Integration.h

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (w) 2014 Wu Lin
 * Written (W) 2013 Roman Votyakov
 *
 * The abscissae and weights for Gauss-Kronrod rules are taken form
 * QUADPACK, which is in public domain.
 * http://www.netlib.org/quadpack/
 *
 * See method comments which functions are adapted from GNU Octave,
 * file quadgk.m: Copyright (C) 2008-2012 David Bateman under GPLv3
 * http://www.gnu.org/software/octave/
 *
 * See method comments which functions are adapted from
 * Gaussian Process Machine Learning Toolbox, file util/gauher.m,
 * http://www.gaussianprocess.org/gpml/code/matlab/doc/
 *
 */

#ifndef _INTEGRATION_H_
#define _INTEGRATION_H_

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3

#include <shogun/base/SGObject.h>
#include <shogun/lib/DynamicArray.h>
#include <shogun/mathematics/Math.h>
#include <shogun/mathematics/Function.h>

namespace shogun
{
template<class T> class SGVector;

class CIntegration : public CSGObject
{
public:
    static float64_t integrate_quadgk(CFunction* f, float64_t a,
            float64_t b, float64_t abs_tol=1e-10, float64_t rel_tol=1e-5,
            uint32_t max_iter=1000, index_t sn=10);

    static float64_t integrate_quadgh(CFunction* f);

    static float64_t integrate_quadgh_customized(CFunction* f,
        SGVector<float64_t> xgh, SGVector<float64_t> wgh);


    static void generate_gauher(SGVector<float64_t> xgh, SGVector<float64_t> wgh);


    static void generate_gauher20(SGVector<float64_t> xgh, SGVector<float64_t> wgh);

    virtual const char* get_name() const { return "Integration"; }

private:
    static void evaluate_quadgk(CFunction* f, CDynamicArray<float64_t>* subs,
            CDynamicArray<float64_t>* q, CDynamicArray<float64_t>* err, index_t n,
            float64_t* xgk, float64_t* wg, float64_t* wgk);

    static void evaluate_quadgk15(CFunction* f, CDynamicArray<float64_t>* subs,
            CDynamicArray<float64_t>* q, CDynamicArray<float64_t>* err);

    static void evaluate_quadgk21(CFunction* f, CDynamicArray<float64_t>* subs,
            CDynamicArray<float64_t>* q, CDynamicArray<float64_t>* err);

    static float64_t evaluate_quadgh(CFunction* f, index_t n, float64_t* xh,
            float64_t* wh);

    static float64_t evaluate_quadgh64(CFunction* f);
};
}
#endif /* HAVE_EIGEN3 */
#endif /* _INTEGRATION_H_ */