return np.nan
|
169 |
+
|
170 |
+
def f_inf(x):
|
171 |
+
return np.inf if x < 0.1 else 1/x
|
172 |
+
|
173 |
+
res, err, info = quad_vec(f_nan, 0, 1, full_output=True)
|
174 |
+
assert info.status == 3
|
175 |
+
|
176 |
+
res, err, info = quad_vec(f_inf, 0, 1, full_output=True)
|
177 |
+
assert info.status == 3
|
178 |
+
|
179 |
+
|
180 |
+
@pytest.mark.parametrize('a,b', [(0, 1), (0, np.inf), (np.inf, 0),
|
181 |
+
(-np.inf, np.inf), (np.inf, -np.inf)])
|
182 |
+
def test_points(a, b):
|
183 |
+
# Check that initial interval splitting is done according to
|
184 |
+
# `points`, by checking that consecutive sets of 15 point (for
|
185 |
+
# gk15) function evaluations lie between `points`
|
186 |
+
|
187 |
+
points = (0, 0.25, 0.5, 0.75, 1.0)
|
188 |
+
points += tuple(-x for x in points)
|
189 |
+
|
190 |
+
quadrature_points = 15
|
191 |
+
interval_sets = []
|
192 |
+
count = 0
|
193 |
+
|
194 |
+
def f(x):
|
195 |
+
nonlocal count
|
196 |
+
|
197 |
+
if count % quadrature_points == 0:
|
198 |
+
interval_sets.append(set())
|
199 |
+
|
200 |
+
count += 1
|
201 |
+
interval_sets[-1].add(float(x))
|
202 |
+
return 0.0
|
203 |
+
|
204 |
+
quad_vec(f, a, b, points=points, quadrature='gk15', limit=0)
|
205 |
+
|
206 |
+
# Check that all point sets lie in a single `points` interval
|
207 |
+
for p in interval_sets:
|
208 |
+
j = np.searchsorted(sorted(points), tuple(p))
|
209 |
+
assert np.all(j == j[0])
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_banded_ode_solvers.py
ADDED
@@ -0,0 +1,218 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
import itertools
|
2 |
+
import numpy as np
|
3 |
+
from numpy.testing import assert_allclose
|
4 |
+
from scipy.integrate import ode
|
5 |
+
|
6 |
+
|
7 |
+
def _band_count(a):
|
8 |
+
"""Returns ml and mu, the lower and upper band sizes of a."""
|
9 |
+
nrows, ncols = a.shape
|
10 |
+
ml = 0
|
11 |
+
for k in range(-nrows+1, 0):
|
12 |
+
if np.diag(a, k).any():
|
13 |
+
ml = -k
|
14 |
+
break
|
15 |
+
mu = 0
|
16 |
+
for k in range(nrows-1, 0, -1):
|
17 |
+
if np.diag(a, k).any():
|
18 |
+
mu = k
|
19 |
+
break
|
20 |
+
return ml, mu
|
21 |
+
|
22 |
+
|
23 |
+
def _linear_func(t, y, a):
|
24 |
+
"""Linear system dy/dt = a * y"""
|
25 |
+
return a.dot(y)
|
26 |
+
|
27 |
+
|
28 |
+
def _linear_jac(t, y, a):
|
29 |
+
"""Jacobian of a * y is a."""
|
30 |
+
return a
|
31 |
+
|
32 |
+
|
33 |
+
def _linear_banded_jac(t, y, a):
|
34 |
+
"""Banded Jacobian."""
|
35 |
+
ml, mu = _band_count(a)
|
36 |
+
bjac = [np.r_[[0] * k, np.diag(a, k)] for k in range(mu, 0, -1)]
|
37 |
+
bjac.append(np.diag(a))
|
38 |
+
for k in range(-1, -ml-1, -1):
|
39 |
+
bjac.append(np.r_[np.diag(a, k), [0] * (-k)])
|
40 |
+
return bjac
|
41 |
+
|
42 |
+
|
43 |
+
def _solve_linear_sys(a, y0, tend=1, dt=0.1,
|
44 |
+
solver=None, method='bdf', use_jac=True,
|
45 |
+
with_jacobian=False, banded=False):
|
46 |
+
"""Use scipy.integrate.ode to solve a linear system of ODEs.
|
47 |
+
|
48 |
+
a : square ndarray
|
49 |
+
Matrix of the linear system to be solved.
|
50 |
+
y0 : ndarray
|
51 |
+
Initial condition
|
52 |
+
tend : float
|
53 |
+
Stop time.
|
54 |
+
dt : float
|
55 |
+
Step size of the output.
|
56 |
+
solver : str
|
57 |
+
If not None, this must be "vode", "lsoda" or "zvode".
|
58 |
+
method : str
|
59 |
+
Either "bdf" or "adams".
|
60 |
+
use_jac : bool
|
61 |
+
Determines if the jacobian function is passed to ode().
|
62 |
+
with_jacobian : bool
|
63 |
+
Passed to ode.set_integrator().
|
64 |
+
banded : bool
|
65 |
+
Determines whether a banded or full jacobian is used.
|
66 |
+
If `banded` is True, `lband` and `uband` are determined by the
|
67 |
+
values in `a`.
|
68 |
+
"""
|
69 |
+
if banded:
|
70 |
+
lband, uband = _band_count(a)
|
71 |
+
else:
|
72 |
+
lband = None
|
73 |
+
uband = None
|
74 |
+
|
75 |
+
if use_jac:
|
76 |
+
if banded:
|
77 |
+
r = ode(_linear_func, _linear_banded_jac)
|
78 |
+
else:
|
79 |
+
r = ode(_linear_func, _linear_jac)
|
80 |
+
else:
|
81 |
+
r = ode(_linear_func)
|
82 |
+
|
83 |
+
if solver is None:
|
84 |
+
if np.iscomplexobj(a):
|
85 |
+
solver = "zvode"
|
86 |
+
else:
|
87 |
+
solver = "vode"
|
88 |
+
|
89 |
+
r.set_integrator(solver,
|
90 |
+
with_jacobian=with_jacobian,
|
91 |
+
method=method,
|
92 |
+
lband=lband, uband=uband,
|
93 |
+
rtol=1e-9, atol=1e-10,
|
94 |
+
)
|
95 |
+
t0 = 0
|
96 |
+
r.set_initial_value(y0, t0)
|
97 |
+
r.set_f_params(a)
|
98 |
+
r.set_jac_params(a)
|
99 |
+
|
100 |
+
t = [t0]
|
101 |
+
y = [y0]
|
102 |
+
while r.successful() and r.t < tend:
|
103 |
+
r.integrate(r.t + dt)
|
104 |
+
t.append(r.t)
|
105 |
+
y.append(r.y)
|
106 |
+
|
107 |
+
t = np.array(t)
|
108 |
+
y = np.array(y)
|
109 |
+
return t, y
|
110 |
+
|
111 |
+
|
112 |
+
def _analytical_solution(a, y0, t):
|
113 |
+
"""
|
114 |
+
Analytical solution to the linear differential equations dy/dt = a*y.
|
115 |
+
|
116 |
+
The solution is only valid if `a` is diagonalizable.
|
117 |
+
|
118 |
+
Returns a 2-D array with shape (len(t), len(y0)).
|
119 |
+
"""
|
120 |
+
lam, v = np.linalg.eig(a)
|
121 |
+
c = np.linalg.solve(v, y0)
|
122 |
+
e = c * np.exp(lam * t.reshape(-1, 1))
|
123 |
+
sol = e.dot(v.T)
|
124 |
+
return sol
|
125 |
+
|
126 |
+
|
127 |
+
def test_banded_ode_solvers():
|
128 |
+
# Test the "lsoda", "vode" and "zvode" solvers of the `ode` class
|
129 |
+
# with a system that has a banded Jacobian matrix.
|
130 |
+
|
131 |
+
t_exact = np.linspace(0, 1.0, 5)
|
132 |
+
|
133 |
+
# --- Real arrays for testing the "lsoda" and "vode" solvers ---
|
134 |
+
|
135 |
+
# lband = 2, uband = 1:
|
136 |
+
a_real = np.array([[-0.6, 0.1, 0.0, 0.0, 0.0],
|
137 |
+
[0.2, -0.5, 0.9, 0.0, 0.0],
|
138 |
+
[0.1, 0.1, -0.4, 0.1, 0.0],
|
139 |
+
[0.0, 0.3, -0.1, -0.9, -0.3],
|
140 |
+
[0.0, 0.0, 0.1, 0.1, -0.7]])
|
141 |
+
|
142 |
+
# lband = 0, uband = 1:
|
143 |
+
a_real_upper = np.triu(a_real)
|
144 |
+
|
145 |
+
# lband = 2, uband = 0:
|
146 |
+
a_real_lower = np.tril(a_real)
|
147 |
+
|
148 |
+
# lband = 0, uband = 0:
|
149 |
+
a_real_diag = np.triu(a_real_lower)
|
150 |
+
|
151 |
+
real_matrices = [a_real, a_real_upper, a_real_lower, a_real_diag]
|
152 |
+
real_solutions = []
|
153 |
+
|
154 |
+
for a in real_matrices:
|
155 |
+
y0 = np.arange(1, a.shape[0] + 1)
|
156 |
+
y_exact = _analytical_solution(a, y0, t_exact)
|
157 |
+
real_solutions.append((y0, t_exact, y_exact))
|
158 |
+
|
159 |
+
def check_real(idx, solver, meth, use_jac, with_jac, banded):
|
160 |
+
a = real_matrices[idx]
|
161 |
+
y0, t_exact, y_exact = real_solutions[idx]
|
162 |
+
t, y = _solve_linear_sys(a, y0,
|
163 |
+
tend=t_exact[-1],
|
164 |
+
dt=t_exact[1] - t_exact[0],
|
165 |
+
solver=solver,
|
166 |
+
method=meth,
|
167 |
+
use_jac=use_jac,
|
168 |
+
with_jacobian=with_jac,
|
169 |
+
banded=banded)
|
170 |
+
assert_allclose(t, t_exact)
|
171 |
+
assert_allclose(y, y_exact)
|
172 |
+
|
173 |
+
for idx in range(len(real_matrices)):
|
174 |
+
p = [['vode', 'lsoda'], # solver
|
175 |
+
['bdf', 'adams'], # method
|
176 |
+
[False, True], # use_jac
|
177 |
+
[False, True], # with_jacobian
|
178 |
+
[False, True]] # banded
|
179 |
+
for solver, meth, use_jac, with_jac, banded in itertools.product(*p):
|
180 |
+
check_real(idx, solver, meth, use_jac, with_jac, banded)
|
181 |
+
|
182 |
+
# --- Complex arrays for testing the "zvode" solver ---
|
183 |
+
|
184 |
+
# complex, lband = 2, uband = 1:
|
185 |
+
a_complex = a_real - 0.5j * a_real
|
186 |
+
|
187 |
+
# complex, lband = 0, uband = 0:
|
188 |
+
a_complex_diag = np.diag(np.diag(a_complex))
|
189 |
+
|
190 |
+
complex_matrices = [a_complex, a_complex_diag]
|
191 |
+
complex_solutions = []
|
192 |
+
|
193 |
+
for a in complex_matrices:
|
194 |
+
y0 = np.arange(1, a.shape[0] + 1) + 1j
|
195 |
+
y_exact = _analytical_solution(a, y0, t_exact)
|
196 |
+
complex_solutions.append((y0, t_exact, y_exact))
|
197 |
+
|
198 |
+
def check_complex(idx, solver, meth, use_jac, with_jac, banded):
|
199 |
+
a = complex_matrices[idx]
|
200 |
+
y0, t_exact, y_exact = complex_solutions[idx]
|
201 |
+
t, y = _solve_linear_sys(a, y0,
|
202 |
+
tend=t_exact[-1],
|
203 |
+
dt=t_exact[1] - t_exact[0],
|
204 |
+
solver=solver,
|
205 |
+
method=meth,
|
206 |
+
use_jac=use_jac,
|
207 |
+
with_jacobian=with_jac,
|
208 |
+
banded=banded)
|
209 |
+
assert_allclose(t, t_exact)
|
210 |
+
assert_allclose(y, y_exact)
|
211 |
+
|
212 |
+
for idx in range(len(complex_matrices)):
|
213 |
+
p = [['bdf', 'adams'], # method
|
214 |
+
[False, True], # use_jac
|
215 |
+
[False, True], # with_jacobian
|
216 |
+
[False, True]] # banded
|
217 |
+
for meth, use_jac, with_jac, banded in itertools.product(*p):
|
218 |
+
check_complex(idx, "zvode", meth, use_jac, with_jac, banded)
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_bvp.py
ADDED
@@ -0,0 +1,711 @@
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|
|
|
|
|
|
|
|
|
|
1 |
+
import sys
|
2 |
+
|
3 |
+
try:
|
4 |
+
from StringIO import StringIO
|
5 |
+
except ImportError:
|
6 |
+
from io import StringIO
|
7 |
+
|
8 |
+
import numpy as np
|
9 |
+
from numpy.testing import (assert_, assert_array_equal, assert_allclose,
|
10 |
+
assert_equal)
|
11 |
+
from pytest import raises as assert_raises
|
12 |
+
|
13 |
+
from scipy.sparse import coo_matrix
|
14 |
+
from scipy.special import erf
|
15 |
+
from scipy.integrate._bvp import (modify_mesh, estimate_fun_jac,
|
16 |
+
estimate_bc_jac, compute_jac_indices,
|
17 |
+
construct_global_jac, solve_bvp)
|
18 |
+
|
19 |
+
|
20 |
+
def exp_fun(x, y):
|
21 |
+
return np.vstack((y[1], y[0]))
|
22 |
+
|
23 |
+
|
24 |
+
def exp_fun_jac(x, y):
|
25 |
+
df_dy = np.empty((2, 2, x.shape[0]))
|
26 |
+
df_dy[0, 0] = 0
|
27 |
+
df_dy[0, 1] = 1
|
28 |
+
df_dy[1, 0] = 1
|
29 |
+
df_dy[1, 1] = 0
|
30 |
+
return df_dy
|
31 |
+
|
32 |
+
|
33 |
+
def exp_bc(ya, yb):
|
34 |
+
return np.hstack((ya[0] - 1, yb[0]))
|
35 |
+
|
36 |
+
|
37 |
+
def exp_bc_complex(ya, yb):
|
38 |
+
return np.hstack((ya[0] - 1 - 1j, yb[0]))
|
39 |
+
|
40 |
+
|
41 |
+
def exp_bc_jac(ya, yb):
|
42 |
+
dbc_dya = np.array([
|
43 |
+
[1, 0],
|
44 |
+
[0, 0]
|
45 |
+
])
|
46 |
+
dbc_dyb = np.array([
|
47 |
+
[0, 0],
|
48 |
+
[1, 0]
|
49 |
+
])
|
50 |
+
return dbc_dya, dbc_dyb
|
51 |
+
|
52 |
+
|
53 |
+
def exp_sol(x):
|
54 |
+
return (np.exp(-x) - np.exp(x - 2)) / (1 - np.exp(-2))
|
55 |
+
|
56 |
+
|
57 |
+
def sl_fun(x, y, p):
|
58 |
+
return np.vstack((y[1], -p[0]**2 * y[0]))
|
59 |
+
|
60 |
+
|
61 |
+
def sl_fun_jac(x, y, p):
|
62 |
+
n, m = y.shape
|
63 |
+
df_dy = np.empty((n, 2, m))
|
64 |
+
df_dy[0, 0] = 0
|
65 |
+
df_dy[0, 1] = 1
|
66 |
+
df_dy[1, 0] = -p[0]**2
|
67 |
+
df_dy[1, 1] = 0
|
68 |
+
|
69 |
+
df_dp = np.empty((n, 1, m))
|
70 |
+
df_dp[0, 0] = 0
|
71 |
+
df_dp[1, 0] = -2 * p[0] * y[0]
|
72 |
+
|
73 |
+
return df_dy, df_dp
|
74 |
+
|
75 |
+
|
76 |
+
def sl_bc(ya, yb, p):
|
77 |
+
return np.hstack((ya[0], yb[0], ya[1] - p[0]))
|
78 |
+
|
79 |
+
|
80 |
+
def sl_bc_jac(ya, yb, p):
|
81 |
+
dbc_dya = np.zeros((3, 2))
|
82 |
+
dbc_dya[0, 0] = 1
|
83 |
+
dbc_dya[2, 1] = 1
|
84 |
+
|
85 |
+
dbc_dyb = np.zeros((3, 2))
|
86 |
+
dbc_dyb[1, 0] = 1
|
87 |
+
|
88 |
+
dbc_dp = np.zeros((3, 1))
|
89 |
+
dbc_dp[2, 0] = -1
|
90 |
+
|
91 |
+
return dbc_dya, dbc_dyb, dbc_dp
|
92 |
+
|
93 |
+
|
94 |
+
def sl_sol(x, p):
|
95 |
+
return np.sin(p[0] * x)
|
96 |
+
|
97 |
+
|
98 |
+
def emden_fun(x, y):
|
99 |
+
return np.vstack((y[1], -y[0]**5))
|
100 |
+
|
101 |
+
|
102 |
+
def emden_fun_jac(x, y):
|
103 |
+
df_dy = np.empty((2, 2, x.shape[0]))
|
104 |
+
df_dy[0, 0] = 0
|
105 |
+
df_dy[0, 1] = 1
|
106 |
+
df_dy[1, 0] = -5 * y[0]**4
|
107 |
+
df_dy[1, 1] = 0
|
108 |
+
return df_dy
|
109 |
+
|
110 |
+
|
111 |
+
def emden_bc(ya, yb):
|
112 |
+
return np.array([ya[1], yb[0] - (3/4)**0.5])
|
113 |
+
|
114 |
+
|
115 |
+
def emden_bc_jac(ya, yb):
|
116 |
+
dbc_dya = np.array([
|
117 |
+
[0, 1],
|
118 |
+
[0, 0]
|
119 |
+
])
|
120 |
+
dbc_dyb = np.array([
|
121 |
+
[0, 0],
|
122 |
+
[1, 0]
|
123 |
+
])
|
124 |
+
return dbc_dya, dbc_dyb
|
125 |
+
|
126 |
+
|
127 |
+
def emden_sol(x):
|
128 |
+
return (1 + x**2/3)**-0.5
|
129 |
+
|
130 |
+
|
131 |
+
def undefined_fun(x, y):
|
132 |
+
return np.zeros_like(y)
|
133 |
+
|
134 |
+
|
135 |
+
def undefined_bc(ya, yb):
|
136 |
+
return np.array([ya[0], yb[0] - 1])
|
137 |
+
|
138 |
+
|
139 |
+
def big_fun(x, y):
|
140 |
+
f = np.zeros_like(y)
|
141 |
+
f[::2] = y[1::2]
|
142 |
+
return f
|
143 |
+
|
144 |
+
|
145 |
+
def big_bc(ya, yb):
|
146 |
+
return np.hstack((ya[::2], yb[::2] - 1))
|
147 |
+
|
148 |
+
|
149 |
+
def big_sol(x, n):
|
150 |
+
y = np.ones((2 * n, x.size))
|
151 |
+
y[::2] = x
|
152 |
+
return x
|
153 |
+
|
154 |
+
|
155 |
+
def big_fun_with_parameters(x, y, p):
|
156 |
+
""" Big version of sl_fun, with two parameters.
|
157 |
+
|
158 |
+
The two differential equations represented by sl_fun are broadcast to the
|
159 |
+
number of rows of y, rotating between the parameters p[0] and p[1].
|
160 |
+
Here are the differential equations:
|
161 |
+
|
162 |
+
dy[0]/dt = y[1]
|
163 |
+
dy[1]/dt = -p[0]**2 * y[0]
|
164 |
+
dy[2]/dt = y[3]
|
165 |
+
dy[3]/dt = -p[1]**2 * y[2]
|
166 |
+
dy[4]/dt = y[5]
|
167 |
+
dy[5]/dt = -p[0]**2 * y[4]
|
168 |
+
dy[6]/dt = y[7]
|
169 |
+
dy[7]/dt = -p[1]**2 * y[6]
|
170 |
+
.
|
171 |
+
.
|
172 |
+
.
|
173 |
+
|
174 |
+
"""
|
175 |
+
f = np.zeros_like(y)
|
176 |
+
f[::2] = y[1::2]
|
177 |
+
f[1::4] = -p[0]**2 * y[::4]
|
178 |
+
f[3::4] = -p[1]**2 * y[2::4]
|
179 |
+
return f
|
180 |
+
|
181 |
+
|
182 |
+
def big_fun_with_parameters_jac(x, y, p):
|
183 |
+
# big version of sl_fun_jac, with two parameters
|
184 |
+
n, m = y.shape
|
185 |
+
df_dy = np.zeros((n, n, m))
|
186 |
+
df_dy[range(0, n, 2), range(1, n, 2)] = 1
|
187 |
+
df_dy[range(1, n, 4), range(0, n, 4)] = -p[0]**2
|
188 |
+
df_dy[range(3, n, 4), range(2, n, 4)] = -p[1]**2
|
189 |
+
|
190 |
+
df_dp = np.zeros((n, 2, m))
|
191 |
+
df_dp[range(1, n, 4), 0] = -2 * p[0] * y[range(0, n, 4)]
|
192 |
+
df_dp[range(3, n, 4), 1] = -2 * p[1] * y[range(2, n, 4)]
|
193 |
+
|
194 |
+
return df_dy, df_dp
|
195 |
+
|
196 |
+
|
197 |
+
def big_bc_with_parameters(ya, yb, p):
|
198 |
+
# big version of sl_bc, with two parameters
|
199 |
+
return np.hstack((ya[::2], yb[::2], ya[1] - p[0], ya[3] - p[1]))
|
200 |
+
|
201 |
+
|
202 |
+
def big_bc_with_parameters_jac(ya, yb, p):
|
203 |
+
# big version of sl_bc_jac, with two parameters
|
204 |
+
n = ya.shape[0]
|
205 |
+
dbc_dya = np.zeros((n + 2, n))
|
206 |
+
dbc_dyb = np.zeros((n + 2, n))
|
207 |
+
|
208 |
+
dbc_dya[range(n // 2), range(0, n, 2)] = 1
|
209 |
+
dbc_dyb[range(n // 2, n), range(0, n, 2)] = 1
|
210 |
+
|
211 |
+
dbc_dp = np.zeros((n + 2, 2))
|
212 |
+
dbc_dp[n, 0] = -1
|
213 |
+
dbc_dya[n, 1] = 1
|
214 |
+
dbc_dp[n + 1, 1] = -1
|
215 |
+
dbc_dya[n + 1, 3] = 1
|
216 |
+
|
217 |
+
return dbc_dya, dbc_dyb, dbc_dp
|
218 |
+
|
219 |
+
|
220 |
+
def big_sol_with_parameters(x, p):
|
221 |
+
# big version of sl_sol, with two parameters
|
222 |
+
return np.vstack((np.sin(p[0] * x), np.sin(p[1] * x)))
|
223 |
+
|
224 |
+
|
225 |
+
def shock_fun(x, y):
|
226 |
+
eps = 1e-3
|
227 |
+
return np.vstack((
|
228 |
+
y[1],
|
229 |
+
-(x * y[1] + eps * np.pi**2 * np.cos(np.pi * x) +
|
230 |
+
np.pi * x * np.sin(np.pi * x)) / eps
|
231 |
+
))
|
232 |
+
|
233 |
+
|
234 |
+
def shock_bc(ya, yb):
|
235 |
+
return np.array([ya[0] + 2, yb[0]])
|
236 |
+
|
237 |
+
|
238 |
+
def shock_sol(x):
|
239 |
+
eps = 1e-3
|
240 |
+
k = np.sqrt(2 * eps)
|
241 |
+
return np.cos(np.pi * x) + erf(x / k) / erf(1 / k)
|
242 |
+
|
243 |
+
|
244 |
+
def nonlin_bc_fun(x, y):
|
245 |
+
# laplace eq.
|
246 |
+
return np.stack([y[1], np.zeros_like(x)])
|
247 |
+
|
248 |
+
|
249 |
+
def nonlin_bc_bc(ya, yb):
|
250 |
+
phiA, phipA = ya
|
251 |
+
phiC, phipC = yb
|
252 |
+
|
253 |
+
kappa, ioA, ioC, V, f = 1.64, 0.01, 1.0e-4, 0.5, 38.9
|
254 |
+
|
255 |
+
# Butler-Volmer Kinetics at Anode
|
256 |
+
hA = 0.0-phiA-0.0
|
257 |
+
iA = ioA * (np.exp(f*hA) - np.exp(-f*hA))
|
258 |
+
res0 = iA + kappa * phipA
|
259 |
+
|
260 |
+
# Butler-Volmer Kinetics at Cathode
|
261 |
+
hC = V - phiC - 1.0
|
262 |
+
iC = ioC * (np.exp(f*hC) - np.exp(-f*hC))
|
263 |
+
res1 = iC - kappa*phipC
|
264 |
+
|
265 |
+
return np.array([res0, res1])
|
266 |
+
|
267 |
+
|
268 |
+
def nonlin_bc_sol(x):
|
269 |
+
return -0.13426436116763119 - 1.1308709 * x
|
270 |
+
|
271 |
+
|
272 |
+
def test_modify_mesh():
|
273 |
+
x = np.array([0, 1, 3, 9], dtype=float)
|
274 |
+
x_new = modify_mesh(x, np.array([0]), np.array([2]))
|
275 |
+
assert_array_equal(x_new, np.array([0, 0.5, 1, 3, 5, 7, 9]))
|
276 |
+
|
277 |
+
x = np.array([-6, -3, 0, 3, 6], dtype=float)
|
278 |
+
x_new = modify_mesh(x, np.array([1], dtype=int), np.array([0, 2, 3]))
|
279 |
+
assert_array_equal(x_new, [-6, -5, -4, -3, -1.5, 0, 1, 2, 3, 4, 5, 6])
|
280 |
+
|
281 |
+
|
282 |
+
def test_compute_fun_jac():
|
283 |
+
x = np.linspace(0, 1, 5)
|
284 |
+
y = np.empty((2, x.shape[0]))
|
285 |
+
y[0] = 0.01
|
286 |
+
y[1] = 0.02
|
287 |
+
p = np.array([])
|
288 |
+
df_dy, df_dp = estimate_fun_jac(lambda x, y, p: exp_fun(x, y), x, y, p)
|
289 |
+
df_dy_an = exp_fun_jac(x, y)
|
290 |
+
assert_allclose(df_dy, df_dy_an)
|
291 |
+
assert_(df_dp is None)
|
292 |
+
|
293 |
+
x = np.linspace(0, np.pi, 5)
|
294 |
+
y = np.empty((2, x.shape[0]))
|
295 |
+
y[0] = np.sin(x)
|
296 |
+
y[1] = np.cos(x)
|
297 |
+
p = np.array([1.0])
|
298 |
+
df_dy, df_dp = estimate_fun_jac(sl_fun, x, y, p)
|
299 |
+
df_dy_an, df_dp_an = sl_fun_jac(x, y, p)
|
300 |
+
assert_allclose(df_dy, df_dy_an)
|
301 |
+
assert_allclose(df_dp, df_dp_an)
|
302 |
+
|
303 |
+
x = np.linspace(0, 1, 10)
|
304 |
+
y = np.empty((2, x.shape[0]))
|
305 |
+
y[0] = (3/4)**0.5
|
306 |
+
y[1] = 1e-4
|
307 |
+
p = np.array([])
|
308 |
+
df_dy, df_dp = estimate_fun_jac(lambda x, y, p: emden_fun(x, y), x, y, p)
|
309 |
+
df_dy_an = emden_fun_jac(x, y)
|
310 |
+
assert_allclose(df_dy, df_dy_an)
|
311 |
+
assert_(df_dp is None)
|
312 |
+
|
313 |
+
|
314 |
+
def test_compute_bc_jac():
|
315 |
+
ya = np.array([-1.0, 2])
|
316 |
+
yb = np.array([0.5, 3])
|
317 |
+
p = np.array([])
|
318 |
+
dbc_dya, dbc_dyb, dbc_dp = estimate_bc_jac(
|
319 |
+
lambda ya, yb, p: exp_bc(ya, yb), ya, yb, p)
|
320 |
+
dbc_dya_an, dbc_dyb_an = exp_bc_jac(ya, yb)
|
321 |
+
assert_allclose(dbc_dya, dbc_dya_an)
|
322 |
+
assert_allclose(dbc_dyb, dbc_dyb_an)
|
323 |
+
assert_(dbc_dp is None)
|
324 |
+
|
325 |
+
ya = np.array([0.0, 1])
|
326 |
+
yb = np.array([0.0, -1])
|
327 |
+
p = np.array([0.5])
|
328 |
+
dbc_dya, dbc_dyb, dbc_dp = estimate_bc_jac(sl_bc, ya, yb, p)
|
329 |
+
dbc_dya_an, dbc_dyb_an, dbc_dp_an = sl_bc_jac(ya, yb, p)
|
330 |
+
assert_allclose(dbc_dya, dbc_dya_an)
|
331 |
+
assert_allclose(dbc_dyb, dbc_dyb_an)
|
332 |
+
assert_allclose(dbc_dp, dbc_dp_an)
|
333 |
+
|
334 |
+
ya = np.array([0.5, 100])
|
335 |
+
yb = np.array([-1000, 10.5])
|
336 |
+
p = np.array([])
|
337 |
+
dbc_dya, dbc_dyb, dbc_dp = estimate_bc_jac(
|
338 |
+
lambda ya, yb, p: emden_bc(ya, yb), ya, yb, p)
|
339 |
+
dbc_dya_an, dbc_dyb_an = emden_bc_jac(ya, yb)
|
340 |
+
assert_allclose(dbc_dya, dbc_dya_an)
|
341 |
+
assert_allclose(dbc_dyb, dbc_dyb_an)
|
342 |
+
assert_(dbc_dp is None)
|
343 |
+
|
344 |
+
|
345 |
+
def test_compute_jac_indices():
|
346 |
+
n = 2
|
347 |
+
m = 4
|
348 |
+
k = 2
|
349 |
+
i, j = compute_jac_indices(n, m, k)
|
350 |
+
s = coo_matrix((np.ones_like(i), (i, j))).toarray()
|
351 |
+
s_true = np.array([
|
352 |
+
[1, 1, 1, 1, 0, 0, 0, 0, 1, 1],
|
353 |
+
[1, 1, 1, 1, 0, 0, 0, 0, 1, 1],
|
354 |
+
[0, 0, 1, 1, 1, 1, 0, 0, 1, 1],
|
355 |
+
[0, 0, 1, 1, 1, 1, 0, 0, 1, 1],
|
356 |
+
[0, 0, 0, 0, 1, 1, 1, 1, 1, 1],
|
357 |
+
[0, 0, 0, 0, 1, 1, 1, 1, 1, 1],
|
358 |
+
[1, 1, 0, 0, 0, 0, 1, 1, 1, 1],
|
359 |
+
[1, 1, 0, 0, 0, 0, 1, 1, 1, 1],
|
360 |
+
[1, 1, 0, 0, 0, 0, 1, 1, 1, 1],
|
361 |
+
[1, 1, 0, 0, 0, 0, 1, 1, 1, 1],
|
362 |
+
])
|
363 |
+
assert_array_equal(s, s_true)
|
364 |
+
|
365 |
+
|
366 |
+
def test_compute_global_jac():
|
367 |
+
n = 2
|
368 |
+
m = 5
|
369 |
+
k = 1
|
370 |
+
i_jac, j_jac = compute_jac_indices(2, 5, 1)
|
371 |
+
x = np.linspace(0, 1, 5)
|
372 |
+
h = np.diff(x)
|
373 |
+
y = np.vstack((np.sin(np.pi * x), np.pi * np.cos(np.pi * x)))
|
374 |
+
p = np.array([3.0])
|
375 |
+
|
376 |
+
f = sl_fun(x, y, p)
|
377 |
+
|
378 |
+
x_middle = x[:-1] + 0.5 * h
|
379 |
+
y_middle = 0.5 * (y[:, :-1] + y[:, 1:]) - h/8 * (f[:, 1:] - f[:, :-1])
|
380 |
+
|
381 |
+
df_dy, df_dp = sl_fun_jac(x, y, p)
|
382 |
+
df_dy_middle, df_dp_middle = sl_fun_jac(x_middle, y_middle, p)
|
383 |
+
dbc_dya, dbc_dyb, dbc_dp = sl_bc_jac(y[:, 0], y[:, -1], p)
|
384 |
+
|
385 |
+
J = construct_global_jac(n, m, k, i_jac, j_jac, h, df_dy, df_dy_middle,
|
386 |
+
df_dp, df_dp_middle, dbc_dya, dbc_dyb, dbc_dp)
|
387 |
+
J = J.toarray()
|
388 |
+
|
389 |
+
def J_block(h, p):
|
390 |
+
return np.array([
|
391 |
+
[h**2*p**2/12 - 1, -0.5*h, -h**2*p**2/12 + 1, -0.5*h],
|
392 |
+
[0.5*h*p**2, h**2*p**2/12 - 1, 0.5*h*p**2, 1 - h**2*p**2/12]
|
393 |
+
])
|
394 |
+
|
395 |
+
J_true = np.zeros((m * n + k, m * n + k))
|
396 |
+
for i in range(m - 1):
|
397 |
+
J_true[i * n: (i + 1) * n, i * n: (i + 2) * n] = J_block(h[i], p[0])
|
398 |
+
|
399 |
+
J_true[:(m - 1) * n:2, -1] = p * h**2/6 * (y[0, :-1] - y[0, 1:])
|
400 |
+
J_true[1:(m - 1) * n:2, -1] = p * (h * (y[0, :-1] + y[0, 1:]) +
|
401 |
+
h**2/6 * (y[1, :-1] - y[1, 1:]))
|
402 |
+
|
403 |
+
J_true[8, 0] = 1
|
404 |
+
J_true[9, 8] = 1
|
405 |
+
J_true[10, 1] = 1
|
406 |
+
J_true[10, 10] = -1
|
407 |
+
|
408 |
+
assert_allclose(J, J_true, rtol=1e-10)
|
409 |
+
|
410 |
+
df_dy, df_dp = estimate_fun_jac(sl_fun, x, y, p)
|
411 |
+
df_dy_middle, df_dp_middle = estimate_fun_jac(sl_fun, x_middle, y_middle, p)
|
412 |
+
dbc_dya, dbc_dyb, dbc_dp = estimate_bc_jac(sl_bc, y[:, 0], y[:, -1], p)
|
413 |
+
J = construct_global_jac(n, m, k, i_jac, j_jac, h, df_dy, df_dy_middle,
|
414 |
+
df_dp, df_dp_middle, dbc_dya, dbc_dyb, dbc_dp)
|
415 |
+
J = J.toarray()
|
416 |
+
assert_allclose(J, J_true, rtol=2e-8, atol=2e-8)
|
417 |
+
|
418 |
+
|
419 |
+
def test_parameter_validation():
|
420 |
+
x = [0, 1, 0.5]
|
421 |
+
y = np.zeros((2, 3))
|
422 |
+
assert_raises(ValueError, solve_bvp, exp_fun, exp_bc, x, y)
|
423 |
+
|
424 |
+
x = np.linspace(0, 1, 5)
|
425 |
+
y = np.zeros((2, 4))
|
426 |
+
assert_raises(ValueError, solve_bvp, exp_fun, exp_bc, x, y)
|
427 |
+
|
428 |
+
def fun(x, y, p):
|
429 |
+
return exp_fun(x, y)
|
430 |
+
def bc(ya, yb, p):
|
431 |
+
return exp_bc(ya, yb)
|
432 |
+
|
433 |
+
y = np.zeros((2, x.shape[0]))
|
434 |
+
assert_raises(ValueError, solve_bvp, fun, bc, x, y, p=[1])
|
435 |
+
|
436 |
+
def wrong_shape_fun(x, y):
|
437 |
+
return np.zeros(3)
|
438 |
+
|
439 |
+
assert_raises(ValueError, solve_bvp, wrong_shape_fun, bc, x, y)
|
440 |
+
|
441 |
+
S = np.array([[0, 0]])
|
442 |
+
assert_raises(ValueError, solve_bvp, exp_fun, exp_bc, x, y, S=S)
|
443 |
+
|
444 |
+
|
445 |
+
def test_no_params():
|
446 |
+
x = np.linspace(0, 1, 5)
|
447 |
+
x_test = np.linspace(0, 1, 100)
|
448 |
+
y = np.zeros((2, x.shape[0]))
|
449 |
+
for fun_jac in [None, exp_fun_jac]:
|
450 |
+
for bc_jac in [None, exp_bc_jac]:
|
451 |
+
sol = solve_bvp(exp_fun, exp_bc, x, y, fun_jac=fun_jac,
|
452 |
+
bc_jac=bc_jac)
|
453 |
+
|
454 |
+
assert_equal(sol.status, 0)
|
455 |
+
assert_(sol.success)
|
456 |
+
|
457 |
+
assert_equal(sol.x.size, 5)
|
458 |
+
|
459 |
+
sol_test = sol.sol(x_test)
|
460 |
+
|
461 |
+
assert_allclose(sol_test[0], exp_sol(x_test), atol=1e-5)
|
462 |
+
|
463 |
+
f_test = exp_fun(x_test, sol_test)
|
464 |
+
r = sol.sol(x_test, 1) - f_test
|
465 |
+
rel_res = r / (1 + np.abs(f_test))
|
466 |
+
norm_res = np.sum(rel_res**2, axis=0)**0.5
|
467 |
+
assert_(np.all(norm_res < 1e-3))
|
468 |
+
|
469 |
+
assert_(np.all(sol.rms_residuals < 1e-3))
|
470 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
471 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
472 |
+
|
473 |
+
|
474 |
+
def test_with_params():
|
475 |
+
x = np.linspace(0, np.pi, 5)
|
476 |
+
x_test = np.linspace(0, np.pi, 100)
|
477 |
+
y = np.ones((2, x.shape[0]))
|
478 |
+
|
479 |
+
for fun_jac in [None, sl_fun_jac]:
|
480 |
+
for bc_jac in [None, sl_bc_jac]:
|
481 |
+
sol = solve_bvp(sl_fun, sl_bc, x, y, p=[0.5], fun_jac=fun_jac,
|
482 |
+
bc_jac=bc_jac)
|
483 |
+
|
484 |
+
assert_equal(sol.status, 0)
|
485 |
+
assert_(sol.success)
|
486 |
+
|
487 |
+
assert_(sol.x.size < 10)
|
488 |
+
|
489 |
+
assert_allclose(sol.p, [1], rtol=1e-4)
|
490 |
+
|
491 |
+
sol_test = sol.sol(x_test)
|
492 |
+
|
493 |
+
assert_allclose(sol_test[0], sl_sol(x_test, [1]),
|
494 |
+
rtol=1e-4, atol=1e-4)
|
495 |
+
|
496 |
+
f_test = sl_fun(x_test, sol_test, [1])
|
497 |
+
r = sol.sol(x_test, 1) - f_test
|
498 |
+
rel_res = r / (1 + np.abs(f_test))
|
499 |
+
norm_res = np.sum(rel_res ** 2, axis=0) ** 0.5
|
500 |
+
assert_(np.all(norm_res < 1e-3))
|
501 |
+
|
502 |
+
assert_(np.all(sol.rms_residuals < 1e-3))
|
503 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
504 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
505 |
+
|
506 |
+
|
507 |
+
def test_singular_term():
|
508 |
+
x = np.linspace(0, 1, 10)
|
509 |
+
x_test = np.linspace(0.05, 1, 100)
|
510 |
+
y = np.empty((2, 10))
|
511 |
+
y[0] = (3/4)**0.5
|
512 |
+
y[1] = 1e-4
|
513 |
+
S = np.array([[0, 0], [0, -2]])
|
514 |
+
|
515 |
+
for fun_jac in [None, emden_fun_jac]:
|
516 |
+
for bc_jac in [None, emden_bc_jac]:
|
517 |
+
sol = solve_bvp(emden_fun, emden_bc, x, y, S=S, fun_jac=fun_jac,
|
518 |
+
bc_jac=bc_jac)
|
519 |
+
|
520 |
+
assert_equal(sol.status, 0)
|
521 |
+
assert_(sol.success)
|
522 |
+
|
523 |
+
assert_equal(sol.x.size, 10)
|
524 |
+
|
525 |
+
sol_test = sol.sol(x_test)
|
526 |
+
assert_allclose(sol_test[0], emden_sol(x_test), atol=1e-5)
|
527 |
+
|
528 |
+
f_test = emden_fun(x_test, sol_test) + S.dot(sol_test) / x_test
|
529 |
+
r = sol.sol(x_test, 1) - f_test
|
530 |
+
rel_res = r / (1 + np.abs(f_test))
|
531 |
+
norm_res = np.sum(rel_res ** 2, axis=0) ** 0.5
|
532 |
+
|
533 |
+
assert_(np.all(norm_res < 1e-3))
|
534 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
535 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
536 |
+
|
537 |
+
|
538 |
+
def test_complex():
|
539 |
+
# The test is essentially the same as test_no_params, but boundary
|
540 |
+
# conditions are turned into complex.
|
541 |
+
x = np.linspace(0, 1, 5)
|
542 |
+
x_test = np.linspace(0, 1, 100)
|
543 |
+
y = np.zeros((2, x.shape[0]), dtype=complex)
|
544 |
+
for fun_jac in [None, exp_fun_jac]:
|
545 |
+
for bc_jac in [None, exp_bc_jac]:
|
546 |
+
sol = solve_bvp(exp_fun, exp_bc_complex, x, y, fun_jac=fun_jac,
|
547 |
+
bc_jac=bc_jac)
|
548 |
+
|
549 |
+
assert_equal(sol.status, 0)
|
550 |
+
assert_(sol.success)
|
551 |
+
|
552 |
+
sol_test = sol.sol(x_test)
|
553 |
+
|
554 |
+
assert_allclose(sol_test[0].real, exp_sol(x_test), atol=1e-5)
|
555 |
+
assert_allclose(sol_test[0].imag, exp_sol(x_test), atol=1e-5)
|
556 |
+
|
557 |
+
f_test = exp_fun(x_test, sol_test)
|
558 |
+
r = sol.sol(x_test, 1) - f_test
|
559 |
+
rel_res = r / (1 + np.abs(f_test))
|
560 |
+
norm_res = np.sum(np.real(rel_res * np.conj(rel_res)),
|
561 |
+
axis=0) ** 0.5
|
562 |
+
assert_(np.all(norm_res < 1e-3))
|
563 |
+
|
564 |
+
assert_(np.all(sol.rms_residuals < 1e-3))
|
565 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
566 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
567 |
+
|
568 |
+
|
569 |
+
def test_failures():
|
570 |
+
x = np.linspace(0, 1, 2)
|
571 |
+
y = np.zeros((2, x.size))
|
572 |
+
res = solve_bvp(exp_fun, exp_bc, x, y, tol=1e-5, max_nodes=5)
|
573 |
+
assert_equal(res.status, 1)
|
574 |
+
assert_(not res.success)
|
575 |
+
|
576 |
+
x = np.linspace(0, 1, 5)
|
577 |
+
y = np.zeros((2, x.size))
|
578 |
+
res = solve_bvp(undefined_fun, undefined_bc, x, y)
|
579 |
+
assert_equal(res.status, 2)
|
580 |
+
assert_(not res.success)
|
581 |
+
|
582 |
+
|
583 |
+
def test_big_problem():
|
584 |
+
n = 30
|
585 |
+
x = np.linspace(0, 1, 5)
|
586 |
+
y = np.zeros((2 * n, x.size))
|
587 |
+
sol = solve_bvp(big_fun, big_bc, x, y)
|
588 |
+
|
589 |
+
assert_equal(sol.status, 0)
|
590 |
+
assert_(sol.success)
|
591 |
+
|
592 |
+
sol_test = sol.sol(x)
|
593 |
+
|
594 |
+
assert_allclose(sol_test[0], big_sol(x, n))
|
595 |
+
|
596 |
+
f_test = big_fun(x, sol_test)
|
597 |
+
r = sol.sol(x, 1) - f_test
|
598 |
+
rel_res = r / (1 + np.abs(f_test))
|
599 |
+
norm_res = np.sum(np.real(rel_res * np.conj(rel_res)), axis=0) ** 0.5
|
600 |
+
assert_(np.all(norm_res < 1e-3))
|
601 |
+
|
602 |
+
assert_(np.all(sol.rms_residuals < 1e-3))
|
603 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
604 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
605 |
+
|
606 |
+
|
607 |
+
def test_big_problem_with_parameters():
|
608 |
+
n = 30
|
609 |
+
x = np.linspace(0, np.pi, 5)
|
610 |
+
x_test = np.linspace(0, np.pi, 100)
|
611 |
+
y = np.ones((2 * n, x.size))
|
612 |
+
|
613 |
+
for fun_jac in [None, big_fun_with_parameters_jac]:
|
614 |
+
for bc_jac in [None, big_bc_with_parameters_jac]:
|
615 |
+
sol = solve_bvp(big_fun_with_parameters, big_bc_with_parameters, x,
|
616 |
+
y, p=[0.5, 0.5], fun_jac=fun_jac, bc_jac=bc_jac)
|
617 |
+
|
618 |
+
assert_equal(sol.status, 0)
|
619 |
+
assert_(sol.success)
|
620 |
+
|
621 |
+
assert_allclose(sol.p, [1, 1], rtol=1e-4)
|
622 |
+
|
623 |
+
sol_test = sol.sol(x_test)
|
624 |
+
|
625 |
+
for isol in range(0, n, 4):
|
626 |
+
assert_allclose(sol_test[isol],
|
627 |
+
big_sol_with_parameters(x_test, [1, 1])[0],
|
628 |
+
rtol=1e-4, atol=1e-4)
|
629 |
+
assert_allclose(sol_test[isol + 2],
|
630 |
+
big_sol_with_parameters(x_test, [1, 1])[1],
|
631 |
+
rtol=1e-4, atol=1e-4)
|
632 |
+
|
633 |
+
f_test = big_fun_with_parameters(x_test, sol_test, [1, 1])
|
634 |
+
r = sol.sol(x_test, 1) - f_test
|
635 |
+
rel_res = r / (1 + np.abs(f_test))
|
636 |
+
norm_res = np.sum(rel_res ** 2, axis=0) ** 0.5
|
637 |
+
assert_(np.all(norm_res < 1e-3))
|
638 |
+
|
639 |
+
assert_(np.all(sol.rms_residuals < 1e-3))
|
640 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
641 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
642 |
+
|
643 |
+
|
644 |
+
def test_shock_layer():
|
645 |
+
x = np.linspace(-1, 1, 5)
|
646 |
+
x_test = np.linspace(-1, 1, 100)
|
647 |
+
y = np.zeros((2, x.size))
|
648 |
+
sol = solve_bvp(shock_fun, shock_bc, x, y)
|
649 |
+
|
650 |
+
assert_equal(sol.status, 0)
|
651 |
+
assert_(sol.success)
|
652 |
+
|
653 |
+
assert_(sol.x.size < 110)
|
654 |
+
|
655 |
+
sol_test = sol.sol(x_test)
|
656 |
+
assert_allclose(sol_test[0], shock_sol(x_test), rtol=1e-5, atol=1e-5)
|
657 |
+
|
658 |
+
f_test = shock_fun(x_test, sol_test)
|
659 |
+
r = sol.sol(x_test, 1) - f_test
|
660 |
+
rel_res = r / (1 + np.abs(f_test))
|
661 |
+
norm_res = np.sum(rel_res ** 2, axis=0) ** 0.5
|
662 |
+
|
663 |
+
assert_(np.all(norm_res < 1e-3))
|
664 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
665 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
666 |
+
|
667 |
+
|
668 |
+
def test_nonlin_bc():
|
669 |
+
x = np.linspace(0, 0.1, 5)
|
670 |
+
x_test = x
|
671 |
+
y = np.zeros([2, x.size])
|
672 |
+
sol = solve_bvp(nonlin_bc_fun, nonlin_bc_bc, x, y)
|
673 |
+
|
674 |
+
assert_equal(sol.status, 0)
|
675 |
+
assert_(sol.success)
|
676 |
+
|
677 |
+
assert_(sol.x.size < 8)
|
678 |
+
|
679 |
+
sol_test = sol.sol(x_test)
|
680 |
+
assert_allclose(sol_test[0], nonlin_bc_sol(x_test), rtol=1e-5, atol=1e-5)
|
681 |
+
|
682 |
+
f_test = nonlin_bc_fun(x_test, sol_test)
|
683 |
+
r = sol.sol(x_test, 1) - f_test
|
684 |
+
rel_res = r / (1 + np.abs(f_test))
|
685 |
+
norm_res = np.sum(rel_res ** 2, axis=0) ** 0.5
|
686 |
+
|
687 |
+
assert_(np.all(norm_res < 1e-3))
|
688 |
+
assert_allclose(sol.sol(sol.x), sol.y, rtol=1e-10, atol=1e-10)
|
689 |
+
assert_allclose(sol.sol(sol.x, 1), sol.yp, rtol=1e-10, atol=1e-10)
|
690 |
+
|
691 |
+
|
692 |
+
def test_verbose():
|
693 |
+
# Smoke test that checks the printing does something and does not crash
|
694 |
+
x = np.linspace(0, 1, 5)
|
695 |
+
y = np.zeros((2, x.shape[0]))
|
696 |
+
for verbose in [0, 1, 2]:
|
697 |
+
old_stdout = sys.stdout
|
698 |
+
sys.stdout = StringIO()
|
699 |
+
try:
|
700 |
+
sol = solve_bvp(exp_fun, exp_bc, x, y, verbose=verbose)
|
701 |
+
text = sys.stdout.getvalue()
|
702 |
+
finally:
|
703 |
+
sys.stdout = old_stdout
|
704 |
+
|
705 |
+
assert_(sol.success)
|
706 |
+
if verbose == 0:
|
707 |
+
assert_(not text, text)
|
708 |
+
if verbose >= 1:
|
709 |
+
assert_("Solved in" in text, text)
|
710 |
+
if verbose >= 2:
|
711 |
+
assert_("Max residual" in text, text)
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_integrate.py
ADDED
@@ -0,0 +1,834 @@
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|
1 |
+
# Authors: Nils Wagner, Ed Schofield, Pauli Virtanen, John Travers
|
2 |
+
"""
|
3 |
+
Tests for numerical integration.
|
4 |
+
"""
|
5 |
+
import numpy as np
|
6 |
+
from numpy import (arange, zeros, array, dot, sqrt, cos, sin, eye, pi, exp,
|
7 |
+
allclose)
|
8 |
+
|
9 |
+
from numpy.testing import (
|
10 |
+
assert_, assert_array_almost_equal,
|
11 |
+
assert_allclose, assert_array_equal, assert_equal, assert_warns)
|
12 |
+
from pytest import raises as assert_raises
|
13 |
+
from scipy.integrate import odeint, ode, complex_ode
|
14 |
+
|
15 |
+
#------------------------------------------------------------------------------
|
16 |
+
# Test ODE integrators
|
17 |
+
#------------------------------------------------------------------------------
|
18 |
+
|
19 |
+
|
20 |
+
class TestOdeint:
|
21 |
+
# Check integrate.odeint
|
22 |
+
|
23 |
+
def _do_problem(self, problem):
|
24 |
+
t = arange(0.0, problem.stop_t, 0.05)
|
25 |
+
|
26 |
+
# Basic case
|
27 |
+
z, infodict = odeint(problem.f, problem.z0, t, full_output=True)
|
28 |
+
assert_(problem.verify(z, t))
|
29 |
+
|
30 |
+
# Use tfirst=True
|
31 |
+
z, infodict = odeint(lambda t, y: problem.f(y, t), problem.z0, t,
|
32 |
+
full_output=True, tfirst=True)
|
33 |
+
assert_(problem.verify(z, t))
|
34 |
+
|
35 |
+
if hasattr(problem, 'jac'):
|
36 |
+
# Use Dfun
|
37 |
+
z, infodict = odeint(problem.f, problem.z0, t, Dfun=problem.jac,
|
38 |
+
full_output=True)
|
39 |
+
assert_(problem.verify(z, t))
|
40 |
+
|
41 |
+
# Use Dfun and tfirst=True
|
42 |
+
z, infodict = odeint(lambda t, y: problem.f(y, t), problem.z0, t,
|
43 |
+
Dfun=lambda t, y: problem.jac(y, t),
|
44 |
+
full_output=True, tfirst=True)
|
45 |
+
assert_(problem.verify(z, t))
|
46 |
+
|
47 |
+
def test_odeint(self):
|
48 |
+
for problem_cls in PROBLEMS:
|
49 |
+
problem = problem_cls()
|
50 |
+
if problem.cmplx:
|
51 |
+
continue
|
52 |
+
self._do_problem(problem)
|
53 |
+
|
54 |
+
|
55 |
+
class TestODEClass:
|
56 |
+
|
57 |
+
ode_class = None # Set in subclass.
|
58 |
+
|
59 |
+
def _do_problem(self, problem, integrator, method='adams'):
|
60 |
+
|
61 |
+
# ode has callback arguments in different order than odeint
|
62 |
+
def f(t, z):
|
63 |
+
return problem.f(z, t)
|
64 |
+
jac = None
|
65 |
+
if hasattr(problem, 'jac'):
|
66 |
+
def jac(t, z):
|
67 |
+
return problem.jac(z, t)
|
68 |
+
|
69 |
+
integrator_params = {}
|
70 |
+
if problem.lband is not None or problem.uband is not None:
|
71 |
+
integrator_params['uband'] = problem.uband
|
72 |
+
integrator_params['lband'] = problem.lband
|
73 |
+
|
74 |
+
ig = self.ode_class(f, jac)
|
75 |
+
ig.set_integrator(integrator,
|
76 |
+
atol=problem.atol/10,
|
77 |
+
rtol=problem.rtol/10,
|
78 |
+
method=method,
|
79 |
+
**integrator_params)
|
80 |
+
|
81 |
+
ig.set_initial_value(problem.z0, t=0.0)
|
82 |
+
z = ig.integrate(problem.stop_t)
|
83 |
+
|
84 |
+
assert_array_equal(z, ig.y)
|
85 |
+
assert_(ig.successful(), (problem, method))
|
86 |
+
assert_(ig.get_return_code() > 0, (problem, method))
|
87 |
+
assert_(problem.verify(array([z]), problem.stop_t), (problem, method))
|
88 |
+
|
89 |
+
|
90 |
+
class TestOde(TestODEClass):
|
91 |
+
|
92 |
+
ode_class = ode
|
93 |
+
|
94 |
+
def test_vode(self):
|
95 |
+
# Check the vode solver
|
96 |
+
for problem_cls in PROBLEMS:
|
97 |
+
problem = problem_cls()
|
98 |
+
if problem.cmplx:
|
99 |
+
continue
|
100 |
+
if not problem.stiff:
|
101 |
+
self._do_problem(problem, 'vode', 'adams')
|
102 |
+
self._do_problem(problem, 'vode', 'bdf')
|
103 |
+
|
104 |
+
def test_zvode(self):
|
105 |
+
# Check the zvode solver
|
106 |
+
for problem_cls in PROBLEMS:
|
107 |
+
problem = problem_cls()
|
108 |
+
if not problem.stiff:
|
109 |
+
self._do_problem(problem, 'zvode', 'adams')
|
110 |
+
self._do_problem(problem, 'zvode', 'bdf')
|
111 |
+
|
112 |
+
def test_lsoda(self):
|
113 |
+
# Check the lsoda solver
|
114 |
+
for problem_cls in PROBLEMS:
|
115 |
+
problem = problem_cls()
|
116 |
+
if problem.cmplx:
|
117 |
+
continue
|
118 |
+
self._do_problem(problem, 'lsoda')
|
119 |
+
|
120 |
+
def test_dopri5(self):
|
121 |
+
# Check the dopri5 solver
|
122 |
+
for problem_cls in PROBLEMS:
|
123 |
+
problem = problem_cls()
|
124 |
+
if problem.cmplx:
|
125 |
+
continue
|
126 |
+
if problem.stiff:
|
127 |
+
continue
|
128 |
+
if hasattr(problem, 'jac'):
|
129 |
+
continue
|
130 |
+
self._do_problem(problem, 'dopri5')
|
131 |
+
|
132 |
+
def test_dop853(self):
|
133 |
+
# Check the dop853 solver
|
134 |
+
for problem_cls in PROBLEMS:
|
135 |
+
problem = problem_cls()
|
136 |
+
if problem.cmplx:
|
137 |
+
continue
|
138 |
+
if problem.stiff:
|
139 |
+
continue
|
140 |
+
if hasattr(problem, 'jac'):
|
141 |
+
continue
|
142 |
+
self._do_problem(problem, 'dop853')
|
143 |
+
|
144 |
+
def test_concurrent_fail(self):
|
145 |
+
for sol in ('vode', 'zvode', 'lsoda'):
|
146 |
+
def f(t, y):
|
147 |
+
return 1.0
|
148 |
+
|
149 |
+
r = ode(f).set_integrator(sol)
|
150 |
+
r.set_initial_value(0, 0)
|
151 |
+
|
152 |
+
r2 = ode(f).set_integrator(sol)
|
153 |
+
r2.set_initial_value(0, 0)
|
154 |
+
|
155 |
+
r.integrate(r.t + 0.1)
|
156 |
+
r2.integrate(r2.t + 0.1)
|
157 |
+
|
158 |
+
assert_raises(RuntimeError, r.integrate, r.t + 0.1)
|
159 |
+
|
160 |
+
def test_concurrent_ok(self):
|
161 |
+
def f(t, y):
|
162 |
+
return 1.0
|
163 |
+
|
164 |
+
for k in range(3):
|
165 |
+
for sol in ('vode', 'zvode', 'lsoda', 'dopri5', 'dop853'):
|
166 |
+
r = ode(f).set_integrator(sol)
|
167 |
+
r.set_initial_value(0, 0)
|
168 |
+
|
169 |
+
r2 = ode(f).set_integrator(sol)
|
170 |
+
r2.set_initial_value(0, 0)
|
171 |
+
|
172 |
+
r.integrate(r.t + 0.1)
|
173 |
+
r2.integrate(r2.t + 0.1)
|
174 |
+
r2.integrate(r2.t + 0.1)
|
175 |
+
|
176 |
+
assert_allclose(r.y, 0.1)
|
177 |
+
assert_allclose(r2.y, 0.2)
|
178 |
+
|
179 |
+
for sol in ('dopri5', 'dop853'):
|
180 |
+
r = ode(f).set_integrator(sol)
|
181 |
+
r.set_initial_value(0, 0)
|
182 |
+
|
183 |
+
r2 = ode(f).set_integrator(sol)
|
184 |
+
r2.set_initial_value(0, 0)
|
185 |
+
|
186 |
+
r.integrate(r.t + 0.1)
|
187 |
+
r.integrate(r.t + 0.1)
|
188 |
+
r2.integrate(r2.t + 0.1)
|
189 |
+
r.integrate(r.t + 0.1)
|
190 |
+
r2.integrate(r2.t + 0.1)
|
191 |
+
|
192 |
+
assert_allclose(r.y, 0.3)
|
193 |
+
assert_allclose(r2.y, 0.2)
|
194 |
+
|
195 |
+
|
196 |
+
class TestComplexOde(TestODEClass):
|
197 |
+
|
198 |
+
ode_class = complex_ode
|
199 |
+
|
200 |
+
def test_vode(self):
|
201 |
+
# Check the vode solver
|
202 |
+
for problem_cls in PROBLEMS:
|
203 |
+
problem = problem_cls()
|
204 |
+
if not problem.stiff:
|
205 |
+
self._do_problem(problem, 'vode', 'adams')
|
206 |
+
else:
|
207 |
+
self._do_problem(problem, 'vode', 'bdf')
|
208 |
+
|
209 |
+
def test_lsoda(self):
|
210 |
+
# Check the lsoda solver
|
211 |
+
for problem_cls in PROBLEMS:
|
212 |
+
problem = problem_cls()
|
213 |
+
self._do_problem(problem, 'lsoda')
|
214 |
+
|
215 |
+
def test_dopri5(self):
|
216 |
+
# Check the dopri5 solver
|
217 |
+
for problem_cls in PROBLEMS:
|
218 |
+
problem = problem_cls()
|
219 |
+
if problem.stiff:
|
220 |
+
continue
|
221 |
+
if hasattr(problem, 'jac'):
|
222 |
+
continue
|
223 |
+
self._do_problem(problem, 'dopri5')
|
224 |
+
|
225 |
+
def test_dop853(self):
|
226 |
+
# Check the dop853 solver
|
227 |
+
for problem_cls in PROBLEMS:
|
228 |
+
problem = problem_cls()
|
229 |
+
if problem.stiff:
|
230 |
+
continue
|
231 |
+
if hasattr(problem, 'jac'):
|
232 |
+
continue
|
233 |
+
self._do_problem(problem, 'dop853')
|
234 |
+
|
235 |
+
|
236 |
+
class TestSolout:
|
237 |
+
# Check integrate.ode correctly handles solout for dopri5 and dop853
|
238 |
+
def _run_solout_test(self, integrator):
|
239 |
+
# Check correct usage of solout
|
240 |
+
ts = []
|
241 |
+
ys = []
|
242 |
+
t0 = 0.0
|
243 |
+
tend = 10.0
|
244 |
+
y0 = [1.0, 2.0]
|
245 |
+
|
246 |
+
def solout(t, y):
|
247 |
+
ts.append(t)
|
248 |
+
ys.append(y.copy())
|
249 |
+
|
250 |
+
def rhs(t, y):
|
251 |
+
return [y[0] + y[1], -y[1]**2]
|
252 |
+
|
253 |
+
ig = ode(rhs).set_integrator(integrator)
|
254 |
+
ig.set_solout(solout)
|
255 |
+
ig.set_initial_value(y0, t0)
|
256 |
+
ret = ig.integrate(tend)
|
257 |
+
assert_array_equal(ys[0], y0)
|
258 |
+
assert_array_equal(ys[-1], ret)
|
259 |
+
assert_equal(ts[0], t0)
|
260 |
+
assert_equal(ts[-1], tend)
|
261 |
+
|
262 |
+
def test_solout(self):
|
263 |
+
for integrator in ('dopri5', 'dop853'):
|
264 |
+
self._run_solout_test(integrator)
|
265 |
+
|
266 |
+
def _run_solout_after_initial_test(self, integrator):
|
267 |
+
# Check if solout works even if it is set after the initial value.
|
268 |
+
ts = []
|
269 |
+
ys = []
|
270 |
+
t0 = 0.0
|
271 |
+
tend = 10.0
|
272 |
+
y0 = [1.0, 2.0]
|
273 |
+
|
274 |
+
def solout(t, y):
|
275 |
+
ts.append(t)
|
276 |
+
ys.append(y.copy())
|
277 |
+
|
278 |
+
def rhs(t, y):
|
279 |
+
return [y[0] + y[1], -y[1]**2]
|
280 |
+
|
281 |
+
ig = ode(rhs).set_integrator(integrator)
|
282 |
+
ig.set_initial_value(y0, t0)
|
283 |
+
ig.set_solout(solout)
|
284 |
+
ret = ig.integrate(tend)
|
285 |
+
assert_array_equal(ys[0], y0)
|
286 |
+
assert_array_equal(ys[-1], ret)
|
287 |
+
assert_equal(ts[0], t0)
|
288 |
+
assert_equal(ts[-1], tend)
|
289 |
+
|
290 |
+
def test_solout_after_initial(self):
|
291 |
+
for integrator in ('dopri5', 'dop853'):
|
292 |
+
self._run_solout_after_initial_test(integrator)
|
293 |
+
|
294 |
+
def _run_solout_break_test(self, integrator):
|
295 |
+
# Check correct usage of stopping via solout
|
296 |
+
ts = []
|
297 |
+
ys = []
|
298 |
+
t0 = 0.0
|
299 |
+
tend = 10.0
|
300 |
+
y0 = [1.0, 2.0]
|
301 |
+
|
302 |
+
def solout(t, y):
|
303 |
+
ts.append(t)
|
304 |
+
ys.append(y.copy())
|
305 |
+
if t > tend/2.0:
|
306 |
+
return -1
|
307 |
+
|
308 |
+
def rhs(t, y):
|
309 |
+
return [y[0] + y[1], -y[1]**2]
|
310 |
+
|
311 |
+
ig = ode(rhs).set_integrator(integrator)
|
312 |
+
ig.set_solout(solout)
|
313 |
+
ig.set_initial_value(y0, t0)
|
314 |
+
ret = ig.integrate(tend)
|
315 |
+
assert_array_equal(ys[0], y0)
|
316 |
+
assert_array_equal(ys[-1], ret)
|
317 |
+
assert_equal(ts[0], t0)
|
318 |
+
assert_(ts[-1] > tend/2.0)
|
319 |
+
assert_(ts[-1] < tend)
|
320 |
+
|
321 |
+
def test_solout_break(self):
|
322 |
+
for integrator in ('dopri5', 'dop853'):
|
323 |
+
self._run_solout_break_test(integrator)
|
324 |
+
|
325 |
+
|
326 |
+
class TestComplexSolout:
|
327 |
+
# Check integrate.ode correctly handles solout for dopri5 and dop853
|
328 |
+
def _run_solout_test(self, integrator):
|
329 |
+
# Check correct usage of solout
|
330 |
+
ts = []
|
331 |
+
ys = []
|
332 |
+
t0 = 0.0
|
333 |
+
tend = 20.0
|
334 |
+
y0 = [0.0]
|
335 |
+
|
336 |
+
def solout(t, y):
|
337 |
+
ts.append(t)
|
338 |
+
ys.append(y.copy())
|
339 |
+
|
340 |
+
def rhs(t, y):
|
341 |
+
return [1.0/(t - 10.0 - 1j)]
|
342 |
+
|
343 |
+
ig = complex_ode(rhs).set_integrator(integrator)
|
344 |
+
ig.set_solout(solout)
|
345 |
+
ig.set_initial_value(y0, t0)
|
346 |
+
ret = ig.integrate(tend)
|
347 |
+
assert_array_equal(ys[0], y0)
|
348 |
+
assert_array_equal(ys[-1], ret)
|
349 |
+
assert_equal(ts[0], t0)
|
350 |
+
assert_equal(ts[-1], tend)
|
351 |
+
|
352 |
+
def test_solout(self):
|
353 |
+
for integrator in ('dopri5', 'dop853'):
|
354 |
+
self._run_solout_test(integrator)
|
355 |
+
|
356 |
+
def _run_solout_break_test(self, integrator):
|
357 |
+
# Check correct usage of stopping via solout
|
358 |
+
ts = []
|
359 |
+
ys = []
|
360 |
+
t0 = 0.0
|
361 |
+
tend = 20.0
|
362 |
+
y0 = [0.0]
|
363 |
+
|
364 |
+
def solout(t, y):
|
365 |
+
ts.append(t)
|
366 |
+
ys.append(y.copy())
|
367 |
+
if t > tend/2.0:
|
368 |
+
return -1
|
369 |
+
|
370 |
+
def rhs(t, y):
|
371 |
+
return [1.0/(t - 10.0 - 1j)]
|
372 |
+
|
373 |
+
ig = complex_ode(rhs).set_integrator(integrator)
|
374 |
+
ig.set_solout(solout)
|
375 |
+
ig.set_initial_value(y0, t0)
|
376 |
+
ret = ig.integrate(tend)
|
377 |
+
assert_array_equal(ys[0], y0)
|
378 |
+
assert_array_equal(ys[-1], ret)
|
379 |
+
assert_equal(ts[0], t0)
|
380 |
+
assert_(ts[-1] > tend/2.0)
|
381 |
+
assert_(ts[-1] < tend)
|
382 |
+
|
383 |
+
def test_solout_break(self):
|
384 |
+
for integrator in ('dopri5', 'dop853'):
|
385 |
+
self._run_solout_break_test(integrator)
|
386 |
+
|
387 |
+
|
388 |
+
#------------------------------------------------------------------------------
|
389 |
+
# Test problems
|
390 |
+
#------------------------------------------------------------------------------
|
391 |
+
|
392 |
+
|
393 |
+
class ODE:
|
394 |
+
"""
|
395 |
+
ODE problem
|
396 |
+
"""
|
397 |
+
stiff = False
|
398 |
+
cmplx = False
|
399 |
+
stop_t = 1
|
400 |
+
z0 = []
|
401 |
+
|
402 |
+
lband = None
|
403 |
+
uband = None
|
404 |
+
|
405 |
+
atol = 1e-6
|
406 |
+
rtol = 1e-5
|
407 |
+
|
408 |
+
|
409 |
+
class SimpleOscillator(ODE):
|
410 |
+
r"""
|
411 |
+
Free vibration of a simple oscillator::
|
412 |
+
m \ddot{u} + k u = 0, u(0) = u_0 \dot{u}(0) \dot{u}_0
|
413 |
+
Solution::
|
414 |
+
u(t) = u_0*cos(sqrt(k/m)*t)+\dot{u}_0*sin(sqrt(k/m)*t)/sqrt(k/m)
|
415 |
+
"""
|
416 |
+
stop_t = 1 + 0.09
|
417 |
+
z0 = array([1.0, 0.1], float)
|
418 |
+
|
419 |
+
k = 4.0
|
420 |
+
m = 1.0
|
421 |
+
|
422 |
+
def f(self, z, t):
|
423 |
+
tmp = zeros((2, 2), float)
|
424 |
+
tmp[0, 1] = 1.0
|
425 |
+
tmp[1, 0] = -self.k / self.m
|
426 |
+
return dot(tmp, z)
|
427 |
+
|
428 |
+
def verify(self, zs, t):
|
429 |
+
omega = sqrt(self.k / self.m)
|
430 |
+
u = self.z0[0]*cos(omega*t) + self.z0[1]*sin(omega*t)/omega
|
431 |
+
return allclose(u, zs[:, 0], atol=self.atol, rtol=self.rtol)
|
432 |
+
|
433 |
+
|
434 |
+
class ComplexExp(ODE):
|
435 |
+
r"""The equation :lm:`\dot u = i u`"""
|
436 |
+
stop_t = 1.23*pi
|
437 |
+
z0 = exp([1j, 2j, 3j, 4j, 5j])
|
438 |
+
cmplx = True
|
439 |
+
|
440 |
+
def f(self, z, t):
|
441 |
+
return 1j*z
|
442 |
+
|
443 |
+
def jac(self, z, t):
|
444 |
+
return 1j*eye(5)
|
445 |
+
|
446 |
+
def verify(self, zs, t):
|
447 |
+
u = self.z0 * exp(1j*t)
|
448 |
+
return allclose(u, zs, atol=self.atol, rtol=self.rtol)
|
449 |
+
|
450 |
+
|
451 |
+
class Pi(ODE):
|
452 |
+
r"""Integrate 1/(t + 1j) from t=-10 to t=10"""
|
453 |
+
stop_t = 20
|
454 |
+
z0 = [0]
|
455 |
+
cmplx = True
|
456 |
+
|
457 |
+
def f(self, z, t):
|
458 |
+
return array([1./(t - 10 + 1j)])
|
459 |
+
|
460 |
+
def verify(self, zs, t):
|
461 |
+
u = -2j * np.arctan(10)
|
462 |
+
return allclose(u, zs[-1, :], atol=self.atol, rtol=self.rtol)
|
463 |
+
|
464 |
+
|
465 |
+
class CoupledDecay(ODE):
|
466 |
+
r"""
|
467 |
+
3 coupled decays suited for banded treatment
|
468 |
+
(banded mode makes it necessary when N>>3)
|
469 |
+
"""
|
470 |
+
|
471 |
+
stiff = True
|
472 |
+
stop_t = 0.5
|
473 |
+
z0 = [5.0, 7.0, 13.0]
|
474 |
+
lband = 1
|
475 |
+
uband = 0
|
476 |
+
|
477 |
+
lmbd = [0.17, 0.23, 0.29] # fictitious decay constants
|
478 |
+
|
479 |
+
def f(self, z, t):
|
480 |
+
lmbd = self.lmbd
|
481 |
+
return np.array([-lmbd[0]*z[0],
|
482 |
+
-lmbd[1]*z[1] + lmbd[0]*z[0],
|
483 |
+
-lmbd[2]*z[2] + lmbd[1]*z[1]])
|
484 |
+
|
485 |
+
def jac(self, z, t):
|
486 |
+
# The full Jacobian is
|
487 |
+
#
|
488 |
+
# [-lmbd[0] 0 0 ]
|
489 |
+
# [ lmbd[0] -lmbd[1] 0 ]
|
490 |
+
# [ 0 lmbd[1] -lmbd[2]]
|
491 |
+
#
|
492 |
+
# The lower and upper bandwidths are lband=1 and uband=0, resp.
|
493 |
+
# The representation of this array in packed format is
|
494 |
+
#
|
495 |
+
# [-lmbd[0] -lmbd[1] -lmbd[2]]
|
496 |
+
# [ lmbd[0] lmbd[1] 0 ]
|
497 |
+
|
498 |
+
lmbd = self.lmbd
|
499 |
+
j = np.zeros((self.lband + self.uband + 1, 3), order='F')
|
500 |
+
|
501 |
+
def set_j(ri, ci, val):
|
502 |
+
j[self.uband + ri - ci, ci] = val
|
503 |
+
set_j(0, 0, -lmbd[0])
|
504 |
+
set_j(1, 0, lmbd[0])
|
505 |
+
set_j(1, 1, -lmbd[1])
|
506 |
+
set_j(2, 1, lmbd[1])
|
507 |
+
set_j(2, 2, -lmbd[2])
|
508 |
+
return j
|
509 |
+
|
510 |
+
def verify(self, zs, t):
|
511 |
+
# Formulae derived by hand
|
512 |
+
lmbd = np.array(self.lmbd)
|
513 |
+
d10 = lmbd[1] - lmbd[0]
|
514 |
+
d21 = lmbd[2] - lmbd[1]
|
515 |
+
d20 = lmbd[2] - lmbd[0]
|
516 |
+
e0 = np.exp(-lmbd[0] * t)
|
517 |
+
e1 = np.exp(-lmbd[1] * t)
|
518 |
+
e2 = np.exp(-lmbd[2] * t)
|
519 |
+
u = np.vstack((
|
520 |
+
self.z0[0] * e0,
|
521 |
+
self.z0[1] * e1 + self.z0[0] * lmbd[0] / d10 * (e0 - e1),
|
522 |
+
self.z0[2] * e2 + self.z0[1] * lmbd[1] / d21 * (e1 - e2) +
|
523 |
+
lmbd[1] * lmbd[0] * self.z0[0] / d10 *
|
524 |
+
(1 / d20 * (e0 - e2) - 1 / d21 * (e1 - e2)))).transpose()
|
525 |
+
return allclose(u, zs, atol=self.atol, rtol=self.rtol)
|
526 |
+
|
527 |
+
|
528 |
+
PROBLEMS = [SimpleOscillator, ComplexExp, Pi, CoupledDecay]
|
529 |
+
|
530 |
+
#------------------------------------------------------------------------------
|
531 |
+
|
532 |
+
|
533 |
+
def f(t, x):
|
534 |
+
dxdt = [x[1], -x[0]]
|
535 |
+
return dxdt
|
536 |
+
|
537 |
+
|
538 |
+
def jac(t, x):
|
539 |
+
j = array([[0.0, 1.0],
|
540 |
+
[-1.0, 0.0]])
|
541 |
+
return j
|
542 |
+
|
543 |
+
|
544 |
+
def f1(t, x, omega):
|
545 |
+
dxdt = [omega*x[1], -omega*x[0]]
|
546 |
+
return dxdt
|
547 |
+
|
548 |
+
|
549 |
+
def jac1(t, x, omega):
|
550 |
+
j = array([[0.0, omega],
|
551 |
+
[-omega, 0.0]])
|
552 |
+
return j
|
553 |
+
|
554 |
+
|
555 |
+
def f2(t, x, omega1, omega2):
|
556 |
+
dxdt = [omega1*x[1], -omega2*x[0]]
|
557 |
+
return dxdt
|
558 |
+
|
559 |
+
|
560 |
+
def jac2(t, x, omega1, omega2):
|
561 |
+
j = array([[0.0, omega1],
|
562 |
+
[-omega2, 0.0]])
|
563 |
+
return j
|
564 |
+
|
565 |
+
|
566 |
+
def fv(t, x, omega):
|
567 |
+
dxdt = [omega[0]*x[1], -omega[1]*x[0]]
|
568 |
+
return dxdt
|
569 |
+
|
570 |
+
|
571 |
+
def jacv(t, x, omega):
|
572 |
+
j = array([[0.0, omega[0]],
|
573 |
+
[-omega[1], 0.0]])
|
574 |
+
return j
|
575 |
+
|
576 |
+
|
577 |
+
class ODECheckParameterUse:
|
578 |
+
"""Call an ode-class solver with several cases of parameter use."""
|
579 |
+
|
580 |
+
# solver_name must be set before tests can be run with this class.
|
581 |
+
|
582 |
+
# Set these in subclasses.
|
583 |
+
solver_name = ''
|
584 |
+
solver_uses_jac = False
|
585 |
+
|
586 |
+
def _get_solver(self, f, jac):
|
587 |
+
solver = ode(f, jac)
|
588 |
+
if self.solver_uses_jac:
|
589 |
+
solver.set_integrator(self.solver_name, atol=1e-9, rtol=1e-7,
|
590 |
+
with_jacobian=self.solver_uses_jac)
|
591 |
+
else:
|
592 |
+
# XXX Shouldn't set_integrator *always* accept the keyword arg
|
593 |
+
# 'with_jacobian', and perhaps raise an exception if it is set
|
594 |
+
# to True if the solver can't actually use it?
|
595 |
+
solver.set_integrator(self.solver_name, atol=1e-9, rtol=1e-7)
|
596 |
+
return solver
|
597 |
+
|
598 |
+
def _check_solver(self, solver):
|
599 |
+
ic = [1.0, 0.0]
|
600 |
+
solver.set_initial_value(ic, 0.0)
|
601 |
+
solver.integrate(pi)
|
602 |
+
assert_array_almost_equal(solver.y, [-1.0, 0.0])
|
603 |
+
|
604 |
+
def test_no_params(self):
|
605 |
+
solver = self._get_solver(f, jac)
|
606 |
+
self._check_solver(solver)
|
607 |
+
|
608 |
+
def test_one_scalar_param(self):
|
609 |
+
solver = self._get_solver(f1, jac1)
|
610 |
+
omega = 1.0
|
611 |
+
solver.set_f_params(omega)
|
612 |
+
if self.solver_uses_jac:
|
613 |
+
solver.set_jac_params(omega)
|
614 |
+
self._check_solver(solver)
|
615 |
+
|
616 |
+
def test_two_scalar_params(self):
|
617 |
+
solver = self._get_solver(f2, jac2)
|
618 |
+
omega1 = 1.0
|
619 |
+
omega2 = 1.0
|
620 |
+
solver.set_f_params(omega1, omega2)
|
621 |
+
if self.solver_uses_jac:
|
622 |
+
solver.set_jac_params(omega1, omega2)
|
623 |
+
self._check_solver(solver)
|
624 |
+
|
625 |
+
def test_vector_param(self):
|
626 |
+
solver = self._get_solver(fv, jacv)
|
627 |
+
omega = [1.0, 1.0]
|
628 |
+
solver.set_f_params(omega)
|
629 |
+
if self.solver_uses_jac:
|
630 |
+
solver.set_jac_params(omega)
|
631 |
+
self._check_solver(solver)
|
632 |
+
|
633 |
+
def test_warns_on_failure(self):
|
634 |
+
# Set nsteps small to ensure failure
|
635 |
+
solver = self._get_solver(f, jac)
|
636 |
+
solver.set_integrator(self.solver_name, nsteps=1)
|
637 |
+
ic = [1.0, 0.0]
|
638 |
+
solver.set_initial_value(ic, 0.0)
|
639 |
+
assert_warns(UserWarning, solver.integrate, pi)
|
640 |
+
|
641 |
+
|
642 |
+
class TestDOPRI5CheckParameterUse(ODECheckParameterUse):
|
643 |
+
solver_name = 'dopri5'
|
644 |
+
solver_uses_jac = False
|
645 |
+
|
646 |
+
|
647 |
+
class TestDOP853CheckParameterUse(ODECheckParameterUse):
|
648 |
+
solver_name = 'dop853'
|
649 |
+
solver_uses_jac = False
|
650 |
+
|
651 |
+
|
652 |
+
class TestVODECheckParameterUse(ODECheckParameterUse):
|
653 |
+
solver_name = 'vode'
|
654 |
+
solver_uses_jac = True
|
655 |
+
|
656 |
+
|
657 |
+
class TestZVODECheckParameterUse(ODECheckParameterUse):
|
658 |
+
solver_name = 'zvode'
|
659 |
+
solver_uses_jac = True
|
660 |
+
|
661 |
+
|
662 |
+
class TestLSODACheckParameterUse(ODECheckParameterUse):
|
663 |
+
solver_name = 'lsoda'
|
664 |
+
solver_uses_jac = True
|
665 |
+
|
666 |
+
|
667 |
+
def test_odeint_trivial_time():
|
668 |
+
# Test that odeint succeeds when given a single time point
|
669 |
+
# and full_output=True. This is a regression test for gh-4282.
|
670 |
+
y0 = 1
|
671 |
+
t = [0]
|
672 |
+
y, info = odeint(lambda y, t: -y, y0, t, full_output=True)
|
673 |
+
assert_array_equal(y, np.array([[y0]]))
|
674 |
+
|
675 |
+
|
676 |
+
def test_odeint_banded_jacobian():
|
677 |
+
# Test the use of the `Dfun`, `ml` and `mu` options of odeint.
|
678 |
+
|
679 |
+
def func(y, t, c):
|
680 |
+
return c.dot(y)
|
681 |
+
|
682 |
+
def jac(y, t, c):
|
683 |
+
return c
|
684 |
+
|
685 |
+
def jac_transpose(y, t, c):
|
686 |
+
return c.T.copy(order='C')
|
687 |
+
|
688 |
+
def bjac_rows(y, t, c):
|
689 |
+
jac = np.vstack((np.r_[0, np.diag(c, 1)],
|
690 |
+
np.diag(c),
|
691 |
+
np.r_[np.diag(c, -1), 0],
|
692 |
+
np.r_[np.diag(c, -2), 0, 0]))
|
693 |
+
return jac
|
694 |
+
|
695 |
+
def bjac_cols(y, t, c):
|
696 |
+
return bjac_rows(y, t, c).T.copy(order='C')
|
697 |
+
|
698 |
+
c = array([[-205, 0.01, 0.00, 0.0],
|
699 |
+
[0.1, -2.50, 0.02, 0.0],
|
700 |
+
[1e-3, 0.01, -2.0, 0.01],
|
701 |
+
[0.00, 0.00, 0.1, -1.0]])
|
702 |
+
|
703 |
+
y0 = np.ones(4)
|
704 |
+
t = np.array([0, 5, 10, 100])
|
705 |
+
|
706 |
+
# Use the full Jacobian.
|
707 |
+
sol1, info1 = odeint(func, y0, t, args=(c,), full_output=True,
|
708 |
+
atol=1e-13, rtol=1e-11, mxstep=10000,
|
709 |
+
Dfun=jac)
|
710 |
+
|
711 |
+
# Use the transposed full Jacobian, with col_deriv=True.
|
712 |
+
sol2, info2 = odeint(func, y0, t, args=(c,), full_output=True,
|
713 |
+
atol=1e-13, rtol=1e-11, mxstep=10000,
|
714 |
+
Dfun=jac_transpose, col_deriv=True)
|
715 |
+
|
716 |
+
# Use the banded Jacobian.
|
717 |
+
sol3, info3 = odeint(func, y0, t, args=(c,), full_output=True,
|
718 |
+
atol=1e-13, rtol=1e-11, mxstep=10000,
|
719 |
+
Dfun=bjac_rows, ml=2, mu=1)
|
720 |
+
|
721 |
+
# Use the transposed banded Jacobian, with col_deriv=True.
|
722 |
+
sol4, info4 = odeint(func, y0, t, args=(c,), full_output=True,
|
723 |
+
atol=1e-13, rtol=1e-11, mxstep=10000,
|
724 |
+
Dfun=bjac_cols, ml=2, mu=1, col_deriv=True)
|
725 |
+
|
726 |
+
assert_allclose(sol1, sol2, err_msg="sol1 != sol2")
|
727 |
+
assert_allclose(sol1, sol3, atol=1e-12, err_msg="sol1 != sol3")
|
728 |
+
assert_allclose(sol3, sol4, err_msg="sol3 != sol4")
|
729 |
+
|
730 |
+
# Verify that the number of jacobian evaluations was the same for the
|
731 |
+
# calls of odeint with a full jacobian and with a banded jacobian. This is
|
732 |
+
# a regression test--there was a bug in the handling of banded jacobians
|
733 |
+
# that resulted in an incorrect jacobian matrix being passed to the LSODA
|
734 |
+
# code. That would cause errors or excessive jacobian evaluations.
|
735 |
+
assert_array_equal(info1['nje'], info2['nje'])
|
736 |
+
assert_array_equal(info3['nje'], info4['nje'])
|
737 |
+
|
738 |
+
# Test the use of tfirst
|
739 |
+
sol1ty, info1ty = odeint(lambda t, y, c: func(y, t, c), y0, t, args=(c,),
|
740 |
+
full_output=True, atol=1e-13, rtol=1e-11,
|
741 |
+
mxstep=10000,
|
742 |
+
Dfun=lambda t, y, c: jac(y, t, c), tfirst=True)
|
743 |
+
# The code should execute the exact same sequence of floating point
|
744 |
+
# calculations, so these should be exactly equal. We'll be safe and use
|
745 |
+
# a small tolerance.
|
746 |
+
assert_allclose(sol1, sol1ty, rtol=1e-12, err_msg="sol1 != sol1ty")
|
747 |
+
|
748 |
+
|
749 |
+
def test_odeint_errors():
|
750 |
+
def sys1d(x, t):
|
751 |
+
return -100*x
|
752 |
+
|
753 |
+
def bad1(x, t):
|
754 |
+
return 1.0/0
|
755 |
+
|
756 |
+
def bad2(x, t):
|
757 |
+
return "foo"
|
758 |
+
|
759 |
+
def bad_jac1(x, t):
|
760 |
+
return 1.0/0
|
761 |
+
|
762 |
+
def bad_jac2(x, t):
|
763 |
+
return [["foo"]]
|
764 |
+
|
765 |
+
def sys2d(x, t):
|
766 |
+
return [-100*x[0], -0.1*x[1]]
|
767 |
+
|
768 |
+
def sys2d_bad_jac(x, t):
|
769 |
+
return [[1.0/0, 0], [0, -0.1]]
|
770 |
+
|
771 |
+
assert_raises(ZeroDivisionError, odeint, bad1, 1.0, [0, 1])
|
772 |
+
assert_raises(ValueError, odeint, bad2, 1.0, [0, 1])
|
773 |
+
|
774 |
+
assert_raises(ZeroDivisionError, odeint, sys1d, 1.0, [0, 1], Dfun=bad_jac1)
|
775 |
+
assert_raises(ValueError, odeint, sys1d, 1.0, [0, 1], Dfun=bad_jac2)
|
776 |
+
|
777 |
+
assert_raises(ZeroDivisionError, odeint, sys2d, [1.0, 1.0], [0, 1],
|
778 |
+
Dfun=sys2d_bad_jac)
|
779 |
+
|
780 |
+
|
781 |
+
def test_odeint_bad_shapes():
|
782 |
+
# Tests of some errors that can occur with odeint.
|
783 |
+
|
784 |
+
def badrhs(x, t):
|
785 |
+
return [1, -1]
|
786 |
+
|
787 |
+
def sys1(x, t):
|
788 |
+
return -100*x
|
789 |
+
|
790 |
+
def badjac(x, t):
|
791 |
+
return [[0, 0, 0]]
|
792 |
+
|
793 |
+
# y0 must be at most 1-d.
|
794 |
+
bad_y0 = [[0, 0], [0, 0]]
|
795 |
+
assert_raises(ValueError, odeint, sys1, bad_y0, [0, 1])
|
796 |
+
|
797 |
+
# t must be at most 1-d.
|
798 |
+
bad_t = [[0, 1], [2, 3]]
|
799 |
+
assert_raises(ValueError, odeint, sys1, [10.0], bad_t)
|
800 |
+
|
801 |
+
# y0 is 10, but badrhs(x, t) returns [1, -1].
|
802 |
+
assert_raises(RuntimeError, odeint, badrhs, 10, [0, 1])
|
803 |
+
|
804 |
+
# shape of array returned by badjac(x, t) is not correct.
|
805 |
+
assert_raises(RuntimeError, odeint, sys1, [10, 10], [0, 1], Dfun=badjac)
|
806 |
+
|
807 |
+
|
808 |
+
def test_repeated_t_values():
|
809 |
+
"""Regression test for gh-8217."""
|
810 |
+
|
811 |
+
def func(x, t):
|
812 |
+
return -0.25*x
|
813 |
+
|
814 |
+
t = np.zeros(10)
|
815 |
+
sol = odeint(func, [1.], t)
|
816 |
+
assert_array_equal(sol, np.ones((len(t), 1)))
|
817 |
+
|
818 |
+
tau = 4*np.log(2)
|
819 |
+
t = [0]*9 + [tau, 2*tau, 2*tau, 3*tau]
|
820 |
+
sol = odeint(func, [1, 2], t, rtol=1e-12, atol=1e-12)
|
821 |
+
expected_sol = np.array([[1.0, 2.0]]*9 +
|
822 |
+
[[0.5, 1.0],
|
823 |
+
[0.25, 0.5],
|
824 |
+
[0.25, 0.5],
|
825 |
+
[0.125, 0.25]])
|
826 |
+
assert_allclose(sol, expected_sol)
|
827 |
+
|
828 |
+
# Edge case: empty t sequence.
|
829 |
+
sol = odeint(func, [1.], [])
|
830 |
+
assert_array_equal(sol, np.array([], dtype=np.float64).reshape((0, 1)))
|
831 |
+
|
832 |
+
# t values are not monotonic.
|
833 |
+
assert_raises(ValueError, odeint, func, [1.], [0, 1, 0.5, 0])
|
834 |
+
assert_raises(ValueError, odeint, func, [1, 2, 3], [0, -1, -2, 3])
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_odeint_jac.py
ADDED
@@ -0,0 +1,74 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
+
import numpy as np
|
2 |
+
from numpy.testing import assert_equal, assert_allclose
|
3 |
+
from scipy.integrate import odeint
|
4 |
+
import scipy.integrate._test_odeint_banded as banded5x5
|
5 |
+
|
6 |
+
|
7 |
+
def rhs(y, t):
|
8 |
+
dydt = np.zeros_like(y)
|
9 |
+
banded5x5.banded5x5(t, y, dydt)
|
10 |
+
return dydt
|
11 |
+
|
12 |
+
|
13 |
+
def jac(y, t):
|
14 |
+
n = len(y)
|
15 |
+
jac = np.zeros((n, n), order='F')
|
16 |
+
banded5x5.banded5x5_jac(t, y, 1, 1, jac)
|
17 |
+
return jac
|
18 |
+
|
19 |
+
|
20 |
+
def bjac(y, t):
|
21 |
+
n = len(y)
|
22 |
+
bjac = np.zeros((4, n), order='F')
|
23 |
+
banded5x5.banded5x5_bjac(t, y, 1, 1, bjac)
|
24 |
+
return bjac
|
25 |
+
|
26 |
+
|
27 |
+
JACTYPE_FULL = 1
|
28 |
+
JACTYPE_BANDED = 4
|
29 |
+
|
30 |
+
|
31 |
+
def check_odeint(jactype):
|
32 |
+
if jactype == JACTYPE_FULL:
|
33 |
+
ml = None
|
34 |
+
mu = None
|
35 |
+
jacobian = jac
|
36 |
+
elif jactype == JACTYPE_BANDED:
|
37 |
+
ml = 2
|
38 |
+
mu = 1
|
39 |
+
jacobian = bjac
|
40 |
+
else:
|
41 |
+
raise ValueError(f"invalid jactype: {jactype!r}")
|
42 |
+
|
43 |
+
y0 = np.arange(1.0, 6.0)
|
44 |
+
# These tolerances must match the tolerances used in banded5x5.f.
|
45 |
+
rtol = 1e-11
|
46 |
+
atol = 1e-13
|
47 |
+
dt = 0.125
|
48 |
+
nsteps = 64
|
49 |
+
t = dt * np.arange(nsteps+1)
|
50 |
+
|
51 |
+
sol, info = odeint(rhs, y0, t,
|
52 |
+
Dfun=jacobian, ml=ml, mu=mu,
|
53 |
+
atol=atol, rtol=rtol, full_output=True)
|
54 |
+
yfinal = sol[-1]
|
55 |
+
odeint_nst = info['nst'][-1]
|
56 |
+
odeint_nfe = info['nfe'][-1]
|
57 |
+
odeint_nje = info['nje'][-1]
|
58 |
+
|
59 |
+
y1 = y0.copy()
|
60 |
+
# Pure Fortran solution. y1 is modified in-place.
|
61 |
+
nst, nfe, nje = banded5x5.banded5x5_solve(y1, nsteps, dt, jactype)
|
62 |
+
|
63 |
+
# It is likely that yfinal and y1 are *exactly* the same, but
|
64 |
+
# we'll be cautious and use assert_allclose.
|
65 |
+
assert_allclose(yfinal, y1, rtol=1e-12)
|
66 |
+
assert_equal((odeint_nst, odeint_nfe, odeint_nje), (nst, nfe, nje))
|
67 |
+
|
68 |
+
|
69 |
+
def test_odeint_full_jac():
|
70 |
+
check_odeint(JACTYPE_FULL)
|
71 |
+
|
72 |
+
|
73 |
+
def test_odeint_banded_jac():
|
74 |
+
check_odeint(JACTYPE_BANDED)
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_quadpack.py
ADDED
@@ -0,0 +1,677 @@
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
1 |
+
import sys
|
2 |
+
import math
|
3 |
+
import numpy as np
|
4 |
+
from numpy import sqrt, cos, sin, arctan, exp, log, pi
|
5 |
+
from numpy.testing import (assert_,
|
6 |
+
assert_allclose, assert_array_less, assert_almost_equal)
|
7 |
+
import pytest
|
8 |
+
|
9 |
+
from scipy.integrate import quad, dblquad, tplquad, nquad
|
10 |
+
from scipy.special import erf, erfc
|
11 |
+
from scipy._lib._ccallback import LowLevelCallable
|
12 |
+
|
13 |
+
import ctypes
|
14 |
+
import ctypes.util
|
15 |
+
from scipy._lib._ccallback_c import sine_ctypes
|
16 |
+
|
17 |
+
import scipy.integrate._test_multivariate as clib_test
|
18 |
+
|
19 |
+
|
20 |
+
def assert_quad(value_and_err, tabled_value, error_tolerance=1.5e-8):
|
21 |
+
value, err = value_and_err
|
22 |
+
assert_allclose(value, tabled_value, atol=err, rtol=0)
|
23 |
+
if error_tolerance is not None:
|
24 |
+
assert_array_less(err, error_tolerance)
|
25 |
+
|
26 |
+
|
27 |
+
def get_clib_test_routine(name, restype, *argtypes):
|
28 |
+
ptr = getattr(clib_test, name)
|
29 |
+
return ctypes.cast(ptr, ctypes.CFUNCTYPE(restype, *argtypes))
|
30 |
+
|
31 |
+
|
32 |
+
class TestCtypesQuad:
|
33 |
+
def setup_method(self):
|
34 |
+
if sys.platform == 'win32':
|
35 |
+
files = ['api-ms-win-crt-math-l1-1-0.dll']
|
36 |
+
elif sys.platform == 'darwin':
|
37 |
+
files = ['libm.dylib']
|
38 |
+
else:
|
39 |
+
files = ['libm.so', 'libm.so.6']
|
40 |
+
|
41 |
+
for file in files:
|
42 |
+
try:
|
43 |
+
self.lib = ctypes.CDLL(file)
|
44 |
+
break
|
45 |
+
except OSError:
|
46 |
+
pass
|
47 |
+
else:
|
48 |
+
# This test doesn't work on some Linux platforms (Fedora for
|
49 |
+
# example) that put an ld script in libm.so - see gh-5370
|
50 |
+
pytest.skip("Ctypes can't import libm.so")
|
51 |
+
|
52 |
+
restype = ctypes.c_double
|
53 |
+
argtypes = (ctypes.c_double,)
|
54 |
+
for name in ['sin', 'cos', 'tan']:
|
55 |
+
func = getattr(self.lib, name)
|
56 |
+
func.restype = restype
|
57 |
+
func.argtypes = argtypes
|
58 |
+
|
59 |
+
def test_typical(self):
|
60 |
+
assert_quad(quad(self.lib.sin, 0, 5), quad(math.sin, 0, 5)[0])
|
61 |
+
assert_quad(quad(self.lib.cos, 0, 5), quad(math.cos, 0, 5)[0])
|
62 |
+
assert_quad(quad(self.lib.tan, 0, 1), quad(math.tan, 0, 1)[0])
|
63 |
+
|
64 |
+
def test_ctypes_sine(self):
|
65 |
+
quad(LowLevelCallable(sine_ctypes), 0, 1)
|
66 |
+
|
67 |
+
def test_ctypes_variants(self):
|
68 |
+
sin_0 = get_clib_test_routine('_sin_0', ctypes.c_double,
|
69 |
+
ctypes.c_double, ctypes.c_void_p)
|
70 |
+
|
71 |
+
sin_1 = get_clib_test_routine('_sin_1', ctypes.c_double,
|
72 |
+
ctypes.c_int, ctypes.POINTER(ctypes.c_double),
|
73 |
+
ctypes.c_void_p)
|
74 |
+
|
75 |
+
sin_2 = get_clib_test_routine('_sin_2', ctypes.c_double,
|
76 |
+
ctypes.c_double)
|
77 |
+
|
78 |
+
sin_3 = get_clib_test_routine('_sin_3', ctypes.c_double,
|
79 |
+
ctypes.c_int, ctypes.POINTER(ctypes.c_double))
|
80 |
+
|
81 |
+
sin_4 = get_clib_test_routine('_sin_3', ctypes.c_double,
|
82 |
+
ctypes.c_int, ctypes.c_double)
|
83 |
+
|
84 |
+
all_sigs = [sin_0, sin_1, sin_2, sin_3, sin_4]
|
85 |
+
legacy_sigs = [sin_2, sin_4]
|
86 |
+
legacy_only_sigs = [sin_4]
|
87 |
+
|
88 |
+
# LowLevelCallables work for new signatures
|
89 |
+
for j, func in enumerate(all_sigs):
|
90 |
+
callback = LowLevelCallable(func)
|
91 |
+
if func in legacy_only_sigs:
|
92 |
+
pytest.raises(ValueError, quad, callback, 0, pi)
|
93 |
+
else:
|
94 |
+
assert_allclose(quad(callback, 0, pi)[0], 2.0)
|
95 |
+
|
96 |
+
# Plain ctypes items work only for legacy signatures
|
97 |
+
for j, func in enumerate(legacy_sigs):
|
98 |
+
if func in legacy_sigs:
|
99 |
+
assert_allclose(quad(func, 0, pi)[0], 2.0)
|
100 |
+
else:
|
101 |
+
pytest.raises(ValueError, quad, func, 0, pi)
|
102 |
+
|
103 |
+
|
104 |
+
class TestMultivariateCtypesQuad:
|
105 |
+
def setup_method(self):
|
106 |
+
restype = ctypes.c_double
|
107 |
+
argtypes = (ctypes.c_int, ctypes.c_double)
|
108 |
+
for name in ['_multivariate_typical', '_multivariate_indefinite',
|
109 |
+
'_multivariate_sin']:
|
110 |
+
func = get_clib_test_routine(name, restype, *argtypes)
|
111 |
+
setattr(self, name, func)
|
112 |
+
|
113 |
+
def test_typical(self):
|
114 |
+
# 1) Typical function with two extra arguments:
|
115 |
+
assert_quad(quad(self._multivariate_typical, 0, pi, (2, 1.8)),
|
116 |
+
0.30614353532540296487)
|
117 |
+
|
118 |
+
def test_indefinite(self):
|
119 |
+
# 2) Infinite integration limits --- Euler's constant
|
120 |
+
assert_quad(quad(self._multivariate_indefinite, 0, np.inf),
|
121 |
+
0.577215664901532860606512)
|
122 |
+
|
123 |
+
def test_threadsafety(self):
|
124 |
+
# Ensure multivariate ctypes are threadsafe
|
125 |
+
def threadsafety(y):
|
126 |
+
return y + quad(self._multivariate_sin, 0, 1)[0]
|
127 |
+
assert_quad(quad(threadsafety, 0, 1), 0.9596976941318602)
|
128 |
+
|
129 |
+
|
130 |
+
class TestQuad:
|
131 |
+
def test_typical(self):
|
132 |
+
# 1) Typical function with two extra arguments:
|
133 |
+
def myfunc(x, n, z): # Bessel function integrand
|
134 |
+
return cos(n*x-z*sin(x))/pi
|
135 |
+
assert_quad(quad(myfunc, 0, pi, (2, 1.8)), 0.30614353532540296487)
|
136 |
+
|
137 |
+
def test_indefinite(self):
|
138 |
+
# 2) Infinite integration limits --- Euler's constant
|
139 |
+
def myfunc(x): # Euler's constant integrand
|
140 |
+
return -exp(-x)*log(x)
|
141 |
+
assert_quad(quad(myfunc, 0, np.inf), 0.577215664901532860606512)
|
142 |
+
|
143 |
+
def test_singular(self):
|
144 |
+
# 3) Singular points in region of integration.
|
145 |
+
def myfunc(x):
|
146 |
+
if 0 < x < 2.5:
|
147 |
+
return sin(x)
|
148 |
+
elif 2.5 <= x <= 5.0:
|
149 |
+
return exp(-x)
|
150 |
+
else:
|
151 |
+
return 0.0
|
152 |
+
|
153 |
+
assert_quad(quad(myfunc, 0, 10, points=[2.5, 5.0]),
|
154 |
+
1 - cos(2.5) + exp(-2.5) - exp(-5.0))
|
155 |
+
|
156 |
+
def test_sine_weighted_finite(self):
|
157 |
+
# 4) Sine weighted integral (finite limits)
|
158 |
+
def myfunc(x, a):
|
159 |
+
return exp(a*(x-1))
|
160 |
+
|
161 |
+
ome = 2.0**3.4
|
162 |
+
assert_quad(quad(myfunc, 0, 1, args=20, weight='sin', wvar=ome),
|
163 |
+
(20*sin(ome)-ome*cos(ome)+ome*exp(-20))/(20**2 + ome**2))
|
164 |
+
|
165 |
+
def test_sine_weighted_infinite(self):
|
166 |
+
# 5) Sine weighted integral (infinite limits)
|
167 |
+
def myfunc(x, a):
|
168 |
+
return exp(-x*a)
|
169 |
+
|
170 |
+
a = 4.0
|
171 |
+
ome = 3.0
|
172 |
+
assert_quad(quad(myfunc, 0, np.inf, args=a, weight='sin', wvar=ome),
|
173 |
+
ome/(a**2 + ome**2))
|
174 |
+
|
175 |
+
def test_cosine_weighted_infinite(self):
|
176 |
+
# 6) Cosine weighted integral (negative infinite limits)
|
177 |
+
def myfunc(x, a):
|
178 |
+
return exp(x*a)
|
179 |
+
|
180 |
+
a = 2.5
|
181 |
+
ome = 2.3
|
182 |
+
assert_quad(quad(myfunc, -np.inf, 0, args=a, weight='cos', wvar=ome),
|
183 |
+
a/(a**2 + ome**2))
|
184 |
+
|
185 |
+
def test_algebraic_log_weight(self):
|
186 |
+
# 6) Algebraic-logarithmic weight.
|
187 |
+
def myfunc(x, a):
|
188 |
+
return 1/(1+x+2**(-a))
|
189 |
+
|
190 |
+
a = 1.5
|
191 |
+
assert_quad(quad(myfunc, -1, 1, args=a, weight='alg',
|
192 |
+
wvar=(-0.5, -0.5)),
|
193 |
+
pi/sqrt((1+2**(-a))**2 - 1))
|
194 |
+
|
195 |
+
def test_cauchypv_weight(self):
|
196 |
+
# 7) Cauchy prinicpal value weighting w(x) = 1/(x-c)
|
197 |
+
def myfunc(x, a):
|
198 |
+
return 2.0**(-a)/((x-1)**2+4.0**(-a))
|
199 |
+
|
200 |
+
a = 0.4
|
201 |
+
tabledValue = ((2.0**(-0.4)*log(1.5) -
|
202 |
+
2.0**(-1.4)*log((4.0**(-a)+16) / (4.0**(-a)+1)) -
|
203 |
+
arctan(2.0**(a+2)) -
|
204 |
+
arctan(2.0**a)) /
|
205 |
+
(4.0**(-a) + 1))
|
206 |
+
assert_quad(quad(myfunc, 0, 5, args=0.4, weight='cauchy', wvar=2.0),
|
207 |
+
tabledValue, error_tolerance=1.9e-8)
|
208 |
+
|
209 |
+
def test_b_less_than_a(self):
|
210 |
+
def f(x, p, q):
|
211 |
+
return p * np.exp(-q*x)
|
212 |
+
|
213 |
+
val_1, err_1 = quad(f, 0, np.inf, args=(2, 3))
|
214 |
+
val_2, err_2 = quad(f, np.inf, 0, args=(2, 3))
|
215 |
+
assert_allclose(val_1, -val_2, atol=max(err_1, err_2))
|
216 |
+
|
217 |
+
def test_b_less_than_a_2(self):
|
218 |
+
def f(x, s):
|
219 |
+
return np.exp(-x**2 / 2 / s) / np.sqrt(2.*s)
|
220 |
+
|
221 |
+
val_1, err_1 = quad(f, -np.inf, np.inf, args=(2,))
|
222 |
+
val_2, err_2 = quad(f, np.inf, -np.inf, args=(2,))
|
223 |
+
assert_allclose(val_1, -val_2, atol=max(err_1, err_2))
|
224 |
+
|
225 |
+
def test_b_less_than_a_3(self):
|
226 |
+
def f(x):
|
227 |
+
return 1.0
|
228 |
+
|
229 |
+
val_1, err_1 = quad(f, 0, 1, weight='alg', wvar=(0, 0))
|
230 |
+
val_2, err_2 = quad(f, 1, 0, weight='alg', wvar=(0, 0))
|
231 |
+
assert_allclose(val_1, -val_2, atol=max(err_1, err_2))
|
232 |
+
|
233 |
+
def test_b_less_than_a_full_output(self):
|
234 |
+
def f(x):
|
235 |
+
return 1.0
|
236 |
+
|
237 |
+
res_1 = quad(f, 0, 1, weight='alg', wvar=(0, 0), full_output=True)
|
238 |
+
res_2 = quad(f, 1, 0, weight='alg', wvar=(0, 0), full_output=True)
|
239 |
+
err = max(res_1[1], res_2[1])
|
240 |
+
assert_allclose(res_1[0], -res_2[0], atol=err)
|
241 |
+
|
242 |
+
def test_double_integral(self):
|
243 |
+
# 8) Double Integral test
|
244 |
+
def simpfunc(y, x): # Note order of arguments.
|
245 |
+
return x+y
|
246 |
+
|
247 |
+
a, b = 1.0, 2.0
|
248 |
+
assert_quad(dblquad(simpfunc, a, b, lambda x: x, lambda x: 2*x),
|
249 |
+
5/6.0 * (b**3.0-a**3.0))
|
250 |
+
|
251 |
+
def test_double_integral2(self):
|
252 |
+
def func(x0, x1, t0, t1):
|
253 |
+
return x0 + x1 + t0 + t1
|
254 |
+
def g(x):
|
255 |
+
return x
|
256 |
+
def h(x):
|
257 |
+
return 2 * x
|
258 |
+
args = 1, 2
|
259 |
+
assert_quad(dblquad(func, 1, 2, g, h, args=args),35./6 + 9*.5)
|
260 |
+
|
261 |
+
def test_double_integral3(self):
|
262 |
+
def func(x0, x1):
|
263 |
+
return x0 + x1 + 1 + 2
|
264 |
+
assert_quad(dblquad(func, 1, 2, 1, 2),6.)
|
265 |
+
|
266 |
+
@pytest.mark.parametrize(
|
267 |
+
"x_lower, x_upper, y_lower, y_upper, expected",
|
268 |
+
[
|
269 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
270 |
+
# over domain D = [-inf, 0] for all n.
|
271 |
+
(-np.inf, 0, -np.inf, 0, np.pi / 4),
|
272 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
273 |
+
# over domain D = [-inf, -1] for each n (one at a time).
|
274 |
+
(-np.inf, -1, -np.inf, 0, np.pi / 4 * erfc(1)),
|
275 |
+
(-np.inf, 0, -np.inf, -1, np.pi / 4 * erfc(1)),
|
276 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
277 |
+
# over domain D = [-inf, -1] for all n.
|
278 |
+
(-np.inf, -1, -np.inf, -1, np.pi / 4 * (erfc(1) ** 2)),
|
279 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
280 |
+
# over domain D = [-inf, 1] for each n (one at a time).
|
281 |
+
(-np.inf, 1, -np.inf, 0, np.pi / 4 * (erf(1) + 1)),
|
282 |
+
(-np.inf, 0, -np.inf, 1, np.pi / 4 * (erf(1) + 1)),
|
283 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
284 |
+
# over domain D = [-inf, 1] for all n.
|
285 |
+
(-np.inf, 1, -np.inf, 1, np.pi / 4 * ((erf(1) + 1) ** 2)),
|
286 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
287 |
+
# over domain Dx = [-inf, -1] and Dy = [-inf, 1].
|
288 |
+
(-np.inf, -1, -np.inf, 1, np.pi / 4 * ((erf(1) + 1) * erfc(1))),
|
289 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
290 |
+
# over domain Dx = [-inf, 1] and Dy = [-inf, -1].
|
291 |
+
(-np.inf, 1, -np.inf, -1, np.pi / 4 * ((erf(1) + 1) * erfc(1))),
|
292 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
293 |
+
# over domain D = [0, inf] for all n.
|
294 |
+
(0, np.inf, 0, np.inf, np.pi / 4),
|
295 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
296 |
+
# over domain D = [1, inf] for each n (one at a time).
|
297 |
+
(1, np.inf, 0, np.inf, np.pi / 4 * erfc(1)),
|
298 |
+
(0, np.inf, 1, np.inf, np.pi / 4 * erfc(1)),
|
299 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
300 |
+
# over domain D = [1, inf] for all n.
|
301 |
+
(1, np.inf, 1, np.inf, np.pi / 4 * (erfc(1) ** 2)),
|
302 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
303 |
+
# over domain D = [-1, inf] for each n (one at a time).
|
304 |
+
(-1, np.inf, 0, np.inf, np.pi / 4 * (erf(1) + 1)),
|
305 |
+
(0, np.inf, -1, np.inf, np.pi / 4 * (erf(1) + 1)),
|
306 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
307 |
+
# over domain D = [-1, inf] for all n.
|
308 |
+
(-1, np.inf, -1, np.inf, np.pi / 4 * ((erf(1) + 1) ** 2)),
|
309 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
310 |
+
# over domain Dx = [-1, inf] and Dy = [1, inf].
|
311 |
+
(-1, np.inf, 1, np.inf, np.pi / 4 * ((erf(1) + 1) * erfc(1))),
|
312 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
313 |
+
# over domain Dx = [1, inf] and Dy = [-1, inf].
|
314 |
+
(1, np.inf, -1, np.inf, np.pi / 4 * ((erf(1) + 1) * erfc(1))),
|
315 |
+
# Multiple integration of a function in n = 2 variables: f(x, y, z)
|
316 |
+
# over domain D = [-inf, inf] for all n.
|
317 |
+
(-np.inf, np.inf, -np.inf, np.inf, np.pi)
|
318 |
+
]
|
319 |
+
)
|
320 |
+
def test_double_integral_improper(
|
321 |
+
self, x_lower, x_upper, y_lower, y_upper, expected
|
322 |
+
):
|
323 |
+
# The Gaussian Integral.
|
324 |
+
def f(x, y):
|
325 |
+
return np.exp(-x ** 2 - y ** 2)
|
326 |
+
|
327 |
+
assert_quad(
|
328 |
+
dblquad(f, x_lower, x_upper, y_lower, y_upper),
|
329 |
+
expected,
|
330 |
+
error_tolerance=3e-8
|
331 |
+
)
|
332 |
+
|
333 |
+
def test_triple_integral(self):
|
334 |
+
# 9) Triple Integral test
|
335 |
+
def simpfunc(z, y, x, t): # Note order of arguments.
|
336 |
+
return (x+y+z)*t
|
337 |
+
|
338 |
+
a, b = 1.0, 2.0
|
339 |
+
assert_quad(tplquad(simpfunc, a, b,
|
340 |
+
lambda x: x, lambda x: 2*x,
|
341 |
+
lambda x, y: x - y, lambda x, y: x + y,
|
342 |
+
(2.,)),
|
343 |
+
2*8/3.0 * (b**4.0 - a**4.0))
|
344 |
+
|
345 |
+
@pytest.mark.parametrize(
|
346 |
+
"x_lower, x_upper, y_lower, y_upper, z_lower, z_upper, expected",
|
347 |
+
[
|
348 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
349 |
+
# over domain D = [-inf, 0] for all n.
|
350 |
+
(-np.inf, 0, -np.inf, 0, -np.inf, 0, (np.pi ** (3 / 2)) / 8),
|
351 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
352 |
+
# over domain D = [-inf, -1] for each n (one at a time).
|
353 |
+
(-np.inf, -1, -np.inf, 0, -np.inf, 0,
|
354 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
355 |
+
(-np.inf, 0, -np.inf, -1, -np.inf, 0,
|
356 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
357 |
+
(-np.inf, 0, -np.inf, 0, -np.inf, -1,
|
358 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
359 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
360 |
+
# over domain D = [-inf, -1] for each n (two at a time).
|
361 |
+
(-np.inf, -1, -np.inf, -1, -np.inf, 0,
|
362 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
363 |
+
(-np.inf, -1, -np.inf, 0, -np.inf, -1,
|
364 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
365 |
+
(-np.inf, 0, -np.inf, -1, -np.inf, -1,
|
366 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
367 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
368 |
+
# over domain D = [-inf, -1] for all n.
|
369 |
+
(-np.inf, -1, -np.inf, -1, -np.inf, -1,
|
370 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 3)),
|
371 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
372 |
+
# over domain Dx = [-inf, -1] and Dy = Dz = [-inf, 1].
|
373 |
+
(-np.inf, -1, -np.inf, 1, -np.inf, 1,
|
374 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
375 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
376 |
+
# over domain Dx = Dy = [-inf, -1] and Dz = [-inf, 1].
|
377 |
+
(-np.inf, -1, -np.inf, -1, -np.inf, 1,
|
378 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
379 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
380 |
+
# over domain Dx = Dz = [-inf, -1] and Dy = [-inf, 1].
|
381 |
+
(-np.inf, -1, -np.inf, 1, -np.inf, -1,
|
382 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
383 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
384 |
+
# over domain Dx = [-inf, 1] and Dy = Dz = [-inf, -1].
|
385 |
+
(-np.inf, 1, -np.inf, -1, -np.inf, -1,
|
386 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
387 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
388 |
+
# over domain Dx = Dy = [-inf, 1] and Dz = [-inf, -1].
|
389 |
+
(-np.inf, 1, -np.inf, 1, -np.inf, -1,
|
390 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
391 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
392 |
+
# over domain Dx = Dz = [-inf, 1] and Dy = [-inf, -1].
|
393 |
+
(-np.inf, 1, -np.inf, -1, -np.inf, 1,
|
394 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
395 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
396 |
+
# over domain D = [-inf, 1] for each n (one at a time).
|
397 |
+
(-np.inf, 1, -np.inf, 0, -np.inf, 0,
|
398 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
399 |
+
(-np.inf, 0, -np.inf, 1, -np.inf, 0,
|
400 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
401 |
+
(-np.inf, 0, -np.inf, 0, -np.inf, 1,
|
402 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
403 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
404 |
+
# over domain D = [-inf, 1] for each n (two at a time).
|
405 |
+
(-np.inf, 1, -np.inf, 1, -np.inf, 0,
|
406 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
407 |
+
(-np.inf, 1, -np.inf, 0, -np.inf, 1,
|
408 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
409 |
+
(-np.inf, 0, -np.inf, 1, -np.inf, 1,
|
410 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
411 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
412 |
+
# over domain D = [-inf, 1] for all n.
|
413 |
+
(-np.inf, 1, -np.inf, 1, -np.inf, 1,
|
414 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 3)),
|
415 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
416 |
+
# over domain D = [0, inf] for all n.
|
417 |
+
(0, np.inf, 0, np.inf, 0, np.inf, (np.pi ** (3 / 2)) / 8),
|
418 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
419 |
+
# over domain D = [1, inf] for each n (one at a time).
|
420 |
+
(1, np.inf, 0, np.inf, 0, np.inf,
|
421 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
422 |
+
(0, np.inf, 1, np.inf, 0, np.inf,
|
423 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
424 |
+
(0, np.inf, 0, np.inf, 1, np.inf,
|
425 |
+
(np.pi ** (3 / 2)) / 8 * erfc(1)),
|
426 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
427 |
+
# over domain D = [1, inf] for each n (two at a time).
|
428 |
+
(1, np.inf, 1, np.inf, 0, np.inf,
|
429 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
430 |
+
(1, np.inf, 0, np.inf, 1, np.inf,
|
431 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
432 |
+
(0, np.inf, 1, np.inf, 1, np.inf,
|
433 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 2)),
|
434 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
435 |
+
# over domain D = [1, inf] for all n.
|
436 |
+
(1, np.inf, 1, np.inf, 1, np.inf,
|
437 |
+
(np.pi ** (3 / 2)) / 8 * (erfc(1) ** 3)),
|
438 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
439 |
+
# over domain D = [-1, inf] for each n (one at a time).
|
440 |
+
(-1, np.inf, 0, np.inf, 0, np.inf,
|
441 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
442 |
+
(0, np.inf, -1, np.inf, 0, np.inf,
|
443 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
444 |
+
(0, np.inf, 0, np.inf, -1, np.inf,
|
445 |
+
(np.pi ** (3 / 2)) / 8 * (erf(1) + 1)),
|
446 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
447 |
+
# over domain D = [-1, inf] for each n (two at a time).
|
448 |
+
(-1, np.inf, -1, np.inf, 0, np.inf,
|
449 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
450 |
+
(-1, np.inf, 0, np.inf, -1, np.inf,
|
451 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
452 |
+
(0, np.inf, -1, np.inf, -1, np.inf,
|
453 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 2)),
|
454 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
455 |
+
# over domain D = [-1, inf] for all n.
|
456 |
+
(-1, np.inf, -1, np.inf, -1, np.inf,
|
457 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) ** 3)),
|
458 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
459 |
+
# over domain Dx = [1, inf] and Dy = Dz = [-1, inf].
|
460 |
+
(1, np.inf, -1, np.inf, -1, np.inf,
|
461 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
462 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
463 |
+
# over domain Dx = Dy = [1, inf] and Dz = [-1, inf].
|
464 |
+
(1, np.inf, 1, np.inf, -1, np.inf,
|
465 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
466 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
467 |
+
# over domain Dx = Dz = [1, inf] and Dy = [-1, inf].
|
468 |
+
(1, np.inf, -1, np.inf, 1, np.inf,
|
469 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
470 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
471 |
+
# over domain Dx = [-1, inf] and Dy = Dz = [1, inf].
|
472 |
+
(-1, np.inf, 1, np.inf, 1, np.inf,
|
473 |
+
(np.pi ** (3 / 2)) / 8 * ((erf(1) + 1) * (erfc(1) ** 2))),
|
474 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
475 |
+
# over domain Dx = Dy = [-1, inf] and Dz = [1, inf].
|
476 |
+
(-1, np.inf, -1, np.inf, 1, np.inf,
|
477 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
478 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
479 |
+
# over domain Dx = Dz = [-1, inf] and Dy = [1, inf].
|
480 |
+
(-1, np.inf, 1, np.inf, -1, np.inf,
|
481 |
+
(np.pi ** (3 / 2)) / 8 * (((erf(1) + 1) ** 2) * erfc(1))),
|
482 |
+
# Multiple integration of a function in n = 3 variables: f(x, y, z)
|
483 |
+
# over domain D = [-inf, inf] for all n.
|
484 |
+
(-np.inf, np.inf, -np.inf, np.inf, -np.inf, np.inf,
|
485 |
+
np.pi ** (3 / 2)),
|
486 |
+
],
|
487 |
+
)
|
488 |
+
def test_triple_integral_improper(
|
489 |
+
self,
|
490 |
+
x_lower,
|
491 |
+
x_upper,
|
492 |
+
y_lower,
|
493 |
+
y_upper,
|
494 |
+
z_lower,
|
495 |
+
z_upper,
|
496 |
+
expected
|
497 |
+
):
|
498 |
+
# The Gaussian Integral.
|
499 |
+
def f(x, y, z):
|
500 |
+
return np.exp(-x ** 2 - y ** 2 - z ** 2)
|
501 |
+
|
502 |
+
assert_quad(
|
503 |
+
tplquad(f, x_lower, x_upper, y_lower, y_upper, z_lower, z_upper),
|
504 |
+
expected,
|
505 |
+
error_tolerance=6e-8
|
506 |
+
)
|
507 |
+
|
508 |
+
def test_complex(self):
|
509 |
+
def tfunc(x):
|
510 |
+
return np.exp(1j*x)
|
511 |
+
|
512 |
+
assert np.allclose(
|
513 |
+
quad(tfunc, 0, np.pi/2, complex_func=True)[0],
|
514 |
+
1+1j)
|
515 |
+
|
516 |
+
# We consider a divergent case in order to force quadpack
|
517 |
+
# to return an error message. The output is compared
|
518 |
+
# against what is returned by explicit integration
|
519 |
+
# of the parts.
|
520 |
+
kwargs = {'a': 0, 'b': np.inf, 'full_output': True,
|
521 |
+
'weight': 'cos', 'wvar': 1}
|
522 |
+
res_c = quad(tfunc, complex_func=True, **kwargs)
|
523 |
+
res_r = quad(lambda x: np.real(np.exp(1j*x)),
|
524 |
+
complex_func=False,
|
525 |
+
**kwargs)
|
526 |
+
res_i = quad(lambda x: np.imag(np.exp(1j*x)),
|
527 |
+
complex_func=False,
|
528 |
+
**kwargs)
|
529 |
+
|
530 |
+
np.testing.assert_equal(res_c[0], res_r[0] + 1j*res_i[0])
|
531 |
+
np.testing.assert_equal(res_c[1], res_r[1] + 1j*res_i[1])
|
532 |
+
|
533 |
+
assert len(res_c[2]['real']) == len(res_r[2:]) == 3
|
534 |
+
assert res_c[2]['real'][2] == res_r[4]
|
535 |
+
assert res_c[2]['real'][1] == res_r[3]
|
536 |
+
assert res_c[2]['real'][0]['lst'] == res_r[2]['lst']
|
537 |
+
|
538 |
+
assert len(res_c[2]['imag']) == len(res_i[2:]) == 1
|
539 |
+
assert res_c[2]['imag'][0]['lst'] == res_i[2]['lst']
|
540 |
+
|
541 |
+
|
542 |
+
class TestNQuad:
|
543 |
+
def test_fixed_limits(self):
|
544 |
+
def func1(x0, x1, x2, x3):
|
545 |
+
val = (x0**2 + x1*x2 - x3**3 + np.sin(x0) +
|
546 |
+
(1 if (x0 - 0.2*x3 - 0.5 - 0.25*x1 > 0) else 0))
|
547 |
+
return val
|
548 |
+
|
549 |
+
def opts_basic(*args):
|
550 |
+
return {'points': [0.2*args[2] + 0.5 + 0.25*args[0]]}
|
551 |
+
|
552 |
+
res = nquad(func1, [[0, 1], [-1, 1], [.13, .8], [-.15, 1]],
|
553 |
+
opts=[opts_basic, {}, {}, {}], full_output=True)
|
554 |
+
assert_quad(res[:-1], 1.5267454070738635)
|
555 |
+
assert_(res[-1]['neval'] > 0 and res[-1]['neval'] < 4e5)
|
556 |
+
|
557 |
+
def test_variable_limits(self):
|
558 |
+
scale = .1
|
559 |
+
|
560 |
+
def func2(x0, x1, x2, x3, t0, t1):
|
561 |
+
val = (x0*x1*x3**2 + np.sin(x2) + 1 +
|
562 |
+
(1 if x0 + t1*x1 - t0 > 0 else 0))
|
563 |
+
return val
|
564 |
+
|
565 |
+
def lim0(x1, x2, x3, t0, t1):
|
566 |
+
return [scale * (x1**2 + x2 + np.cos(x3)*t0*t1 + 1) - 1,
|
567 |
+
scale * (x1**2 + x2 + np.cos(x3)*t0*t1 + 1) + 1]
|
568 |
+
|
569 |
+
def lim1(x2, x3, t0, t1):
|
570 |
+
return [scale * (t0*x2 + t1*x3) - 1,
|
571 |
+
scale * (t0*x2 + t1*x3) + 1]
|
572 |
+
|
573 |
+
def lim2(x3, t0, t1):
|
574 |
+
return [scale * (x3 + t0**2*t1**3) - 1,
|
575 |
+
scale * (x3 + t0**2*t1**3) + 1]
|
576 |
+
|
577 |
+
def lim3(t0, t1):
|
578 |
+
return [scale * (t0 + t1) - 1, scale * (t0 + t1) + 1]
|
579 |
+
|
580 |
+
def opts0(x1, x2, x3, t0, t1):
|
581 |
+
return {'points': [t0 - t1*x1]}
|
582 |
+
|
583 |
+
def opts1(x2, x3, t0, t1):
|
584 |
+
return {}
|
585 |
+
|
586 |
+
def opts2(x3, t0, t1):
|
587 |
+
return {}
|
588 |
+
|
589 |
+
def opts3(t0, t1):
|
590 |
+
return {}
|
591 |
+
|
592 |
+
res = nquad(func2, [lim0, lim1, lim2, lim3], args=(0, 0),
|
593 |
+
opts=[opts0, opts1, opts2, opts3])
|
594 |
+
assert_quad(res, 25.066666666666663)
|
595 |
+
|
596 |
+
def test_square_separate_ranges_and_opts(self):
|
597 |
+
def f(y, x):
|
598 |
+
return 1.0
|
599 |
+
|
600 |
+
assert_quad(nquad(f, [[-1, 1], [-1, 1]], opts=[{}, {}]), 4.0)
|
601 |
+
|
602 |
+
def test_square_aliased_ranges_and_opts(self):
|
603 |
+
def f(y, x):
|
604 |
+
return 1.0
|
605 |
+
|
606 |
+
r = [-1, 1]
|
607 |
+
opt = {}
|
608 |
+
assert_quad(nquad(f, [r, r], opts=[opt, opt]), 4.0)
|
609 |
+
|
610 |
+
def test_square_separate_fn_ranges_and_opts(self):
|
611 |
+
def f(y, x):
|
612 |
+
return 1.0
|
613 |
+
|
614 |
+
def fn_range0(*args):
|
615 |
+
return (-1, 1)
|
616 |
+
|
617 |
+
def fn_range1(*args):
|
618 |
+
return (-1, 1)
|
619 |
+
|
620 |
+
def fn_opt0(*args):
|
621 |
+
return {}
|
622 |
+
|
623 |
+
def fn_opt1(*args):
|
624 |
+
return {}
|
625 |
+
|
626 |
+
ranges = [fn_range0, fn_range1]
|
627 |
+
opts = [fn_opt0, fn_opt1]
|
628 |
+
assert_quad(nquad(f, ranges, opts=opts), 4.0)
|
629 |
+
|
630 |
+
def test_square_aliased_fn_ranges_and_opts(self):
|
631 |
+
def f(y, x):
|
632 |
+
return 1.0
|
633 |
+
|
634 |
+
def fn_range(*args):
|
635 |
+
return (-1, 1)
|
636 |
+
|
637 |
+
def fn_opt(*args):
|
638 |
+
return {}
|
639 |
+
|
640 |
+
ranges = [fn_range, fn_range]
|
641 |
+
opts = [fn_opt, fn_opt]
|
642 |
+
assert_quad(nquad(f, ranges, opts=opts), 4.0)
|
643 |
+
|
644 |
+
def test_matching_quad(self):
|
645 |
+
def func(x):
|
646 |
+
return x**2 + 1
|
647 |
+
|
648 |
+
res, reserr = quad(func, 0, 4)
|
649 |
+
res2, reserr2 = nquad(func, ranges=[[0, 4]])
|
650 |
+
assert_almost_equal(res, res2)
|
651 |
+
assert_almost_equal(reserr, reserr2)
|
652 |
+
|
653 |
+
def test_matching_dblquad(self):
|
654 |
+
def func2d(x0, x1):
|
655 |
+
return x0**2 + x1**3 - x0 * x1 + 1
|
656 |
+
|
657 |
+
res, reserr = dblquad(func2d, -2, 2, lambda x: -3, lambda x: 3)
|
658 |
+
res2, reserr2 = nquad(func2d, [[-3, 3], (-2, 2)])
|
659 |
+
assert_almost_equal(res, res2)
|
660 |
+
assert_almost_equal(reserr, reserr2)
|
661 |
+
|
662 |
+
def test_matching_tplquad(self):
|
663 |
+
def func3d(x0, x1, x2, c0, c1):
|
664 |
+
return x0**2 + c0 * x1**3 - x0 * x1 + 1 + c1 * np.sin(x2)
|
665 |
+
|
666 |
+
res = tplquad(func3d, -1, 2, lambda x: -2, lambda x: 2,
|
667 |
+
lambda x, y: -np.pi, lambda x, y: np.pi,
|
668 |
+
args=(2, 3))
|
669 |
+
res2 = nquad(func3d, [[-np.pi, np.pi], [-2, 2], (-1, 2)], args=(2, 3))
|
670 |
+
assert_almost_equal(res, res2)
|
671 |
+
|
672 |
+
def test_dict_as_opts(self):
|
673 |
+
try:
|
674 |
+
nquad(lambda x, y: x * y, [[0, 1], [0, 1]], opts={'epsrel': 0.0001})
|
675 |
+
except TypeError:
|
676 |
+
assert False
|
677 |
+
|
venv/lib/python3.10/site-packages/scipy/integrate/tests/test_quadrature.py
ADDED
@@ -0,0 +1,766 @@
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|
|
|
|
|
|
|
|
|
1 |
+
# mypy: disable-error-code="attr-defined"
|
2 |
+
import pytest
|
3 |
+
import numpy as np
|
4 |
+
from numpy import cos, sin, pi
|
5 |
+
from numpy.testing import (assert_equal, assert_almost_equal, assert_allclose,
|
6 |
+
assert_, suppress_warnings)
|
7 |
+
from hypothesis import given
|
8 |
+
import hypothesis.strategies as st
|
9 |
+
import hypothesis.extra.numpy as hyp_num
|
10 |
+
|
11 |
+
from scipy.integrate import (quadrature, romberg, romb, newton_cotes,
|
12 |
+
cumulative_trapezoid, cumtrapz, trapz, trapezoid,
|
13 |
+
quad, simpson, simps, fixed_quad, AccuracyWarning,
|
14 |
+
qmc_quad, cumulative_simpson)
|
15 |
+
from scipy.integrate._quadrature import _cumulative_simpson_unequal_intervals
|
16 |
+
from scipy import stats, special
|
17 |
+
|
18 |
+
|
19 |
+
class TestFixedQuad:
|
20 |
+
def test_scalar(self):
|
21 |
+
n = 4
|
22 |
+
expected = 1/(2*n)
|
23 |
+
got, _ = fixed_quad(lambda x: x**(2*n - 1), 0, 1, n=n)
|
24 |
+
# quadrature exact for this input
|
25 |
+
assert_allclose(got, expected, rtol=1e-12)
|
26 |
+
|
27 |
+
def test_vector(self):
|
28 |
+
n = 4
|
29 |
+
p = np.arange(1, 2*n)
|
30 |
+
expected = 1/(p + 1)
|
31 |
+
got, _ = fixed_quad(lambda x: x**p[:, None], 0, 1, n=n)
|
32 |
+
assert_allclose(got, expected, rtol=1e-12)
|
33 |
+
|
34 |
+
|
35 |
+
@pytest.mark.filterwarnings('ignore::DeprecationWarning')
|
36 |
+
class TestQuadrature:
|
37 |
+
def quad(self, x, a, b, args):
|
38 |
+
raise NotImplementedError
|
39 |
+
|
40 |
+
def test_quadrature(self):
|
41 |
+
# Typical function with two extra arguments:
|
42 |
+
def myfunc(x, n, z): # Bessel function integrand
|
43 |
+
return cos(n*x-z*sin(x))/pi
|
44 |
+
val, err = quadrature(myfunc, 0, pi, (2, 1.8))
|
45 |
+
table_val = 0.30614353532540296487
|
46 |
+
assert_almost_equal(val, table_val, decimal=7)
|
47 |
+
|
48 |
+
def test_quadrature_rtol(self):
|
49 |
+
def myfunc(x, n, z): # Bessel function integrand
|
50 |
+
return 1e90 * cos(n*x-z*sin(x))/pi
|
51 |
+
val, err = quadrature(myfunc, 0, pi, (2, 1.8), rtol=1e-10)
|
52 |
+
table_val = 1e90 * 0.30614353532540296487
|
53 |
+
assert_allclose(val, table_val, rtol=1e-10)
|
54 |
+
|
55 |
+
def test_quadrature_miniter(self):
|
56 |
+
# Typical function with two extra arguments:
|
57 |
+
def myfunc(x, n, z): # Bessel function integrand
|
58 |
+
return cos(n*x-z*sin(x))/pi
|
59 |
+
table_val = 0.30614353532540296487
|
60 |
+
for miniter in [5, 52]:
|
61 |
+
val, err = quadrature(myfunc, 0, pi, (2, 1.8), miniter=miniter)
|
62 |
+
assert_almost_equal(val, table_val, decimal=7)
|
63 |
+
assert_(err < 1.0)
|
64 |
+
|
65 |
+
def test_quadrature_single_args(self):
|
66 |
+
def myfunc(x, n):
|
67 |
+
return 1e90 * cos(n*x-1.8*sin(x))/pi
|
68 |
+
val, err = quadrature(myfunc, 0, pi, args=2, rtol=1e-10)
|
69 |
+
table_val = 1e90 * 0.30614353532540296487
|
70 |
+
assert_allclose(val, table_val, rtol=1e-10)
|
71 |
+
|
72 |
+
def test_romberg(self):
|
73 |
+
# Typical function with two extra arguments:
|
74 |
+
def myfunc(x, n, z): # Bessel function integrand
|
75 |
+
return cos(n*x-z*sin(x))/pi
|
76 |
+
val = romberg(myfunc, 0, pi, args=(2, 1.8))
|
77 |
+
table_val = 0.30614353532540296487
|
78 |
+
assert_almost_equal(val, table_val, decimal=7)
|
79 |
+
|
80 |
+
def test_romberg_rtol(self):
|
81 |
+
# Typical function with two extra arguments:
|
82 |
+
def myfunc(x, n, z): # Bessel function integrand
|
83 |
+
return 1e19*cos(n*x-z*sin(x))/pi
|
84 |
+
val = romberg(myfunc, 0, pi, args=(2, 1.8), rtol=1e-10)
|
85 |
+
table_val = 1e19*0.30614353532540296487
|
86 |
+
assert_allclose(val, table_val, rtol=1e-10)
|
87 |
+
|
88 |
+
def test_romb(self):
|
89 |
+
assert_equal(romb(np.arange(17)), 128)
|
90 |
+
|
91 |
+
def test_romb_gh_3731(self):
|
92 |
+
# Check that romb makes maximal use of data points
|
93 |
+
x = np.arange(2**4+1)
|
94 |
+
y = np.cos(0.2*x)
|
95 |
+
val = romb(y)
|
96 |
+
val2, err = quad(lambda x: np.cos(0.2*x), x.min(), x.max())
|
97 |
+
assert_allclose(val, val2, rtol=1e-8, atol=0)
|
98 |
+
|
99 |
+
# should be equal to romb with 2**k+1 samples
|
100 |
+
with suppress_warnings() as sup:
|
101 |
+
sup.filter(AccuracyWarning, "divmax .4. exceeded")
|
102 |
+
val3 = romberg(lambda x: np.cos(0.2*x), x.min(), x.max(), divmax=4)
|
103 |
+
assert_allclose(val, val3, rtol=1e-12, atol=0)
|
104 |
+
|
105 |
+
def test_non_dtype(self):
|
106 |
+
# Check that we work fine with functions returning float
|
107 |
+
import math
|
108 |
+
valmath = romberg(math.sin, 0, 1)
|
109 |
+
expected_val = 0.45969769413185085
|
110 |
+
assert_almost_equal(valmath, expected_val, decimal=7)
|
111 |
+
|
112 |
+
def test_newton_cotes(self):
|
113 |
+
"""Test the first few degrees, for evenly spaced points."""
|
114 |
+
n = 1
|
115 |
+
wts, errcoff = newton_cotes(n, 1)
|
116 |
+
assert_equal(wts, n*np.array([0.5, 0.5]))
|
117 |
+
assert_almost_equal(errcoff, -n**3/12.0)
|
118 |
+
|
119 |
+
n = 2
|
120 |
+
wts, errcoff = newton_cotes(n, 1)
|
121 |
+
assert_almost_equal(wts, n*np.array([1.0, 4.0, 1.0])/6.0)
|
122 |
+
assert_almost_equal(errcoff, -n**5/2880.0)
|
123 |
+
|
124 |
+
n = 3
|
125 |
+
wts, errcoff = newton_cotes(n, 1)
|
126 |
+
assert_almost_equal(wts, n*np.array([1.0, 3.0, 3.0, 1.0])/8.0)
|
127 |
+
assert_almost_equal(errcoff, -n**5/6480.0)
|
128 |
+
|
129 |
+
n = 4
|
130 |
+
wts, errcoff = newton_cotes(n, 1)
|
131 |
+
assert_almost_equal(wts, n*np.array([7.0, 32.0, 12.0, 32.0, 7.0])/90.0)
|
132 |
+
assert_almost_equal(errcoff, -n**7/1935360.0)
|
133 |
+
|
134 |
+
def test_newton_cotes2(self):
|
135 |
+
"""Test newton_cotes with points that are not evenly spaced."""
|
136 |
+
|
137 |
+
x = np.array([0.0, 1.5, 2.0])
|
138 |
+
y = x**2
|
139 |
+
wts, errcoff = newton_cotes(x)
|
140 |
+
exact_integral = 8.0/3
|
141 |
+
numeric_integral = np.dot(wts, y)
|
142 |
+
assert_almost_equal(numeric_integral, exact_integral)
|
143 |
+
|
144 |
+
x = np.array([0.0, 1.4, 2.1, 3.0])
|
145 |
+
y = x**2
|
146 |
+
wts, errcoff = newton_cotes(x)
|
147 |
+
exact_integral = 9.0
|
148 |
+
numeric_integral = np.dot(wts, y)
|
149 |
+
assert_almost_equal(numeric_integral, exact_integral)
|
150 |
+
|
151 |
+
# ignore the DeprecationWarning emitted by the even kwd
|
152 |
+
@pytest.mark.filterwarnings('ignore::DeprecationWarning')
|
153 |
+
def test_simpson(self):
|
154 |
+
y = np.arange(17)
|
155 |
+
assert_equal(simpson(y), 128)
|
156 |
+
assert_equal(simpson(y, dx=0.5), 64)
|
157 |
+
assert_equal(simpson(y, x=np.linspace(0, 4, 17)), 32)
|
158 |
+
|
159 |
+
y = np.arange(4)
|
160 |
+
x = 2**y
|
161 |
+
assert_equal(simpson(y, x=x, even='avg'), 13.875)
|
162 |
+
assert_equal(simpson(y, x=x, even='first'), 13.75)
|
163 |
+
assert_equal(simpson(y, x=x, even='last'), 14)
|
164 |
+
|
165 |
+
# `even='simpson'`
|
166 |
+
# integral should be exactly 21
|
167 |
+
x = np.linspace(1, 4, 4)
|
168 |
+
def f(x):
|
169 |
+
return x**2
|
170 |
+
|
171 |
+
assert_allclose(simpson(f(x), x=x, even='simpson'), 21.0)
|
172 |
+
assert_allclose(simpson(f(x), x=x, even='avg'), 21 + 1/6)
|
173 |
+
|
174 |
+
# integral should be exactly 114
|
175 |
+
x = np.linspace(1, 7, 4)
|
176 |
+
assert_allclose(simpson(f(x), dx=2.0, even='simpson'), 114)
|
177 |
+
assert_allclose(simpson(f(x), dx=2.0, even='avg'), 115 + 1/3)
|
178 |
+
|
179 |
+
# `even='simpson'`, test multi-axis behaviour
|
180 |
+
a = np.arange(16).reshape(4, 4)
|
181 |
+
x = np.arange(64.).reshape(4, 4, 4)
|
182 |
+
y = f(x)
|
183 |
+
for i in range(3):
|
184 |
+
r = simpson(y, x=x, even='simpson', axis=i)
|
185 |
+
it = np.nditer(a, flags=['multi_index'])
|
186 |
+
for _ in it:
|
187 |
+
idx = list(it.multi_index)
|
188 |
+
idx.insert(i, slice(None))
|
189 |
+
integral = x[tuple(idx)][-1]**3 / 3 - x[tuple(idx)][0]**3 / 3
|
190 |
+
assert_allclose(r[it.multi_index], integral)
|
191 |
+
|
192 |
+
# test when integration axis only has two points
|
193 |
+
x = np.arange(16).reshape(8, 2)
|
194 |
+
y = f(x)
|
195 |
+
for even in ['simpson', 'avg', 'first', 'last']:
|
196 |
+
r = simpson(y, x=x, even=even, axis=-1)
|
197 |
+
|
198 |
+
integral = 0.5 * (y[:, 1] + y[:, 0]) * (x[:, 1] - x[:, 0])
|
199 |
+
assert_allclose(r, integral)
|
200 |
+
|
201 |
+
# odd points, test multi-axis behaviour
|
202 |
+
a = np.arange(25).reshape(5, 5)
|
203 |
+
x = np.arange(125).reshape(5, 5, 5)
|
204 |
+
y = f(x)
|
205 |
+
for i in range(3):
|
206 |
+
r = simpson(y, x=x, axis=i)
|
207 |
+
it = np.nditer(a, flags=['multi_index'])
|
208 |
+
for _ in it:
|
209 |
+
idx = list(it.multi_index)
|
210 |
+
idx.insert(i, slice(None))
|
211 |
+
integral = x[tuple(idx)][-1]**3 / 3 - x[tuple(idx)][0]**3 / 3
|
212 |
+
assert_allclose(r[it.multi_index], integral)
|
213 |
+
|
214 |
+
# Tests for checking base case
|
215 |
+
x = np.array([3])
|
216 |
+
y = np.power(x, 2)
|
217 |
+
assert_allclose(simpson(y, x=x, axis=0), 0.0)
|
218 |
+
assert_allclose(simpson(y, x=x, axis=-1), 0.0)
|
219 |
+
|
220 |
+
x = np.array([3, 3, 3, 3])
|
221 |
+
y = np.power(x, 2)
|
222 |
+
assert_allclose(simpson(y, x=x, axis=0), 0.0)
|
223 |
+
assert_allclose(simpson(y, x=x, axis=-1), 0.0)
|
224 |
+
|
225 |
+
x = np.array([[1, 2, 4, 8], [1, 2, 4, 8], [1, 2, 4, 8]])
|
226 |
+
y = np.power(x, 2)
|
227 |
+
zero_axis = [0.0, 0.0, 0.0, 0.0]
|
228 |
+
default_axis = [170 + 1/3] * 3 # 8**3 / 3 - 1/3
|
229 |
+
assert_allclose(simpson(y, x=x, axis=0), zero_axis)
|
230 |
+
# the following should be exact for even='simpson'
|
231 |
+
assert_allclose(simpson(y, x=x, axis=-1), default_axis)
|
232 |
+
|
233 |
+
x = np.array([[1, 2, 4, 8], [1, 2, 4, 8], [1, 8, 16, 32]])
|
234 |
+
y = np.power(x, 2)
|
235 |
+
zero_axis = [0.0, 136.0, 1088.0, 8704.0]
|
236 |
+
default_axis = [170 + 1/3, 170 + 1/3, 32**3 / 3 - 1/3]
|
237 |
+
assert_allclose(simpson(y, x=x, axis=0), zero_axis)
|
238 |
+
assert_allclose(simpson(y, x=x, axis=-1), default_axis)
|
239 |
+
|
240 |
+
def test_simpson_deprecations(self):
|
241 |
+
x = np.linspace(0, 3, 4)
|
242 |
+
y = x**2
|
243 |
+
with pytest.deprecated_call(match="The 'even' keyword is deprecated"):
|
244 |
+
simpson(y, x=x, even='first')
|
245 |
+
with pytest.deprecated_call(match="use keyword arguments"):
|
246 |
+
simpson(y, x)
|
247 |
+
|
248 |
+
@pytest.mark.parametrize('droplast', [False, True])
|
249 |
+
def test_simpson_2d_integer_no_x(self, droplast):
|
250 |
+
# The inputs are 2d integer arrays. The results should be
|
251 |
+
# identical to the results when the inputs are floating point.
|
252 |
+
y = np.array([[2, 2, 4, 4, 8, 8, -4, 5],
|
253 |
+
[4, 4, 2, -4, 10, 22, -2, 10]])
|
254 |
+
if droplast:
|
255 |
+
y = y[:, :-1]
|
256 |
+
result = simpson(y, axis=-1)
|
257 |
+
expected = simpson(np.array(y, dtype=np.float64), axis=-1)
|
258 |
+
assert_equal(result, expected)
|
259 |
+
|
260 |
+
def test_simps(self):
|
261 |
+
# Basic coverage test for the alias
|
262 |
+
y = np.arange(5)
|
263 |
+
x = 2**y
|
264 |
+
with pytest.deprecated_call(match="simpson"):
|
265 |
+
assert_allclose(
|
266 |
+
simpson(y, x=x, dx=0.5),
|
267 |
+
simps(y, x=x, dx=0.5)
|
268 |
+
)
|
269 |
+
|
270 |
+
|
271 |
+
@pytest.mark.parametrize('func', [romberg, quadrature])
|
272 |
+
def test_deprecate_integrator(func):
|
273 |
+
message = f"`scipy.integrate.{func.__name__}` is deprecated..."
|
274 |
+
with pytest.deprecated_call(match=message):
|
275 |
+
func(np.exp, 0, 1)
|
276 |
+
|
277 |
+
|
278 |
+
class TestCumulative_trapezoid:
|
279 |
+
def test_1d(self):
|
280 |
+
x = np.linspace(-2, 2, num=5)
|
281 |
+
y = x
|
282 |
+
y_int = cumulative_trapezoid(y, x, initial=0)
|
283 |
+
y_expected = [0., -1.5, -2., -1.5, 0.]
|
284 |
+
assert_allclose(y_int, y_expected)
|
285 |
+
|
286 |
+
y_int = cumulative_trapezoid(y, x, initial=None)
|
287 |
+
assert_allclose(y_int, y_expected[1:])
|
288 |
+
|
289 |
+
def test_y_nd_x_nd(self):
|
290 |
+
x = np.arange(3 * 2 * 4).reshape(3, 2, 4)
|
291 |
+
y = x
|
292 |
+
y_int = cumulative_trapezoid(y, x, initial=0)
|
293 |
+
y_expected = np.array([[[0., 0.5, 2., 4.5],
|
294 |
+
[0., 4.5, 10., 16.5]],
|
295 |
+
[[0., 8.5, 18., 28.5],
|
296 |
+
[0., 12.5, 26., 40.5]],
|
297 |
+
[[0., 16.5, 34., 52.5],
|
298 |
+
[0., 20.5, 42., 64.5]]])
|
299 |
+
|
300 |
+
assert_allclose(y_int, y_expected)
|
301 |
+
|
302 |
+
# Try with all axes
|
303 |
+
shapes = [(2, 2, 4), (3, 1, 4), (3, 2, 3)]
|
304 |
+
for axis, shape in zip([0, 1, 2], shapes):
|
305 |
+
y_int = cumulative_trapezoid(y, x, initial=0, axis=axis)
|
306 |
+
assert_equal(y_int.shape, (3, 2, 4))
|
307 |
+
y_int = cumulative_trapezoid(y, x, initial=None, axis=axis)
|
308 |
+
assert_equal(y_int.shape, shape)
|
309 |
+
|
310 |
+
def test_y_nd_x_1d(self):
|
311 |
+
y = np.arange(3 * 2 * 4).reshape(3, 2, 4)
|
312 |
+
x = np.arange(4)**2
|
313 |
+
# Try with all axes
|
314 |
+
ys_expected = (
|
315 |
+
np.array([[[4., 5., 6., 7.],
|
316 |
+
[8., 9., 10., 11.]],
|
317 |
+
[[40., 44., 48., 52.],
|
318 |
+
[56., 60., 64., 68.]]]),
|
319 |
+
np.array([[[2., 3., 4., 5.]],
|
320 |
+
[[10., 11., 12., 13.]],
|
321 |
+
[[18., 19., 20., 21.]]]),
|
322 |
+
np.array([[[0.5, 5., 17.5],
|
323 |
+
[4.5, 21., 53.5]],
|
324 |
+
[[8.5, 37., 89.5],
|
325 |
+
[12.5, 53., 125.5]],
|
326 |
+
[[16.5, 69., 161.5],
|
327 |
+
[20.5, 85., 197.5]]]))
|
328 |
+
|
329 |
+
for axis, y_expected in zip([0, 1, 2], ys_expected):
|
330 |
+
y_int = cumulative_trapezoid(y, x=x[:y.shape[axis]], axis=axis,
|
331 |
+
initial=None)
|
332 |
+
assert_allclose(y_int, y_expected)
|
333 |
+
|
334 |
+
def test_x_none(self):
|
335 |
+
y = np.linspace(-2, 2, num=5)
|
336 |
+
|
337 |
+
y_int = cumulative_trapezoid(y)
|
338 |
+
y_expected = [-1.5, -2., -1.5, 0.]
|
339 |
+
assert_allclose(y_int, y_expected)
|
340 |
+
|
341 |
+
y_int = cumulative_trapezoid(y, initial=0)
|
342 |
+
y_expected = [0, -1.5, -2., -1.5, 0.]
|
343 |
+
assert_allclose(y_int, y_expected)
|
344 |
+
|
345 |
+
y_int = cumulative_trapezoid(y, dx=3)
|
346 |
+
y_expected = [-4.5, -6., -4.5, 0.]
|
347 |
+
assert_allclose(y_int, y_expected)
|
348 |
+
|
349 |
+
y_int = cumulative_trapezoid(y, dx=3, initial=0)
|
350 |
+
y_expected = [0, -4.5, -6., -4.5, 0.]
|
351 |
+
assert_allclose(y_int, y_expected)
|
352 |
+
|
353 |
+
@pytest.mark.parametrize(
|
354 |
+
"initial", [1, 0.5]
|
355 |
+
)
|
356 |
+
def test_initial_warning(self, initial):
|
357 |
+
"""If initial is not None or 0, a ValueError is raised."""
|
358 |
+
y = np.linspace(0, 10, num=10)
|
359 |
+
with pytest.deprecated_call(match="`initial`"):
|
360 |
+
res = cumulative_trapezoid(y, initial=initial)
|
361 |
+
assert_allclose(res, [initial, *np.cumsum(y[1:] + y[:-1])/2])
|
362 |
+
|
363 |
+
def test_zero_len_y(self):
|
364 |
+
with pytest.raises(ValueError, match="At least one point is required"):
|
365 |
+
cumulative_trapezoid(y=[])
|
366 |
+
|
367 |
+
def test_cumtrapz(self):
|
368 |
+
# Basic coverage test for the alias
|
369 |
+
x = np.arange(3 * 2 * 4).reshape(3, 2, 4)
|
370 |
+
y = x
|
371 |
+
with pytest.deprecated_call(match="cumulative_trapezoid"):
|
372 |
+
assert_allclose(cumulative_trapezoid(y, x, dx=0.5, axis=0, initial=0),
|
373 |
+
cumtrapz(y, x, dx=0.5, axis=0, initial=0),
|
374 |
+
rtol=1e-14)
|
375 |
+
|
376 |
+
|
377 |
+
class TestTrapezoid:
|
378 |
+
def test_simple(self):
|
379 |
+
x = np.arange(-10, 10, .1)
|
380 |
+
r = trapezoid(np.exp(-.5 * x ** 2) / np.sqrt(2 * np.pi), dx=0.1)
|
381 |
+
# check integral of normal equals 1
|
382 |
+
assert_allclose(r, 1)
|
383 |
+
|
384 |
+
def test_ndim(self):
|
385 |
+
x = np.linspace(0, 1, 3)
|
386 |
+
y = np.linspace(0, 2, 8)
|
387 |
+
z = np.linspace(0, 3, 13)
|
388 |
+
|
389 |
+
wx = np.ones_like(x) * (x[1] - x[0])
|
390 |
+
wx[0] /= 2
|
391 |
+
wx[-1] /= 2
|
392 |
+
wy = np.ones_like(y) * (y[1] - y[0])
|
393 |
+
wy[0] /= 2
|
394 |
+
wy[-1] /= 2
|
395 |
+
wz = np.ones_like(z) * (z[1] - z[0])
|
396 |
+
wz[0] /= 2
|
397 |
+
wz[-1] /= 2
|
398 |
+
|
399 |
+
q = x[:, None, None] + y[None,:, None] + z[None, None,:]
|
400 |
+
|
401 |
+
qx = (q * wx[:, None, None]).sum(axis=0)
|
402 |
+
qy = (q * wy[None, :, None]).sum(axis=1)
|
403 |
+
qz = (q * wz[None, None, :]).sum(axis=2)
|
404 |
+
|
405 |
+
# n-d `x`
|
406 |
+
r = trapezoid(q, x=x[:, None, None], axis=0)
|
407 |
+
assert_allclose(r, qx)
|
408 |
+
r = trapezoid(q, x=y[None,:, None], axis=1)
|
409 |
+
assert_allclose(r, qy)
|
410 |
+
r = trapezoid(q, x=z[None, None,:], axis=2)
|
411 |
+
assert_allclose(r, qz)
|
412 |
+
|
413 |
+
# 1-d `x`
|
414 |
+
r = trapezoid(q, x=x, axis=0)
|
415 |
+
assert_allclose(r, qx)
|
416 |
+
r = trapezoid(q, x=y, axis=1)
|
417 |
+
assert_allclose(r, qy)
|
418 |
+
r = trapezoid(q, x=z, axis=2)
|
419 |
+
assert_allclose(r, qz)
|
420 |
+
|
421 |
+
def test_masked(self):
|
422 |
+
# Testing that masked arrays behave as if the function is 0 where
|
423 |
+
# masked
|
424 |
+
x = np.arange(5)
|
425 |
+
y = x * x
|
426 |
+
mask = x == 2
|
427 |
+
ym = np.ma.array(y, mask=mask)
|
428 |
+
r = 13.0 # sum(0.5 * (0 + 1) * 1.0 + 0.5 * (9 + 16))
|
429 |
+
assert_allclose(trapezoid(ym, x), r)
|
430 |
+
|
431 |
+
xm = np.ma.array(x, mask=mask)
|
432 |
+
assert_allclose(trapezoid(ym, xm), r)
|
433 |
+
|
434 |
+
xm = np.ma.array(x, mask=mask)
|
435 |
+
assert_allclose(trapezoid(y, xm), r)
|
436 |
+
|
437 |
+
def test_trapz_alias(self):
|
438 |
+
# Basic coverage test for the alias
|
439 |
+
y = np.arange(4)
|
440 |
+
x = 2**y
|
441 |
+
with pytest.deprecated_call(match="trapezoid"):
|
442 |
+
assert_equal(trapezoid(y, x=x, dx=0.5, axis=0),
|
443 |
+
trapz(y, x=x, dx=0.5, axis=0))
|
444 |
+
|
445 |
+
|
446 |
+
class TestQMCQuad:
|
447 |
+
def test_input_validation(self):
|
448 |
+
message = "`func` must be callable."
|
449 |
+
with pytest.raises(TypeError, match=message):
|
450 |
+
qmc_quad("a duck", [0, 0], [1, 1])
|
451 |
+
|
452 |
+
message = "`func` must evaluate the integrand at points..."
|
453 |
+
with pytest.raises(ValueError, match=message):
|
454 |
+
qmc_quad(lambda: 1, [0, 0], [1, 1])
|
455 |
+
|
456 |
+
def func(x):
|
457 |
+
assert x.ndim == 1
|
458 |
+
return np.sum(x)
|
459 |
+
message = "Exception encountered when attempting vectorized call..."
|
460 |
+
with pytest.warns(UserWarning, match=message):
|
461 |
+
qmc_quad(func, [0, 0], [1, 1])
|
462 |
+
|
463 |
+
message = "`n_points` must be an integer."
|
464 |
+
with pytest.raises(TypeError, match=message):
|
465 |
+
qmc_quad(lambda x: 1, [0, 0], [1, 1], n_points=1024.5)
|
466 |
+
|
467 |
+
message = "`n_estimates` must be an integer."
|
468 |
+
with pytest.raises(TypeError, match=message):
|
469 |
+
qmc_quad(lambda x: 1, [0, 0], [1, 1], n_estimates=8.5)
|
470 |
+
|
471 |
+
message = "`qrng` must be an instance of scipy.stats.qmc.QMCEngine."
|
472 |
+
with pytest.raises(TypeError, match=message):
|
473 |
+
qmc_quad(lambda x: 1, [0, 0], [1, 1], qrng="a duck")
|
474 |
+
|
475 |
+
message = "`qrng` must be initialized with dimensionality equal to "
|
476 |
+
with pytest.raises(ValueError, match=message):
|
477 |
+
qmc_quad(lambda x: 1, [0, 0], [1, 1], qrng=stats.qmc.Sobol(1))
|
478 |
+
|
479 |
+
message = r"`log` must be boolean \(`True` or `False`\)."
|
480 |
+
with pytest.raises(TypeError, match=message):
|
481 |
+
qmc_quad(lambda x: 1, [0, 0], [1, 1], log=10)
|
482 |
+
|
483 |
+
def basic_test(self, n_points=2**8, n_estimates=8, signs=np.ones(2)):
|
484 |
+
|
485 |
+
ndim = 2
|
486 |
+
mean = np.zeros(ndim)
|
487 |
+
cov = np.eye(ndim)
|
488 |
+
|
489 |
+
def func(x):
|
490 |
+
return stats.multivariate_normal.pdf(x.T, mean, cov)
|
491 |
+
|
492 |
+
rng = np.random.default_rng(2879434385674690281)
|
493 |
+
qrng = stats.qmc.Sobol(ndim, seed=rng)
|
494 |
+
a = np.zeros(ndim)
|
495 |
+
b = np.ones(ndim) * signs
|
496 |
+
res = qmc_quad(func, a, b, n_points=n_points,
|
497 |
+
n_estimates=n_estimates, qrng=qrng)
|
498 |
+
ref = stats.multivariate_normal.cdf(b, mean, cov, lower_limit=a)
|
499 |
+
atol = special.stdtrit(n_estimates-1, 0.995) * res.standard_error # 99% CI
|
500 |
+
assert_allclose(res.integral, ref, atol=atol)
|
501 |
+
assert np.prod(signs)*res.integral > 0
|
502 |
+
|
503 |
+
rng = np.random.default_rng(2879434385674690281)
|
504 |
+
qrng = stats.qmc.Sobol(ndim, seed=rng)
|
505 |
+
logres = qmc_quad(lambda *args: np.log(func(*args)), a, b,
|
506 |
+
n_points=n_points, n_estimates=n_estimates,
|
507 |
+
log=True, qrng=qrng)
|
508 |
+
assert_allclose(np.exp(logres.integral), res.integral, rtol=1e-14)
|
509 |
+
assert np.imag(logres.integral) == (np.pi if np.prod(signs) < 0 else 0)
|
510 |
+
assert_allclose(np.exp(logres.standard_error),
|
511 |
+
res.standard_error, rtol=1e-14, atol=1e-16)
|
512 |
+
|
513 |
+
@pytest.mark.parametrize("n_points", [2**8, 2**12])
|
514 |
+
@pytest.mark.parametrize("n_estimates", [8, 16])
|
515 |
+
def test_basic(self, n_points, n_estimates):
|
516 |
+
self.basic_test(n_points, n_estimates)
|
517 |
+
|
518 |
+
@pytest.mark.parametrize("signs", [[1, 1], [-1, -1], [-1, 1], [1, -1]])
|
519 |
+
def test_sign(self, signs):
|
520 |
+
self.basic_test(signs=signs)
|
521 |
+
|
522 |
+
@pytest.mark.parametrize("log", [False, True])
|
523 |
+
def test_zero(self, log):
|
524 |
+
message = "A lower limit was equal to an upper limit, so"
|
525 |
+
with pytest.warns(UserWarning, match=message):
|
526 |
+
res = qmc_quad(lambda x: 1, [0, 0], [0, 1], log=log)
|
527 |
+
assert res.integral == (-np.inf if log else 0)
|
528 |
+
assert res.standard_error == 0
|
529 |
+
|
530 |
+
def test_flexible_input(self):
|
531 |
+
# check that qrng is not required
|
532 |
+
# also checks that for 1d problems, a and b can be scalars
|
533 |
+
def func(x):
|
534 |
+
return stats.norm.pdf(x, scale=2)
|
535 |
+
|
536 |
+
res = qmc_quad(func, 0, 1)
|
537 |
+
ref = stats.norm.cdf(1, scale=2) - stats.norm.cdf(0, scale=2)
|
538 |
+
assert_allclose(res.integral, ref, 1e-2)
|
539 |
+
|
540 |
+
|
541 |
+
def cumulative_simpson_nd_reference(y, *, x=None, dx=None, initial=None, axis=-1):
|
542 |
+
# Use cumulative_trapezoid if length of y < 3
|
543 |
+
if y.shape[axis] < 3:
|
544 |
+
if initial is None:
|
545 |
+
return cumulative_trapezoid(y, x=x, dx=dx, axis=axis, initial=None)
|
546 |
+
else:
|
547 |
+
return initial + cumulative_trapezoid(y, x=x, dx=dx, axis=axis, initial=0)
|
548 |
+
|
549 |
+
# Ensure that working axis is last axis
|
550 |
+
y = np.moveaxis(y, axis, -1)
|
551 |
+
x = np.moveaxis(x, axis, -1) if np.ndim(x) > 1 else x
|
552 |
+
dx = np.moveaxis(dx, axis, -1) if np.ndim(dx) > 1 else dx
|
553 |
+
initial = np.moveaxis(initial, axis, -1) if np.ndim(initial) > 1 else initial
|
554 |
+
|
555 |
+
# If `x` is not present, create it from `dx`
|
556 |
+
n = y.shape[-1]
|
557 |
+
x = dx * np.arange(n) if dx is not None else x
|
558 |
+
# Similarly, if `initial` is not present, set it to 0
|
559 |
+
initial_was_none = initial is None
|
560 |
+
initial = 0 if initial_was_none else initial
|
561 |
+
|
562 |
+
# `np.apply_along_axis` accepts only one array, so concatenate arguments
|
563 |
+
x = np.broadcast_to(x, y.shape)
|
564 |
+
initial = np.broadcast_to(initial, y.shape[:-1] + (1,))
|
565 |
+
z = np.concatenate((y, x, initial), axis=-1)
|
566 |
+
|
567 |
+
# Use `np.apply_along_axis` to compute result
|
568 |
+
def f(z):
|
569 |
+
return cumulative_simpson(z[:n], x=z[n:2*n], initial=z[2*n:])
|
570 |
+
res = np.apply_along_axis(f, -1, z)
|
571 |
+
|
572 |
+
# Remove `initial` and undo axis move as needed
|
573 |
+
res = res[..., 1:] if initial_was_none else res
|
574 |
+
res = np.moveaxis(res, -1, axis)
|
575 |
+
return res
|
576 |
+
|
577 |
+
|
578 |
+
class TestCumulativeSimpson:
|
579 |
+
x0 = np.arange(4)
|
580 |
+
y0 = x0**2
|
581 |
+
|
582 |
+
@pytest.mark.parametrize('use_dx', (False, True))
|
583 |
+
@pytest.mark.parametrize('use_initial', (False, True))
|
584 |
+
def test_1d(self, use_dx, use_initial):
|
585 |
+
# Test for exact agreement with polynomial of highest
|
586 |
+
# possible order (3 if `dx` is constant, 2 otherwise).
|
587 |
+
rng = np.random.default_rng(82456839535679456794)
|
588 |
+
n = 10
|
589 |
+
|
590 |
+
# Generate random polynomials and ground truth
|
591 |
+
# integral of appropriate order
|
592 |
+
order = 3 if use_dx else 2
|
593 |
+
dx = rng.random()
|
594 |
+
x = (np.sort(rng.random(n)) if order == 2
|
595 |
+
else np.arange(n)*dx + rng.random())
|
596 |
+
i = np.arange(order + 1)[:, np.newaxis]
|
597 |
+
c = rng.random(order + 1)[:, np.newaxis]
|
598 |
+
y = np.sum(c*x**i, axis=0)
|
599 |
+
Y = np.sum(c*x**(i + 1)/(i + 1), axis=0)
|
600 |
+
ref = Y if use_initial else (Y-Y[0])[1:]
|
601 |
+
|
602 |
+
# Integrate with `cumulative_simpson`
|
603 |
+
initial = Y[0] if use_initial else None
|
604 |
+
kwarg = {'dx': dx} if use_dx else {'x': x}
|
605 |
+
res = cumulative_simpson(y, **kwarg, initial=initial)
|
606 |
+
|
607 |
+
# Compare result against reference
|
608 |
+
if not use_dx:
|
609 |
+
assert_allclose(res, ref, rtol=2e-15)
|
610 |
+
else:
|
611 |
+
i0 = 0 if use_initial else 1
|
612 |
+
# all terms are "close"
|
613 |
+
assert_allclose(res, ref, rtol=0.0025)
|
614 |
+
# only even-interval terms are "exact"
|
615 |
+
assert_allclose(res[i0::2], ref[i0::2], rtol=2e-15)
|
616 |
+
|
617 |
+
@pytest.mark.parametrize('axis', np.arange(-3, 3))
|
618 |
+
@pytest.mark.parametrize('x_ndim', (1, 3))
|
619 |
+
@pytest.mark.parametrize('x_len', (1, 2, 7))
|
620 |
+
@pytest.mark.parametrize('i_ndim', (None, 0, 3,))
|
621 |
+
@pytest.mark.parametrize('dx', (None, True))
|
622 |
+
def test_nd(self, axis, x_ndim, x_len, i_ndim, dx):
|
623 |
+
# Test behavior of `cumulative_simpson` with N-D `y`
|
624 |
+
rng = np.random.default_rng(82456839535679456794)
|
625 |
+
|
626 |
+
# determine shapes
|
627 |
+
shape = [5, 6, x_len]
|
628 |
+
shape[axis], shape[-1] = shape[-1], shape[axis]
|
629 |
+
shape_len_1 = shape.copy()
|
630 |
+
shape_len_1[axis] = 1
|
631 |
+
i_shape = shape_len_1 if i_ndim == 3 else ()
|
632 |
+
|
633 |
+
# initialize arguments
|
634 |
+
y = rng.random(size=shape)
|
635 |
+
x, dx = None, None
|
636 |
+
if dx:
|
637 |
+
dx = rng.random(size=shape_len_1) if x_ndim > 1 else rng.random()
|
638 |
+
else:
|
639 |
+
x = (np.sort(rng.random(size=shape), axis=axis) if x_ndim > 1
|
640 |
+
else np.sort(rng.random(size=shape[axis])))
|
641 |
+
initial = None if i_ndim is None else rng.random(size=i_shape)
|
642 |
+
|
643 |
+
# compare results
|
644 |
+
res = cumulative_simpson(y, x=x, dx=dx, initial=initial, axis=axis)
|
645 |
+
ref = cumulative_simpson_nd_reference(y, x=x, dx=dx, initial=initial, axis=axis)
|
646 |
+
np.testing.assert_allclose(res, ref, rtol=1e-15)
|
647 |
+
|
648 |
+
@pytest.mark.parametrize(('message', 'kwarg_update'), [
|
649 |
+
("x must be strictly increasing", dict(x=[2, 2, 3, 4])),
|
650 |
+
("x must be strictly increasing", dict(x=[x0, [2, 2, 4, 8]], y=[y0, y0])),
|
651 |
+
("x must be strictly increasing", dict(x=[x0, x0, x0], y=[y0, y0, y0], axis=0)),
|
652 |
+
("At least one point is required", dict(x=[], y=[])),
|
653 |
+
("`axis=4` is not valid for `y` with `y.ndim=1`", dict(axis=4)),
|
654 |
+
("shape of `x` must be the same as `y` or 1-D", dict(x=np.arange(5))),
|
655 |
+
("`initial` must either be a scalar or...", dict(initial=np.arange(5))),
|
656 |
+
("`dx` must either be a scalar or...", dict(x=None, dx=np.arange(5))),
|
657 |
+
])
|
658 |
+
def test_simpson_exceptions(self, message, kwarg_update):
|
659 |
+
kwargs0 = dict(y=self.y0, x=self.x0, dx=None, initial=None, axis=-1)
|
660 |
+
with pytest.raises(ValueError, match=message):
|
661 |
+
cumulative_simpson(**dict(kwargs0, **kwarg_update))
|
662 |
+
|
663 |
+
def test_special_cases(self):
|
664 |
+
# Test special cases not checked elsewhere
|
665 |
+
rng = np.random.default_rng(82456839535679456794)
|
666 |
+
y = rng.random(size=10)
|
667 |
+
res = cumulative_simpson(y, dx=0)
|
668 |
+
assert_equal(res, 0)
|
669 |
+
|
670 |
+
# Should add tests of:
|
671 |
+
# - all elements of `x` identical
|
672 |
+
# These should work as they do for `simpson`
|
673 |
+
|
674 |
+
def _get_theoretical_diff_between_simps_and_cum_simps(self, y, x):
|
675 |
+
"""`cumulative_simpson` and `simpson` can be tested against other to verify
|
676 |
+
they give consistent results. `simpson` will iteratively be called with
|
677 |
+
successively higher upper limits of integration. This function calculates
|
678 |
+
the theoretical correction required to `simpson` at even intervals to match
|
679 |
+
with `cumulative_simpson`.
|
680 |
+
"""
|
681 |
+
d = np.diff(x, axis=-1)
|
682 |
+
sub_integrals_h1 = _cumulative_simpson_unequal_intervals(y, d)
|
683 |
+
sub_integrals_h2 = _cumulative_simpson_unequal_intervals(
|
684 |
+
y[..., ::-1], d[..., ::-1]
|
685 |
+
)[..., ::-1]
|
686 |
+
|
687 |
+
# Concatenate to build difference array
|
688 |
+
zeros_shape = (*y.shape[:-1], 1)
|
689 |
+
theoretical_difference = np.concatenate(
|
690 |
+
[
|
691 |
+
np.zeros(zeros_shape),
|
692 |
+
(sub_integrals_h1[..., 1:] - sub_integrals_h2[..., :-1]),
|
693 |
+
np.zeros(zeros_shape),
|
694 |
+
],
|
695 |
+
axis=-1,
|
696 |
+
)
|
697 |
+
# Differences only expected at even intervals. Odd intervals will
|
698 |
+
# match exactly so there is no correction
|
699 |
+
theoretical_difference[..., 1::2] = 0.0
|
700 |
+
# Note: the first interval will not match from this correction as
|
701 |
+
# `simpson` uses the trapezoidal rule
|
702 |
+
return theoretical_difference
|
703 |
+
|
704 |
+
@given(
|
705 |
+
y=hyp_num.arrays(
|
706 |
+
np.float64,
|
707 |
+
hyp_num.array_shapes(max_dims=4, min_side=3, max_side=10),
|
708 |
+
elements=st.floats(-10, 10, allow_nan=False).filter(lambda x: abs(x) > 1e-7)
|
709 |
+
)
|
710 |
+
)
|
711 |
+
def test_cumulative_simpson_against_simpson_with_default_dx(
|
712 |
+
self, y
|
713 |
+
):
|
714 |
+
"""Theoretically, the output of `cumulative_simpson` will be identical
|
715 |
+
to `simpson` at all even indices and in the last index. The first index
|
716 |
+
will not match as `simpson` uses the trapezoidal rule when there are only two
|
717 |
+
data points. Odd indices after the first index are shown to match with
|
718 |
+
a mathematically-derived correction."""
|
719 |
+
def simpson_reference(y):
|
720 |
+
return np.stack(
|
721 |
+
[simpson(y[..., :i], dx=1.0) for i in range(2, y.shape[-1]+1)], axis=-1,
|
722 |
+
)
|
723 |
+
|
724 |
+
res = cumulative_simpson(y, dx=1.0)
|
725 |
+
ref = simpson_reference(y)
|
726 |
+
theoretical_difference = self._get_theoretical_diff_between_simps_and_cum_simps(
|
727 |
+
y, x=np.arange(y.shape[-1])
|
728 |
+
)
|
729 |
+
np.testing.assert_allclose(
|
730 |
+
res[..., 1:], ref[..., 1:] + theoretical_difference[..., 1:]
|
731 |
+
)
|
732 |
+
|
733 |
+
|
734 |
+
@given(
|
735 |
+
y=hyp_num.arrays(
|
736 |
+
np.float64,
|
737 |
+
hyp_num.array_shapes(max_dims=4, min_side=3, max_side=10),
|
738 |
+
elements=st.floats(-10, 10, allow_nan=False).filter(lambda x: abs(x) > 1e-7)
|
739 |
+
)
|
740 |
+
)
|
741 |
+
def test_cumulative_simpson_against_simpson(
|
742 |
+
self, y
|
743 |
+
):
|
744 |
+
"""Theoretically, the output of `cumulative_simpson` will be identical
|
745 |
+
to `simpson` at all even indices and in the last index. The first index
|
746 |
+
will not match as `simpson` uses the trapezoidal rule when there are only two
|
747 |
+
data points. Odd indices after the first index are shown to match with
|
748 |
+
a mathematically-derived correction."""
|
749 |
+
interval = 10/(y.shape[-1] - 1)
|
750 |
+
x = np.linspace(0, 10, num=y.shape[-1])
|
751 |
+
x[1:] = x[1:] + 0.2*interval*np.random.uniform(-1, 1, len(x) - 1)
|
752 |
+
|
753 |
+
def simpson_reference(y, x):
|
754 |
+
return np.stack(
|
755 |
+
[simpson(y[..., :i], x=x[..., :i]) for i in range(2, y.shape[-1]+1)],
|
756 |
+
axis=-1,
|
757 |
+
)
|
758 |
+
|
759 |
+
res = cumulative_simpson(y, x=x)
|
760 |
+
ref = simpson_reference(y, x)
|
761 |
+
theoretical_difference = self._get_theoretical_diff_between_simps_and_cum_simps(
|
762 |
+
y, x
|
763 |
+
)
|
764 |
+
np.testing.assert_allclose(
|
765 |
+
res[..., 1:], ref[..., 1:] + theoretical_difference[..., 1:]
|
766 |
+
)
|