54 lines
1.3 KiB
C++
54 lines
1.3 KiB
C++
// Copyright 2005, Ondra Kamenik
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#include "quadrature.hh"
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#include "precalc_quadrature.dat"
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#include <cmath>
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void
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OneDPrecalcQuadrature::calcOffsets()
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{
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offsets[0] = 0;
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for (int i = 1; i < num_levels; i++)
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offsets[i] = offsets[i-1] + num_points[i-1];
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}
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GaussHermite::GaussHermite()
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: OneDPrecalcQuadrature(gh_num_levels, gh_num_points, gh_weights, gh_points)
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{
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}
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GaussLegendre::GaussLegendre()
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: OneDPrecalcQuadrature(gl_num_levels, gl_num_points, gl_weights, gl_points)
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{
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}
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/* Here we transform a draw from univariate $\langle 0,1\rangle$ to the
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draw from Gaussina $N(0,1)$. This is done by a table lookup, the table
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is given by |normal_icdf_step|, |normal_icfd_data|, |normal_icdf_num|,
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and a number |normal_icdf_end|. In order to avoid wrong tails for lookups close
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to zero or one, we rescale input |x| by $(1-2*(1-end))=2*end-1$. */
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double
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NormalICDF::get(double x)
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{
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double xx = (2*normal_icdf_end-1)*std::abs(x-0.5);
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auto i = (int) floor(xx/normal_icdf_step);
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double xx1 = normal_icdf_step*i;
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double yy1 = normal_icdf_data[i];
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double y;
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if (i < normal_icdf_num-1)
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{
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double yy2 = normal_icdf_data[i+1];
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y = yy1 + (yy2-yy1)*(xx-xx1)/normal_icdf_step;
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}
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else // this should never happen
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{
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y = yy1;
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}
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if (x > 0.5)
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return y;
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else
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return -y;
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}
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