GaussIntegrator.h

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// @(#)root/mathcore:$Id$
// Authors: David Gonzalez Maline    01/2008
 
/**********************************************************************
 *                                                                    *
 * Copyright (c) 2006 , LCG ROOT MathLib Team                         *
 *                                                                    *
 *                                                                    *
 **********************************************************************/
 
// Header file for GaussIntegrator
//
// Created by: David Gonzalez Maline  : Wed Jan 16 2008
//
 
#ifndef ROOT_Math_GaussIntegrator
#define ROOT_Math_GaussIntegrator
 
#include "Math/IFunction.h"
 
#include "Math/VirtualIntegrator.h"
 
#include <vector>
 
namespace ROOT {
namespace Math {
 
 
//___________________________________________________________________________________________
/**
   User class for performing function integration.
 
   It will use the Gauss Method for function integration in a given interval.
   This class is implemented from TF1::Integral().
 
   @ingroup Integration
 
 */
 
class GaussIntegrator: public VirtualIntegratorOneDim {
 
 
public:
 
   /** Destructor */
   virtual ~GaussIntegrator();
 
   /** Default Constructor.
       If the tolerance are not given, use default values specified in  ROOT::Math::IntegratorOneDimOptions
    */
   GaussIntegrator(double absTol = -1, double relTol = -1);
 
 
   /** Static function: set the fgAbsValue flag.
       By default TF1::Integral uses the original function value to compute the integral
       However, TF1::Moment, CentralMoment require to compute the integral
       using the absolute value of the function.
   */
   void AbsValue(bool flag);
 
 
   // Implementing VirtualIntegrator Interface
 
   /** Set the desired relative Error. */
   virtual void SetRelTolerance (double eps) { fEpsRel = eps; }
 
   /** This method is not implemented. */
   virtual void SetAbsTolerance (double eps) { fEpsAbs = eps; }
 
   /** Returns the result of the last Integral calculation. */
   double Result () const;
 
   /** Return the estimate of the absolute Error of the last Integral calculation. */
   double Error () const;
 
   /** return the status of the last integration - 0 in case of success */
   int Status () const;
 
   // Implementing VirtualIntegratorOneDim Interface
 
   /**
     Returns Integral of function between a and b.
     Based on original CERNLIB routine DGAUSS by Sigfried Kolbig
     converted to C++ by Rene Brun
 
     This function computes, to an attempted specified accuracy, the value
     of the integral.
 
    Method:
       For any interval [a,b] we define g8(a,b) and g16(a,b) to be the 8-point
       and 16-point Gaussian quadrature approximations to
   \f[
      I = \int^{b}_{a} f(x)dx
   \f]
      and define
   \f[
      r(a,b) = \frac{\left|g_{16}(a,b)-g_{8}(a,b)\right|}{1+\left|g_{16}(a,b)\right|}
   \f]
      Then,
   \f[
      G = \sum_{i=1}^{k}g_{16}(x_{i-1},x_{i})
   \f]
      where, starting with \f$x_{0} = A\f$ and finishing with \f$x_{k} = B\f$,
      the subdivision points \f$x_{i}(i=1,2,...)\f$ are given by
   \f[
      x_{i} = x_{i-1} + \lambda(B-x_{i-1})
   \f]
      \f$\lambda\f$ is equal to the first member of the
      sequence 1,1/2,1/4,... for which \f$r(x_{i-1}, x_{i}) < EPS\f$.
      If, at any stage in the process of subdivision, the ratio
  \f[
      q = \left|\frac{x_{i}-x_{i-1}}{B-A}\right|
  \f]
      is so small that 1+0.005q is indistinguishable from 1 to
      machine accuracy, an error exit occurs with the function value
      set equal to zero.
 
   Accuracy:
      The user provides absolute and relative error bounds (epsrel and epsabs) and the
      algorithm will stop when the estimated error is less than the epsabs OR is less
      than |I| * epsrel.
      Unless there is severe cancellation of positive and negative values of
      f(x) over the interval [A,B], the relative error may be considered as
      specifying a bound on the <I>relative</I> error of I in the case
      |I|&gt;1, and a bound on the absolute error in the case |I|&lt;1. More
      precisely, if k is the number of sub-intervals contributing to the
      approximation (see Method), and if
   \f[
      I_{abs} = \int^{B}_{A} \left|f(x)\right|dx
   \f]
      then the relation
   \f[
      \frac{\left|G-I\right|}{I_{abs}+k} < EPS
   \f]
      will nearly always be true, provided the routine terminates without
      printing an error message. For functions f having no singularities in
      the closed interval [A,B] the accuracy will usually be much higher than
      this.
 
    Error handling:
      The requested accuracy cannot be obtained (see Method).
      The function value is set equal to zero.
 
    Note 1:
      Values of the function f(x) at the interval end-points A and B are not
      required. The subprogram may therefore be used when these values are
      undefined
   */
   double Integral (double a, double b);
 
   /** Returns Integral of function on an infinite interval.
      This function computes, to an attempted specified accuracy, the value of the integral:
   \f[
      I = \int^{\infty}_{-\infty} f(x)dx
   \f]
      Usage:
        In any arithmetic expression, this function has the approximate value
        of the integral I.
 
      The integral is mapped onto [0,1] using a transformation then integral computation is surrogated to DoIntegral.
   */
   double Integral ();
 
   /** Returns Integral of function on an upper semi-infinite interval.
      This function computes, to an attempted specified accuracy, the value of the integral:
   \f[
      I = \int^{\infty}_{A} f(x)dx
   \f]
      Usage:
        In any arithmetic expression, this function has the approximate value
        of the integral I.
        - A: lower end-point of integration interval.
 
      The integral is mapped onto [0,1] using a transformation then integral computation is surrogated to DoIntegral.
   */
   double IntegralUp (double a);
 
   /** Returns Integral of function on a lower semi-infinite interval.
       This function computes, to an attempted specified accuracy, the value of the integral:
   \f[
      I = \int^{B}_{-\infty} f(x)dx
   \f]
      Usage:
         In any arithmetic expression, this function has the approximate value
         of the integral I.
         - B: upper end-point of integration interval.
 
      The integral is mapped onto [0,1] using a transformation then integral computation is surrogated to DoIntegral.
   */
   double IntegralLow (double b);
 
 
   /** Set integration function (flag control if function must be copied inside).
       \@param f Function to be used in the calculations.
   */
   void SetFunction (const IGenFunction &);
 
   /** This method is not implemented. */
   double Integral (const std::vector< double > &pts);
 
   /** This method is not implemented. */
   double IntegralCauchy (double a, double b, double c);
 
   ///  get the option used for the integration
   virtual ROOT::Math::IntegratorOneDimOptions Options() const;
 
   // set the options
   virtual void SetOptions(const ROOT::Math::IntegratorOneDimOptions & opt);
 
private:
 
   /**
      Integration surrogate method. Return integral of passed function in  interval [a,b]
      Derived class (like GaussLegendreIntegrator)  can re-implement this method to modify to use
      an improved algorithm
   */
   virtual double DoIntegral (double a, double b, const IGenFunction* func);
 
protected:
 
   static bool fgAbsValue;          ///< AbsValue used for the calculation of the integral
   double fEpsRel;                  ///< Relative error.
   double fEpsAbs;                  ///< Absolute error.
   bool fUsedOnce;                  ///< Bool value to check if the function was at least called once.
   double fLastResult;              ///< Result from the last estimation.
   double fLastError;               ///< Error from the last estimation.
   const IGenFunction* fFunction;   ///< Pointer to function used.
 
};
 
/**
   Auxiliary inner class for mapping infinite and semi-infinite integrals
*/
class IntegrandTransform : public IGenFunction {
public:
   enum ESemiInfinitySign {kMinus = -1, kPlus = +1};
   IntegrandTransform(const IGenFunction* integrand);
   IntegrandTransform(const double boundary, ESemiInfinitySign sign, const IGenFunction* integrand);
   double operator()(double x) const;
   double DoEval(double x) const;
   IGenFunction* Clone() const;
private:
   ESemiInfinitySign fSign;
   const IGenFunction* fIntegrand;
   double fBoundary;
   bool fInfiniteInterval;
   double DoEval(double x, double boundary, int sign) const;
};
 
 
 
} // end namespace Math
 
} // end namespace ROOT
 
#endif /* ROOT_Math_GaussIntegrator */