public void ExtendedVectorNorm()
{
// Check that vector norm is correctly computed even when vector is enormous (square would overflow) or tiny (square woudl underflow)
double x = Double.MaxValue / 32.0;
// Use the pythagorian quadrouple (2, 3, 6, 7)
ColumnVector v = new ColumnVector(2.0, 3.0, 6.0);
Assert.IsTrue(TestUtilities.IsNearlyEqual(v.Norm(), 7.0));
ColumnVector bv = x * v;
Assert.IsTrue(TestUtilities.IsNearlyEqual(bv.Norm(), 7.0 * x));
ColumnVector sv = v / x;
Assert.IsTrue(TestUtilities.IsNearlyEqual(sv.Norm(), 7.0 / x));
// Use the pythagorian 7-tuple (1, 2, 3, 4, 5, 27, 28)
RowVector u = new RowVector(1.0, 2.0, 3.0, 4.0, 5.0, 27.0);
Assert.IsTrue(TestUtilities.IsNearlyEqual(u.Norm(), 28.0));
RowVector bu = x * u;
Assert.IsTrue(TestUtilities.IsNearlyEqual(bu.Norm(), 28.0 * x));
RowVector su = u / x;
Assert.IsTrue(TestUtilities.IsNearlyEqual(su.Norm(), 28.0 / x));
}
public void VectorNorm()
{
RowVector nR = R / R.Norm();
Assert.IsTrue(TestUtilities.IsNearlyEqual(nR.Norm(), 1.0));
ColumnVector nC = C / C.Norm();
Assert.IsTrue(TestUtilities.IsNearlyEqual(nC.Norm(), 1.0));
}
public static void VectorsAndMatrices()
{
ColumnVector v = new ColumnVector(0.0, 1.0, 2.0);
ColumnVector w = new ColumnVector(new double[] { 1.0, -0.5, 1.5 });
SquareMatrix A = new SquareMatrix(new double[, ] {
{ 1, -2, 3 },
{ 2, -5, 12 },
{ 0, 2, -10 }
});
RowVector u = new RowVector(4);
for (int i = 0; i < u.Dimension; i++)
{
u[i] = i;
}
Random rng = new Random(1);
RectangularMatrix B = new RectangularMatrix(4, 3);
for (int r = 0; r < B.RowCount; r++)
{
for (int c = 0; c < B.ColumnCount; c++)
{
B[r, c] = rng.NextDouble();
}
}
SquareMatrix AI = A.Inverse();
PrintMatrix("A * AI", A * AI);
PrintMatrix("v + 2.0 * w", v + 2.0 * w);
PrintMatrix("Av", A * v);
PrintMatrix("B A", B * A);
PrintMatrix("v^T", v.Transpose);
PrintMatrix("B^T", B.Transpose);
Console.WriteLine($"|v| = {v.Norm()}");
Console.WriteLine($"sqrt(v^T v) = {Math.Sqrt(v.Transpose * v)}");
UnitMatrix I = UnitMatrix.OfDimension(3);
PrintMatrix("IA", I * A);
Console.WriteLine(v == w);
Console.WriteLine(I * A == A);
}
/// <summary>
/// Finds a vector argument which makes a vector function zero.
/// </summary>
/// <param name="f">The vector function.</param>
/// <param name="x0">The vector argument.</param>
/// <returns>The vector argument which makes all components of the vector function zero.</returns>
/// <exception cref="ArgumentNullException"><paramref name="f"/> or <paramref name="x0"/> is null.</exception>
/// <exception cref="DimensionMismatchException">The dimension of <paramref name="f"/> is not equal to the
/// dimension of <paramref name="x0"/>.</exception>
public static ColumnVector FindZero(Func <IList <double>, IList <double> > f, IList <double> x0)
{
if (f == null)
{
throw new ArgumentNullException("f");
}
if (x0 == null)
{
throw new ArgumentNullException("x0");
}
// we will use Broyden's method, which is a generalization of the secant method to the multi-dimensional problem
// just as the secant method is essentially Newton's method with a crude, numerical value for the slope,
// Broyden's method is a multi-dimensional Newton's method with a crude, numerical value for the Jacobian matrix
int d = x0.Count;
// we should re-engineer this code to work directly on vector/matrix storage rather than go back and forth
// between vectors and arrays, but for the moment this works; implementing Blas2 rank-1 update would help
// starting values
ColumnVector x = new ColumnVector(x0);
//double[] x = new double[d]; Blas1.dCopy(x0, 0, 1, x, 0, 1, d);
ColumnVector F = new ColumnVector(f(x.ToArray()));
//double[] F = f(x);
if (F.Dimension != d)
{
throw new DimensionMismatchException();
}
SquareMatrix B = ApproximateJacobian(f, x0);
double g = MoreMath.Pow2(F.Norm());
//double g = Blas1.dDot(F, 0, 1, F, 0, 1, d);
for (int n = 0; n < Global.SeriesMax; n++)
{
// determine the Newton step
LUDecomposition LU = B.LUDecomposition();
ColumnVector dx = -LU.Solve(F);
//for (int i = 0; i < d; i++) {
// Console.WriteLine("F[{0}]={1} x[{0}]={2} dx[{0}]={3}", i, F[i], x[i], dx[i]);
//}
// determine how far we will move along the Newton step
ColumnVector x1 = x + dx;
ColumnVector F1 = new ColumnVector(f(x1));
double g1 = MoreMath.Pow2(F1.Norm());
// check whether the Newton step decreases the function vector magnitude
// NR suggest that it's necessary to ensure that it decrease by a certain amount, but I have yet to see that make a diference
double gm = g - 0.0;
if (g1 > gm)
{
// the Newton step did not reduce the function vector magnitude, so we won't step that far
// determine how far along the descent direction we will step by parabolic interpolation
double z = g / (g + g1);
//Console.WriteLine("z={0}", z);
// take at least a small step in the descent direction
if (z < (1.0 / 16.0))
{
z = 1.0 / 16.0;
}
dx = z * dx;
x1 = x + dx;
F1 = new ColumnVector(f(x1.ToArray()));
g1 = MoreMath.Pow2(F1.Norm());
// NR suggest that this be repeated, but I have yet to see that make a difference
}
// take the step
x = x + dx;
// check for convergence
if ((F1.InfinityNorm() < Global.Accuracy) || (dx.InfinityNorm() < Global.Accuracy))
{
//if ((g1 < Global.Accuracy) || (dx.Norm() < Global.Accuracy)) {
return(x);
}
// update B
ColumnVector dF = F1 - F;
RectangularMatrix dB = (dF - B * dx) * (dx / (dx.Transpose() * dx)).Transpose();
//RectangularMatrix dB = F1 * ( dx / MoreMath.Pow(dx.Norm(), 2) ).Transpose();
for (int i = 0; i < d; i++)
{
for (int j = 0; j < d; j++)
{
B[i, j] += dB[i, j];
}
}
// prepare for the next iteration
F = F1;
g = g1;
}
throw new NonconvergenceException();
}
public static void Integration()
{
// This is the area of the upper half-circle, so the value should be pi/2.
IntegrationResult i = FunctionMath.Integrate(x => Math.Sqrt(1.0 - x * x), -1.0, +1.0);
Console.WriteLine($"i = {i.Estimate} after {i.EvaluationCount} evaluations.");
Interval zeroToPi = Interval.FromEndpoints(0.0, Math.PI);
IntegrationResult watson = MultiFunctionMath.Integrate(
x => 1.0 / (1.0 - Math.Cos(x[0]) * Math.Cos(x[1]) * Math.Cos(x[2])),
new Interval[] { zeroToPi, zeroToPi, zeroToPi }
);
IntegrationResult i2 = FunctionMath.Integrate(
x => Math.Sqrt(1.0 - x * x), -1.0, +1.0,
new IntegrationSettings()
{
RelativePrecision = 1.0E-4
}
);
// This integrand has a log singularity at x = 0.
// The value of this integral is the Catalan constant.
IntegrationResult soft = FunctionMath.Integrate(
x => - Math.Log(x) / (1.0 + x * x), 0.0, 1.0
);
// This integral has a power law singularity at x = 0.
// The value of this integral is 4.
IntegrationResult hard = FunctionMath.Integrate(
x => Math.Pow(x, -3.0 / 4.0), 0.0, 1.0,
new IntegrationSettings()
{
RelativePrecision = 1.0E-6
}
);
// The value of this infinite integral is sqrt(pi)
IntegrationResult infinite = FunctionMath.Integrate(
x => Math.Exp(-x * x), Double.NegativeInfinity, Double.PositiveInfinity
);
Func <IReadOnlyList <double>, double> distance = z => {
ColumnVector x = new ColumnVector(z[0], z[1], z[2]);
ColumnVector y = new ColumnVector(z[3], z[4], z[5]);
ColumnVector d = x - y;
return(d.Norm());
};
Interval oneBox = Interval.FromEndpoints(0.0, 1.0);
Interval[] sixBox = new Interval[] { oneBox, oneBox, oneBox, oneBox, oneBox, oneBox };
IntegrationSettings settings = new IntegrationSettings()
{
RelativePrecision = 1.0E-4,
AbsolutePrecision = 0.0,
Listener = r => {
Console.WriteLine($"Estimate {r.Estimate} after {r.EvaluationCount} evaluations.");
}
};
IntegrationResult numeric = MultiFunctionMath.Integrate(distance, sixBox, settings);
Console.WriteLine($"The numeric result is {numeric.Estimate}.");
double analytic = 4.0 / 105.0 + 17.0 / 105.0 * Math.Sqrt(2.0) - 2.0 / 35.0 * Math.Sqrt(3.0)
+ Math.Log(1.0 + Math.Sqrt(2.0)) / 5.0 + 2.0 / 5.0 * Math.Log(2.0 + Math.Sqrt(3.0))
- Math.PI / 15.0;
Console.WriteLine($"The analytic result is {analytic}.");
}
