integral.h

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#ifndef THEORETICA_INTEGRATION_H
#define THEORETICA_INTEGRATION_H
 
#include "../core/constants.h"
#include "../core/function.h"
#include "../polynomial/polynomial.h"
#include "../polynomial/orthogonal.h"
#include "./gauss.h"
 
 
namespace theoretica {
 
 
    template<typename T = real>
    inline polynomial<T> integral(const polynomial<T>& p) {
 
        polynomial<T> P;
        P.coeff.resize(p.size() + 1);
        P[0] = 0;
 
        for (unsigned int i = 0; i < p.size(); ++i)
            P[i + 1] = p[i] / T(i + 1);
 
        return P;
    }
 
 
    template<typename RealFunction>
    inline real integral_midpoint(RealFunction f, real a, real b,
        unsigned int steps = CALCULUS_INTEGRAL_STEPS) {
 
        if(steps == 0) {
            TH_MATH_ERROR("integral_midpoint", steps, DIV_BY_ZERO);
            return nan();
        }
        
        const real dx = (b - a) / steps;
        real res = 0;
 
        for (unsigned int i = 0; i < steps; ++i)
            res += f(a + (i + 0.5) * dx);
 
        return res * dx;
    }
 
 
    template<typename RealFunction>
    inline real integral_trapezoid(RealFunction f, real a, real b,
        unsigned int steps = CALCULUS_INTEGRAL_STEPS) {
 
        if(steps == 0) {
            TH_MATH_ERROR("integral_trapezoid", steps, DIV_BY_ZERO);
            return nan();
        }
        
        const real dx = (b - a) / steps;
        real res = 0;
 
        res += 0.5 * (f(a) + f(b));
 
        for (unsigned int i = 1; i < steps; ++i)
            res += f(a + i * dx);
 
        return res * dx;
    }
 
 
    template<typename RealFunction>
    inline real integral_simpson(RealFunction f, real a, real b,
        unsigned int steps = CALCULUS_INTEGRAL_STEPS) {
 
        if(steps == 0) {
            TH_MATH_ERROR("integral_simpson", steps, DIV_BY_ZERO);
            return nan();
        }
        
        const real dx = (b - a) / (real) steps;
        real res = 0;
 
        // Sum terms by order of magnitude supposing that
        // f stays at the same order inside the interval,
        // to alleviate truncation errors
 
        res += f(a) + f(b);
 
        for (unsigned int i = 2; i < steps; i += 2)
            res += 2 * f(a + i * dx);
 
        for (unsigned int i = 1; i < steps; i += 2)
            res += 4 * f(a + i * dx);
 
        return res * dx / 3.0;
    }
 
 
    template<typename RealFunction>
    inline real integral_romberg(
        RealFunction f,
        real a, real b,
        unsigned int iter = 8) {
 
        real T[iter][iter];
 
        T[0][0] = (f(a) + f(b)) * (b - a) / 2.0;
 
        for (unsigned int j = 1; j < iter; ++j) {
            
            // Composite Trapezoidal Rule
            T[j][0] = integral_trapezoid(f, a, b, 1 << j);
 
            // Richardson extrapolation
            for (unsigned int k = 1; k <= j; ++k) {
                const uint64_t coeff = uint64_t(1) << (2 * k);
                T[j][k] = (coeff * T[j][k - 1] - T[j - 1][k - 1]) / (coeff - 1);
            }
        }
 
        // Return the best approximation
        return T[iter - 1][iter - 1];
    }
 
 
    template<typename RealFunction>
    inline real integral_romberg_tol(
        RealFunction f,
        real a, real b,
        real tolerance = CALCULUS_INTEGRAL_TOL) {
 
        const unsigned int MAX_ROMBERG_ITER = 16;
        real T[MAX_ROMBERG_ITER][MAX_ROMBERG_ITER];
 
        T[0][0] = (f(a) + f(b)) * (b - a) / 2.0;
 
        for (unsigned int j = 1; j < 16; ++j) {
            
            // Composite Trapezoidal Rule
            T[j][0] = integral_trapezoid(f, a, b, 1 << j);
 
            // Richardson extrapolation
            for (unsigned int k = 1; k <= j; ++k) {
                const uint64_t coeff = uint64_t(1) << (2 * k);
                T[j][k] = (coeff * T[j][k - 1] - T[j - 1][k - 1]) / (coeff - 1);
            }
 
            // Stop the algorithm when the desired precision has been reached
            if(abs(T[j][j] - T[j - 1][j - 1]) < tolerance)
                return T[j][j];
        }
 
        // Return the best approximation
        return T[MAX_ROMBERG_ITER - 1][MAX_ROMBERG_ITER - 1];
    }
 
 
    template<typename RealFunction>
    inline real integral_gauss(
        RealFunction f, const std::vector<real>& x, const std::vector<real>& w) {
 
        if(x.size() != w.size()) {
            TH_MATH_ERROR("integral_gauss", x.size(), INVALID_ARGUMENT);
            return nan();
        }
 
        real res = 0;
 
        for (int i = 0; i < x.size(); ++i)
            res += w[i] * f(x[i]);
 
        return res;
    }
 
 
    template<typename RealFunction>
    inline real integral_gauss(
        RealFunction f, real* x, real* w, unsigned int n) {
 
        real res = 0;
 
        for (unsigned int i = 0; i < n; ++i)
            res += w[i] * f(x[i]);
 
        return res;
    }
 
 
    template<typename RealFunction>
    inline real integral_gauss(
        RealFunction f, real* x, real* w, unsigned int n,
        real_function Winv) {
 
        real res = 0;
 
        for (unsigned int i = 0; i < n; ++i)
            res += w[i] * f(x[i]) * Winv(x[i]);
 
        return res;
    }
 
 
    template<typename RealFunction>
    inline real integral_legendre(
        RealFunction f, real a, real b, real* x, real* w, unsigned int n) {
 
        const real mean = (b + a) / 2.0;
        const real halfdiff = (b - a) / 2.0;
 
        real res = 0;
 
        for (int i = n - 1; i >= 0; --i)
            res += w[i] * f(halfdiff * x[i] + mean);
 
        return res * halfdiff;
    }
 
 
    template<typename RealFunction>
    inline real integral_legendre(
        RealFunction f, real a, real b,
        const std::vector<real>& x, const std::vector<real>& w) {
 
        const real mean = (b + a) / 2.0;
        const real halfdiff = (b - a) / 2.0;
 
        real res = 0;
 
        for (int i = x.size() - 1; i >= 0; --i)
            res += w[i] * f(halfdiff * x[i] + mean);
 
        return res * halfdiff;
    }
 
 
    template<typename RealFunction>
    inline real integral_legendre(
        RealFunction f, real a, real b, const std::vector<real>& x) {
        
        return integral_legendre(f, a, b, x, legendre_weights(x));
    }
 
 
    template<typename RealFunction>
    inline real integral_legendre(RealFunction f, real a, real b, unsigned int n = 16) {
        
        switch(n) {
            case 2: return integral_legendre(f, a, b,
                tables::legendre_roots_2, tables::legendre_weights_2, 2); break;
            case 4: return integral_legendre(f, a, b,
                tables::legendre_roots_4, tables::legendre_weights_4, 4); break;
            case 8: return integral_legendre(f, a, b,
                tables::legendre_roots_8, tables::legendre_weights_8, 8); break;
            case 16: return integral_legendre(f, a, b,
                tables::legendre_roots_16, tables::legendre_weights_16, 16); break;
            // case 32: return integral_legendre(f, a, b,
            //  tables::legendre_roots_32, tables::legendre_weights_32, 32); break;
            default: return integral_legendre(f, a, b, legendre_roots(n)); break;
        }
    }
 
 
    template<typename RealFunction>
    inline real integral_laguerre(RealFunction f, const std::vector<real>& x) {     
 
        return integral_gauss(f, x, laguerre_weights(x));
    }
 
 
    template<typename RealFunction>
    inline real integral_laguerre(
        RealFunction f, real a, real b, const std::vector<real>& x) {
        
        const std::vector<real> weights = laguerre_weights(x);
 
        const real exp_a = exp(-a);
        const real exp_b = exp(-b);
 
        real res = 0;
 
        for (int i = x.size() - 1; i >= 0; --i)
            res += weights[i] * (exp_a * f(x[i] + a) - exp_b * f(x[i] + b));
 
        return res;
    }
 
 
    template<typename RealFunction>
    inline real integral_laguerre(RealFunction f, unsigned int n = 16) {
        
        switch(n) {
            case 2: return integral_gauss(f,
                tables::laguerre_roots_2, tables::laguerre_weights_2, 2); break;
            case 4: return integral_gauss(f,
                tables::laguerre_roots_4, tables::laguerre_weights_4, 4); break;
            case 8: return integral_gauss(f,
                tables::laguerre_roots_8, tables::laguerre_weights_8, 8); break;
            case 16: return integral_gauss(f,
                tables::laguerre_roots_16, tables::laguerre_weights_16, 16); break;
            // case 32: return integral_gauss(f,
            //  tables::laguerre_roots_32, tables::laguerre_weights_32, 32); break;
            default: {
                TH_MATH_ERROR("integral_laguerre", n, INVALID_ARGUMENT);
                return nan(); break;
            }
        }
    }
 
 
    template<typename RealFunction>
    inline real integral_hermite(RealFunction f, const std::vector<real>& x) {
        
        return integral_gauss(f, x, hermite_weights(x));
    }
 
 
    template<typename RealFunction>
    inline real integral_hermite(RealFunction f, unsigned int n = 16) {
        
        switch(n) {
            case 2: return integral_gauss(f,
                tables::hermite_roots_2, tables::hermite_weights_2, 2); break;
            case 4: return integral_gauss(f,
                tables::hermite_roots_4, tables::hermite_weights_4, 4); break;
            case 8: return integral_gauss(f,
                tables::hermite_roots_8, tables::hermite_weights_8, 8); break;
            case 16: return integral_gauss(f,
                tables::hermite_roots_16, tables::hermite_weights_16, 16); break;
            default: {
                TH_MATH_ERROR("integral_hermite", n, INVALID_ARGUMENT);
                return nan(); break;
            }
        }
    }
 
 
    inline real integral_inf_riemann(
        real_function f, real a, real step_sz = 1,
        real tol = CALCULUS_INTEGRAL_TOL, unsigned int max_iter = 100) {
 
        // Current lower extreme of the interval
        real x_n = a + step_sz;
 
        // Total integral sum
        real sum = integral_romberg_tol(f, a, x_n, tol);
        
        // Variation between steps
        real delta = inf();
 
        // Number of steps performed
        unsigned int i = 0;
 
        while(abs(delta) > tol && i <= max_iter) {
 
            delta = integral_romberg_tol(f, x_n, x_n + step_sz, tol);
            sum += delta;
            x_n += step_sz;
            i++;
        }
 
        if(i >= max_iter) {
            TH_MATH_ERROR("integral_inf_riemann", i, NO_ALGO_CONVERGENCE);
            return nan();
        }
 
        return sum;
    }
 
 
    template<typename RealFunction>
    inline real integral(RealFunction f, real a, real b) {
        return integral_romberg_tol(f, a, b);
    }
 
 
    template<typename RealFunction>
    inline real integral(RealFunction f, real a, real b, real tol) {
        return integral_romberg_tol(f, a, b, tol);
    }
 
}
 
 
#endif